DERIVATIVES

9 Months Ended

Sep. 30, 2020

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 2019 Annual Report on Form 10-K.

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	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
Interest rate contracts
Swaps	$	347,587	$	318,089	$	17,709,922	$	17,063,272
Futures and forwards	—		—		4,894,587		3,636,658
Written options	—		—		1,590,805		2,114,511
Purchased options	—		—		1,428,928		1,857,770
Total interest rate contracts	$	347,587	$	318,089	$	25,624,242	$	24,672,211
Foreign exchange contracts
Swaps	$	64,986	$	63,104	$	6,104,059	$	6,063,853
Futures, forwards and spot	34,616		38,275		4,275,082		3,979,188
Written options	753		80		981,562		908,061
Purchased options	766		80		981,998		959,149
Total foreign exchange contracts	$	101,121	$	101,539	$	12,342,701	$	11,910,251
Equity contracts
Swaps	$	—	$	—	$	237,127	$	197,893
Futures and forwards	—		—		67,470		66,705
Written options	—		—		525,911		560,571
Purchased options	—		—		393,130		422,393
Total equity contracts	$	—	$	—	$	1,223,638	$	1,247,562
Commodity and other contracts
Swaps	$	—	$	—	$	79,079	$	69,445
Futures and forwards	784		1,195		163,925		137,192
Written options	—		—		95,573		91,587
Purchased options	—		—		93,328		86,631
Total commodity and other contracts	$	784	$	1,195	$	431,905	$	384,855
Credit derivatives(1)
Protection sold	$	—	$	—	$	621,099	$	603,387
Protection purchased	—		—		699,908		703,926
Total credit derivatives	$	—	$	—	$	1,321,007	$	1,307,313
Total derivative notionals	$	449,492	$	420,823	$	40,943,493	$	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.

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of September 30, 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 $270 billion and $180 billion as of September 30, 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 September 30, 2020	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,755	$	110
Cleared	—		327

Interest rate contracts	$	1,755	$	437
Over-the-counter	$	1,307	$	1,167
Cleared	—		—

Foreign exchange contracts	$	1,307	$	1,167




Total derivatives instruments designated as ASC 815 hedges	$	3,062	$	1,604
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	235,886	$	217,733
Cleared	13,487		10,979
Exchange traded	39		32
Interest rate contracts	$	249,412	$	228,744
Over-the-counter	$	108,487	$	109,809
Cleared	553		819
Exchange traded	4		5
Foreign exchange contracts	$	109,044	$	110,633
Over-the-counter	$	18,281	$	28,181
Cleared	5		2
Exchange traded	23,506		24,416
Equity contracts	$	41,792	$	52,599
Over-the-counter	$	13,987	$	17,880

Exchange traded	1,010		1,145
Commodity and other contracts	$	14,997	$	19,025
Over-the-counter	$	9,469	$	9,685
Cleared	1,415		1,809

Credit derivatives	$	10,884	$	11,494
Total derivatives instruments not designated as ASC 815 hedges	$	426,129	$	422,495
Total derivatives	$	429,191	$	424,099
Cash collateral paid/received(3)	$	23,159	$	17,054
Less: Netting agreements(4)	(330,993)		(330,993)
Less: Netting cash collateral received/paid(5)	(54,089)		(53,126)
Net receivables/payables included on the Consolidated Balance Sheet(6)	$	67,268	$	57,034
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	(901)	$	(305)
Less: Non-cash collateral received/paid	(9,778)		(13,835)
Total net receivables/payables(6)	$	56,589	$	42,894

(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 $76,285 million and $71,143 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,126 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $54,089 million was used to offset trading derivative assets.

(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $299 billion, $10 billion and $22 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 $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.

(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.

(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.

For the three and nine months ended September 30, 2020 and 2019, 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 September 30,				Nine Months Ended September 30,
In millions of dollars	2020		2019		2020		2019
Interest rate contracts	$	(3)	$	14	$	171	$	76
Foreign exchange	19		22		(18)		35
Total	$	16	$	36	$	153	$	111

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.

Citigroup has 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 prepayable 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 inventories. 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 it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.

