DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative notionals

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	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Interest rate contracts
Swaps	$	295,160	$	334,351	$	19,629,538	$	17,724,147
Futures and forwards	—		—		4,381,531		4,142,514
Written options	—		—		1,598,478		1,573,483
Purchased options	—		—		1,472,341		1,418,255
Total interest rate contracts	$	295,160	$	334,351	$	27,081,888	$	24,858,399
Foreign exchange contracts
Swaps	$	55,575	$	65,709	$	6,495,324	$	6,567,304
Futures, forwards and spot	42,510		37,080		4,586,090		3,945,391
Written options	24		47		796,584		907,338
Purchased options	26		53		790,172		900,626
Total foreign exchange contracts	$	98,135	$	102,889	$	12,668,170	$	12,320,659
Equity contracts
Swaps	$	—	$	—	$	306,856	$	274,098
Futures and forwards	—		—		82,175		67,025
Written options	—		—		525,671		441,003
Purchased options	—		—		436,045		328,202
Total equity contracts	$	—	$	—	$	1,350,747	$	1,110,328
Commodity and other contracts
Swaps	$	—	$	—	$	90,785	$	80,127
Futures and forwards	1,929		924		168,072		143,175
Written options	—		—		68,024		71,376
Purchased options	—		—		64,810		67,849
Total commodity and other contracts	$	1,929	$	924	$	391,691	$	362,527
Credit derivatives(1)
Protection sold	$	—	$	—	$	563,906	$	543,607
Protection purchased	—		—		632,441		612,770
Total credit derivatives	$	—	$	—	$	1,196,347	$	1,156,377
Total derivative notionals	$	395,224	$	438,164	$	42,688,843	$	39,808,290

(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, 2021 and December 31, 2020. 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 $275 billion and $280 billion as of June 30, 2021 and December 31, 2020, 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 June 30, 2021	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,331	$	38
Cleared	88		148
Interest rate contracts	$	1,419	$	186
Over-the-counter	$	879	$	1,342
Cleared	—		3
Foreign exchange contracts	$	879	$	1,345
Total derivatives instruments designated as ASC 815 hedges	$	2,298	$	1,531
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	172,044	$	157,764
Cleared	12,425		10,770
Exchange traded	89		21
Interest rate contracts	$	184,558	$	168,555
Over-the-counter	$	117,330	$	115,100
Cleared	362		290
Foreign exchange contracts	$	117,692	$	115,390
Over-the-counter	$	28,687	$	40,156
Cleared	—		1
Exchange traded	19,828		19,770
Equity contracts	$	48,515	$	59,927
Over-the-counter	$	23,419	$	25,917
Exchange traded	1,778		2,269
Commodity and other contracts	$	25,197	$	28,186
Over-the-counter	$	7,108	$	7,206
Cleared	2,744		3,271
Credit derivatives	$	9,852	$	10,477
Total derivatives instruments not designated as ASC 815 hedges	$	385,814	$	382,535
Total derivatives	$	388,112	$	384,066
Cash collateral paid/received(3)	$	22,104	$	17,965
Less: Netting agreements(4)	(293,047)		(293,047)
Less: Netting cash collateral received/paid(5)	(43,554)		(48,079)
Net receivables/payables included on the Consolidated Balance Sheet(6)	$	73,615	$	60,905
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(982)	$	(1,586)
Less: Non-cash collateral received/paid	(6,800)		(13,639)
Total net receivables/payables(6)	$	65,833	$	45,680

(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 $70,183 million and $61,519 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $48,079 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $43,554 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, $12 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 $12 billion of derivative asset and $13 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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 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 $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.

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	2021		2020		2021		2020
Interest rate contracts	$	(15)	$	19	$	(75)	$	174
Foreign exchange	(13)		(61)		(34)		(37)
Total	$	(28)	$	(42)	$	(109)	$	137

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,
	2021				2020				2021				2020
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	$	—	$	454	$	—	$	239	$	—	$	(3,481)	$	—	$	7,086
Foreign exchange hedges	220		—		434		—		10		—		(1,477)		—
Commodity hedges	(277)		—		(381)		—		(566)		—		(91)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	(57)	$	454	$	53	$	239	$	(556)	$	(3,481)	$	(1,568)	$	7,086
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	(559)	$	—	$	(313)	$	—	$	3,267	$	—	$	(7,128)
Foreign exchange hedges	(220)		—		(434)		—		(10)		—		1,477		—
Commodity hedges	277		—		381		—		566		—		91		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	57	$	(559)	$	(53)	$	(313)	$	556	$	3,267	$	1,568	$	(7,128)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	1	$	—	$	(18)	$	—	$	(3)	$	—	$	(23)
Foreign exchange hedges(2)	13		—		17		—		17		—		(41)		—
Commodity hedges	(53)		—		15		—		(75)		—		(10)		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	(40)	$	1	$	32	$	(18)	$	(58)	$	(3)	$	(51)	$	(23)

(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 included in AOCI was $(13) million and $(26) million for the three and six months ended June 30, 2021 and $16 million and $49 million for the three and six months ended June 30, 2020, 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, 2021 and December 31, 2020, 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 June 30, 2021
Debt securities AFS(1)(3)	$	78,108	$	59	$	126
Long-term debt	159,712		2,563		4,177
As of December 31, 2020
Debt securities AFS(2)(3)	$	81,082	$	28	$	342
Long-term debt	169,026		5,554		4,989

(1)These amounts include a cumulative basis adjustment of $111 million for active hedges and $(131) million for de-designated hedges as of June 30, 2021, 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 $7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $33 billion as of June 30, 2021) in a last-of-layer hedging relationship.

(2)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 designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion 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.

(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 June 30,								Six Months Ended June 30,
In millions of dollars	2021				2020				2021				2020
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	39			$	294			$	(416)			$	2,791
Foreign exchange contracts	(3)				(5)				—				(16)
Total gain (loss) recognized in AOCI	$	36			$	289			$	(416)			$	2,775
	Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts	$	—	$	266	$	—	$	200	$	—	$	544	$	—	$	203
Foreign exchange contracts	(1)		—		(1)		—		(2)		—		(2)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	266	$	(1)	$	200	$	(2)	$	544	$	(2)	$	203
Net pretax change in cash flow hedges included within AOCI			$	(229)			$	90			$	(958)			$	2,574

(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, 2021	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	2,498	$	3,167	$	107,848	$	103,288
Broker-dealers	1,817		1,124		45,629		41,188
Non-financial	119		79		6,089		2,774
Insurance and other financial institutions	5,418		6,107		472,875		416,656
Total by industry of counterparty	$	9,852	$	10,477	$	632,441	$	563,906
By instrument
Credit default swaps and options	$	9,170	$	9,784	$	615,504	$	556,760
Total return swaps and other	682		693		16,937		7,146
Total by instrument	$	9,852	$	10,477	$	632,441	$	563,906
By rating of reference entity
Investment grade	$	4,192	$	4,036	$	477,097	$	421,549
Non-investment grade	5,660		6,441		155,344		142,357
Total by rating of reference entity	$	9,852	$	10,477	$	632,441	$	563,906
By maturity
Within 1 year	$	937	$	1,479	$	132,426	$	123,092
From 1 to 5 years	6,157		6,323		441,620		396,219
After 5 years	2,758		2,675		58,395		44,595
Total by maturity	$	9,852	$	10,477	$	632,441	$	563,906

(1)The fair value amount receivable is composed of $3,376 million under protection purchased and $6,476 million under protection sold.

(2)The fair value amount payable is composed of $7,228 million under protection purchased and $3,249 million under protection sold.

	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.