DERIVATIVES ACTIVITIES

In the ordinary course of business, Citigroup enters into various types of derivative transactions. For additional information regarding Citi’s use of and accounting for derivatives, see Note 23 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

Information pertaining to Citigroup’s derivative activity, based on notional amounts is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into an interest rate swap with $100 million notional, and offsets this risk with an identical but opposite position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

Derivative Notionals



	Hedging instruments under ASC 815⁽¹⁾⁽²⁾				Other derivative instruments
					Trading derivatives				Management hedges⁽³⁾
In millions of dollars	September 30, 2016		December 31, 2015		September 30, 2016		December 31, 2015		September 30, 2016		December 31, 2015
Interest rate contracts
Swaps	$	213,863	$	166,576	$	20,853,766	$	22,208,794	$	39,537	$	28,969
Futures and forwards	414		—		6,451,502		6,868,340		34,147		38,421
Written options	—		—		3,138,417		3,033,617		4,653		2,606
Purchased options	—		—		2,940,738		2,887,605		3,350		4,575
Total interest rate contract notionals	$	214,277	$	166,576	$	33,384,423	$	34,998,356	$	81,687	$	74,571
Foreign exchange contracts
Swaps	$	21,410	$	23,007	$	5,954,717	$	4,765,687	$	22,272	$	23,960
Futures, forwards and spot	65,417		72,124		3,410,229		2,563,649		3,080		3,034
Written options	—		448		1,271,307		1,125,664		—		—
Purchased options	—		819		1,310,990		1,131,816		—		—
Total foreign exchange contract notionals	$	86,827	$	96,398	$	11,947,243	$	9,586,816	$	25,352	$	26,994
Equity contracts
Swaps	$	—	$	—	$	195,000	$	180,963	$	—	$	—
Futures and forwards	—		—		39,964		33,735		—		—
Written options	—		—		364,514		298,876		—		—
Purchased options	—		—		325,200		265,062		—		—
Total equity contract notionals	$	—	$	—	$	924,678	$	778,636	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	61,882	$	70,561	$	—	$	—
Futures and forwards	891		789		149,604		106,474		—		—
Written options	—		—		73,673		72,648		—		—
Purchased options	—		—		68,829		66,051		—		—
Total commodity and other contract notionals	$	891	$	789	$	353,988	$	315,734	$	—	$	—
Credit derivatives⁽⁴⁾
Protection sold	$	—	$	—	$	1,021,118	$	950,922	$	—	$	—
Protection purchased	—		—		1,051,146		981,586		27,800		23,628
Total credit derivatives	$	—	$	—	$	2,072,264	$	1,932,508	$	27,800	$	23,628
Total derivative notionals	$	301,995	$	263,763	$	48,682,596	$	47,612,050	$	134,839	$	125,193


(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 $1,991 million and $2,102 million at September 30, 2016 and December 31, 2015, 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)

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.

The following tables present the gross and net fair values of the Company’s derivative transactions, and the related offsetting amounts as of September 30, 2016 and December 31, 2015. Gross positive fair values are offset against gross negative fair values by counterparty pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral. The tables also include amounts that are not permitted to be offset, such as security collateral posted or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

