Citibank 2013 Annual Report Download - page 153

135
Fair values Notionals
December 31, 2012
In millions of dollars Receivable (1) Payable (2)
Protection
purchased
Protection
sold
By industry/counterparty
Bank $33,938 $31,914 $ 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 $54,126 $52,662 $1,434,289 $1,346,494
By instrument
Credit default swaps and options $54,024 $51,270 $1,421,122 $1,345,162
Total return swaps and other 102 1,392 13,167 1,332
Total by instrument $54,126 $52,662 $1,434,289 $1,346,494
By rating
Investment grade $17,236 $16,252 $ 694,590 $ 637,343
Non-investment grade 22,385 20,420 210,478 200,529
Not rated 14,505 15,990 529,221 508,622
Total by rating $54,126 $52,662 $1,434,289 $1,346,494
By maturity
Within 1 year $ 4,826 $ 5,324 $ 311,202 $ 287,670
From 1 to 5 years 37,660 37,311 1,014,459 965,059
After 5 years 11,640 10,027 108,628 93,765
Total by maturity $54,126 $52,662 $1,434,289 $1,346,494
Note: Fair values shown in table above are prior to application of any netting agreements, cash collateral, and market or CVA.
(1) The fair value amounts receivable were $34,416 million and $19,710 million under protection purchased and sold, respectively.
(2) The fair value amounts payable were $20,832 million and $31,830 million under protection purchased and sold, respectively.