Citibank 2010 Annual Report Download - page 134

132
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of December 31, 2010 and
December 31, 2009:
December 31, 2010 Fair values Notionals
In millions of dollars Receivable Payable Beneficiary Guarantor
By industry/counterparty
Bank $37,586 $35,727 $ 820,211 $ 784,080
Broker-dealer 15,428 16,239 319,625 312,131
Monoline 1,914 2 4,409 —
Non-financial 93 70 1,277 1,463
Insurance and other financial institutions 10,108 7,760 177,171 125,442
Total by industry/counterparty $65,129 $59,798 $1,322,693 $1,223,116
By instrument
Credit default swaps and options $64,840 $58,225 $1,301,514 $1,221,211
Total return swaps and other 289 1,573 21,179 1,905
Total by instrument $65,129 $59,798 $1,322,693 $1,223,116
By rating
Investment grade $20,480 $17,281 $ 598,179 $ 532,283
Non-investment grade (1) 44,649 42,517 724,514 690,833
Total by rating $65,129 $59,798 $1,322,693 $1,223,116
By maturity
Within 1 year $ 1,716 $ 1,817 $ 164,735 $ 162,075
From 1 to 5 years 33,853 34,298 935,632 853,808
After 5 years 29,560 23,683 222,326 207,233
Total by maturity $65,129 $59,798 $1,322,693 $1,223,116
December 31, 2009 Fair values Notionals
In millions of dollars Receivable Payable Beneficiary Guarantor
By industry/counterparty
Bank $ 52,383 $ 50,778 $ 872,523 $ 807,484
Broker-dealer 23,241 22,932 338,829 340,949
Monoline 5,860 — 10,018 33
Non-financial 339 371 1,781 623
Insurance and other financial institutions 10,969 8,343 109,811 64,964
Total by industry/counterparty $ 92,792 $ 82,424 $1,332,962 $1,214,053
By instrument
Credit default swaps and options $ 91,625 $ 81,174 $1,305,724 $1,213,208
Total return swaps and other 1,167 1,250 27,238 845
Total by instrument $ 92,792 $ 82,424 $1,332,962 $1,214,053
By rating
Investment grade $26,666 $22,469 $ 656,876 $ 576,930
Non-investment grade (1) 66,126 59,955 676,086 637,123
Total by rating $ 92,792 $ 82,424 $1,332,962 $1,214,053
By maturity
Within 1 year $ 2,167 $ 2,067 $ 173,880 $ 165,056
From 1 to 5 years 54,079 47,350 877,573 806,143
After 5 years 36,546 33,007 281,509 242,854
Total by maturity $ 92,792 $ 82,424 $1,332,962 $1,214,053
(1) Also includes not rated credit derivative instruments.