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



In millions of dollars at September 30, 2016	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	$	773		$	180		$	2,384		$	27
Cleared	6,692			1,730			—			225
Interest rate contracts	$	7,465		$	1,910		$	2,384		$	252
Over-the-counter	$	1,485		$	1,132		$	45		$	819
Foreign exchange contracts	$	1,485		$	1,132		$	45		$	819
Total derivative instruments designated as ASC 815 hedges	$	8,950		$	3,042		$	2,429		$	1,071
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	336,753		$	313,154		$	209		$	—
Cleared	175,410			182,785			581			593
Exchange traded	75			56			—			—
Interest rate contracts	$	512,238		$	495,995		$	790		$	593
Over-the-counter	$	114,573		$	113,454		$	—		$	45
Cleared	579			493			—			—
Exchange traded	69			56			—			—
Foreign exchange contracts	$	115,221		$	114,003		$	—		$	45
Over-the-counter	$	16,202		$	19,998		$	—		$	—
Cleared	876			9			—			—
Exchange traded	9,315			9,645			—			—
Equity contracts	$	26,393		$	29,652		$	—		$	—
Over-the-counter	$	10,757		$	13,271		$	—		$	—
Exchange traded	774			1,065			—			—
Commodity and other contracts	$	11,531		$	14,336		$	—		$	—
Over-the-counter	$	23,925		$	24,602		$	213		$	83
Cleared	5,848			5,987			85			557
Credit derivatives⁽⁴⁾	$	29,773		$	30,589		$	298		$	640
Total derivatives instruments not designated as ASC 815 hedges	$	695,156		$	684,575		$	1,088		$	1,278
Total derivatives	$	704,106		$	687,617		$	3,517		$	2,349
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	8,348		$	16,459		$	6		$	50
Less: Netting agreements⁽⁷⁾	(596,599		)	(596,599		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(55,239		)	(53,460		)	(1,682		)	(29		)
Net receivables/payables included on the consolidated balance sheet⁽⁹⁾	$	60,616		$	54,017		$	1,841		$	2,370
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(1,254	)	$	(26	)	$	—		$	—
Less: Non-cash collateral received/paid	(12,808		)	(6,724		)	(737		)	—
Total net receivables/payables⁽⁹⁾	$	46,554		$	47,267		$	1,104		$	2,370


(1)	The trading derivatives fair values are presented in Note 20 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 $11,245 million related to protection purchased and $18,528 million related to protection sold as of September 30, 2016. The credit derivatives trading liabilities comprise $19,566 million related to protection purchased and $11,023 million related to protection sold as of September 30, 2016.


(5)	For the trading account assets/liabilities, reflects the net amount of the $61,808 million and $71,698 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,460 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $55,239 million was used to offset trading derivative assets.

(6)

For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $35 million of gross cash collateral paid, of which $29 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 $1,732 million of gross cash collateral received, of which $1,682 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 $405 billion, $183 billion and $9 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 $9 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



In millions of dollars at December 31, 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	$	262		$	105		$	2,328		$	106
Cleared	4,607			1,471			5			—
Interest rate contracts	$	4,869		$	1,576		$	2,333		$	106
Over-the-counter	$	2,688		$	364		$	95		$	677
Foreign exchange contracts	$	2,688		$	364		$	95		$	677
Total derivative instruments designated as ASC 815 hedges	$	7,557		$	1,940		$	2,428		$	783
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	289,124		$	267,761		$	182		$	12
Cleared	120,848			126,532			244			216
Exchange traded	53			35			—			—
Interest rate contracts	$	410,025		$	394,328		$	426		$	228
Over-the-counter	$	126,474		$	133,361		$	—		$	66
Cleared	134			152			—			—
Exchange traded	21			36			—			—
Foreign exchange contracts	$	126,629		$	133,549		$	—		$	66
Over-the-counter	$	14,560		$	20,107		$	—		$	—
Cleared	28			3			—			—
Exchange traded	7,297			6,406			—			—
Equity contracts	$	21,885		$	26,516		$	—		$	—
Over-the-counter	$	16,794		$	18,641		$	—		$	—
Exchange traded	1,216			1,912			—			—
Commodity and other contracts	$	18,010		$	20,553		$	—		$	—
Over-the-counter	$	31,072		$	30,608		$	711		$	245
Cleared	3,803			3,560			131			318
Credit derivatives⁽⁴⁾	$	34,875		$	34,168		$	842		$	563
Total derivatives instruments not designated as ASC 815 hedges	$	611,424		$	609,114		$	1,268		$	857
Total derivatives	$	618,981		$	611,054		$	3,696		$	1,640
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	4,911		$	13,628		$	8		$	37
Less: Netting agreements⁽⁷⁾	(524,481		)	(524,481		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(43,227		)	(42,609		)	(1,949		)	(53		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁹⁾	$	56,184		$	57,592		$	1,755		$	1,624
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(779	)	$	(2	)	$	—		$	—
Less: Non-cash collateral received/paid	(9,855		)	(5,131		)	(270		)	—
Total net receivables/payables⁽⁹⁾	$	45,550		$	52,459		$	1,485		$	1,624


