Citigroup Inc.

Derivative Mark-to-Market (MTM) Receivables/PayablesDerivatives classified in tradingaccount assets/liabilities (1)Derivatives classified in otherassets/liabilitiesIn millions of dollars at December 31, 2010 Assets Liabilities Assets LiabilitiesDerivative instruments designated as ASC 815 (SFAS 133) hedgesInterest rate contracts $ 867 $ 72 $ 6,342 $ 2,437Foreign exchange contracts 357 762 1,656 2,603Total derivative instruments designated as ASC 815 (SFAS 133) hedges $ 1,224 $ 834 $ 7,998 $ 5,040Other derivative instrumentsInterest rate contracts $ 475,805 $ 476,667 $ 2,756 $ 2,474Foreign exchange contracts 84,144 87,512 1,401 1,433Equity contracts 16,146 33,434 — —Commodity and other contracts 12,608 13,518 — —Credit derivatives (2) 65,041 59,461 88 337Total other derivative instruments $ 653,744 $ 670,592 $ 4,245 $ 4,244Total derivatives $ 654,968 $ 671,426 $12,243 $ 9,284Cash collateral paid/received 50,302 38,319 211 3,040Less: Netting agreements and market value adjustments (655,057) (650,015) (2,615) (2,615)Net receivables/payables $ 50,213 $ 59,730 $ 9,839 $ 9,709(1) The trading derivatives fair values are presented in Note 14 to the Consolidated Financial Statements.(2) The credit derivatives trading assets are composed of $42,403 million related to protection purchased and $22,638 million related to protection sold as of December 31, 2010. The credit derivatives trading liabilitiesare composed of $23,503 million related to protection purchased and $35,958 million related to protection sold as of December 31, 2010.Derivatives classified in tradingaccount assets/liabilities (1)Derivatives classified in otherassets/liabilitiesIn millions of dollars at December 31, 2009 Assets Liabilities Assets LiabilitiesDerivative instruments designated as ASC 815 (SFAS 133) hedgesInterest rate contracts $ 304 $ 87 $ 4,267 $ 2,898Foreign exchange contracts 753 1,580 3,599 1,416Total derivative instruments designated as ASC 815 (SFAS 133) hedges $ 1,057 $ 1,667 $ 7,866 $ 4,314Other derivative instrumentsInterest rate contracts $ 454,974 $ 449,551 $ 2,882 $ 3,022Foreign exchange contracts 71,005 70,584 1,498 2,381Equity contracts 18,132 40,612 6 5Commodity and other contracts 16,698 15,492 — —Credit derivatives (2) 92,792 82,424 — —Total other derivative instruments $ 653,601 $ 658,663 $ 4,386 $ 5,408Total derivatives $ 654,658 $ 660,330 $12,252 $ 9,722Cash collateral paid/received 48,561 38,611 263 4,950Less: Netting agreements and market value adjustments (644,340) (634,835) (4,224) (4,224)Net receivables/payables $ 58,879 $ 64,106 $ 8,291 $10,448(1) The trading derivatives fair values are presented in Note 14 to the Consolidated Financial Statements.(2) The credit derivatives trading assets are composed of $68,558 million related to protection purchased and $24,234 million related to protection sold as of December 31, 2009. The credit derivatives trading liabilitiesare composed of $24,162 million related to protection purchased and $58,262 million related to protection sold as of December 31, 2009.All derivatives are reported on the balance sheet at fair value. In addition,where applicable, all such contracts covered by master netting agreementsare reported net. Gross positive fair values are netted with gross negative fairvalues by counterparty pursuant to a valid master netting agreement. Inaddition, payables and receivables in respect of cash collateral received fromor paid to a given counterparty are included in this netting. However, noncashcollateral is not included.The amount of payables in respect of cash collateral received that wasnetted with unrealized gains from derivatives was $31 billion and $30 billionas of December 31, 2010 and December 31, 2009, respectively. The amount ofreceivables in respect of cash collateral paid that was netted with unrealizedlosses from derivatives was $45 billion as of December 31, 2010 and$41 billion as of December 31, 2009, respectively.The amounts recognized in Principal transactions in the ConsolidatedStatement of Income for the years ended December 31, 2010 andDecember 31, 2009 related to derivatives not designated in a qualifyinghedging relationship as well as the underlying non-derivative instrumentsare included in the table below. Citigroup presents this disclosure by businessclassification, showing derivative gains and losses related to its trading252