XML 71 R51.htm IDEA: XBRL DOCUMENT v3.22.2.2
DERIVATIVES (Tables)
9 Months Ended
Sep. 30, 2022
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 815Trading derivative instruments
In millions of dollarsSeptember 30,
2022
December 31,
2021
September 30,
2022
December 31,
2021
Interest rate contracts    
Swaps$241,324 $267,035 $23,601,980 $21,873,538 
Futures and forwards — 2,646,937 2,383,702 
Written options — 1,804,687 1,584,451 
Purchased options — 1,722,756 1,428,376 
Total interest rate contracts$241,324 $267,035 $29,776,360 $27,270,067 
Foreign exchange contracts 
Swaps$44,981 $47,298 $6,486,067 $6,288,193 
Futures, forwards and spot40,271 50,926 3,877,382 4,316,242 
Written options — 951,315 664,942 
Purchased options — 938,775 651,958 
Total foreign exchange contracts$85,252 $98,224 $12,253,539 $11,921,335 
Equity contracts  
Swaps$ $— $257,136 $269,062 
Futures and forwards — 85,257 71,363 
Written options — 520,219 492,433 
Purchased options — 438,795 398,129 
Total equity contracts$ $— $1,301,407 $1,230,987 
Commodity and other contracts  
Swaps$ $— $93,580 $91,962 
Futures and forwards1,381 2,096 173,404 157,195 
Written options — 55,264 51,224 
Purchased options — 52,101 47,868 
Total commodity and other contracts$1,381 $2,096 $374,349 $348,249 
Credit derivatives(1)
 
Protection sold$ $— $662,018 $572,486 
Protection purchased — 698,039 645,996 
Total credit derivatives$ $— $1,360,057 $1,218,482 
Total derivative notionals$327,957 $367,355 $45,065,712 $41,989,120 
(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 September 30, 2022 and December 31, 2021. 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. 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, 2022
Derivatives classified in
Trading account assets/liabilities
(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$601 $ 
Cleared139 68 
Interest rate contracts$740 $68 
Over-the-counter$2,343 $1,806 
Cleared14  
Foreign exchange contracts$2,357 $1,806 
Total derivatives instruments designated as ASC 815 hedges$3,097 $1,874 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$131,748 $125,570 
Cleared57,713 57,704 
Exchange traded382 323 
Interest rate contracts$189,843 $183,597 
Over-the-counter$250,015 $246,503 
Cleared954 1,005 
Exchange traded 4 
Foreign exchange contracts$250,969 $247,512 
Over-the-counter$28,909 $31,335 
Cleared32 3 
Exchange traded31,915 32,568 
Equity contracts$60,856 $63,906 
Over-the-counter$47,061 $39,429 
Exchange traded2,334 3,101 
Commodity and other contracts$49,395 $42,530 
Over-the-counter$6,399 $5,343 
Cleared3,826 3,999 
Credit derivatives$10,225 $9,342 
Total derivatives instruments not designated as ASC 815 hedges$561,288 $546,887 
Total derivatives$564,385 $548,761 
Less: Netting agreements(3)
$(431,992)$(431,992)
Less: Netting cash collateral received/paid(4)
(34,709)(44,172)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$97,684 $72,597 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,789)$(2,034)
Less: Non-cash collateral received/paid(5,216)(14,274)
Total net receivables/payables(5)
$90,679 $56,289 

(1)The derivative fair values are also presented in Note 20.
(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)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $353 billion, $46 billion and $33 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)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.
(5)The net receivables/payables include approximately $7 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
In millions of dollars at December 31, 2021
Derivatives classified in
Trading account assets/liabilities
(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,167 $
Cleared122 89 
Interest rate contracts$1,289 $95 
Over-the-counter$1,338 $1,472 
Cleared— 
Foreign exchange contracts$1,344 $1,472 
Total derivatives instruments designated as ASC 815 hedges$2,633 $1,567 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$152,524 $138,114 
Cleared11,579 11,821 
Exchange traded96 44 
Interest rate contracts$164,199 $149,979 
Over-the-counter$133,357 $133,548 
Cleared848 278 
Foreign exchange contracts$134,205 $133,826 
Over-the-counter$23,452 $28,352 
Cleared19 — 
Exchange traded21,781 21,332 
Equity contracts$45,252 $49,684 
Over-the-counter$29,279 $29,833 
Exchange traded1,065 1,546 
Commodity and other contracts$30,344 $31,379 
Over-the-counter$6,896 $6,959 
Cleared3,322 4,056 
Credit derivatives$10,218 $11,015 
Total derivatives instruments not designated as ASC 815 hedges$384,218 $375,883 
Total derivatives$386,851 $377,450 
Less: Netting agreements(3)
$(292,628)$(292,628)
Less: Netting cash collateral received/paid(4)
(24,447)(29,306)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$69,776 $55,516 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(907)$(538)
Less: Non-cash collateral received/paid(5,777)(13,607)
Total net receivables/payables(5)
$63,092 $41,371 