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


	Gains (losses) on fair value hedges(1)
	Three Months Ended September 30,								Nine Months Ended September 30,
	2020				2019				2020				2019
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	$	—	$	(1,121)	$	—	$	1,363	$	—	$	5,965	$	—	$	4,179
Foreign exchange hedges	1,235		—		(1,180)		—		(242)		—		(1,192)		—
Commodity hedges	(3)		—		60		—		(94)		—		(42)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	1,232	$	(1,121)	$	(1,120)	$	1,363	$	(336)	$	5,965	$	(1,234)	$	4,179
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	955	$	—	$	(1,320)	$	—	$	(6,173)	$	—	$	(3,982)
Foreign exchange hedges	(1,235)		—		1,180		—		242		—		1,192		—
Commodity hedges	3		—		60		—		94		—		42		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(1,232)	$	955	$	1,240	$	(1,320)	$	336	$	(6,173)	$	1,234	$	(3,982)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	(4)	$	—	$	(23)	$	—	$	(8)
Foreign exchange hedges(2)	(24)		—		25		—		(65)		—		(96)		—
Commodity hedges	91		—		11		—		81		—		34		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	67	$	—	$	36	$	(4)	$	16	$	(23)	$	(62)	$	(8)

(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 $(51) million and $(2) million for the three and nine months ended September 30, 2020 and $(10) million and $73 million for the three and nine months ended September 30, 2019, 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. This cumulative hedge basis adjustment becomes part of the carrying value of 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 September 30, 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 September 30, 2020
Debt securities AFS(1)(3)	$	99,152	$	22	$	385
Long-term debt	170,069		7,811		4,197
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 $7 million for active hedges and $74 million for de-designated hedges as of September 30, 2020 related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $1,768 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of September 30, 2020) in a last-of-layer hedging relationship.

(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.

(3)Carrying amount represents the amortized cost.

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 September 30, 2020 is approximately $988 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 September 30,								Nine Months Ended September 30,
In millions of dollars	2020				2019				2020				2019
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	(52)			$	241			$	2,739			$	1,040
Foreign exchange contracts	—				(6)				(16)				(15)
Total gain (loss) recognized in AOCI	$	(52)			$	235			$	2,723			$	1,025
Amount of gain (loss) reclassified from AOCI to earnings(1)	Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue
Interest rate contracts	$	—	$	256	$	—	$	(96)	$	—	$	459	$	—	$	(360)
Foreign exchange contracts	(1)		—		(2)		—		(3)		—		(6)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	256	$	(2)	$	(96)	$	(3)	$	459	$	(6)	$	(360)
Net pretax change in cash flow hedges included within AOCI			$	(307)			$	333			$	2,267			$	1,391

(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 Foreign currency translation adjustment within AOCI, related to net investment hedges, was $(450) million and $882 million for the three and nine months ended September 30, 2020 and $472 million and $177 million for the three and nine months ended September 30, 2019, 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 September 30, 2020	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	3,447	$	3,624	$	144,438	$	150,070
Broker-dealers	2,186		1,457		52,326		48,749
Non-financial	117		102		4,615		2,423
Insurance and other financial institutions	5,134		6,311		498,529		419,857
Total by industry of counterparty	$	10,884	$	11,494	$	699,908	$	621,099
By instrument
Credit default swaps and options	$	10,388	$	10,272	$	687,113	$	616,677
Total return swaps and other	496		1,222		12,795		4,422
Total by instrument	$	10,884	$	11,494	$	699,908	$	621,099
By rating of reference entity
Investment grade	$	4,116	$	3,960	$	551,117	$	479,872
Non-investment grade	6,768		7,534		148,791		141,227
Total by rating of reference entity	$	10,884	$	11,494	$	699,908	$	621,099
By maturity
Within 1 year	$	901	$	1,785	$	171,025	$	147,613
From 1 to 5 years	6,145		6,134		435,061		397,139
After 5 years	3,838		3,575		93,822		76,347
Total by maturity	$	10,884	$	11,494	$	699,908	$	621,099

(1)The fair value amount receivable is composed of $6,158 million under protection purchased and $4,726 million under protection sold.

(2)The fair value amount payable is composed of $5,655 million under protection purchased and $5,839 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 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.

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 September 30, 2020 and December 31, 2019 was $28 billion and $30 billion, respectively. The Company posted $24 billion and $28 billion as collateral for this exposure in the normal course of business as of September 30, 2020 and December 31, 2019, 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 September 30, 2020, the Company could be required to post an additional $0.8 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.2 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1 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 $1.5 billion and $5.8 billion as of September 30, 2020 and December 31, 2019, respectively.

At September 30, 2020, the fair value of these previously derecognized assets was $1.6 billion. The fair value of the total return swaps as of September 30, 2020 was $41 million recorded as gross derivative assets and $23 million recorded as gross derivative liabilities. At December 31, 2019, the fair value of these previously derecognized assets was $5.9 billion, and the fair value of the total return swaps was $117 million recorded as gross derivative assets and $43 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.