Citigroup Inc.

The credit valuation adjustment amounts shown above relate solely to thederivative portfolio, and do not include:• Own-credit adjustments for non-derivative liabilities measured at fairvalue under the fair value option. See Note 25 to the ConsolidatedFinancial Statements for further information.• The effect of counterparty credit risk embedded in non-derivativeinstruments. Losses on non-derivative instruments, such as bondsand loans, related to counterparty credit risk are not included in thetable above.Credit DerivativesCitigroup makes markets in and trades a range of credit derivatives, bothon behalf of clients as well as for its own account. Through these contractsCitigroup either purchases or writes protection on either a single-name orportfolio basis. Citi primarily uses credit derivatives to help mitigate creditrisk in its corporate loan portfolio and other cash positions, and to facilitateclient transactions.Credit derivatives generally require that the seller of credit protectionmake payments to the buyer upon the occurrence of predefined events(settlement triggers). These settlement triggers, which are defined by theform of the derivative and the referenced credit, are generally limited tothe market standard of failure to pay indebtedness and bankruptcy (orcomparable events) of the reference credit and, in a more limited range oftransactions, debt restructuring.Credit derivative transactions referring to emerging market referencecredits will also typically include additional settlement triggers to coverthe acceleration of indebtedness and the risk of repudiation or a paymentmoratorium. In certain transactions on a portfolio of referenced creditsor asset-backed securities, the seller of protection may not be requiredto make payment until a specified amount of losses has occurred withrespect to the portfolio and/or may only be required to pay for losses up to aspecified amount.131