Citibank 2009 Annual Report Download - page 226

216
Derivative Notionals
Hedging instruments under
ASC 815 (SFAS 133) (1) Other derivative instruments
In millions of dollars at December 31, 2009
Trading
derivatives
Management
hedges
(2)
Interest rate contracts
Swaps $ 128,797 $20,571,814 $107,193
Futures and forwards — 3,366,927 65,597
Written options — 3,616,240 11,050
Purchased options — 3,590,032 28,725
Total interest rate contract notionals $ 128,797 $31,145,013 $212,565
Foreign exchange contracts
Swaps $ 81,018 $ 855,560 $ 95,472
Futures and forwards 47,671 1,946,802 1,432
Written options — 409,991 —
Purchased options 17,718 387,786 882
Total foreign exchange contract notionals $ 146,407 $ 3,600,139 $ 97,786
Equity contracts
Swaps $ — $ 59,391 $ —
Futures and forwards — 14,627 —
Written options — 410,002 —
Purchased options — 377,961 275
Total equity contract notionals $ — $ 861,981 $ 275
Commodity and other contracts
Swaps $ — $ 25,956 $ —
Futures and forwards — 91,582 —
Written options — 37,952 —
Purchased options — 40,324 —
Total commodity and other contract notionals $ — $ 195,814 $ —
Credit derivatives (3)
Protection sold $ — $ 1,214,053 $ —
Protection purchased 6,981 1,325,981 —
Total credit derivatives $ 6,981 $ 2,540,034 $ —
Total derivative notionals $ 282,185 $38,342,981 $310,626
(1) Derivatives in hedge accounting relationships accounted for under ASC 815 (SFAS 133) are recorded in either Other assets/liabilities or Trading account assets/liabilities on the Consolidated Balance Sheet.
(2) Management hedges represent derivative instruments used in certain economic hedging relationships that are identified for management purposes, but for which hedge accounting is not applied. These derivatives are
recorded in Other assets/liabilities on the Consolidated Balance Sheet.
(3) Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to
assume the credit risk associated with the reference asset without directly purchasing that asset. The Company has entered into credit derivatives positions for purposes such as risk management, yield enhancement,
reduction of credit concentrations and diversification of overall risk.