Citibank 2014 Annual Report Download - page 265

248
Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at December 31, 2014
Derivatives classified in Trading
account assets / liabilities (1)(2)(3)
Derivatives classified in Other
assets / liabilities (2)(3)
Derivatives instruments designated as ASC 815 hedges Assets Liabilities Assets Liabilities
Over-the-counter $ 1,508 $ 204 $ 3,117 $ 414
Cleared 4,300 868 — 25
Interest rate contracts $ 5,808 $ 1,072 $ 3,117 $ 439
Over-the-counter $ 3,885 $ 743 $ 678 $ 588
Foreign exchange contracts $ 3,885 $ 743 $ 678 $ 588
Total derivative instruments designated as ASC 815 hedges $ 9,693 $ 1,815 $ 3,795 $ 1,027
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter $ 376,778 $ 359,689 $ 106 $ —
Cleared 255,847 261,499 6 21
Exchange traded 20 22 141 164
Interest rate contracts $ 632,645 $ 621,210 $ 253 $ 185
Over-the-counter $ 151,736 $ 157,650 $ — $ 17
Cleared 366 387 — —
Exchange traded 7 46 — —
Foreign exchange contracts $ 152,109 $ 158,083 $ — $ 17
Over-the-counter $ 20,425 $ 28,333 $ — $ —
Cleared 16 35 — —
Exchange traded 4,311 4,101 — —
Equity contracts $ 24,752 $ 32,469 $ — $ —
Over-the-counter $ 19,943 $ 23,103 $ — $ —
Exchange traded 3,577 3,083 — —
Commodity and other contracts $ 23,520 $ 26,186 $ — $ —
Over-the-counter $ 39,412 $ 39,439 $ 265 $ 384
Cleared 4,106 3,991 13 171
Credit derivatives (4) $ 43,518 $ 43,430 $ 278 $ 555
Total derivatives instruments not designated as ASC 815 hedges $ 876,544 $ 881,378 $ 531 $ 757
Total derivatives $ 886,237 $ 883,193 $ 4,326 $1,784
Cash collateral paid/received (5)(6) $ 6,523 $ 9,846 $ 123 $ 7
Less: Netting agreements (7) (777,178) (777,178) — —
Less: Netting cash collateral received/paid (8) (47,625) (47,769) (1,791) (15)
Net receivables/payables included on the Consolidated Balance Sheet (9) $ 67,957 $ 68,092 $ 2,658 $ 1,776
Additional amounts subject to an enforceable master netting agreement but not offset on
the Consolidated Balance Sheet
Less: Cash collateral received/paid $ (867) $ (11) $ — $ —
Less: Non-cash collateral received/paid (10,043) (6,264) (1,293) —
Total net receivables/payables (9) $ 57,047 $ 61,817 $ 1,365 $ 1,776
(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 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.
(4) The credit derivatives trading assets comprise $18,430 million related to protection purchased and $25,088 million related to protection sold as of December 31, 2014. The credit derivatives trading liabilities comprise
$25,972 million related to protection purchased and $17,458 million related to protection sold as of December 31, 2014.
(5) For the trading account assets/liabilities, reflects the net amount of the $54,292 million and $57,471 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $47,769 million
was used to offset trading derivative liabilities and, of the gross cash collateral received, $47,625 million was used to offset trading derivative assets.
(6) For cash collateral paid with respect to non-trading derivative liabilities, reflects the net amount of $138 million the gross cash collateral received, of which $15 million is netted against OTC non-trading derivative
positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,798 million of the gross cash collateral received, of which $1,791 million is
netted against OTC non-trading derivative positions within Other assets.
(7) Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $510 billion, $264 billion and $3 billion of the netting against
trading account asset/liability balances is attributable to each of the OTC, cleared and exchange traded derivatives, respectively.
(8) Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received is netted against OTC derivative assets. Cash collateral
paid of approximately $46 billion and $2 billion is netted against each of the OTC and cleared derivative liabilities, respectively.
(9) The net receivables/payables include approximately $11 billion derivative asset and $10 billion of derivative liability fair values not subject to enforceable master netting agreements.