Mark-to-Market (MTM) Receivables/Payables for Citigroup (C)

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C » Topics » Mark-to-Market (MTM) Receivables/Payables

These excerpts taken from the C 10-Q filed May 11, 2009.

Mark-to-Market (MTM) Receivables/Payables

			Derivatives receivables—MTM						Derivatives payables—MTM

In millions of dollars			March 31, 2009			December 31, 2008			March 31, 2009			December 31, 2008
Trading derivatives(2)
	Interest rate contracts		$	615,052		$	667,597		$	595,184		$	654,178
	Foreign exchange contracts			106,245			153,197			114,285			160,628
	Equity contracts			31,061			35,717			49,126			57,292
	Commodity and other contracts			26,582			23,924			24,832			22,473
	Credit derivatives:(4)
		Citigroup as the Guarantor		6,796			5,890			206,411			198,233
		Citigroup as the Beneficiary		231,023			222,461			6,375			5,476
	Cash collateral paid/received			65,165			63,866			61,740			65,010

Total			$	1,081,924		$	1,172,652		$	1,057,953		$	1,163,290

	Less: Netting agreements and market value adjustments			(986,064	)		(1,057,363	)		(976,815	)		(1,046,505	)

Net receivables/payables			$	95,860		$	115,289		$	81,138		$	116,785

Non-trading derivatives
	Interest rate contracts		$	10,078		$	14,755		$	5,070		$	7,742
	Foreign exchange contracts			4,853			2,408			3,609			3,746
	Credit Derivatives			1,597			—			—			—

Total			$	16,528		$	17,163		$	8,679		$	11,488

(1): Includes the notional amounts for long and short derivative positions.
(2): Trading Derivatives include proprietary positions, as well as hedging derivatives instruments that do not qualify for hedge accounting in accordance with SFAS No. 133, "Accounting for Derivative Instruments and Hedging Activities" (SFAS 133).
(3): Reclassified to conform to the current period's presentation.
(4): Credit Derivatives are arrangements designed to allow one party (the "beneficiary") to transfer the credit risk of a "reference asset" to another party (the "guarantor"). These arrangements allow a guarantor to assume the credit risk associated with the reference assets without directly purchasing it. The Company has entered into credit derivatives positions for purposes such as risk management, yield enhancement, reduction of credit concentrations, and diversification of overall risk.

Mark-to-Market (MTM) Receivables/Payables

		Derivative instruments designated as SFAS 133 hedges				Other derivative instruments

*In millions of dollars at March 31, 2009*		Assets		Liabilities		Assets		Liabilities
Derivatives classified in Trading account assets/liabilities
	Interest rate contracts	$	553	$	1,785	$	614,499	$	593,399
	Foreign exchange contracts		829		523		105,416		113,762
	Equity contracts		—		—		31,061		49,126
	Commodity and other contracts		—		—		26,582		24,832
	Credit derivatives		—		—		237,819		212,786

Total derivatives in Trading account assets/liabilities(1)		$	1,382	$	2,308	$	1,015,377	$	993,905

Derivatives classified in Other assets/liabilities
	Interest rate contracts	$	6,479	$	3,303	$	3,599	$	1,767
	Foreign exchange contracts		2,869		2,448		1,984		1,161
	Credit derivatives		1,597		—		—		—

Total Derivatives in Other Assets / Liabilities(2)		$	10,945	$	5,751	$	5,583	$	2,928

(1): These trading derivative assets do not include cash collateral paid with respect to SFAS 133 hedges and Other derivative instruments of $65,165 million as of March 31, 2009. The cash collateral received, totals $61,740 million as of March 31, 2009 and it is not included in the trading derivative liabilities shown here.
(2): Other assets exclude cash collateral paid with respect to SFAS 133 hedges and other derivative instruments of $1,111 million. The cash collateral received, not included in the derivatives classified in Other liabilities, totals $2,526 million as of March 31, 2009.

All derivatives are reported on the balance sheet at fair value. The balances presented in the table above are reported gross, prior to counterparty netting and cash collateral netting in accordance with existing master netting agreements, as well as market valuation adjustment. The effect from these items on the gross derivative assets and liabilities was a reduction of $986,064 million and $976,815 million, respectively. Within these balances, the amount of payables in respect of cash collateral received that was netted with unrealized gains from derivative was $48,937 million, while the amount of receivables in respect of cash collateral paid that was netted with unrealized losses from derivatives was $56,376 million as of March 31, 2009.

The trading derivatives fair values are presented in Note 9—Trading Account Assets and Liabilities.

The amounts recognized in the Consolidated Statement of Income for the quarter ended March 31, 2009 related to derivatives not designated in a qualifying SFAS 133 hedging relationship are shown in the table below:

		Non-designated derivatives(1)—gains (losses)

*In millions of dollars for the three months ended March 31, 2009*		Principal transactions			Other revenues
	Interest rate contracts	$	6,155		$	228
	Foreign exchange contracts		250			996
	Equity contracts		(85	)		—
	Commodity and other contracts		337			—
	Credit derivatives		338			—

Total gain (loss) on non-designated derivatives(1)		$	6,995		$	1,224

(1): Non-designated derivatives are derivative instruments not designated in qualifying SFAS 133 hedging relationships.

