Citigroup Inc.

The fair values shown are prior to the application of any nettingagreements, cash collateral, and market or credit valuation adjustments.Citigroup actively participates in trading a variety of credit derivativesproducts as both an active two-way market-maker for clients and to managecredit risk. The majority of this activity was transacted with other financialintermediaries, including both banks and broker-dealers. Citigroup generallyhas a mismatch between the total notional amounts of protection purchasedand sold and it may hold the reference assets directly, rather than enteringinto offsetting credit derivative contracts as and when desired. The open riskexposures from credit derivative contracts are largely matched after certaincash positions in reference assets are considered and after notional amountsare adjusted, either to a duration-based equivalent basis or to reflect the levelof subordination in tranched structures.Citi actively monitors its counterparty credit risk in credit derivativecontracts. Approximately 89% and 85% of the gross receivables are fromcounterparties with which Citi maintains collateral agreements as ofDecember 31, 2010 and 2009, respectively. A majority of Citi’s top 15counterparties (by receivable balance owed to the company) are banks,financial institutions or other dealers. Contracts with these counterparties donot include ratings-based termination events. However, counterparty ratingsdowngrades may have an incremental effect by lowering the thresholdat which Citigroup may call for additional collateral. A number of theremaining significant counterparties are monolines (which have CVA asshown above).133