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DERIVATIVES

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

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 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. In addition, 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				Trading derivative instruments
In millions of dollars	June 30, 2019		December 31, 2018		June 30, 2019		December 31, 2018
Interest rate contracts
Swaps	$	301,560	$	273,636	$	21,499,304	$	18,138,686
Futures and forwards	—		—		6,717,597		4,632,257
Written options	—		—		2,924,051		3,018,469
Purchased options	—		—		2,645,790		2,532,479
Total interest rate contracts	$	301,560	$	273,636	$	33,786,742	$	28,321,891
Foreign exchange contracts
Swaps	$	59,644	$	57,153	$	6,894,570	$	6,738,158
Futures, forwards and spot	41,395		41,410		5,769,581		5,115,504
Written options	494		1,726		1,498,054		1,566,717
Purchased options	517		2,104		1,519,070		1,543,516
Total foreign exchange contracts	$	102,050	$	102,393	$	15,681,275	$	14,963,895
Equity contracts
Swaps	$	—	$	—	$	237,294	$	217,580
Futures and forwards	—		—		58,086		52,053
Written options	—		—		490,146		454,675
Purchased options	—		—		361,189		341,018
Total equity contracts	$	—	$	—	$	1,146,715	$	1,065,326
Commodity and other contracts
Swaps	$	—	$	—	$	80,780	$	79,133
Futures and forwards	910		802		161,555		146,647
Written options	—		—		84,958		62,629
Purchased options	—		—		81,833		61,298
Total commodity and other contracts	$	910	$	802	$	409,126	$	349,707
Credit derivatives⁽¹⁾
Protection sold	$	—	$	—	$	666,733	$	724,939
Protection purchased	—		—		747,129		795,649
Total credit derivatives	$	—	$	—	$	1,413,862	$	1,520,588
Total derivative notionals	$	404,520	$	376,831	$	52,437,720	$	46,221,407

(1)

Credit derivatives are arrangements designed to allow one party (protection purchaser) 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 June 30, 2019 and December 31, 2018. 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 following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain 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 also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $160 billion and $100 billion as of June 30, 2019 and December 31, 2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. 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 that 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 June 30, 2019	Derivatives classified in Trading account assets/liabilities⁽¹⁾⁽²⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities
Over-the-counter	$	523		$	138
Cleared	1,262			95
Interest rate contracts	$	1,785		$	233
Over-the-counter	$	3,372		$	684
Cleared	—			5
Foreign exchange contracts	$	3,372		$	689
Total derivatives instruments designated as ASC 815 hedges	$	5,157		$	922
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	205,779		$	183,048
Cleared	5,860			7,317
Exchange traded	220			163
Interest rate contracts	$	211,859		$	190,528
Over-the-counter	$	126,634		$	130,424
Cleared	1,931			1,661
Exchange traded	37			56
Foreign exchange contracts	$	128,602		$	132,141
Over-the-counter	$	16,911		$	21,437
Cleared	83			53
Exchange traded	10,194			10,304
Equity contracts	$	27,188		$	31,794
Over-the-counter	$	14,042		$	17,212
Exchange traded	698			571
Commodity and other contracts	$	14,740		$	17,783
Over-the-counter	$	9,886		$	10,721
Cleared	1,101			1,199
Credit derivatives	$	10,987		$	11,920
Total derivatives instruments not designated as ASC 815 hedges	$	393,376		$	384,166
Total derivatives	$	398,533		$	385,088
Cash collateral paid/received⁽³⁾	$	14,134		$	14,041
Less: Netting agreements⁽⁴⁾	(311,423		)	(311,423		)
Less: Netting cash collateral received/paid⁽⁵⁾	(47,136		)	(37,933		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁶⁾	$	54,108		$	49,773
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(752	)	$	(110	)
Less: Non-cash collateral received/paid	(13,600		)	(14,185		)
Total net receivables/payables⁽⁶⁾	$	39,756		$	35,478


(1)	The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.

(2)

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.


(3)	Reflects the net amount of the $52,067 million and $61,177 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $37,933 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $47,136 million was used to offset trading derivative assets.


(4)	Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $297 billion, $4 billion and $10 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.


(5)	Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.


(6)	The net receivables/payables include approximately $5 billion of derivative asset and $5 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



