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DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Information pertaining to Citigroup’s derivatives 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. 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	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Interest rate contracts
Swaps	$	311,333	$	318,089	$	18,935,609	$	17,063,272
Futures and forwards	—		—		4,691,885		3,636,658
Written options	—		—		1,791,782		2,114,511
Purchased options	—		—		1,605,080		1,857,770
Total interest rate contracts	$	311,333	$	318,089	$	27,024,356	$	24,672,211
Foreign exchange contracts
Swaps	$	65,358	$	63,104	$	6,414,190	$	6,063,853
Futures, forwards and spot	38,597		38,275		4,806,697		3,979,188
Written options	116		80		1,209,072		908,061
Purchased options	45		80		1,233,661		959,149
Total foreign exchange contracts	$	104,116	$	101,539	$	13,663,620	$	11,910,251
Equity contracts
Swaps	$	—	$	—	$	168,224	$	197,893
Futures and forwards	—		—		60,692		66,705
Written options	—		—		534,464		560,571
Purchased options	—		—		399,929		422,393
Total equity contracts	$	—	$	—	$	1,163,309	$	1,247,562
Commodity and other contracts
Swaps	$	—	$	—	$	74,616	$	69,445
Futures and forwards	894		1,195		141,378		137,192
Written options	—		—		91,874		91,587
Purchased options	—		—		89,609		86,631
Total commodity and other contracts	$	894	$	1,195	$	397,477	$	384,855
Credit derivatives⁽¹⁾
Protection sold	$	—	$	—	$	624,063	$	603,387
Protection purchased	—		—		695,218		703,926
Total credit derivatives	$	—	$	—	$	1,319,281	$	1,307,313
Total derivative notionals	$	416,343	$	420,823	$	43,568,043	$	39,522,192

(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 March 31, 2020 and December 31, 2019. 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 $300 billion and $180 billion as of March 31, 2020 and December 31, 2019, 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 has 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 March 31, 2020	Derivatives classified in Trading account assets/liabilities⁽¹⁾⁽²⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities
Over-the-counter	$	1,860		$	259
Cleared	422			262
Interest rate contracts	$	2,282		$	521
Over-the-counter	$	2,410		$	1,778
Cleared	—			50
Foreign exchange contracts	$	2,410		$	1,828
Total derivatives instruments designated as ASC 815 hedges	$	4,692		$	2,349
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	245,048		$	224,637
Cleared	11,055			10,607
Exchange traded	117			144
Interest rate contracts	$	256,220		$	235,388
Over-the-counter	$	198,530		$	201,720
Cleared	1,649			1,832
Exchange traded	11			13
Foreign exchange contracts	$	200,190		$	203,565
Over-the-counter	$	27,103		$	28,388
Cleared	1			32
Exchange traded	30,565			32,910
Equity contracts	$	57,669		$	61,330
Over-the-counter	$	21,059		$	24,669
Exchange traded	2,005			1,941
Commodity and other contracts	$	23,064		$	26,610
Over-the-counter	$	15,606		$	14,127
Cleared	875			1,046
Credit derivatives	$	16,481		$	15,173
Total derivatives instruments not designated as ASC 815 hedges	$	553,624		$	542,066
Total derivatives	$	558,316		$	544,415
Cash collateral paid/received⁽³⁾	$	28,991		$	17,023
Less: Netting agreements⁽⁴⁾	(424,832		)	(424,832		)
Less: Netting cash collateral received/paid⁽⁵⁾	(65,236		)	(58,787		)
Net receivables/payables included on the Consolidated Balance Sheet⁽⁶⁾	$	97,239		$	77,819
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(1,897	)	$	(245	)
Less: Non-cash collateral received/paid	(11,852		)	(16,896		)
Total net receivables/payables⁽⁶⁾	$	83,490		$	60,678


(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 $87,778 million and $82,259 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $58,787 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $65,236 million was used to offset trading derivative assets.


(4)	Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $404 billion, $2 billion and $19 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 $8 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, 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 also presented in Note 20 to the Consolidated Financial Statements.

