Citibank 2010 Annual Report Download - page 254

252
Derivative Mark-to-Market (MTM) Receivables/Payables
Derivatives classified in trading
account assets/liabilities
(1)
Derivatives classified in other
assets/liabilities
In millions of dollars at December 31, 2010 Assets Liabilities Assets Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts $ 867 $ 72 $ 6,342 $ 2,437
Foreign exchange contracts 357 762 1,656 2,603
Total derivative instruments designated as ASC 815 (SFAS 133) hedges $ 1,224 $ 834 $ 7,998 $ 5,040
Other derivative instruments
Interest rate contracts $ 475,805 $ 476,667 $ 2,756 $ 2,474
Foreign exchange contracts 84,144 87,512 1,401 1,433
Equity contracts 16,146 33,434 — —
Commodity and other contracts 12,608 13,518 — —
Credit derivatives (2) 65,041 59,461 88 337
Total other derivative instruments $ 653,744 $ 670,592 $ 4,245 $ 4,244
Total derivatives $ 654,968 $ 671,426 $12,243 $ 9,284
Cash collateral paid/received 50,302 38,319 211 3,040
Less: Netting agreements and market value adjustments (655,057) (650,015) (2,615) (2,615)
Net receivables/payables $ 50,213 $ 59,730 $ 9,839 $ 9,709
(1) The trading derivatives fair values are presented in Note 14 to the Consolidated Financial Statements.
(2) The credit derivatives trading assets are composed of $42,403 million related to protection purchased and $22,638 million related to protection sold as of December 31, 2010. The credit derivatives trading liabilities
are composed of $23,503 million related to protection purchased and $35,958 million related to protection sold as of December 31, 2010.
Derivatives classified in trading
account assets/liabilities
(1)
Derivatives classified in other
assets/liabilities
In millions of dollars at December 31, 2009 Assets Liabilities Assets Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts $ 304 $ 87 $ 4,267 $ 2,898
Foreign exchange contracts 753 1,580 3,599 1,416
Total derivative instruments designated as ASC 815 (SFAS 133) hedges $ 1,057 $ 1,667 $ 7,866 $ 4,314
Other derivative instruments
Interest rate contracts $ 454,974 $ 449,551 $ 2,882 $ 3,022
Foreign exchange contracts 71,005 70,584 1,498 2,381
Equity contracts 18,132 40,612 6 5
Commodity and other contracts 16,698 15,492 — —
Credit derivatives (2) 92,792 82,424 — —
Total other derivative instruments $ 653,601 $ 658,663 $ 4,386 $ 5,408
Total derivatives $ 654,658 $ 660,330 $12,252 $ 9,722
Cash collateral paid/received 48,561 38,611 263 4,950
Less: Netting agreements and market value adjustments (644,340) (634,835) (4,224) (4,224)
Net receivables/payables $ 58,879 $ 64,106 $ 8,291 $10,448
(1) The trading derivatives fair values are presented in Note 14 to the Consolidated Financial Statements.
(2) The credit derivatives trading assets are composed of $68,558 million related to protection purchased and $24,234 million related to protection sold as of December 31, 2009. The credit derivatives trading liabilities
are composed of $24,162 million related to protection purchased and $58,262 million related to protection sold as of December 31, 2009.
All derivatives are reported on the balance sheet at fair value. In addition,
where applicable, all such contracts covered by master netting agreements
are reported net. Gross positive fair values are netted with gross negative fair
values by counterparty pursuant to a valid master netting agreement. In
addition, payables and receivables in respect of cash collateral received from
or paid to a given counterparty are included in this netting. However, non-
cash collateral is not included.
The amount of payables in respect of cash collateral received that was
netted with unrealized gains from derivatives was $31 billion and $30 billion
as of December 31, 2010 and December 31, 2009, respectively. The amount of
receivables in respect of cash collateral paid that was netted with unrealized
losses from derivatives was $45 billion as of December 31, 2010 and
$41 billion as of December 31, 2009, respectively.
The amounts recognized in Principal transactions in the Consolidated
Statement of Income for the years ended December 31, 2010 and
December 31, 2009 related to derivatives not designated in a qualifying
hedging relationship as well as the underlying non-derivative instruments
are included in the table below. Citigroup presents this disclosure by business
classification, showing derivative gains and losses related to its trading