DERIVATIVES ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Notionals



	Hedging instruments under ASC 815⁽¹⁾⁽²⁾				Other derivative instruments
					Trading derivatives				Management hedges⁽³⁾
In millions of dollars	December 31, 2017		December 31, 2016		December 31, 2017		December 31, 2016		December 31, 2017		December 31, 2016
Interest rate contracts
Swaps	$	189,779	$	151,331	$	18,718,224	$	19,145,250	$	35,995	$	47,324
Futures and forwards	—		97		6,447,886		6,864,276		12,653		30,834
Written options	—		—		3,513,759		2,921,070		2,372		4,759
Purchased options	—		—		3,230,915		2,768,528		3,110		7,320
Total interest rate contract notionals	$	189,779	$	151,428	$	31,910,784	$	31,699,124	$	54,130	$	90,237
Foreign exchange contracts
Swaps	$	37,162	$	19,042	$	5,538,231	$	5,492,145	$	38,126	$	22,676
Futures, forwards and spot	33,103		56,964		3,080,361		3,251,132		17,339		3,419
Written options	3,951		—		1,127,728		1,194,325		—		—
Purchased options	6,427		—		1,148,686		1,215,961		—		—
Total foreign exchange contract notionals	$	80,643	$	76,006	$	10,895,006	$	11,153,563	$	55,465	$	26,095
Equity contracts
Swaps	$	—	$	—	$	215,834	$	192,366	$	—	$	—
Futures and forwards	—		—		72,616		37,557		—		—
Written options	—		—		389,961		304,579		—		—
Purchased options	—		—		328,154		266,070		—		—
Total equity contract notionals	$	—	$	—	$	1,006,565	$	800,572	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	82,039	$	70,774	$	—	$	—
Futures and forwards	23		182		153,248		142,530		—		—
Written options	—		—		62,045		74,627		—		—
Purchased options	—		—		60,526		69,629		—		—
Total commodity and other contract notionals	$	23	$	182	$	357,858	$	357,560	$	—	$	—
Credit derivatives⁽⁴⁾
Protection sold	$	—	$	—	$	735,142	$	859,420	$	—	$	—
Protection purchased	—		—		766,565		883,003		11,148		19,470
Total credit derivatives	$	—	$	—	$	1,501,707	$	1,742,423	$	11,148	$	19,470
Total derivative notionals	$	270,445	$	227,616	$	45,671,920	$	45,753,242	$	120,743	$	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 December 31, 2017 and December 31, 2016, respectively.


(2)	Derivatives in hedge accounting relationships accounted for under ASC Topic 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

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



In millions of dollars at December 31, 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	$	644		$	121		$	1,325		$	13
Cleared	71			24			39			68
Interest rate contracts	$	715		$	145		$	1,364		$	81
Over-the-counter	$	885		$	1,064		$	258		$	86
Foreign exchange contracts	$	885		$	1,064		$	258		$	86
Total derivative instruments designated as ASC 815 hedges	$	1,600		$	1,209		$	1,622		$	167
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	195,648		$	173,921		$	29		$	16
Cleared	7,051			10,268			78			113
Exchange traded	102			95			—			—
Interest rate contracts	$	202,801		$	184,284		$	107		$	129
Over-the-counter	$	118,611		$	116,962		$	481		$	511
Cleared	1,690			2,028			—			—
Exchange traded	34			121			—			—
Foreign exchange contracts	$	120,335		$	119,111		$	481		$	511
Over-the-counter	$	17,221		$	21,201		$	—		$	—
Cleared	21			25			—			—
Exchange traded	9,736			10,147			—			—
Equity contracts	$	26,978		$	31,373		$	—		$	—
Over-the-counter	$	13,499		$	16,362		$	—		$	—
Exchange traded	604			665			—			—
Commodity and other contracts	$	14,103		$	17,027		$	—		$	—
Over-the-counter	$	12,954		$	12,895		$	18		$	63
Cleared	7,530			8,327			32			248
Credit derivatives	$	20,484		$	21,222		$	50		$	311
Total derivatives instruments not designated as ASC 815 hedges	$	384,701		$	373,017		$	638		$	951
Total derivatives	$	386,301		$	374,226		$	2,260		$	1,118
Cash collateral paid/received⁽⁴⁾⁽⁵⁾	$	7,541		$	14,296		$	—		$	12
Less: Netting agreements⁽⁶⁾	(306,401		)	(306,401		)	—			—
Less: Netting cash collateral received/paid⁽⁷⁾	(37,506		)	(35,659		)	(1,026		)	(7		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁸⁾	$	49,935		$	46,462		$	1,234		$	1,123
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(872	)	$	(121	)	$	—		$	—
Less: Non-cash collateral received/paid	(12,453		)	(6,929		)	(286		)	—
Total net receivables/payables⁽⁸⁾	$	36,610		$	39,412		$	948		$	1,123


(1)	The trading derivatives fair values are presented in Note 24 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)	For the trading account assets/liabilities, reflects the net amount of the $43,200 million and $51,801 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $35,659 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $37,506 million was used to offset trading derivative assets.

