Citibank 2013 Annual Report Download - page 152

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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, 2013
and 2012:
Fair values Notionals
December 31, 2013
In millions of dollars Receivable (1) Payable (2)
Protection
purchased
Protection
sold
By industry/counterparty
Bank $24,992 $23,455 $ 739,646 $ 727,748
Broker-dealer 8,840 9,820 254,250 224,073
Non-financial 138 162 4,930 2,820
Insurance and other financial institutions 6,447 7,922 216,236 188,722
Total by industry/counterparty $40,417 $41,359 $1,215,062 $1,143,363
By instrument
Credit default swaps and options $40,233 $39,930 $1,201,716 $1,141,864
Total return swaps and other 184 1,429 13,346 1,499
Total by instrument $40,417 $41,359 $1,215,062 $1,143,363
By rating
Investment grade $12,062 $11,691 $ 576,844 $ 546,011
Non-investment grade 15,216 14,188 173,980 170,789
Not rated 13,139 15,480 464,238 426,563
Total by rating $40,417 $41,359 $1,215,062 $1,143,363
By maturity
Within 1 year $ 2,901 $ 3,262 $ 254,305 $ 221,562
From 1 to 5 years 31,674 32,349 883,879 853,391
After 5 years 5,842 5,748 76,878 68,410
Total by maturity $40,417 $41,359 $1,215,062 $1,143,363
Note: Fair values shown in table above are prior to application of any netting agreements, cash collateral, and market or credit valuation adjustments (CVA).
(1) The fair value amounts receivable were $13,744 million and $26,673 million under protection purchased and sold, respectively.
(2) The fair value amounts payable were $28,723 million and $12,636 million under protection purchased and sold, respectively.