Cash flow hedges expected to be reclassified within 12 months

  
Cash Flow HedgesCitigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. Variable cash flows from those liabilities are synthetically converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Variable cash flows associated with certain assets are synthetically converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.   
Citigroup hedges the variability from changes in a contractually specified rate and recognizes the entire change in fair value of the cash flow hedging instruments in AOCI. The full change in the value of the hedging instrument is required to be recognized in AOCI, and then recognized in earnings in the same period that the cash flows impact earnings. The pretax change in AOCI from cash flow hedges is presented below:  
  
  
  


|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| In millions of dollars | 2021 | 2020 | 2019 |  |  |
| Amount of gain (loss) recognized in AOCI on derivatives |  |  |  |  |  |  |
| Interest rate contracts | $ | (847) |  | $ | 2,670  |  |  | $ | 746  |  |  |  |
| Foreign exchange contracts | (51) |  | (15) |  |  | (17) |  |  |  |
| Total gain (loss) recognized in AOCI | $ | (898) |  | $ | 2,655  |  |  | $ | 729  |  |  |  |
|  | Other revenue | Net interest income | Other revenue | Net interest income | Other revenue | Net interest income |  |  |
| Amount of gain (loss) reclassified from AOCI to earnings(1) |  |  |  |  |  |  |  |  |
| Interest rate contracts | $ | —  |  | $ | 1,075  |  | $ | —  |  | $ | 734  |  | $ | —  |  | $ | (384) |  |  |  |
| Foreign exchange contracts | (4) |  | —  |  | (4) |  | —  |  | (7) |  | —  |  |  |  |
| Total gain (loss) reclassified from AOCI into earnings | $ | (4) |  | $ | 1,075  |  | $ | (4) |  | $ | 734  |  | $ | (7) |  | $ | (384) |  |  |  |
| Net pretax change in cash flow hedges included within AOCI |  | $ | (1,969) |  |  | $ | 1,925  |  |  | $ | 1,120  |  |  |  |

  
(1)All amounts reclassified into earnings for interest rate contracts are included in Interest revenue/Interest expense (Net interest income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest income in the Consolidated Statement of Income.   
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of December 31, 2021 is approximately $614 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.The after-tax impact of cash flow hedges on AOCI is shown in Note 19 to the Consolidated Financial Statements.256
