Citibank 2012 Annual Report Download - page 147

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The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of December 31, 2012 and
December 31, 2011:
December 31, 2012 Fair values Notionals
In millions of dollars Receivable Payable Beneficiary Guarantor
By industry/counterparty
Bank $34,189 $31,960 $ 914,542 $ 863,411
Broker-dealer 13,302 14,098 321,418 304,968
Monoline 5 — 141 —
Non-financial 210 164 4,022 3,241
Insurance and other financial institutions 6,671 6,486 194,166 174,874
Total by industry/counterparty $54,377 $52,708 $1,434,289 $1,346,494
By instrument
Credit default swaps and options $54,275 $51,316 $1,421,122 $1,345,162
Total return swaps and other 102 1,392 13,167 1,332
Total by instrument $54,377 $52,708 $1,434,289 $1,346,494
By rating
Investment grade $17,236 $16,252 $ 694,590 $ 637,343
Non-investment grade (1) 37,141 36,456 739,699 709,151
Total by rating $54,377 $52,708 $1,434,289 $1,346,494
By maturity
Within 1 year $ 4,826 $ 5,324 $ 311,202 $ 287,670
From 1 to 5 years 37,911 37,357 1,014,459 965,059
After 5 years 11,640 10,027 108,628 93,765
Total by maturity $54,377 $52,708 $1,434,289 $1,346,494
December 31, 2011 Fair values Notionals
In millions of dollars Receivable Payable Beneficiary Guarantor
By industry/counterparty
Bank $57,175 $53,638 $ 981,085 $ 929,608
Broker-dealer 21,963 21,952 343,909 321,293
Monoline 10 — 238 —
Non-financial 95 130 1,797 1,048
Insurance and other financial institutions 11,611 9,132 185,861 142,579
Total by industry/counterparty $90,854 $84,852 $1,512,890 $1,394,528
By instrument
Credit default swaps and options $89,998 $83,419 $1,491,053 $1,393,082
Total return swaps and other 856 1,433 21,837 1,446
Total by instrument $90,854 $84,852 $1,512,890 $1,394,528
By rating
Investment grade $26,457 $23,846 $ 681,406 $ 611,447
Non-investment grade (1) 64,397 61,006 831,484 783,081
Total by rating $90,854 $84,852 $1,512,890 $1,394,528
By maturity
Within 1 year $ 5,707 $ 5,244 $ 281,373 $ 266,723
From 1 to 5 years 56,740 54,553 1,031,575 947,211
After 5 years 28,407 25,055 199,942 180,594
Total by maturity $90,854 $84,852 $1,512,890 $1,394,528
(1) Also includes not-rated credit derivative instruments.