DERIVATIVES

9 Months Ended

Sep. 30, 2021

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 2020 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, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Interest rate contracts
Swaps	$	283,433	$	334,351	$	20,154,428	$	17,724,147
Futures and forwards	—		—		3,485,545		4,142,514
Written options	—		—		1,619,341		1,573,483
Purchased options	—		—		1,470,167		1,418,255
Total interest rate contracts	$	283,433	$	334,351	$	26,729,481	$	24,858,399
Foreign exchange contracts
Swaps	$	50,214	$	65,709	$	6,707,996	$	6,567,304
Futures, forwards and spot	54,135		37,080		4,778,312		3,945,391
Written options	—		47		746,078		907,338
Purchased options	—		53		740,239		900,626
Total foreign exchange contracts	$	104,349	$	102,889	$	12,972,625	$	12,320,659
Equity contracts
Swaps	$	—	$	—	$	313,557	$	274,098
Futures and forwards	—		—		92,136		67,025
Written options	—		—		585,440		441,003
Purchased options	—		—		473,549		328,202
Total equity contracts	$	—	$	—	$	1,464,682	$	1,110,328
Commodity and other contracts
Swaps	$	—	$	—	$	94,768	$	80,127
Futures and forwards	2,342		924		176,408		143,175
Written options	—		—		63,308		71,376
Purchased options	—		—		58,947		67,849
Total commodity and other contracts	$	2,342	$	924	$	393,431	$	362,527
Credit derivatives(1)
Protection sold	$	—	$	—	$	634,497	$	543,607
Protection purchased	—		—		705,590		612,770
Total credit derivatives	$	—	$	—	$	1,340,087	$	1,156,377
Total derivative notionals	$	390,124	$	438,164	$	42,900,306	$	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.

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, 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 $290 billion and $280 billion as of September 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 September 30, 2021	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,964	$	30
Cleared	244		84

Interest rate contracts	$	2,208	$	114
Over-the-counter	$	1,146	$	1,482
Cleared	6		—

Foreign exchange contracts	$	1,152	$	1,482




Total derivatives instruments designated as ASC 815 hedges	$	3,360	$	1,596
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	159,004	$	146,083
Cleared	12,129		10,673
Exchange traded	55		29
Interest rate contracts	$	171,188	$	156,785
Over-the-counter	$	130,707	$	128,259
Cleared	401		249

Foreign exchange contracts	$	131,108	$	128,508
Over-the-counter	$	30,147	$	38,966
Cleared	18		24
Exchange traded	23,516		23,583
Equity contracts	$	53,681	$	62,573
Over-the-counter	$	43,833	$	43,394

Exchange traded	3,302		3,824
Commodity and other contracts	$	47,135	$	47,218
Over-the-counter	$	7,237	$	7,331
Cleared	3,005		3,318

Credit derivatives	$	10,242	$	10,649
Total derivatives instruments not designated as ASC 815 hedges	$	413,354	$	405,733
Total derivatives	$	416,714	$	407,329
Cash collateral paid/received(3)	$	23,216	$	18,492
Less: Netting agreements(4)	(313,526)		(313,526)
Less: Netting cash collateral received/paid(5)	(48,391)		(49,460)
Net receivables/payables included on the Consolidated Balance Sheet(6)	$	78,013	$	62,835
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	(881)	$	(509)
Less: Non-cash collateral received/paid	(5,726)		(13,358)
Total net receivables/payables(6)	$	71,406	$	48,968

(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 $72,676 million and $66,883 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,460 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $48,391 million was used to offset trading derivative assets.

(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $278 billion, $12 billion and $23 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 $10 billion of derivative asset and $12 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.

(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.

(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.

