Citibank 2014 Annual Report Download - page 264

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Derivative Notionals
Hedging instruments
under ASC 815 (1)(2) Other derivative instruments
Trading derivatives Management hedges (3)
In millions of dollars
December 31,
2014
December 31,
2013 December 31,
2014
December 31,
2013
December 31,
2014
December 31,
2013
Interest rate contracts
Swaps $163,348 $132,823 $31,906,549 $36,370,196 $ 31,945 $ 93,286
Futures and forwards —20 7,044,990 6,129,742 42,305 61,398
Written options ——3,311,751 3,342,832 3,913 3,103
Purchased options ——3,171,056 3,240,990 4,910 3,185
Total interest rate contract notionals $163,348 $132,843 $45,434,346 $49,083,760 $ 83,073 $160,972
Foreign exchange contracts
Swaps $ 25,157 $ 22,402 $ 4,567,977 $ 3,298,500 $ 23,990 $ 20,013
Futures and forwards 73,219 79,646 2,154,773 1,982,303 7,069 14,226
Written options —101 1,343,520 1,037,433 432 —
Purchased options —106 1,363,382 1,029,872 432 71
Total foreign exchange contract notionals $ 98,376 $102,255 $ 9,429,652 $ 7,348,108 $ 31,923 $ 34,310
Equity contracts
Swaps $ — $ — $ 131,344 $ 100,019 $ — $ —
Futures and forwards ——30,510 23,161 ——
Written options ——305,627 333,945 ——
Purchased options ——275,216 266,570 ——
Total equity contract notionals $ — $ — $ 742,697 $ 723,695 $ — $ —
Commodity and other contracts
Swaps $ — $ — $ 90,817 $ 81,112 $ — $ —
Futures and forwards 1,089 —106,021 98,265 ——
Written options ——104,581 100,482 ——
Purchased options ——95,567 97,626 ——
Total commodity and other contract notionals $ 1,089 $ — $ 396,986 $ 377,485 $ — $ —
Credit derivatives (4)
Protection sold $ — $ — $ 1,063,858 $ 1,143,363 $ — $ —
Protection purchased —95 1,100,369 1,195,223 16,018 19,744
Total credit derivatives $ — $ 95 $ 2,164,227 $ 2,338,586 $ 16,018 $ 19,744
Total derivative notionals $262,813 $235,193 $58,167,908 $59,871,634 $131,014 $215,026
(1) The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a
foreign-currency-denominated debt instrument. The notional amount of such debt was $3,752 million and $6,450 million at December 31, 2014 and December 31, 2013, respectively.
(2) Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
(3) Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or
Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
(4) Credit derivatives are arrangements designed to allow one party (protection buyer) 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
permitted under ASC 210-20-45 and ASC 815-10-45, as of December 31,
2014 and December 31, 2013. Under ASC 210-20-45, 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 enforceability of netting and collateral
rights has been obtained. GAAP does not permit similar offsetting for security
collateral. The table also includes amounts that are not permitted to be
offset under ASC 210-20-45 and ASC 815-10-45, such as security collateral
posted or cash collateral posted at third-party custodians, but would be
eligible for offsetting to the extent an event of default occurred and a legal
opinion supporting enforceability of the netting and collateral rights has
been obtained.