Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
Citi’s projected cash outflows and inflows linked to derivatives exposures swelled in dramatic fashion in Q4 2024, following an adjustment to the way in which foreign exchange derivatives data is calculated for the purposes of the liquidity coverage ratio (LCR). Outflows rose by more than a factor of seven, while inflows skyrocketed by over 17 times compared with the previous quarter.
Projected cash outflows related to derivatives exposures and other collateral requirements over a 30-day stress
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