DERIVATIVES ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The notional amounts, for both long and short derivative positions, of Citigroup’s derivative instruments as of September 30, 2014 and December 31, 2013 are presented in the table below.

Derivative Notionals



	Hedging instruments under ASC 815⁽¹⁾⁽²⁾				Other derivative instruments
					Trading derivatives				Management hedges⁽³⁾
In millions of dollars	September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013
Interest rate contracts
Swaps	$	172,774	$	132,823	$	34,796,574	$	36,370,196	$	68,093	$	93,286
Futures and forwards	—		20		6,579,341		6,129,742		38,233		61,398
Written options	—		—		3,349,604		3,342,832		4,132		3,103
Purchased options	—		—		3,278,606		3,240,990		4,560		3,185
Total interest rate contract notionals	$	172,774	$	132,843	$	48,004,125	$	49,083,760	$	115,018	$	160,972
Foreign exchange contracts
Swaps	$	25,923	$	22,402	$	4,405,719	$	3,298,500	$	24,214	$	20,013
Futures and forwards	75,176		79,646		2,240,032		1,982,303		10,819		14,226
Written options	238		101		1,573,970		1,037,433		—		—
Purchased options	238		106		1,593,341		1,029,872		—		71
Total foreign exchange contract notionals	$	101,575	$	102,255	$	9,813,062	$	7,348,108	$	35,033	$	34,310
Equity contracts
Swaps	$	—	$	—	$	122,190	$	100,019	$	—	$	—
Futures and forwards	—		—		26,459		23,161		—		—
Written options	—		—		374,468		333,945		—		—
Purchased options	—		—		332,799		266,570		—		—
Total equity contract notionals	$	—	$	—	$	855,916	$	723,695	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	161,538	$	81,112	$	—	$	—
Futures and forwards	1,201		—		105,036		98,265		—		—
Written options	—		—		117,188		100,482		—		—
Purchased options	—		—		111,742		97,626		—		—
Total commodity and other contract notionals	$	1,201	$	—	$	495,504	$	377,485	$	—	$	—
Credit derivatives⁽⁴⁾
Protection sold	$	—	$	—	$	1,161,986	$	1,143,363	$	—	$	—
Protection purchased	—		95		1,201,251		1,195,223		15,428		19,744
Total credit derivatives	$	—	$	95	$	2,363,237	$	2,338,586	$	15,428	$	19,744
Total derivative notionals	$	275,550	$	235,193	$	61,531,844	$	59,871,634	$	165,479	$	215,026


(1)	The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $4,198 million and $6,450 million at September 30, 2014 and December 31, 2013, respectively.


(2)	Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account 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 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account 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 to assume 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.

Derivative Mark-to-Market (MTM) Receivables/Payables



In millions of dollars at September 30, 2014	Derivatives classified in Trading account assets / liabilities^(1)(2)(3)						Derivatives classified in Other assets / liabilities⁽²⁾⁽³⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities			Assets			Liabilities
Over-the-counter	$	1,159		$	189		$	3,021		$	342
Cleared	2,791			623			1			—
Interest rate contracts	$	3,950		$	812		$	3,022		$	342
Over-the-counter	$	1,892		$	570		$	756		$	707
Foreign exchange contracts	$	1,892		$	570		$	756		$	707
Total derivative instruments designated as ASC 815 hedges	$	5,842		$	1,382		$	3,778		$	1,049
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	332,157		$	314,791		$	39		$	1
Cleared	212,808			218,472			8			7
Exchange traded	52			27			719			816
Interest rate contracts	$	545,017		$	533,290		$	766		$	824
Over-the-counter	$	139,883		$	140,359		$	—		$	17
Cleared	759			713			—			—
Exchange traded	8			21			—			—
Foreign exchange contracts	$	140,650		$	141,093		$	—		$	17
Over-the-counter	$	17,899		$	32,629		$	—		$	—
Cleared	205			403			—			—
Exchange traded	7,136			2,409			—			—
Equity contracts	$	25,240		$	35,441		$	—		$	—
Over-the-counter	$	11,392		$	12,581		$	—		$	—
Exchange traded	668			754			—			—
Commodity and other contracts	$	12,060		$	13,335		$	—		$	—
Over-the-counter	$	37,541		$	37,535		$	118		$	403
Cleared	3,290			3,365			5			140
Credit derivatives⁽⁴⁾	$	40,831		$	40,900		$	123		$	543
Total derivatives instruments not designated as ASC 815 hedges	$	763,798		$	764,059		$	889		$	1,384
Total derivatives	$	769,640		$	765,441		$	4,667		$	2,433
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	3,258		$	11,828		$	197		$	292
Less: Netting agreements⁽⁷⁾	(674,769		)	(674,769		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(40,435		)	(43,789		)	(2,297		)	—
Net receivables/payables included on the Consolidated Balance Sheet⁽⁹⁾	$	57,694		$	58,711		$	2,567		$	2,725
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(578	)	$	(14	)	$	—		$	—
Less: Non-cash collateral received/paid	(9,350		)	(5,663		)	(997		)	—
Total Net receivables/payables⁽⁹⁾	$	47,766		$	53,034		$	1,570		$	2,725


(1)	The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements.


