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233
Derivative Notionals
Hedging instruments under
ASC 815 (SFAS 133) (1)(2) Other derivative instruments
Trading derivatives Management hedges(3)
In millions of dollars
December 31,
2011
$ECEMBERææ

December 31,
2011
$ECEMBERææ

December 31,
2011
$ECEMBERææ

Interest rate contracts
3WAPS $163,079  $28,069,960  $119,344 
&UTURESæANDæFORWARDS —3,549,642  43,965 
7RITTENæOPTIONS —3,871,700  16,786 
0URCHASEDæOPTIONS —3,888,415  7,338 
Total interest rate contract notionals $163,079  $39,379,717  $187,433 
Foreign exchange contracts
3WAPS $ 27,575  æ $ 1,182,363  æ $ 22,458  æ
&UTURESæANDæFORWARDS 55,211  3,191,687  31,095 
7RITTENæOPTIONS 4,292  591,818  190 
0URCHASEDæOPTIONS 39,163  583,891  53 
Total foreign exchange contract notionals $126,241  $ 5,549,759  æ $ 53,796  æ
Equity contracts
3WAPS $ — æ$ 86,978  æ $ — æ
&UTURESæANDæFORWARDS —12,882  —
7RITTENæOPTIONS —552,333  —
0URCHASEDæOPTIONS —509,322  —
Total equity contract notionals $ — æ$ 1,161,515  æ $ — æ
Commodity and other contracts
3WAPS $ — æ$ 23,403  æ $ — æ
&UTURESæANDæFORWARDS —73,090  —
7RITTENæOPTIONS —90,650  —
0URCHASEDæOPTIONS —99,234  —
Total commodity and other contract notionals $ — æ$ 286,377  æ $ — æ
Credit derivatives (4)
0ROTECTIONæSOLD $ — æ$ 1,394,528  æ $ — æ
0ROTECTIONæPURCHASED 4,253  1,486,723  21,914 
Total credit derivatives $ 4,253  æ $ 2,881,251  æ $ 21,914  æ
Total derivative notionals $293,573  $ 49,258,619  $263,143 
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