DERIVATIVES ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Information pertaining to Citigroup’s derivative activities, 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 a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed 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, 2017		December 31, 2016		September 30, 2017		December 31, 2016		September 30, 2017		December 31, 2016
Interest rate contracts
Swaps	$	186,553	$	151,331	$	20,878,378	$	19,145,250	$	38,964	$	47,324
Futures and forwards	—		97		6,926,108		6,864,276		13,504		30,834
Written options	—				3,446,771		2,921,070		2,659		4,759
Purchased options	—		—		3,195,655		2,768,528		3,580		7,320
Total interest rate contract notionals	$	186,553	$	151,428	$	34,446,912	$	31,699,124	$	58,707	$	90,237
Foreign exchange contracts
Swaps	$	35,431	$	19,042	$	6,870,504	$	5,492,145	$	27,052	$	22,676
Futures, forwards and spot	38,100		56,964		4,658,973		3,251,132		5,153		3,419
Written options	4,027		—		1,466,308		1,194,325		—		—
Purchased options	6,697		—		1,507,896		1,215,961		—		—
Total foreign exchange contract notionals	$	84,255	$	76,006	$	14,503,681	$	11,153,563	$	32,205	$	26,095
Equity contracts
Swaps	$	—	$	—	$	219,056	$	192,366	$	—	$	—
Futures and forwards	—		—		57,541		37,557		—		—
Written options	—		—		410,746		304,579		—		—
Purchased options	—		—		336,586		266,070		—		—
Total equity contract notionals	$	—	$	—	$	1,023,929	$	800,572	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	81,208	$	70,774	$	—	$	—
Futures and forwards	139		182		158,757		142,530		—		—
Written options	—		—		76,663		74,627		—		—
Purchased options	—		—		74,620		69,629		—		—
Total commodity and other contract notionals	$	139	$	182	$	391,248	$	357,560	$	—	$	—
Credit derivatives⁽⁴⁾
Protection sold	$	—	$	—	$	872,476	$	859,420	$	98	$	—
Protection purchased	—		—		900,866		883,003		13,201		19,470
Total credit derivatives	$	—	$	—	$	1,773,342	$	1,742,423	$	13,299	$	19,470
Total derivative notionals	$	270,947	$	227,616	$	52,139,112	$	45,753,242	$	104,211	$	135,802


(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 $63 million and $1,825 million at September 30, 2017 and December 31, 2016, 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.

Derivative mark-to-market (MTM) receivables/payables

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, 2017 and December 31, 2016. 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 the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.

In addition, the table for September 30, 2017 reflects rule changes adopted by clearing organizations that require or allow entities to elect to treat derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would record a related collateral payable or receivable. As a result, the table for September 30, 2017 reflects a reduction of approximately $100 billion of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now settled and not subject to collateral. The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also present amounts that are not permitted to be offset, such as security collateral 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, 2017	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	$	440		$	107		$	1,291		$	30
Cleared	29			29			35			69
Interest rate contracts	$	469		$	136		$	1,326		$	99
Over-the-counter	$	936		$	676		$	771		$	147
Foreign exchange contracts	$	936		$	676		$	771		$	147
Total derivatives instruments designated as ASC 815 hedges	$	1,405		$	812		$	2,097		$	246
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	200,554		$	179,000		$	35		$	1
Cleared	6,843			8,520			73			105
Exchange traded	116			93			—			—
Interest rate contracts	$	207,513		$	187,613		$	108		$	106
Over-the-counter	$	130,399		$	129,096		$	—		$	—
Cleared	3,180			3,312			—			—
Exchange traded	58			52			—			—
Foreign exchange contracts	$	133,637		$	132,460		$	—		$	—
Over-the-counter	$	18,736		$	24,317		$	—		$	—
Cleared	16			20			—			—
Exchange traded	8,532			8,179			—			—
Equity contracts	$	27,284		$	32,516		$	—		$	—
Over-the-counter	$	11,444		$	14,541		$	—		$	—
Exchange traded	745			703			—			—
Commodity and other contracts	$	12,189		$	15,244		$	—		$	—
Over-the-counter	$	15,169		$	15,592		$	23		$	68
Cleared	8,042			9,593			22			297
Credit derivatives⁽⁴⁾	$	23,211		$	25,185		$	45		$	365
Total derivatives instruments not designated as ASC 815 hedges	$	403,834		$	393,018		$	153		$	471
Total derivatives	$	405,239		$	393,830		$	2,250		$	717
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	13,991		$	15,848		$	—		$	9
Less: Netting agreements⁽⁷⁾	(325,424		)	(325,424		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(37,876		)	(32,390		)	(1,005		)	(17		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁹⁾	$	55,930		$	51,864		$	1,245		$	709
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(861	)	$	(61	)	$	—		$	—
Less: Non-cash collateral received/paid	(11,864		)	(9,798		)	(294		)	—
Total net receivables/payables⁽⁹⁾	$	43,205		$	42,005		$	951		$	709