(1)	The trading derivatives fair values are presented in Note 20 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 $17,957 million related to protection purchased and $16,918 million related to protection sold as of December 31, 2015. The credit derivatives trading liabilities comprise $16,968 million related to protection purchased and $17,200 million related to protection sold as of December 31, 2015.


(5)	For the trading account assets/liabilities, reflects the net amount of the $47,520 million and $56,855 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609 million was used to offset derivative liabilities and, of the gross cash collateral received, $43,227 million was used to offset derivative assets.

(6)

For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the gross cash collateral received, of which $53 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 $1,986 million of gross cash collateral received, of which $1,949 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 $391 billion, $126 billion and $7 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 $10 billion of derivative asset and $10 billion of liability fair values not subject to enforceable master netting agreements, respectively.

For the three and nine months ended September 30, 2016 and 2015, the amounts recognized in Principal transactions in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents the way these portfolios are risk managed.

The amounts recognized in Other revenue in the Consolidated Statement of Income 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	2016			2015			2016			2015
Interest rate contracts	$	(28	)	$	163		$	(2	)	$	127
Foreign exchange	11			(19		)	26			(65		)
Credit derivatives	(399		)	536			(960		)	607
Total Citigroup	$	(416	)	$	680		$	(936	)	$	669

The following table presents the gains (losses) on the Company’s fair value hedges:



	Gains (losses) on fair value hedges⁽¹⁾
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2016			2015			2016			2015
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(450	)	$	1,111		$	2,747		$	72
Foreign exchange contracts	(602		)	(311		)	(2,360		)	1,093
Commodity contracts	(57		)	(110		)	381			(69		)
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	(1,109	)	$	690		$	768		$	1,096
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	442		$	(1,113	)	$	(2,701	)	$	(115	)
Foreign exchange hedges	664			304			2,425			(1,081		)
Commodity hedges	59			109			(374		)	81
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	1,165		$	(700	)	$	(650	)	$	(1,115	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(11	)	$	(1	)	$	48		$	(42	)
Foreign exchange hedges	(3		)	(24		)	(53		)	(41		)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(14	)	$	(25	)	$	(5	)	$	(83	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	3		$	(1	)	$	(2	)	$	(1	)
Foreign exchange contracts⁽²⁾	65			17			118			53
Commodity hedges⁽²⁾	2			(1		)	7			12
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	70		$	15		$	123		$	64


(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.

Cash Flow Hedges

The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the three and nine months ended September 30, 2016, and 2015 is not significant. The pretax change in AOCI from cash flow hedges is presented below:



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2016			2015			2016			2015
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(187	)	$	357		$	448		$	594
Foreign exchange contracts	(29		)	(98		)	(26		)	(258		)
Total effective portion of cash flow hedges included in AOCI	$	(216	)	$	259		$	422		$	336
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(39	)	$	(28	)	$	(96	)	$	(148	)
Foreign exchange contracts	(46		)	(35		)	(89		)	(112		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings⁽¹⁾	$	(85	)	$	(63	)	$	(185	)	$	(260	)


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

For cash flow hedges, the changes in the fair value of the hedging derivative remaining in AOCI on the Consolidated Balance Sheet will be included in the earnings of future periods to offset the variability of the hedged cash flows when such cash flows affect earnings. The net loss associated with cash flow hedges expected to be reclassified from AOCI within 12 months of September 30, 2016 is approximately $39 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.

The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.

