Citibank 2013 Annual Report Download - page 281

263
In millions of dollars at December 31, 2012
Derivatives classified in Trading
accounts assets / liabilities (1)(2)(3)
Derivatives classified in Other
assets / liabilities (2)(3)
Derivatives instruments designated as ASC 815 (SFAS 133) hedges Assets Liabilities Assets Liabilities
Over-the-counter $ 5,110 $ 1,702 $ 4,574 $1,175
Cleared 2,685 561 — 3
Exchange traded — — — —
Interest Rate contracts $ 7,795 $ 2,263 $ 4,574 $1,178
Over-the-counter $ 341 $ 1,350 $ 978 $ 525
Cleared — — — —
Exchange traded — — — —
Foreign exchange contracts $ 341 $ 1,350 $ 978 $ 525
Over-the-counter $ — $ — $ — $ 16
Cleared — — — —
Exchange traded — — — —
Credit derivatives $ — $ — $ — $ 16
Total derivative instruments designated as ASC 815 (SFAS 133) hedges $ 8,136 $ 3,613 $ 5,552 $1,719
Derivatives instruments not designated as ASC 815 (SFAS 133) hedges
Over-the-counter $ 485,100 $ 473,446 $ 438 $ 4
Cleared 406,384 416,127 11 25
Exchange traded 68 56 — —
Interest Rate contracts $ 891,552 $ 889,629 $ 449 $ 29
Over-the-counter $ 75,933 $ 80,695 $ 200 $ 112
Cleared 4 4 — —
Exchange traded — — — —
Foreign exchange contracts $ 75,937 $ 80,699 $ 200 $ 112
Over-the-counter $ 14,273 $ 28,138 $ — $ —
Cleared 53 91 — —
Exchange traded 3,883 3,610 — —
Equity contracts $ 18,209 $ 31,839 $ — $ —
Over-the-counter $ 8,889 $ 10,154 $ — $ —
Cleared — — — —
Exchange traded 1,968 1,977 — —
Commodity and other contracts $ 10,857 $ 12,131 $ — $ —
Over-the-counter $ 52,809 $ 51,175 $ 102 $ 392
Cleared 1,215 1,079 — —
Exchange traded — — — —
Credit derivatives (4) $ 54,024 $ 52,254 $ 102 $ 392
Total Derivatives instruments not designated as ASC 815 (SFAS 133) hedges $1,050,579 $1,066,552 $ 751 $ 533
Total derivatives $1,058,715 $1,070,165 $ 6,303 $2,252
Cash collateral paid/received (5)(6) $ 5,597 $ 7,923 $ 214 $ 658
Less: Netting agreements (7) (970,782 ) (970,782) — —
Less: Netting cash collateral received/paid (8) (38,910 ) (55,555) (4,660 ) —
Net receivables/payables included on the Consolidated Balance Sheet (9) $ 54,620 $ 51,751 $ 1,857 $2,910
Additional amounts subject to an enforceable master netting agreement
but not offset on the Consolidated Balance Sheet
Less: Does not meet applicable offsetting guidance $ — $ — $ — $ —
Less: Cash collateral received/paid (1,021 ) (10) — —
Less: Non-cash collateral received/paid (7,143 ) (5,641) (388 ) —
Total Net receivables/payables (9) $ 46,456 $ 46,100 $ 1,469 $2,910
(1) The trading derivatives fair values are presented in Note 13 to the Consolidated Financial Statements.
(2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3) 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.
(4) The credit derivatives trading assets comprise $34,314 million related to protection purchased and $19,710 million related to protection sold as of December 31, 2012. The credit derivatives trading liabilities comprise
$20,424 million related to protection purchased and $31,830 million related to protection sold as of December 31, 2012.
(5) For the trading assets/liabilities, this is the net amount of the $61,152 million and $46,833 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $55,555 million was used to
offset derivative liabilities and, of the gross cash collateral received, $38,910 million was used to offset derivative assets.
(6) For the other assets/liabilities, this is the net amount of the $214 million and $5,318 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $4,660 million was used to
offset derivative assets.
(7) Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.
(8) Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements.
(9) The net receivables/payables include approximately $17 billion and $18 billion of derivative asset and liability fair values, respectively, not subject to enforceable master netting agreements.