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DERIVATIVES ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Notionals



	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	December 31, 2019		December 31, 2018		December 31, 2019		December 31, 2018
Interest rate contracts
Swaps	$	318,089	$	273,636	$	17,063,272	$	18,138,686
Futures and forwards	—		—		3,636,658		4,632,257
Written options	—		—		2,114,511		3,018,469
Purchased options	—		—		1,857,770		2,532,479
Total interest rate contracts	$	318,089	$	273,636	$	24,672,211	$	28,321,891
Foreign exchange contracts
Swaps	$	63,104	$	57,153	$	6,063,853	$	6,738,158
Futures, forwards and spot	38,275		41,410		3,979,188		5,115,504
Written options	80		1,726		908,061		1,566,717
Purchased options	80		2,104		959,149		1,543,516
Total foreign exchange contracts	$	101,539	$	102,393	$	11,910,251	$	14,963,895
Equity contracts
Swaps	$	—	$	—	$	197,893	$	217,580
Futures and forwards	—		—		66,705		52,053
Written options	—		—		560,571		454,675
Purchased options	—		—		422,393		341,018
Total equity contracts	$	—	$	—	$	1,247,562	$	1,065,326
Commodity and other contracts
Swaps	$	—	$	—	$	69,445	$	79,133
Futures and forwards	1,195		802		137,192		146,647
Written options	—		—		91,587		62,629
Purchased options	—		—		86,631		61,298
Total commodity and other contracts	$	1,195	$	802	$	384,855	$	349,707
Credit derivatives⁽¹⁾
Protection sold	$	—	$	—	$	603,387	$	724,939
Protection purchased	—		—		703,926		795,649
Total credit derivatives	$	—	$	—	$	1,307,313	$	1,520,588
Total derivative notionals	$	420,823	$	376,831	$	39,522,192	$	46,221,407

(1)

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, 2019	Derivatives classified in Trading account assets/liabilities⁽¹⁾⁽²⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities
Over-the-counter	$	1,682		$	143
Cleared	41			111
Interest rate contracts	$	1,723		$	254
Over-the-counter	$	1,304		$	908
Cleared	—			2
Foreign exchange contracts	$	1,304		$	910
Total derivatives instruments designated as ASC 815 hedges	$	3,027		$	1,164
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	189,892		$	169,749
Cleared	5,896			7,472
Exchange traded	157			180
Interest rate contracts	$	195,945		$	177,401
Over-the-counter	$	105,401		$	108,807
Cleared	862			1,015
Exchange traded	3			—
Foreign exchange contracts	$	106,266		$	109,822
Over-the-counter	$	21,311		$	22,411
Exchange traded	7,160			8,075
Equity contracts	$	28,471		$	30,486
Over-the-counter	$	13,582		$	16,773
Exchange traded	630			542
Commodity and other contracts	$	14,212		$	17,315
Over-the-counter	$	8,896		$	8,975
Cleared	1,513			1,763
Credit derivatives	$	10,409		$	10,738
Total derivatives instruments not designated as ASC 815 hedges	$	355,303		$	345,762
Total derivatives	$	358,330		$	346,926
Cash collateral paid/received⁽³⁾	$	17,926		$	14,391
Less: Netting agreements⁽⁴⁾	(274,970		)	(274,970		)
Less: Netting cash collateral received/paid⁽⁵⁾	(44,353		)	(38,919		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁶⁾	$	56,933		$	47,428
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(861	)	$	(128	)
Less: Non-cash collateral received/paid	(13,143		)	(7,308		)
Total net receivables/payables⁽⁶⁾	$	42,929		$	39,992


(1)	The derivatives fair values are presented in Note 24 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 $56,845 million and $58,744 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $38,919 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $44,353 million was used to offset trading derivative assets.


(4)	Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $262 billion, $6 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.


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


(6)	The net receivables/payables include approximately $7 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, 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 presented in Note 24 to the Consolidated Financial Statements.

(2)

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.