(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 assets comprise $5,076 million related to protection purchased and $18,180 million related to protection sold as of September 30, 2017. The credit derivatives liabilities comprise $20,616 million related to protection purchased and $4,934 million related to protection sold as of September 30, 2017.


(5)	For the trading account assets/liabilities, reflects the net amount of the $46,381 million and $53,724 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $32,390 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $37,876 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 $17 million of gross cash collateral paid, of which $17 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 $1,014 million of gross cash collateral received, of which $1,005 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 $301 billion, $15 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 $5 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



In millions of dollars at December 31, 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	$	716		$	171		$	1,927		$	22
Cleared	3,530			2,154			47			82
Interest rate contracts	$	4,246		$	2,325		$	1,974		$	104
Over-the-counter	$	2,494		$	393		$	747		$	645
Foreign exchange contracts	$	2,494		$	393		$	747		$	645
Total derivatives instruments designated as ASC 815 hedges	$	6,740		$	2,718		$	2,721		$	749
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	244,072		$	221,534		$	225		$	5
Cleared	120,920			130,855			240			349
Exchange traded	87			47			—			—
Interest rate contracts	$	365,079		$	352,436		$	465		$	354
Over-the-counter	$	182,659		$	186,867		$	—		$	60
Cleared	482			470			—			—
Exchange traded	27			31			—			—
Foreign exchange contracts	$	183,168		$	187,368		$	—		$	60
Over-the-counter	$	15,625		$	19,119		$	—		$	—
Cleared	1			21			—			—
Exchange traded	8,484			7,376			—			—
Equity contracts	$	24,110		$	26,516		$	—		$	—
Over-the-counter	$	13,046		$	14,234		$	—		$	—
Exchange traded	719			798			—			—
Commodity and other contracts	$	13,765		$	15,032		$	—		$	—
Over-the-counter	$	19,033		$	19,563		$	159		$	78
Cleared	5,582			5,874			47			310
Credit derivatives⁽⁴⁾	$	24,615		$	25,437		$	206		$	388
Total derivatives instruments not designated as ASC 815 hedges	$	610,737		$	606,789		$	671		$	802
Total derivatives	$	617,477		$	609,507		$	3,392		$	1,551
Cash collateral paid/received⁽⁵⁾⁽⁶⁾	$	11,188		$	15,731		$	8		$	1
Less: Netting agreements⁽⁷⁾	(519,000		)	(519,000		)	—			—
Less: Netting cash collateral received/paid⁽⁸⁾	(45,912		)	(49,811		)	(1,345		)	(53		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁹⁾	$	63,753		$	56,427		$	2,055		$	1,499
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(819	)	$	(19	)	$	—		$	—
Less: Non-cash collateral received/paid	(11,767		)	(5,883		)	(530		)	—
Total net receivables/payables⁽⁹⁾	$	51,167		$	50,525		$	1,525		$	1,499


(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)


(4)	The credit derivatives trading assets comprise $8,871 million related to protection purchased and $15,744 million related to protection sold as of December 31, 2016. The credit derivatives trading liabilities comprise $16,722 million related to protection purchased and $8,715 million related to protection sold as of December 31, 2016.