In millions of dollars at December 31, 2018	Derivatives classified in Trading account assets/liabilities⁽¹⁾⁽²⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities
Over-the-counter	$	1,631		$	172
Cleared	238			53
Interest rate contracts	$	1,869		$	225
Over-the-counter	$	1,402		$	736
Cleared	—			4
Foreign exchange contracts	$	1,402		$	740
Total derivatives instruments designated as ASC 815 hedges	$	3,271		$	965
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	161,183		$	146,909
Cleared	8,489			7,594
Exchange traded	91			99
Interest rate contracts	$	169,763		$	154,602
Over-the-counter	$	159,099		$	156,904
Cleared	1,900			1,671
Exchange traded	53			40
Foreign exchange contracts	$	161,052		$	158,615
Over-the-counter	$	18,253		$	21,527
Cleared	17			32
Exchange traded	11,623			12,249
Equity contracts	$	29,893		$	33,808
Over-the-counter	$	16,661		$	19,894
Exchange traded	894			795
Commodity and other contracts	$	17,555		$	20,689
Over-the-counter	$	6,967		$	6,155
Cleared	3,798			4,196
Credit derivatives	$	10,765		$	10,351
Total derivatives instruments not designated as ASC 815 hedges	$	389,028		$	378,065
Total derivatives	$	392,299		$	379,030
Cash collateral paid/received⁽³⁾	$	11,518		$	13,906
Less: Netting agreements⁽⁴⁾	(311,089		)	(311,089		)
Less: Netting cash collateral received/paid⁽⁵⁾	(38,608		)	(29,911		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁶⁾	$	54,120		$	51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(767	)	$	(164	)
Less: Non-cash collateral received/paid	(13,509		)	(13,354		)
Total net receivables/payables⁽⁶⁾	$	39,844		$	38,418


(1)	The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.

(2)


(3)	Reflects the net amount of the $41,429 million and $52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $29,911 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $38,608 million was used to offset trading derivative assets.


(4)	Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $296 billion, $4 billion and $11 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.


(5)	Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.


(6)	The net receivables/payables include approximately $5 billion of derivative asset and $7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

For the three and six months ended June 30, 2019 and 2018, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. 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 how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.

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 that such amounts are also recorded in Other revenue.



	Gains (losses) included in Other revenue
	Three Months Ended June 30,					Six Months Ended June 30,
In millions of dollars	2019		2018			2019		2018
Interest rate contracts	$	35	$	(15	)	$	62	$	(43	)
Foreign exchange	71		(517		)	13		13
Total	$	106	$	(532	)	$	75	$	(30	)

Fair Value Hedges

Hedging of Benchmark Interest Rate Risk

Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.

For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.

In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of pre-payable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.

Hedging of Foreign Exchange Risk

Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.

Hedging of Commodity Price Risk

Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness and reflects it directly in earnings over the life of the hedge.

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



	Gains (losses) on fair value hedges⁽¹⁾
	Three Months Ended June 30,												Six Months Ended June 30,
	2019						2018						2019						2018
In millions of dollars	Other revenue			Net interest revenue			Other revenue			Net interest revenue			Other revenue			Net interest revenue			Other revenue			Net interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—		$	1,853		$	—		$	(518	)	$	—		$	2,816		$	—		$	360
Foreign exchange hedges	(180		)	—			320			—			(12		)	—			499			—
Commodity hedges	(172		)	—			2			—			(102		)	—			—			—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	(352	)	$	1,853		$	322		$	(518	)	$	(114	)	$	2,816		$	499		$	360
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—		$	(1,783	)	$	—		$	520		$	—		$	(2,662	)	$	—		$	(346	)
Foreign exchange hedges	180			—			(347		)	—			12			—			(596		)	—
Commodity hedges	172			—			—			—			102			—			1			—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	352		$	(1,783	)	$	(347	)	$	520		$	114		$	(2,662	)	$	(595	)	$	(346	)
Net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—		$	(4	)	$	—		$	(5	)	$	—		$	(4	)	$	—		$	(5	)
Foreign exchange hedges⁽²⁾	(118		)	—			33			—			(121		)	—			56			—
Commodity hedges	5			—			1			—			23			—			2			—
Total net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges	$	(113	)	$	(4	)	$	34		$	(5	)	$	(98	)	$	(4	)	$	58		$	(5	)


(1)	Gain (loss) amounts for hedges of interest rate risk are included in Interest income/Interest expense. 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) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $59 million and $83 million for the three and six months ended June 30, 2019 and $(37) million and $(42) million for the three and six months ended June 30, 2018, respectively.

Cumulative Basis Adjustment

Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. The hedge basis adjustment, whether from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 2019 and December 31, 2018, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities.



In millions of dollars
Balance sheet line item in which hedged item is recorded	Carrying amount of hedged asset/ liability		Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount
			Active			De-designated
As of June 30, 2019
Debt securities AFS⁽¹⁾	$	110,515	$	360		$	628
Long-term debt	162,894		4,548			1,407
As of December 31, 2018
Debt securities AFS	$	81,632	$	(196	)	$	295
Long-term debt	149,054		1,211			869

(1)

These amounts include a cumulative basis adjustment of $172 million as of June 30, 2019 related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated $2 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $26.4 billion as of June 30, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.

Cash Flow Hedges

Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of June 30, 2019 is approximately $91 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.