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



	Gains (losses) on fair value hedges⁽¹⁾
	Year Ended December 31,
	2019						2018						2017⁽²⁾
In millions of dollars	Other revenue			Net interest revenue			Other revenue			Net interest revenue			Other revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—		$	2,273		$	—		$	794		$	(891	)
Foreign exchange hedges	337			—			(2,064		)	—			(824		)
Commodity hedges	(33		)	—			(123		)	—			(17		)
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	304		$	2,273		$	(2,187	)	$	794		$	(1,732	)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—		$	(2,085	)	$	—		$	(747	)	$	853
Foreign exchange hedges	(337		)	—			2,064			—			969
Commodity hedges	33			—			124			—			18
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(304	)	$	(2,085	)	$	2,188		$	(747	)	$	1,840
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—		$	3		$	—		$	(5	)	$	(7	)
Foreign exchange hedges⁽³⁾	(109		)	—			(4		)	—			96
Commodity hedges	41			—			(19		)	—			1
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	(68	)	$	3		$	(23	)	$	(5	)	$	90

(1)

Beginning January 1, 2018, gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense, while the remaining amounts including the amounts for interest rate hedges prior to January 1, 2018 are included in Other revenue or Principal transactions on the Consolidated Statement of Income. The accrued interest income on fair value hedges both prior to and after January 1, 2018 is recorded in Net interest revenue and is excluded from this table.


(2)	Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the year ended December 31, 2017 was $(31) million for interest rate hedges and $49 million for foreign exchange hedges, for a total of $18 million.

(3)

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. After January 1, 2018, 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 $33 million and $(74) million for the years ended December 31, 2019 and 2018, respectively.

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
	Year ended December 31,
In millions of dollars	2019			2018			2017
Interest rate contracts	$	57		$	(25	)	$	(73	)
Foreign exchange	(29		)	(197		)	2,062
Total	$	28		$	(222	)	$	1,989

Schedule of fair value hedging instruments, statements of financial performance and financial position



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
Balance sheet line item in which hedged item is recorded	Carrying amount of hedged asset/ liability		Active			De-designated
As of December 31, 2019
Debt securities AFS⁽¹⁾⁽²⁾	$	94,659	$	(114	)	$	743
Long-term debt	157,387		2,334			3,445
As of December 31, 2018
Debt securities AFS⁽²⁾	$	81,632	$	(196	)	$	295
Long-term debt	$	149,054	$	1,211		$	869

(1)

These amounts include a cumulative basis adjustment of $(8) million for active hedges and $157 million for de-designated hedges as of December 31, 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 approximately $605 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of December 31, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.

(2)

Carrying amount represents the amortized cost.

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:



In millions of dollars	2019						2018						2017
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	746					$	(361				)	$	(165	)
Foreign exchange contracts	(17					)	5						(8		)
Total gain (loss) recognized in AOCI	$	729					$	(356				)	$	(173	)
Amount of gain (loss) reclassified from AOCI to earnings⁽¹⁾	Other revenue			Net Interest revenue			Other revenue			Net interest revenue			Other revenue
Interest rate contracts	$	—		$	(384	)	$	—		$	(301	)	$	(126	)
Foreign exchange contracts	(7		)	—			(17		)	—			(10		)
Total gain (loss) reclassified from AOCI into earnings	$	(7	)	$	(384	)	$	(17	)	$	(301	)	$	(136	)
Net pretax change in cash flow hedges included within AOCI				$	1,120					$	(38	)	$	(37	)

(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 December 31, 2019	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry of counterparty
Banks	$	4,017	$	4,102	$	172,461	$	169,546
Broker-dealers	1,724		1,528		54,843		53,846
Non-financial	92		76		2,601		1,968
Insurance and other financial institutions	4,576		5,032		474,021		378,027
Total by industry of counterparty	$	10,409	$	10,738	$	703,926	$	603,387
By instrument
Credit default swaps and options	$	9,759	$	9,791	$	685,643	$	593,850
Total return swaps and other	650		947		18,283		9,537
Total by instrument	$	10,409	$	10,738	$	703,926	$	603,387
By rating of reference entity
Investment grade	$	4,579	$	4,578	$	560,806	$	470,778
Non-investment grade	5,830		6,160		143,120		132,609
Total by rating of reference entity	$	10,409	$	10,738	$	703,926	$	603,387
By maturity
Within 1 year	$	1,806	$	2,181	$	231,135	$	176,188
From 1 to 5 years	7,275		7,265		414,237		379,915
After 5 years	1,328		1,292		58,554		47,284
Total by maturity	$	10,409	$	10,738	$	703,926	$	603,387


(1)	The fair value amount receivable is composed of $3,415 million under protection purchased and $6,994 million under protection sold.


(2)	The fair value amount payable is composed of $7,793 million under protection purchased and $2,945 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 million 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