(2)	Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.

(3)

Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.


(4)	The credit derivatives trading assets comprise $14,398 million related to protection purchased and $26,433 million related to protection sold as of September 30, 2014. The credit derivatives trading liabilities comprise $27,629 million related to protection purchased and $13,271 million related to protection sold as of September 30, 2014.


(5)	For the trading assets/liabilities, this is the net amount of the $47,047 million and $52,263 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $43,789 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $40,435 million was used to offset trading derivative assets.


(6)	For cash collateral received with respect to non-trading derivative liabilities, this is the net amount of $2,589 million of the gross cash collateral received, of which $2,297 million is netted against OTC non-trading derivative positions within Other assets.


(7)	Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements. Approximately $453 billion, $220 billion and $2 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange traded derivatives, respectively.


(8)	Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received is netted against OTC derivative assets. Cash collateral paid of approximately $40 billion and $4 billion is netted against each of the OTC and cleared derivative liabilities, respectively.


(9)	The net receivables/payables include approximately $14 billion and $12 billion of derivative asset and liability fair values as of September 30, 2014, respectively, not subject to enforceable master netting agreements.



In millions of dollars at December 31, 2013	Derivatives classified in Trading account assets / liabilities^(1)(2)(3)						Derivatives classified in Other assets / liabilities⁽²⁾⁽³⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities			Assets			Liabilities
Over-the-counter	$	956		$	306		$	3,082		$	854
Cleared	2,505			585			5			—
Interest Rate contracts	$	3,461		$	891		$	3,087		$	854
Over-the-counter	$	1,540		$	1,244		$	989		$	293
Foreign exchange contracts	$	1,540		$	1,244		$	989		$	293
Over-the-counter	$	—		$	—		$	—		$	2
Credit derivatives	$	—		$	—		$	—		$	2
Total derivative instruments designated as ASC 815 hedges	$	5,001		$	2,135		$	4,076		$	1,149
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	313,772		$	297,115		$	37		$	9
Cleared	311,114			319,190			27			5
Exchange traded	33			30			—			—
Interest Rate contracts	$	624,919		$	616,335		$	64		$	14
Over-the-counter	$	89,847		$	86,147		$	79		$	3
Cleared	1,119			1,191			—			—
Exchange traded	48			55			—			—
Foreign exchange contracts	$	91,014		$	87,393		$	79		$	3
Over-the-counter	$	19,080		$	28,458		$	—		$	—
Exchange traded	5,797			5,834			—			—
Equity contracts	$	24,877		$	34,292		$	—		$	—
Over-the-counter	$	7,921		$	9,059		$	—		$	—
Exchange traded	1,161			1,111			—			—
Commodity and other Contracts	$	9,082		$	10,170		$	—		$	—
Over-the-counter	$	38,496		$	38,247		$	71		$	563
Cleared	1,850			2,547			—			—
Credit derivatives⁽⁴⁾	$	40,346		$	40,794		$	71		$	563
Total Derivatives instruments not designated as ASC 815 hedges	$	790,238		$	788,984		$	214		$	580
Total derivatives	$	795,239		$	791,119		$	4,290		$	1,729
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	6,073		$	8,827		$	82		$	282
Less: Netting agreements⁽⁷⁾	(713,598		)	(713,598		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(34,893		)	(39,094		)	(2,951		)	—
Net receivables/payables included on the Consolidated Balance Sheet⁽⁹⁾	$	52,821		$	47,254		$	1,421		$	2,011
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(365	)	$	(5	)	$	—		$	—
Less: Non-cash collateral received/paid	(7,478		)	(3,345		)	(341		)	—
Total Net receivables/payables⁽⁹⁾	$	44,978		$	43,904		$	1,080		$	2,011


(1)	The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements.


(2)	Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.

(3)


(4)	The credit derivatives trading assets comprise $13,673 million related to protection purchased and $26,673 million related to protection sold as of December 31, 2013. The credit derivatives trading liabilities comprise $28,158 million related to protection purchased and $12,636 million related to protection sold as of December 31, 2013.


(5)	For the trading assets/liabilities, this is the net amount of the $45,167 million and $43,720 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $39,094 million was used to offset derivative liabilities and, of the gross cash collateral received, $34,893 million was used to offset derivative assets.


(6)	For cash collateral received with respect to non-trading derivative liabilities, this is the net amount of $3,233 million of gross cash collateral received of which $2,951 million is netted against non-trading derivative positions within other assets.


(7)	Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements. Approximately $392 billion, $317 billion and $5 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.


(8)	Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received is netted against OTC derivative assets. Cash collateral paid of approximately $33 billion and $6 billion is netted against OTC and cleared derivative liabilities, respectively.


(9)	The net receivables/payables include approximately $16 billion of both derivative asset and liability fair values not subject to enforceable master netting agreements.