(1)The derivative fair values are also presented in Note 20.
(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)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $259 billion, $14 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.
(4)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.
(5)The net receivables/payables include approximately $10 billion of derivative asset and $11 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 September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Interest rate contracts$26 $$170 $(66)
Foreign exchange(33)(26)(114)(60)
Total$(7)$(17)$56 $(126)
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,
2022202120222021
In millions of dollarsOther revenueNet interest incomeOther revenueNet interest incomeOther
revenue
Net interest incomeOther revenueNet interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges  
Interest rate hedges$ $(1,855)$— $(747)$ $(8,238)$— $(4,228)
Foreign exchange hedges(964) (724)— (2,623) (714)— 
Commodity hedges(977) (166)— (362) (732)— 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(1,941)$(1,855)$(890)$(747)$(2,985)$(8,238)$(1,446)$(4,228)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$ $1,793 $— $667 $ $8,036 $— $3,934 
Foreign exchange hedges964  725 — 2,621  715 — 
Commodity hedges977  166 — 362  732 — 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$1,941 $1,793 $891 $667 $2,983 $8,036 $1,447 $3,934 
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges
    
Interest rate hedges$ $ $— $— $ $(11)$— $(3)
Foreign exchange hedges(2)
79  79 — 183  96 — 
Commodity hedges7  42 — 30  (33)— 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$86 $ $121 $— $213 $(11)$63 $(3)

(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 income 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 $40 million and $116 million for the three and nine months ended September 30, 2022 and $12 million and $(14) million for the three and nine months ended September 30, 2021, 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 September 30, 2022 and December 31, 2021, along with the cumulative 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 recordedCarrying amount of hedged asset/ liabilityCumulative basis adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of September 30, 2022
Debt securities AFS(1)(3)
$97,753 $(3,207)$(383)
Long-term debt139,620 (6,706)(1,879)
As of December 31, 2021
Debt securities AFS(2)(3)
$62,733 $149 $212 
Long-term debt149,305 623 3,936 

(1)These amounts include a cumulative basis adjustment of $(113) million for active hedges and $(316) million for de-designated hedges as of September 30, 2022, 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 $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $11 billion as of September 30, 2022) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $24 million for active hedges and $(92) million for de-designated hedges as of December 31, 2021, 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 $6 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $25 billion as of December 31, 2021) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
Schedule of pretax change in accumulated other comprehensive income (loss) from cash flow hedges The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17.
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2022202120222021
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(1,196)$19 $(3,637)$(397)
Foreign exchange contracts29 (16)45 (16)
Total gain (loss) recognized in AOCI
$(1,167)$$(3,592)$(413)

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$ $(141)$— $269 $ $344 $— $809 
Foreign exchange contracts(1) (1)— (3) (3)— 
Total gain (loss) reclassified from AOCI into earnings
$(1)$(141)$(1)$269 $(3)$344 $(3)$809 
Net pretax change in cash flow hedges included within AOCI
$(1,025)$(265)$(3,933)$(1,219)

(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest income 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 valuesNotionals
In millions of dollars at September 30, 2022
Receivable(1)
Payable(2)
Protection
purchased
Protection
sold
By industry of counterparty
Banks$2,367 $2,985 $109,040 $109,216 
Broker-dealers2,135 1,415 46,379 42,384 
Non-financial64 8 2,147 1,888 
Insurance and other financial institutions5,659 4,934 540,473 508,530 
Total by industry of counterparty$10,225 $9,342 $698,039 $662,018 
By instrument
Credit default swaps and options$8,366 $8,547 $682,184 $654,560 
Total return swaps and other1,859 795 15,855 7,458 
Total by instrument$10,225 $9,342 $698,039 $662,018 
By rating of reference entity
Investment grade$4,534 $3,742 $540,193 $508,631 
Non-investment grade5,691 5,600 157,846 153,387 
Total by rating of reference entity$10,225 $9,342 $698,039 $662,018 
By maturity
Within 1 year$2,276 $1,918 $153,088 $159,624 
From 1 to 5 years5,319 4,878 461,986 422,941 
After 5 years2,630 2,546 82,965 79,453 
Total by maturity$10,225 $9,342 $698,039 $662,018 

(1)The fair value amount receivable is composed of $8,304 million under protection purchased and $1,921 million under protection sold.
(2)The fair value amount payable is composed of $2,170 million under protection purchased and $7,172 million under protection sold.
 Fair valuesNotionals
In millions of dollars at December 31, 2021
Receivable(1)
Payable(2)
Protection
purchased
Protection
sold
By industry of counterparty
Banks$2,375 $3,031 $108,415 $103,756 
Broker-dealers1,962 1,139 44,364 40,068 
Non-financial113 306 2,785 2,728 
Insurance and other financial institutions5,768 6,539 490,432 425,934 
Total by industry of counterparty$10,218 $11,015 $645,996 $572,486 
By instrument
Credit default swaps and options$9,923 $10,234 $628,136 $565,131 
Total return swaps and other295 781 17,860 7,355 
Total by instrument$10,218 $11,015 $645,996 $572,486 
By rating of reference entity
Investment grade$4,149 $4,258 $511,652 $448,944 
Non-investment grade6,069 6,757 134,344 123,542 
Total by rating of reference entity$10,218 $11,015 $645,996 $572,486 
By maturity
Within 1 year$878 $1,462 $133,866 $115,603 
From 1 to 5 years6,674 6,638 454,617 413,174 
After 5 years2,666 2,915 57,513 43,709 
Total by maturity$10,218 $11,015 $645,996 $572,486 

(1)    The fair value amount receivable is composed of $3,705 million under protection purchased and $6,513 million under protection sold.
(2)    The fair value amount payable is composed of $7,354 million under protection purchased and $3,661 million under protection sold.