DERIVATIVES ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]



	Hedging instruments under ASC 815⁽¹⁾⁽²⁾				Other derivative instruments
					Trading derivatives				Management hedges⁽³⁾
In millions of dollars	September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014
Interest rate contracts
Swaps	$	179,366	$	163,348	$	24,197,468	$	31,906,549	$	31,024	$	31,945
Futures and forwards	—		—		8,385,914		7,044,990		38,226		42,305
Written options	—		—		2,979,791		3,311,751		3,141		3,913
Purchased options	—		—		2,901,225		3,171,056		4,495		4,910
Total interest rate contract notionals	$	179,366	$	163,348	$	38,464,398	$	45,434,346	$	76,886	$	83,073
Foreign exchange contracts
Swaps	$	26,212	$	25,157	$	4,622,283	$	4,567,977	$	23,754	$	23,990
Futures, forwards and spot⁽⁴⁾	65,741		73,219		2,799,499		3,003,295		5,090		7,069
Written options	204		—		1,389,887		1,343,520		—		432
Purchased options	204		—		1,402,117		1,363,382		—		432
Total foreign exchange contract notionals	$	92,361	$	98,376	$	10,213,786	$	10,278,174	$	28,844	$	31,923
Equity contracts
Swaps	$	—	$	—	$	174,378	$	131,344	$	—	$	—
Futures and forwards	—		—		34,718		30,510		—		—
Written options	—		—		406,820		305,627		—		—
Purchased options	—		—		402,736		275,216		—		—
Total equity contract notionals	$	—	$	—	$	1,018,652	$	742,697	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	74,925	$	90,817	$	—	$	—
Futures and forwards	959		1,089		106,114		106,021		—		—
Written options	—		—		99,148		104,581		—		—
Purchased options	—		—		88,192		95,567		—		—
Total commodity and other contract notionals	$	959	$	1,089	$	368,379	$	396,986	$	—	$	—
Credit derivatives⁽⁵⁾
Protection sold	$	—	$	—	$	1,175,657	$	1,063,858	$	—	$	—
Protection purchased	—		—		1,200,249		1,100,369		22,298		16,018
Total credit derivatives	$	—	$	—	$	2,375,906	$	2,164,227	$	22,298	$	16,018
Total derivative notionals	$	272,686	$	262,813	$	52,441,121	$	59,016,430	$	128,028	$	131,014


(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 $2,608 million and $3,752 million at September 30, 2015 and December 31, 2014, 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 to mitigate certain economic risks, 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)	Foreign exchange notional contracts include spot contract notionals of $830 billion and $849 billion at September 30, 2015 and December 31, 2014, respectively. Previous presentations of foreign exchange derivative notional contracts did not include spot contracts. There was no impact to the Consolidated Financial Statements related to this updated presentation.

(5)

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 enters 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, 2015	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	$	4,986		$	265		$	2,506		$	363
Cleared	663			1,165			—			—
Interest rate contracts	$	5,649		$	1,430		$	2,506		$	363
Over-the-counter	$	3,117		$	1,004		$	49		$	710
Foreign exchange contracts	$	3,117		$	1,004		$	49		$	710
Total derivative instruments designated as ASC 815 hedges	$	8,766		$	2,434		$	2,555		$	1,073
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	310,616		$	294,324		$	199		$	—
Cleared	164,984			165,753			316			288
Exchange traded	61			48			—			—
Interest rate contracts	$	475,661		$	460,125		$	515		$	288
Over-the-counter	$	145,276		$	150,609		$	—		$	90
Cleared	157			190			—			—
Exchange traded	36			72			—			—
Foreign exchange contracts	$	145,469		$	150,871		$	—		$	90
Over-the-counter	$	21,769		$	26,394		$	—		$	—
Cleared	13			14			—			—
Exchange traded	5,426			5,361			—			—
Equity contracts	$	27,208		$	31,769		$	—		$	—
Over-the-counter	$	15,404		$	18,451		$	—		$	—
Exchange traded	2,201			3,844			—			—
Commodity and other contracts	$	17,605		$	22,295		$	—		$	—
Over-the-counter	$	32,292		$	31,510		$	744		$	232
Cleared	5,233			5,330			65			247
Credit derivatives⁽⁴⁾	$	37,525		$	36,840		$	809		$	479
Total derivatives instruments not designated as ASC 815 hedges	$	703,468		$	701,900		$	1,324		$	857
Total derivatives	$	712,234		$	704,334		$	3,879		$	1,930
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	8,515		$	9,751		$	—		$	30
Less: Netting agreements⁽⁷⁾	(609,402		)	(609,402		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(50,476		)	(42,435		)	(1,737		)	(78		)
Net receivables/payables included on the consolidated balance sheet⁽⁹⁾	$	60,871		$	62,248		$	2,142		$	1,882
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(774	)	$	(2	)	$	—		$	—
Less: Non-cash collateral received/paid	(10,335		)	(5,795		)	(521		)	—
Total net receivables/payables⁽⁹⁾	$	49,762		$	56,451		$	1,621		$	1,882


(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 are 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 $18,102 million related to protection purchased and $19,423 million related to protection sold as of September 30, 2015. The credit derivatives trading liabilities comprise $19,476 million related to protection purchased and $17,364 million related to protection sold as of September 30, 2015.


