XML 81 R50.htm IDEA: XBRL DOCUMENT

DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2019

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 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.

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 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.

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 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	)

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.

Schedule of amounts recorded on the Balance Sheet related to cumulative basis adjustments for fair value hedges

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.

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. 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.

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 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.

- 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