Citigroup Inc.

The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of December 31, 2010 andDecember 31, 2009:December 31, 2010 Fair values NotionalsIn millions of dollars Receivable Payable Beneficiary GuarantorBy industry/counterpartyBank $ 37,586 $ 35,727 $ 820,211 $ 784,080Broker-dealer 15,428 16,239 319,625 312,131Monoline 1,914 2 4,409 —Non-financial 93 70 1,277 1,463Insurance and other financial institutions 10,108 7,760 177,171 125,442Total by industry/counterparty $ 65,129 $ 59,798 $1,322,693 $1,223,116By instrumentCredit default swaps and options $ 64,840 $ 58,225 $1,301,514 $1,221,211Total return swaps and other 289 1,573 21,179 1,905Total by instrument $ 65,129 $ 59,798 $1,322,693 $1,223,116By ratingInvestment grade $ 20,480 $ 17,281 $ 598,179 $ 532,283Non-investment grade (1) 44,649 42,517 724,514 690,833Total by rating $ 65,129 $ 59,798 $1,322,693 $1,223,116By maturityWithin 1 year $ 1,716 $ 1,817 $ 164,735 $ 162,075From 1 to 5 years 33,853 34,298 935,632 853,808After 5 years 29,560 23,683 222,326 207,233Total by maturity $ 65,129 $ 59,798 $1,322,693 $1,223,116December 31, 2009 Fair values NotionalsIn millions of dollars Receivable Payable Beneficiary GuarantorBy industry/counterpartyBank $ 52,383 $ 50,778 $ 872,523 $ 807,484Broker-dealer 23,241 22,932 338,829 340,949Monoline 5,860 — 10,018 33Non-financial 339 371 1,781 623Insurance and other financial institutions 10,969 8,343 109,811 64,964Total by industry/counterparty $ 92,792 $ 82,424 $1,332,962 $1,214,053By instrumentCredit default swaps and options $ 91,625 $ 81,174 $1,305,724 $1,213,208Total return swaps and other 1,167 1,250 27,238 845Total by instrument $ 92,792 $ 82,424 $1,332,962 $1,214,053By ratingInvestment grade $ 26,666 $ 22,469 $ 656,876 $ 576,930Non-investment grade (1) 66,126 59,955 676,086 637,123Total by rating $ 92,792 $ 82,424 $1,332,962 $1,214,053By maturityWithin 1 year $ 2,167 $ 2,067 $ 173,880 $ 165,056From 1 to 5 years 54,079 47,350 877,573 806,143After 5 years 36,546 33,007 281,509 242,854Total by maturity $ 92,792 $ 82,424 $1,332,962 $1,214,053(1) Also includes not rated credit derivative instruments.132