Net Investment Hedges

The pretax gain (loss) recorded in the Foreign currency translation adjustment account within AOCI, related to the effective portion of the net investment hedges, is $(371) million and $(1,791) million for the three and nine months ended September 30, 2016 and $1,842 million and $2,599 million for the three and nine months ended September 30, 2015, respectively.

Credit Derivatives

The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:



	Fair values				Notionals
In millions of dollars at September 30, 2016	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	14,728	$	13,202	$	501,904	$	515,590
Broker-dealers	4,240		4,822		132,959		134,774
Non-financial	89		104		3,497		1,279
Insurance and other financial institutions	11,014		13,101		440,586		369,475
Total by industry/counterparty	$	30,071	$	31,229	$	1,078,946	$	1,021,118
By instrument
Credit default swaps and options	$	28,457	$	28,652	$	1,049,969	$	1,006,236
Total return swaps and other	1,614		2,577		28,977		14,882
Total by instrument	$	30,071	$	31,229	$	1,078,946	$	1,021,118
By rating
Investment grade	$	10,860	$	10,914	$	809,822	$	767,629
Non-investment grade	19,211		20,315		269,124		253,489
Total by rating	$	30,071	$	31,229	$	1,078,946	$	1,021,118
By maturity
Within 1 year	$	4,759	$	5,642	$	314,629	$	301,906
From 1 to 5 years	21,143		21,382		661,648		626,205
After 5 years	4,169		4,205		102,669		93,007
Total by maturity	$	30,071	$	31,229	$	1,078,946	$	1,021,118


(1)	The fair value amount receivable is composed of $11,567 million under protection purchased and $18,504 million under protection sold.


(2)	The fair value amount payable is composed of $20,248 million under protection purchased and $10,981 million under protection sold.



	Fair values				Notionals
In millions of dollars at December 31, 2015	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	18,377	$	16,988	$	513,335	$	508,459
Broker-dealers	5,895		6,697		155,195		152,604
Non-financial	128		123		3,969		2,087
Insurance and other financial institutions	11,317		10,923		332,715		287,772
Total by industry/counterparty	$	35,717	$	34,731	$	1,005,214	$	950,922
By instrument
Credit default swaps and options	$	34,849	$	34,158	$	981,999	$	940,650
Total return swaps and other	868		573		23,215		10,272
Total by instrument	$	35,717	$	34,731	$	1,005,214	$	950,922
By rating
Investment grade	$	12,694	$	13,142	$	764,040	$	720,521
Non-investment grade	23,023		21,589		241,174		230,401
Total by rating	$	35,717	$	34,731	$	1,005,214	$	950,922
By maturity
Within 1 year	$	3,871	$	3,559	$	265,632	$	254,225
From 1 to 5 years	27,991		27,488		669,834		639,460
After 5 years	3,855		3,684		69,748		57,237
Total by maturity	$	35,717	$	34,731	$	1,005,214	$	950,922


(1)	The fair value amount receivable is composed of $18,799 million under protection purchased and $16,918 million under protection sold.


(2)	The fair value amount payable is composed of $17,531 million under protection purchased and $17,200 million under protection sold.

Credit-Risk-Related Contingent Features in Derivatives

Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at both September 30, 2016 and December 31, 2015 was $27 billion and $22 billion, respectively. The Company had posted $24 billion and $19 billion as collateral for this exposure in the normal course of business as of September 30, 2016 and December 31, 2015, respectively.

A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of September 30, 2016, the Company could be required to post an additional $1.7 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.8 billion.

Derivatives Accompanied by Financial Asset Transfers

For transfers of financial assets accounted for by the Company as a sale, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale with the same counterparty and still outstanding as of September 30, 2016, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $1.5 billion. At September 30, 2016, the fair value of these previously derecognized assets was $1.5 billion and the fair value of the total return swaps was $13 million recorded as gross derivative assets and $6 million recorded as gross derivative liabilities. The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.