(5)	For the trading account assets/liabilities, reflects the net amount of the $50,950 million and $60,227 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,435 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $50,476 million was used to offset trading derivative assets.

(6)

For cash collateral paid with respect to non-trading derivative liabilities, this is the net amount of $78 million of the gross cash collateral paid, of which $78 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,767 million the gross cash collateral received, of which $1,737 million is netted against OTC non-trading derivative positions within Other assets.


(7)	Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $440 billion, $164 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 and paid is netted against OTC derivative assets and liabilities, respectively.


(9)	The net receivables/payables include approximately $12 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



In millions of dollars at December 31, 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	$	1,508		$	204		$	3,117		$	414
Cleared	4,300			868			—			25
Interest rate contracts	$	5,808		$	1,072		$	3,117		$	439
Over-the-counter	$	3,885		$	743		$	678		$	588
Foreign exchange contracts	$	3,885		$	743		$	678		$	588
Total derivative instruments designated as ASC 815 hedges	$	9,693		$	1,815		$	3,795		$	1,027
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	376,778		$	359,689		$	106		$	—
Cleared	255,847			261,499			6			21
Exchange traded	20			22			141			164
Interest rate contracts	$	632,645		$	621,210		$	253		$	185
Over-the-counter	$	151,736		$	157,650		$	—		$	17
Cleared	366			387			—			—
Exchange traded	7			46			—			—
Foreign exchange contracts	$	152,109		$	158,083		$	—		$	17
Over-the-counter	$	20,425		$	28,333		$	—		$	—
Cleared	16			35			—			—
Exchange traded	4,311			4,101			—			—
Equity contracts	$	24,752		$	32,469		$	—		$	—
Over-the-counter	$	19,943		$	23,103		$	—		$	—
Exchange traded	3,577			3,083			—			—
Commodity and other contracts	$	23,520		$	26,186		$	—		$	—
Over-the-counter	$	39,412		$	39,439		$	265		$	384
Cleared	4,106			3,991			13			171
Credit derivatives⁽⁴⁾	$	43,518		$	43,430		$	278		$	555
Total derivatives instruments not designated as ASC 815 hedges	$	876,544		$	881,378		$	531		$	757
Total derivatives	$	886,237		$	883,193		$	4,326		$	1,784
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	6,523		$	9,846		$	123		$	7
Less: Netting agreements⁽⁷⁾	(777,178		)	(777,178		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(47,625		)	(47,769		)	(1,791		)	(15		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁹⁾	$	67,957		$	68,092		$	2,658		$	1,776
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(867	)	$	(11	)	$	—		$	—
Less: Non-cash collateral received/paid	(10,043		)	(6,264		)	(1,293		)	—
Total net receivables/payables⁽⁹⁾	$	57,047		$	61,817		$	1,365		$	1,776


(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 $18,430 million related to protection purchased and $25,088 million related to protection sold as of December 31, 2014. The credit derivatives trading liabilities comprise $25,972 million related to protection purchased and $17,458 million related to protection sold as of December 31, 2014.


(5)	For the trading account assets/liabilities, reflects the net amount of the $54,292 million and $57,471 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $47,769 million was used to offset derivative liabilities and, of the gross cash collateral received, $47,625 million was used to offset derivative assets.

(6)

For cash collateral paid with respect to non-trading derivative liabilities, reflects the net amount of $138 million of the gross cash collateral received, of which $15 million is netted against OTC non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,798 million of gross cash collateral received of which $1,791 million is netted against non-trading derivative positions within Other assets.


(7)	Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $510 billion, $264 billion and $3 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 $46 billion and $2 billion is netted against OTC and cleared derivative liabilities, respectively.


(9)	The net receivables/payables include approximately $11 billion of derivative asset and $10 billion of liability fair values not subject to enforceable master netting agreements.