These excerpts taken from the C 10-K filed Feb 27, 2009.

Mark-to-Market (MTM) Receivables/Payables


In millions of dollars	Derivatives receivables—MTM						Derivatives payables—MTM
As of December 31	2008			2007⁽⁶⁾			2008			2007⁽⁶⁾
Trading derivatives ⁽²⁾
Interest rate contracts	$	667,597		$	237,711		$	654,178		$	237,903
Foreign exchange contracts		153,197			77,937			160,628			71,980
Equity contracts		35,717			27,381			57,292			66,916
Commodity and other contracts		23,924			8,540			22,473			8,887
Credit derivatives: ⁽⁴⁾
Citigroup as the Guarantor		5,890			4,967			198,233			73,103
Citigroup as the Beneficiary		222,461			78,426			5,476			11,191
Cash collateral paid/received ⁽³⁾		63,866			32,247			65,010			19,437
Total	$	1,172,652		$	467,209		$	1,163,290		$	489,417
Less: Netting agreements and market value adjustments		(1,057,363	)		(390,328	)		(1,046,505	)		(385,876	)
Net receivables/payables	$	115,289		$	76,881		$	116,785		$	103,541
Non-trading derivatives⁽⁵⁾
Interest rate contracts	$	14,755		$	8,529		$	7,742		$	7,176
Foreign exchange contracts		2,408			1,634			3,746			972
Total	$	17,163		$	10,163		$	11,488		$	8,148

(1)	Includes the notional amounts for long and short derivative positions.

(2)	Trading derivatives include proprietary positions, as well as certain hedging derivatives instruments that qualify for hedge accounting in accordance with SFAS No. 133, Accounting for Derivative Instruments and Hedging Activities (SFAS 133).

(3)	In addition to the cash collateral paid or received, as of December 31, 2008 the Company has provided $7.9 billion and received $6.8 billion of marketable securities as collateral under derivative contracts.

(4)

Credit derivatives are arrangements designed to allow one party (the “beneficiary”) to transfer the credit risk of a “reference asset” to another party (the “guarantor”). These arrangements allow a guarantor to assume the credit risk associated with the reference asset without directly purchasing it. The Company has entered into credit derivatives positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

(5)	Non-trading derivatives include only those end-user derivative instruments where the changes in market value are recorded in Other assets or Other liabilities.

(6)	Reclassified to conform to the current period’s presentation.

Mark-to-Market (MTM) Receivables/Payables


In millions of dollars	Derivatives receivables—MTM						Derivatives payables—MTM
As of December 31	2008			2007⁽⁶⁾			2008			2007⁽⁶⁾
Trading derivatives ⁽²⁾
Interest rate contracts	$	667,597		$	237,711		$	654,178		$	237,903
Foreign exchange contracts		153,197			77,937			160,628			71,980
Equity contracts		35,717			27,381			57,292			66,916
Commodity and other contracts		23,924			8,540			22,473			8,887
Credit derivatives: ⁽⁴⁾
Citigroup as the Guarantor		5,890			4,967			198,233			73,103
Citigroup as the Beneficiary		222,461			78,426			5,476			11,191
Cash collateral paid/received ⁽³⁾		63,866			32,247			65,010			19,437
Total	$	1,172,652		$	467,209		$	1,163,290		$	489,417
Less: Netting agreements and market value adjustments		(1,057,363	)		(390,328	)		(1,046,505	)		(385,876	)
Net receivables/payables	$	115,289		$	76,881		$	116,785		$	103,541
Non-trading derivatives⁽⁵⁾
Interest rate contracts	$	14,755		$	8,529		$	7,742		$	7,176
Foreign exchange contracts		2,408			1,634			3,746			972
Total	$	17,163		$	10,163		$	11,488		$	8,148

(1)	Includes the notional amounts for long and short derivative positions.

(2)	Trading derivatives include proprietary positions, as well as certain hedging derivatives instruments that qualify for hedge accounting in accordance with SFAS No. 133, Accounting for Derivative Instruments and Hedging Activities (SFAS 133).

(3)	In addition to the cash collateral paid or received, as of December 31, 2008 the Company has provided $7.9 billion and received $6.8 billion of marketable securities as collateral under derivative contracts.

(4)

(5)	Non-trading derivatives include only those end-user derivative instruments where the changes in market value are recorded in Other assets or Other liabilities.

(6)	Reclassified to conform to the current period’s presentation.

EXCERPTS ON THIS PAGE:

10-Q (2 sections)	May 11, 2009

10-K (2 sections)	Feb 27, 2009

Citigroup (C)

C » Topics » Mark-to-Market (MTM) Receivables/Payables

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