Derivative gains (losses)

Schedule of pretax change in Accumulated other comprehensive income (loss) from cash flow hedges

The pretax change in Accumulated other comprehensive income (loss) from cash flow hedges is presented below:



	Three Months Ended September 30,						Nine months ended September 30,
In millions of dollars	2014			2013			2014			2013
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(70	)	$	230		$	153		$	748
Foreign exchange contracts	1			34			(56		)	37
Credit derivatives	—			1			2			14
Total effective portion of cash flow hedges included in AOCI	$	(69	)	$	265		$	99		$	799
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(84	)	$	(211	)	$	(218	)	$	(596	)
Foreign exchange contracts	(30		)	(38		)	(114		)	(124		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings⁽¹⁾	$	(114	)	$	(249	)	$	(332	)	$	(720	)


(1)	Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.

Schedule of key characteristics of credit derivative portfolio

The following tables summarize the key characteristics of the Company’s credit derivative portfolio as protection seller as of September 30, 2014 and December 31, 2013:



In millions of dollars at September 30, 2014	Maximum potential amount of future payments		Fair value payable⁽¹⁾⁽²⁾
By industry/counterparty
Bank	$	668,108	$	7,250
Broker-dealer	213,263		3,558
Non-financial	5,720		85
Insurance and other financial institutions	274,895		2,378
Total by industry/counterparty	$	1,161,986	$	13,271
By instrument
Credit default swaps and options	$	1,155,278	$	13,101
Total return swaps and other	6,708		170
Total by instrument	$	1,161,986	$	13,271
By rating
Investment grade	$	867,548	$	2,598
Non-investment grade	294,438		10,673
Total by rating	$	1,161,986	$	13,271
By maturity
Within 1 year	$	249,306	$	1,271
From 1 to 5 years	842,025		8,761
After 5 years	70,655		3,239
Total by maturity	$	1,161,986	$	13,271


(1)	In addition, fair value amounts payable under credit derivatives purchased were $28,172 million.


(2)	In addition, fair value amounts receivable under credit derivatives sold were $26,433 million.



In millions of dollars at December 31, 2013	Maximum potential amount of future payments		Fair value payable⁽¹⁾⁽²⁾
By industry/counterparty
Bank	$	727,748	$	6,520
Broker-dealer	224,073		4,001
Non-financial	2,820		56
Insurance and other financial institutions	188,722		2,059
Total by industry/counterparty	$	1,143,363	$	12,636
By instrument
Credit default swaps and options	$	1,141,864	$	12,607
Total return swaps and other	1,499		29
Total by instrument	$	1,143,363	$	12,636
By rating
Investment grade	$	752,640	$	3,242
Non-investment grade	390,723		9,394
Total by rating	$	1,143,363	$	12,636
By maturity
Within 1 year	$	221,562	$	858
From 1 to 5 years	853,391		7,492
After 5 years	68,410		4,286
Total by maturity	$	1,143,363	$	12,636


(1)	In addition, fair value amounts payable under credit derivatives purchased were $28,723 million.


(2)	In addition, fair value amounts receivable under credit derivatives sold were $26,673 million.

Fair value hedges

Derivative gains (losses)

Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges

The following table summarizes the gains (losses) on the Company’s fair value hedges for the three and nine months ended September 30, 2014 and 2013:



	Gains (losses) on fair value hedges⁽¹⁾
	Three Months Ended September 30,						Nine months ended September 30,
In millions of dollars	2014			2013			2014			2013
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(330	)	$	(97	)	$	278		$	(2,588	)
Foreign exchange contracts	780			343			1,110			90
Commodity contracts	47			—			(56		)	—
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	497		$	246		$	1,332		$	(2,498	)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	371		$	51		$	(283	)	$	2,519
Foreign exchange hedges	(789		)	(296		)	(1,157		)	6
Commodity hedges	(20		)	—			86			—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(438	)	$	(245	)	$	(1,354	)	$	2,525
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	44		$	(46	)	$	(2	)	$	(69	)
Foreign exchange hedges	(11		)	2			(11		)	(4		)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	33		$	(44	)	$	(13	)	$	(73	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	(3	)	$	—		$	(3	)	$	—
Foreign exchange contracts⁽²⁾	2			45			(36		)	100
Commodity hedges⁽²⁾	27			—			30			—
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	26		$	45		$	(9	)	$	100


(1)	Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.


(2)	Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings.

Derivatives not designated in a qualifying hedging relationship

Derivative gains (losses)

Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges

The amounts recognized in Other revenue in the Consolidated Statement of Income for the three and nine months ended September 30, 2014 and 2013 related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include the offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue.



	Gains (losses) included in Other revenue
	Three Months Ended September 30,						Nine months ended September 30,
In millions of dollars	2014			2013			2014			2013
Interest rate contracts	$	25		$	5		$	146		$	(245	)
Foreign exchange	(1,812		)	867			(1,772		)	(35		)
Credit derivatives	37			(196		)	(191		)	(367		)
Total Citigroup	$	(1,750	)	$	676		$	(1,817	)	$	(647	)

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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