DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative notionals

Derivative Notionals

	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	December 31, 2020		December 31, 2019		December 31, 2020		December 31, 2019
Interest rate contracts
Swaps	$	334,351	$	318,089	$	17,724,147	$	17,063,272
Futures and forwards	—		—		4,142,514		3,636,658
Written options	—		—		1,573,483		2,114,511
Purchased options	—		—		1,418,255		1,857,770
Total interest rate contracts	$	334,351	$	318,089	$	24,858,399	$	24,672,211
Foreign exchange contracts
Swaps	$	65,709	$	63,104	$	6,567,304	$	6,063,853
Futures, forwards and spot	37,080		38,275		3,945,391		3,979,188
Written options	47		80		907,338		908,061
Purchased options	53		80		900,626		959,149
Total foreign exchange contracts	$	102,889	$	101,539	$	12,320,659	$	11,910,251
Equity contracts
Swaps	$	—	$	—	$	274,098	$	197,893
Futures and forwards	—		—		67,025		66,705
Written options	—		—		441,003		560,571
Purchased options	—		—		328,202		422,393
Total equity contracts	$	—	$	—	$	1,110,328	$	1,247,562
Commodity and other contracts
Swaps	$	—	$	—	$	80,127	$	69,445
Futures and forwards	924		1,195		143,175		137,192
Written options	—		—		71,376		91,587
Purchased options	—		—		67,849		86,631
Total commodity and other contracts	$	924	$	1,195	$	362,527	$	384,855
Credit derivatives(1)
Protection sold	$	—	$	—	$	543,607	$	603,387
Protection purchased	—		—		612,770		703,926
Total credit derivatives	$	—	$	—	$	1,156,377	$	1,307,313
Total derivative notionals	$	438,164	$	420,823	$	39,808,290	$	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

Derivative Mark-to-Market (MTM) Receivables/Payables

In millions of dollars at December 31, 2020	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,781	$	161
Cleared	74		319
Interest rate contracts	$	1,855	$	480
Over-the-counter	$	2,037	$	2,042
Foreign exchange contracts	$	2,037	$	2,042
Total derivatives instruments designated as ASC 815 hedges	$	3,892	$	2,522
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	228,519	$	209,330
Cleared	11,041		12,563
Exchange traded	46		38
Interest rate contracts	$	239,606	$	221,931
Over-the-counter	$	153,791	$	152,784
Cleared	842		1,239
Exchange traded	—		1
Foreign exchange contracts	$	154,633	$	154,024
Over-the-counter	$	29,244	$	41,036
Cleared	1		18
Exchange traded	21,274		22,515
Equity contracts	$	50,519	$	63,569
Over-the-counter	$	13,659	$	17,076
Exchange traded	879		1,017
Commodity and other contracts	$	14,538	$	18,093
Over-the-counter	$	7,826	$	7,951
Cleared	1,963		2,178
Credit derivatives	$	9,789	$	10,129
Total derivatives instruments not designated as ASC 815 hedges	$	469,085	$	467,746
Total derivatives	$	472,977	$	470,268
Cash collateral paid/received(3)	$	32,778	$	8,196
Less: Netting agreements(4)	(364,879)		(364,879)
Less: Netting cash collateral received/paid(5)	(63,915)		(45,628)
Net receivables/payables included on the Consolidated Balance Sheet(6)	$	76,961	$	67,957
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(1,567)	$	(473)
Less: Non-cash collateral received/paid	(7,408)		(13,087)
Total net receivables/payables(6)	$	67,986	$	54,397

(1)The derivatives fair values are also 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 $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.

(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 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 $6 billion of derivative asset and $8 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 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 $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 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	2020		2019		2018
Interest rate contracts	$	63	$	57	$	(25)
Foreign exchange	(57)		(29)		(197)
Total	$	6	$	28	$	(222)

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,
	2020				2019				2018
In millions of dollars	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	$	—	$	4,189	$	—	$	2,273	$	—	$	794
Foreign exchange hedges	1,442		—		337		—		(2,064)		—
Commodity hedges	(164)		—		(33)		—		(123)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	1,278	$	4,189	$	304	$	2,273	$	(2,187)	$	794
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	(4,537)	$	—	$	(2,085)	$	—	$	(747)
Foreign exchange hedges	(1,442)		—		(337)		—		2,064		—
Commodity hedges	164		—		33		—		124		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(1,278)	$	(4,537)	$	(304)	$	(2,085)	$	2,188	$	(747)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	(23)	$	—	$	3	$	—	$	(5)
Foreign exchange hedges(2)	(73)		—		(109)		—		(4)		—
Commodity hedges	131		—		41		—		(19)		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	58	$	(23)	$	(68)	$	3	$	(23)	$	(5)

(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 $(23) million and $33 million for the years ended December 31, 2020 and 2019, respectively.

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
			Active		De-designated
As of December 31, 2020
Debt securities   AFS(1)(3)	$	81,082	$	28	$	342
Long-term debt	169,026		5,554		4,989
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 $(18) million for active hedges and $62 million for de-designated hedges as of December 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. The Company designated approximately $2,527 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19 billion as of December 31, 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.

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	2020				2019				2018
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	2,670			$	746					$	(361)
Foreign exchange contracts	(15)				(17)						5
Total gain (loss) recognized in AOCI	$	2,655			$	729					$	(356)
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
Interest rate contracts	$	—	$	734	$	—	$	(384)	$	—	$	(301)
Foreign exchange contracts	(4)		—		(7)		—		(17)		—
Total gain (loss) reclassified from AOCI into earnings	$	(4)	$	734	$	(7)	$	(384)	$	(17)	$	(301)
Net pretax change in cash flow hedges included within AOCI			$	1,925			$	1,120			$	(38)

(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, 2020	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	2,902	$	3,187	$	117,685	$	120,739
Broker-dealers	1,770		1,215		46,928		44,692
Non-financial	109		90		5,740		2,217
Insurance and other financial institutions	5,008		5,637		442,417		375,959
Total by industry of counterparty	$	9,789	$	10,129	$	612,770	$	543,607
By instrument
Credit default swaps and options	$	9,254	$	9,254	$	599,633	$	538,426
Total return swaps and other	535		875		13,137		5,181
Total by instrument	$	9,789	$	10,129	$	612,770	$	543,607
By rating of reference entity
Investment grade	$	4,136	$	4,037	$	478,643	$	418,147
Non-investment grade	5,653		6,092		134,127		125,460
Total by rating of reference entity	$	9,789	$	10,129	$	612,770	$	543,607
By maturity
Within 1 year	$	914	$	1,355	$	134,080	$	125,464
From 1 to 5 years	6,022		5,991		421,682		374,376
After 5 years	2,853		2,783		57,008		43,767
Total by maturity	$	9,789	$	10,129	$	612,770	$	543,607

(1)The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.

(2)The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 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.