Derivative gain (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	2015			2014			2015			2014
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	357		$	(70	)	$	594		$	153
Foreign exchange contracts	(98		)	1			(258		)	(56		)
Credit derivatives	—			—			—			2
Total effective portion of cash flow hedges included in AOCI	$	259		$	(69	)	$	336		$	99
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(28	)	$	(84	)	$	(148	)	$	(218	)
Foreign exchange contracts	(35		)	(30		)	(112		)	(114		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings⁽¹⁾	$	(63	)	$	(114	)	$	(260	)	$	(332	)


(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 Citi’s credit derivatives portfolio by counterparty and derivative form as of September 30, 2015 and December 31, 2014:



	Fair values				Notionals
In millions of dollars at September 30, 2015	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	19,377	$	17,499	$	579,175	$	574,608
Broker-dealers	6,382		6,690		174,590		171,430
Non-financial	125		155		4,311		2,213
Insurance and other financial institutions	12,450		12,975		464,471		427,406
Total by industry/counterparty	$	38,334	$	37,319	$	1,222,547	$	1,175,657
By instrument
Credit default swaps and options	$	37,842	$	36,782	$	1,203,305	$	1,168,598
Total return swaps and other	492		537		19,242		7,059
Total by instrument	$	38,334	$	37,319	$	1,222,547	$	1,175,657
By rating
Investment grade	$	15,679	$	15,297	$	926,912	$	888,780
Non-investment grade	22,655		22,022		295,635		286,877
Total by rating	$	38,334	$	37,319	$	1,222,547	$	1,175,657
By maturity
Within 1 year	$	2,688	$	2,124	$	246,395	$	239,578
From 1 to 5 years	30,243		29,810		842,684		808,865
After 5 years	5,403		5,385		133,468		127,214
Total by maturity	$	38,334	$	37,319	$	1,222,547	$	1,175,657


(1)	The fair value amount receivable is composed of $18,911 million under protection purchased and $19,423 million under protection sold.


(2)	The fair value amount payable is composed of $19,955 million under protection purchased and $17,364 million under protection sold.



	Fair values				Notionals
In millions of dollars at December 31, 2014	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	24,828	$	23,189	$	574,764	$	604,700
Broker-dealers	8,093		9,309		204,542		199,693
Non-financial	91		113		3,697		1,595
Insurance and other financial institutions	10,784		11,374		333,384		257,870
Total by industry/counterparty	$	43,796	$	43,985	$	1,116,387	$	1,063,858
By instrument
Credit default swaps and options	$	42,930	$	42,201	$	1,094,199	$	1,054,671
Total return swaps and other	866		1,784		22,188		9,187
Total by instrument	$	43,796	$	43,985	$	1,116,387	$	1,063,858
By rating
Investment grade	$	17,432	$	17,182	$	824,831	$	786,848
Non-investment grade	26,364		26,803		291,556		277,010
Total by rating	$	43,796	$	43,985	$	1,116,387	$	1,063,858
By maturity
Within 1 year	$	4,356	$	4,278	$	250,489	$	229,502
From 1 to 5 years	34,692		35,160		790,251		772,001
After 5 years	4,748		4,547		75,647		62,355
Total by maturity	$	43,796	$	43,985	$	1,116,387	$	1,063,858


(1)	The fair value amount receivable is composed of $18,708 million under protection purchased and $25,088 million under protection sold.


(2)	The fair value amount payable is composed of $26,527 million under protection purchased and $17,458 million under protection sold.

Fair value hedges

Derivative gain (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, 2015 and 2014:



	Gains (losses) on fair value hedges⁽¹⁾
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	1,111		$	(330	)	$	72		$	278
Foreign exchange contracts	(311		)	780			1,093			1,110
Commodity contracts	(110		)	47			(69		)	(56		)
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	690		$	497		$	1,096		$	1,332
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	(1,113	)	$	371		$	(115	)	$	(283	)
Foreign exchange hedges	304			(789		)	(1,081		)	(1,157		)
Commodity hedges	109			(20		)	81			86
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(700	)	$	(438	)	$	(1,115	)	$	(1,354	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(1	)	$	44		$	(42	)	$	(2	)
Foreign exchange hedges	(24		)	(11		)	(41		)	(11		)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(25	)	$	33		$	(83	)	$	(13	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	(1	)	$	(3	)	$	(1	)	$	(3	)
Foreign exchange contracts⁽²⁾	17			2			53			(36		)
Commodity hedges⁽²⁾	(1		)	27			12			30
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	15		$	26		$	64		$	(9	)


(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 gain (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, 2015 and 2014 related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any 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	2015			2014			2015			2014
Interest rate contracts	$	163		$	(4	)	$	127		$	(201	)
Foreign exchange	(19		)	(42		)	(65		)	9
Credit derivatives	536			38			607			(196		)
Total Citigroup	$	680		$	(8	)	$	669		$	(388	)

- 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).

+ References + Details