Citibank 2015 Annual Report Download - page 263

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The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair values Notionals
In millions of dollars at December 31, 2015 Receivable (1) Payable (2)
Protection
purchased
Protection
sold
By industry/counterparty
Banks $18,377 $16,988 $ 513,335 $508,459
Broker-dealers 5,895 6,697 155,195 152,604
Non-financial 128 123 3,969 2,087
Insurance and other financial institutions 11,317 10,923 332,715 287,772
Total by industry/counterparty $35,717 $34,731 $1,005,214 $950,922
By instrument
Credit default swaps and options $34,849 $34,158 $ 981,999 $940,650
Total return swaps and other 868 573 23,215 10,272
Total by instrument $35,717 $34,731 $1,005,214 $950,922
By rating
Investment grade $12,694 $13,142 $ 764,040 $720,521
Non-investment grade 23,023 21,589 241,174 230,401
Total by rating $35,717 $34,731 $1,005,214 $950,922
By maturity
Within 1 year $ 3,871 $ 3,559 $ 265,632 $254,225
From 1 to 5 years 27,991 27,488 669,834 639,460
After 5 years 3,855 3,684 69,748 57,237
Total by maturity $35,717 $34,731 $1,005,214 $950,922
(1) The fair value amount receivable is composed of $18,799 million under protection purchased and $16,918 million under protection sold.
(2) The fair value amount payable is composed of $17,531 million under protection purchased and $17,200 million under protection sold.
Fair values Notionals
In millions of dollars at December 31, 2014 Receivable (1) Payable (2)
Protection
purchased
Protection
sold
By industry/counterparty
Banks $24,828 $23,189 $ 574,764 $ 604,700
Broker-dealers 8,093 9,309 204,542 199,693
Non-financial 91 113 3,697 1,595
Insurance and other financial institutions 10,784 11,374 333,384 257,870
Total by industry/counterparty $43,796 $43,985 $1,116,387 $1,063,858
By instrument
Credit default swaps and options $42,930 $42,201 $1,094,199 $1,054,671
Total return swaps and other 866 1,784 22,188 9,187
Total by instrument $43,796 $43,985 $1,116,387 $1,063,858
By rating
Investment grade $17,432 $17,182 $ 824,831 $ 786,848
Non-investment grade 26,364 26,803 291,556 277,010
Total by rating $43,796 $43,985 $1,116,387 $1,063,858
By maturity
Within 1 year $ 4,356 $ 4,278 $ 250,489 $ 229,502
From 1 to 5 years 34,692 35,160 790,251 772,001
After 5 years 4,748 4,547 75,647 62,355
Total by maturity $43,796 $43,985 $1,116,387 $1,063,858
(1) The fair value amount receivable is composed of $18,708 million under protection purchased and $25,088 million under protection sold.
(2) The fair value amount payable is composed of $26,527 million under protection purchased and $17,458 million under protection sold.