(2)


(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. Of the gross cash collateral received, $44,353 million was used to offset trading derivative assets.


(4)	Represents the netting of 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 netting of cash collateral received and paid is 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.

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⁾
	Three Months Ended March 31,
	2020						2019
In millions of dollars	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	$	—		$	6,847		$	—		$	963
Foreign exchange hedges	(1,911		)	—			168			—
Commodity hedges	290			—			70			—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	(1,621	)	$	6,847		$	238		$	963
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—		$	(6,815	)	$	—		$	(879	)
Foreign exchange hedges	1,911			—			(168		)	—
Commodity hedges	(290		)	—			(70		)	—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	1,621		$	(6,815	)	$	(238	)	$	(879	)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—		$	(5	)	$	—		$	—
Foreign exchange hedges⁽²⁾	(58		)	—			(3		)	—
Commodity hedges	(25		)	—			18			—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	(83	)	$	(5	)	$	15		$	—


(1)	Gain (loss) amounts for interest rate risk hedges 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 $33 million and $24 million for the three months ended March 31, 2020 and 2019, respectively.

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 March 31,
In millions of dollars	2020		2019
Interest rate contracts	$	155	$	27
Foreign exchange	24		(58		)
Total	$	179	$	(31	)

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 March 31, 2020 and December 31, 2019, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.



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 March 31, 2020
Debt securities AFS⁽¹⁾⁽³⁾	$	94,548	$	(130	)	$	617
Long-term debt	167,336		8,586			3,719
As of December 31, 2019
Debt securities AFS⁽²⁾⁽³⁾	$	94,659	$	(114	)	$	743
Long-term debt	157,387		2,334			3,445


(1)	These amounts include a cumulative basis adjustment of $134 million for de-designated hedges as of March 31, 2020 related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. There are no active hedges under the last-of-layer approach as of March 31, 2020.

(2)

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.

(3)

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



	Three Months Ended March 31,
In millions of dollars	2020						2019
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	2,497					$	254
Foreign exchange contracts	(11					)	(8					)
Total gain (loss) recognized in AOCI	$	2,486					$	246
Amount of gain (loss) reclassified from AOCI to earnings⁽¹⁾	Other revenue			Net interest revenue			Other revenue			Net interest revenue
Interest rate contracts	$	—		$	3		$	—		$	(130	)
Foreign exchange contracts	(1		)	—			(2		)	—
Total gain (loss) reclassified from AOCI into earnings	$	(1	)	$	3		$	(2	)	$	(130	)
Net pretax change in cash flow hedges included within AOCI				$	2,484					$	378

(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 March 31, 2020	Receivable⁽¹⁾		Payable⁽²⁾		Protection purchased		Protection sold
By industry of counterparty
Banks	$	5,665	$	5,633	$	162,933	$	167,923
Broker-dealers	3,400		2,947		63,281		63,382
Non-financial	140		82		4,223		1,825
Insurance and other financial institutions	7,276		6,511		464,781		390,933
Total by industry of counterparty	$	16,481	$	15,173	$	695,218	$	624,063
By instrument
Credit default swaps and options	$	14,555	$	13,459	$	679,118	$	618,108
Total return swaps and other	1,926		1,714		16,100		5,955
Total by instrument	$	16,481	$	15,173	$	695,218	$	624,063
By rating of reference entity
Investment grade	$	5,708	$	5,243	$	542,640	$	481,482
Non-investment grade	10,773		9,930		152,578		142,581
Total by rating of reference entity	$	16,481	$	15,173	$	695,218	$	624,063
By maturity
Within 1 year	$	2,913	$	2,752	$	170,955	$	148,981
From 1 to 5 years	9,195		8,467		429,874		391,944
After 5 years	4,373		3,954		94,389		83,138
Total by maturity	$	16,481	$	15,173	$	695,218	$	624,063


(1)	The fair value amount receivable is composed of $13,355 million under protection purchased and $3,126 million under protection sold.


(2)	The fair value amount payable is composed of $4,088 million under protection purchased and $11,805 million under protection sold.



	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 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.

- 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