(5)

For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $7 million of gross cash collateral paid, of which $7 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 $1,038 million of gross cash collateral received, of which $1,026 million is netted against OTC non-trading derivative positions within Other assets.


(6)	Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $283 billion, $14 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.


(7)	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.


(8)	The net receivables/payables include approximately $6 billion of derivative asset and $8 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 derivative 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	$	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⁽⁴⁾⁽⁵⁾	$	11,188		$	15,731		$	8		$	1
Less: Netting agreements⁽⁶⁾	(519,000		)	(519,000		)	—			—
Less: Netting cash collateral received/paid⁽⁷⁾	(45,912		)	(49,811		)	(1,345		)	(53		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁸⁾	$	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⁽⁸⁾	$	51,167		$	50,525		$	1,525		$	1,499


(1)	The trading derivatives fair values are presented in Note 24 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)	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 derivative liabilities and, of the gross cash collateral received, $45,912 million was used to offset derivative assets.

(5)

For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the 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 non-trading derivative positions within Other assets.


(6)	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.


(7)	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.


(8)	The net receivables/payables include approximately $7 billion of derivative asset and $9 billion of 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 following table summarizes the gains (losses) on the Company’s fair value hedges:



	Gains (losses) on fair value hedges⁽¹⁾
	Year ended December 31,
In millions of dollars	2017			2016			2015
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(891	)	$	(753	)	$	(847	)
Foreign exchange contracts	(824		)	(1,415		)	1,315
Commodity contracts	(17		)	182			41
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	(1,732	)	$	(1,986	)	$	509
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	853		$	668		$	792
Foreign exchange hedges	969			1,573			(1,258		)
Commodity hedges	18			(210		)	(35		)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	1,840		$	2,031		$	(501	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(31	)	$	(84	)	$	(47	)
Foreign exchange hedges	49			4			(23		)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	18		$	(80	)	$	(70	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	(7	)	$	(1	)	$	(8	)
Foreign exchange contracts⁽²⁾	96			154			80
Commodity hedges⁽²⁾	1			(28		)	6
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	90		$	125		$	78


(1)	Amounts are included in Other revenue or Principal Transactions in 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.

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
In millions of dollars	2017			2016			2015
Interest rate contracts	$	(54	)	$	(81	)	$	117
Foreign exchange	244			12			(39		)
Credit derivatives	(494		)	(1,009		)	476
Total	$	(304	)	$	(1,078	)	$	554

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 in the table below:



	Year ended December 31,
In millions of dollars	2017			2016			2015
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(165	)	$	(219	)	$	357
Foreign exchange contracts	(8		)	69			(220		)
Total effective portion of cash flow hedges included in AOCI	$	(173	)	$	(150	)	$	137
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(126	)	$	(140	)	$	(186	)
Foreign exchange contracts	(10		)	(93		)	(146		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings⁽¹⁾	$	(136	)	$	(233	)	$	(332	)


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

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 December 31, 2017	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	7,471	$	6,669	$	264,414	$	273,711
Broker-dealers	2,325		2,285		73,273		83,229
Non-financial	70		91		1,288		1,140
Insurance and other financial institutions	10,668		12,488		438,738		377,062
Total by industry/counterparty	$	20,534	$	21,533	$	777,713	$	735,142
By instrument
Credit default swaps and options	$	20,251	$	20,554	$	754,114	$	724,228
Total return swaps and other	283		979		23,599		10,914
Total by instrument	$	20,534	$	21,533	$	777,713	$	735,142
By rating
Investment grade	$	10,473	$	10,616	$	588,324	$	557,987
Non-investment grade	10,061		10,917		189,389		177,155
Total by rating	$	20,534	$	21,533	$	777,713	$	735,142
By maturity
Within 1 year	$	2,477	$	2,914	$	231,878	$	218,097
From 1 to 5 years	16,098		16,435		498,606		476,345
After 5 years	1,959		2,184		47,229		40,700
Total by maturity	$	20,534	$	21,533	$	777,713	$	735,142


(1)	The fair value amount receivable is composed of $3,195 million under protection purchased and $17,339 million under protection sold.


(2)	The fair value amount payable is composed of $3,147 million under protection purchased and $18,386 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