(5)	For the trading account assets/liabilities, reflects the net amount of the $60,999 million and $61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $45,912 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 $61 million of gross cash collateral paid, 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 $1,346 million of gross cash collateral received, of which $1,345 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 $383 billion, $128 billion and $8 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 $7 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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 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	2017			2016			2017			2016
Interest rate contracts	$	(9	)	$	(28	)	$	(44	)	$	(2	)
Foreign exchange	—			11			26			26
Credit derivatives	(109		)	(399		)	(452		)	(960		)
Total Citigroup	$	(118	)	$	(416	)	$	(470	)	$	(936	)

The following table summarizes 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	2017			2016			2017			2016
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(194	)	$	(450	)	$	(570	)	$	2,747
Foreign exchange contracts	(166		)	(602		)	(803		)	(2,360		)
Commodity contracts	(11		)	(57		)	(20		)	381
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	(371	)	$	(1,109	)	$	(1,393	)	$	768
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	189		$	442		$	532		$	(2,701	)
Foreign exchange hedges	144			664			910			2,425
Commodity hedges	12			59			22			(374		)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	345		$	1,165		$	1,464		$	(650	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(5	)	$	(11	)	$	(31	)	$	48
Foreign exchange hedges	(17		)	(3		)	32			(53		)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(22	)	$	(14	)	$	1		$	(5	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	3		$	(7	)	$	(2	)
Foreign exchange contracts⁽²⁾	(5		)	65			75			118
Commodity hedges	1			2			2			7
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	(4	)	$	70		$	70		$	123


(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.

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

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	2017			2016			2017			2016
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(36	)	$	(187	)	$	103		$	448
Foreign exchange contracts	(7		)	(29		)	(7		)	(26		)
Total effective portion of cash flow hedges included in AOCI	$	(43	)	$	(216	)	$	96		$	422
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(48	)	$	(39	)	$	(94	)	$	(96	)
Foreign exchange contracts	(7		)	(46		)	(8		)	(89		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings⁽¹⁾	$	(55	)	$	(85	)	$	(102	)	$	(185	)


(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:



	Fair values				Notionals
In millions of dollars at September 30, 2017	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	9,114	$	8,454	$	320,482	$	338,723
Broker-dealers	2,882		2,805		89,352		100,408
Non-financial	28		93		2,154		1,501
Insurance and other financial institutions	11,232		14,198		502,079		431,942
Total by industry/counterparty	$	23,256	$	25,550	$	914,067	$	872,574
By instrument
Credit default swaps and options	$	23,013	$	24,365	$	890,913	$	862,753
Total return swaps and other	243		1,185		23,154		9,821
Total by instrument	$	23,256	$	25,550	$	914,067	$	872,574
By rating
Investment grade	$	13,045	$	13,758	$	696,474	$	665,764
Non-investment grade	10,211		11,792		217,593		206,810
Total by rating	$	23,256	$	25,550	$	914,067	$	872,574
By maturity
Within 1 year	$	2,520	$	3,225	$	279,201	$	267,863
From 1 to 5 years	17,459		18,823		547,675		522,437
After 5 years	3,277		3,502		87,191		82,274
Total by maturity	$	23,256	$	25,550	$	914,067	$	872,574


(1)	The fair value amount receivable is composed of $5,076 million under protection purchased and $18,180 million under protection sold.


(2)	The fair value amount payable is composed of $20,616 million under protection purchased and $4,934 million under protection sold.



	Fair values				Notionals
In millions of dollars at December 31, 2016	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	11,895	$	10,930	$	407,992	$	414,720
Broker-dealers	3,536		3,952		115,013		119,810
Non-financial	82		99		4,014		2,061
Insurance and other financial institutions	9,308		10,844		375,454		322,829
Total by industry/counterparty	$	24,821	$	25,825	$	902,473	$	859,420
By instrument
Credit default swaps and options	$	24,502	$	24,631	$	883,719	$	852,900
Total return swaps and other	319		1,194		18,754		6,520
Total by instrument	$	24,821	$	25,825	$	902,473	$	859,420
By rating
Investment grade	$	9,605	$	9,995	$	675,138	$	648,247
Non-investment grade	15,216		15,830		227,335		211,173
Total by rating	$	24,821	$	25,825	$	902,473	$	859,420
By maturity
Within 1 year	$	4,113	$	4,841	$	293,059	$	287,262
From 1 to 5 years	17,735		17,986		551,155		523,371
After 5 years	2,973		2,998		58,259		48,787
Total by maturity	$	24,821	$	25,825	$	902,473	$	859,420


(1)	The fair value amount receivable is composed of $9,077 million under protection purchased and $15,744 million under protection sold.


(2)	The fair value amount payable is composed of $17,110 million under protection purchased and $8,715 million under protection sold.

- 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