Citigroup Inc.

Derivative NotionalsIn millions of dollarsHedging instruments underASC 815 (SFAS 133) (1)(2)December 31,2010December 31,2009December 31,2010Other derivative instrumentsTrading derivatives Management hedges (3)December 31,2009December 31,2010December 31,2009Interest rate contractsSwaps $ 155,972 $128,797 $27,084,014 $20,571,814 $135,979 $107,193Futures and forwards — — 4,874,209 3,366,927 46,140 65,597Written options — — 3,431,608 3,616,240 8,762 11,050Purchased options — — 3,305,664 3,590,032 18,030 28,725Total interest rate contract notionals $ 155,972 $128,797 $38,695,495 $31,145,013 $208,911 $212,565Foreign exchange contractsSwaps $ 29,599 $ 42,621 $ 1,118,610 $ 855,560 $ 27,830 $ 24,044Futures and forwards 79,168 76,507 2,745,922 1,946,802 28,191 54,249Written options 1,772 4,685 599,025 409,991 50 9,305Purchased options 16,559 22,594 536,032 387,786 174 10,188Total foreign exchange contract notionals $ 127,098 $146,407 $ 4,999,589 $ 3,600,139 $ 56,245 $ 97,786Equity contractsSwaps $ — $ — $ 67,637 $ 59,391 $ — $ —Futures and forwards — — 19,816 14,627 — —Written options — — 491,519 410,002 — —Purchased options — — 473,621 377,961 — 275Total equity contract notionals $ — $ — $ 1,052,593 $ 861,981 $ — $ 275Commodity and other contractsSwaps $ — $ — $ 19,213 $ 25,956 $ — $ —Futures and forwards — — 115,578 91,582 — —Written options — — 61,248 37,952 — —Purchased options — — 61,776 40,321 — 3Total commodity and other contract notionals $ — $ — $ 257,815 $ 195,811 $ — $ 3Credit derivatives (4)Protection sold $ — $ — $ 1,223,116 $ 1,214,053 $ — $ —Protection purchased 4,928 6,981 1,289,239 1,325,981 28,526 —Total credit derivatives $ 4,928 $ 6,981 $ 2,512,355 $ 2,540,034 $ 28,526 $ —Total derivative notionals $ 287,998 $282,185 $47,517,847 $38,342,978 $293,682 $310,629(1) The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 (SFAS 133) where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation byissuing a foreign-currency-denominated debt instrument. The notional amount of such debt is $8,023 million and $7,442 million at December 31, 2010 and December 31, 2009, respectively.(2) Derivatives in hedge accounting relationships accounted for under ASC 815 (SFAS 133) are recorded in either Other assets/liabilities or Trading account assets/liabilities on the Consolidated Balance Sheet.(3) Management hedges represent derivative instruments used in certain economic hedging relationships that are identified for management purposes, but for which hedge accounting is not applied. These derivatives arerecorded in Other assets/liabilities on the Consolidated Balance Sheet.(4) Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller toassume the credit risk associated with the reference asset without directly purchasing that asset. The Company has entered into credit derivative positions for purposes such as risk management, yield enhancement,reduction of credit concentrations and diversification of overall risk.251