For the three and nine months ended September 30, 2021 and 2020, 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	2021		2020		2021		2020
Interest rate contracts	$	9	$	(3)	$	(66)	$	171
Foreign exchange	(26)		19		(60)		(18)
Total	$	(17)	$	16	$	(126)	$	153

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,
	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	$	—	$	(747)	$	—	$	(1,121)	$	—	$	(4,228)	$	—	$	5,965
Foreign exchange hedges	(724)		—		1,235		—		(714)		—		(242)		—
Commodity hedges	(166)		—		(3)		—		(732)		—		(94)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	(890)	$	(747)	$	1,232	$	(1,121)	$	(1,446)	$	(4,228)	$	(336)	$	5,965
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	667	$	—	$	955	$	—	$	3,934	$	—	$	(6,173)
Foreign exchange hedges	725		—		(1,235)		—		715		—		242		—
Commodity hedges	166		—		3		—		732		—		94		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	891	$	667	$	(1,232)	$	955	$	1,447	$	3,934	$	336	$	(6,173)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	—	$	—	$	(3)	$	—	$	(23)
Foreign exchange hedges(2)	79		—		(24)		—		96		—		(65)		—
Commodity hedges	42		—		91		—		(33)		—		81		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	121	$	—	$	67	$	—	$	63	$	(3)	$	16	$	(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 $12 million and $(14) million for the three and nine months ended September 30, 2021 and $(51) million and $(2) million for the three and nine months ended September 30, 2020, 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, 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 September 30, 2021
Debt securities AFS(1)(3)	$	72,366	$	103	$	165
Long-term debt	155,659		1,804		4,061
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 $76 million for active hedges and $(118) million for de-designated hedges as of September 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 $30 billion as of September 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.

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, 2021 is approximately $1 billion. 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	2021				2020				2021				2020
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	19			$	(52)			$	(397)			$	2,739
Foreign exchange contracts	(16)				—				(16)				(16)
Total gain (loss) recognized in AOCI	$	3			$	(52)			$	(413)			$	2,723
	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	$	—	$	269	$	—	$	256	$	—	$	809	$	—	$	459
Foreign exchange contracts	(1)		—		(1)		—		(3)		—		(3)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	269	$	(1)	$	256	$	(3)	$	809	$	(3)	$	459
Net pretax change in cash flow hedges included within AOCI			$	(265)			$	(307)			$	(1,219)			$	2,267

(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 $700 million and $831 million for the three and nine months ended September 30, 2021 and $(450) million and $882 million for the three and nine months ended September 30, 2020, 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, 2021	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	2,384	$	3,060	$	112,636	$	108,122
Broker-dealers	1,984		1,229		50,752		44,525
Non-financial	125		75		6,056		2,635
Insurance and other financial institutions	5,749		6,285		536,146		479,215
Total by industry of counterparty	$	10,242	$	10,649	$	705,590	$	634,497
By instrument
Credit default swaps and options	$	9,609	$	9,927	$	689,107	$	626,484
Total return swaps and other	633		722		16,483		8,013
Total by instrument	$	10,242	$	10,649	$	705,590	$	634,497
By rating of reference entity
Investment grade	$	4,179	$	4,053	$	541,747	$	478,178
Non-investment grade	6,063		6,596		163,843		156,319
Total by rating of reference entity	$	10,242	$	10,649	$	705,590	$	634,497
By maturity
Within 1 year	$	783	$	1,274	$	131,085	$	121,324
From 1 to 5 years	6,188		6,192		460,850		419,029
After 5 years	3,271		3,183		113,655		94,144
Total by maturity	$	10,242	$	10,649	$	705,590	$	634,497

(1)The fair value amount receivable is composed of $3,729 million under protection purchased and $6,513 million under protection sold.

(2)The fair value amount payable is composed of $7,244 million under protection purchased and $3,405 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.

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 September 30, 2021 and December 31, 2020 was $20 billion and $25 billion, respectively. The Company posted $18 billion and $22 billion as collateral for this exposure in the normal course of business as of September 30, 2021 and December 31, 2020, 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, 2021, the Company could be required to post an additional $1.5 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 $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.6 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 $1.6 billion and $2.0 billion as of September 30, 2021 and December 31, 2020, respectively.

At September 30, 2021, the fair value of these previously derecognized assets was $1.6 billion. The fair value of the total return swaps as of September 30, 2021 was $53 million recorded as gross derivative assets and $18 million recorded as gross derivative liabilities. At December 31, 2020, the fair value of these previously derecognized assets was $2.2 billion, and the fair value of the total return swaps was $135 million recorded as gross derivative assets and $7 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.