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



	Three Months Ended June 30,												Six Months Ended June 30,
In millions of dollars	2019						2018						2019						2018
Amount of gain (loss) recognized in AOCI on derivative
Interest rate contracts⁽¹⁾	$	545					$	(222				)	$	799					$	(544				)
Foreign exchange contracts	(1					)	5						(9					)	(1					)
Total gain (loss) recognized in AOCI	$	544					$	(217				)	$	790					$	(545				)
Amount of gain (loss) reclassified from AOCI to earnings	Other revenue			Net interest revenue			Other revenue			Net interest revenue			Other revenue			Net interest revenue			Other revenue			Net interest revenue
Interest rate contracts⁽¹⁾	$	—		$	(134	)	$	—		$	(88	)	$	—		$	(264	)	$	—		$	(119	)
Foreign exchange contracts	(2		)	—			(6		)	—			(4		)	—			(4		)	—
Total gain (loss) reclassified from AOCI into earnings	$	(2	)	$	(134	)	$	(6	)	$	(88	)	$	(4	)	$	(264	)	$	(4	)	$	(119	)
Net pretax change in cash flow hedges included within AOCI				$	680					$	(123	)				$	1,058					$	(422	)


(1)	All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.

Net Investment Hedges

The pretax gain (loss) recorded in the foreign currency translation adjustment account within AOCI, related to net investment hedges, is $(134) million and $(298) million for the three and six months ended June 30, 2019 and $1,633 million and $1,143 million for the three and six months ended June 30, 2018, 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 June 30, 2019	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry of counterparty
Banks	$	4,748	$	4,551	$	206,498	$	204,392
Broker-dealers	1,535		1,470		59,717		61,717
Non-financial	77		119		2,323		1,567
Insurance and other financial institutions	4,627		5,780		478,591		399,057
Total by industry of counterparty	$	10,987	$	11,920	$	747,129	$	666,733
By instrument
Credit default swaps and options	$	10,384	$	10,526	$	720,153	$	655,896
Total return swaps and other	603		1,394		26,976		10,837
Total by instrument	$	10,987	$	11,920	$	747,129	$	666,733
By rating of reference entity
Investment grade	$	5,027	$	5,281	$	590,084	$	515,070
Non-investment grade	5,960		6,639		157,045		151,663
Total by rating of reference entity	$	10,987	$	11,920	$	747,129	$	666,733
By maturity
Within 1 year	$	1,733	$	2,493	$	240,625	$	206,633
From 1 to 5 years	7,542		7,760		452,460		417,738
After 5 years	1,712		1,667		54,044		42,362
Total by maturity	$	10,987	$	11,920	$	747,129	$	666,733


(1)	The fair value amount receivable is composed of $3,931 million under protection purchased and $7,056 million under protection sold.


(2)	The fair value amount payable is composed of $8,377 million under protection purchased and $3,543 million under protection sold.



	Fair values				Notionals
In millions of dollars at December 31, 2018	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry of counterparty
Banks	$	4,785	$	4,432	$	214,842	$	218,273
Broker-dealers	1,706		1,612		62,904		63,014
Non-financial	64		87		2,687		1,192
Insurance and other financial institutions	4,210		4,220		515,216		442,460
Total by industry of counterparty	$	10,765	$	10,351	$	795,649	$	724,939
By instrument
Credit default swaps and options	$	10,030	$	9,755	$	771,865	$	712,623
Total return swaps and other	735		596		23,784		12,316
Total by instrument	$	10,765	$	10,351	$	795,649	$	724,939
By rating of reference entity
Investment grade	$	4,725	$	4,544	$	637,790	$	568,849
Non-investment grade	6,040		5,807		157,859		156,090
Total by rating of reference entity	$	10,765	$	10,351	$	795,649	$	724,939
By maturity
Within 1 year	$	2,037	$	2,063	$	251,994	$	225,597
From 1 to 5 years	6,720		6,414		493,096		456,409
After 5 years	2,008		1,874		50,559		42,933
Total by maturity	$	10,765	$	10,351	$	795,649	$	724,939


(1)	The fair value amount receivable is composed of $5,126 million under protection purchased and $5,639 under protection sold.


(2)	The fair value amount payable is composed of $5,882 million under protection purchased and $4,469 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 June 30, 2019 and December 31, 2018 was $30 billion and $33 billion, respectively. The Company posted $29 billion and $33 billion as collateral for this exposure in the normal course of business as of June 30, 2019 and December 31, 2018, 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 June 30, 2019, the Company could be required to post an additional $0.7 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 $0.8 billion.

Derivatives Accompanied by Financial Asset Transfers

For transfers of financial assets accounted for as a sale by the Company and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), both the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $6.0 billion and $4.1 billion as of June 30, 2019 and December 31, 2018, respectively.

At June 30, 2019, the fair value of these previously derecognized assets was $6.1 billion. The fair value of the total return swaps as of June 30, 2019 was $90 million recorded as gross derivative assets and $57 million recorded as gross derivative liabilities. At December 31, 2018, the fair value of these previously derecognized assets was $4.1 billion, and the fair value of the total return swaps was $55 million recorded as gross derivative assets and $9 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.