DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative notionals

Information pertaining to Citigroup’s derivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Citi’s derivative exposure arises primarily from

market fluctuations (i.e., market risk), counterparty failure

(i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.

In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

Derivative Notionals

	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021
Interest rate contracts
Swaps	$	318,974	$	267,035	$	23,331,571	$	21,873,538
Futures and forwards	—		—		2,714,997		2,383,702
Written options	—		—		1,879,285		1,584,451
Purchased options	—		—		1,843,472		1,428,376
Total interest rate contracts	$	318,974	$	267,035	$	29,769,325	$	27,270,067
Foreign exchange contracts
Swaps	$	45,428	$	47,298	$	6,276,146	$	6,288,193
Futures, forwards and spot	43,351		50,926		3,668,569		4,316,242
Written options	—		—		846,794		664,942
Purchased options	—		—		840,987		651,958
Total foreign exchange contracts	$	88,779	$	98,224	$	11,632,496	$	11,921,335
Equity contracts
Swaps	$	—	$	—	$	243,070	$	269,062
Futures and forwards	—		—		73,495		71,363
Written options	—		—		485,109		492,433
Purchased options	—		—		396,981		398,129
Total equity contracts	$	—	$	—	$	1,198,655	$	1,230,987
Commodity and other contracts
Swaps	$	—	$	—	$	110,833	$	91,962
Futures and forwards	1,365		2,096		201,926		157,195
Written options	—		—		63,643		51,224
Purchased options	—		—		60,695		47,868
Total commodity and other contracts	$	1,365	$	2,096	$	437,097	$	348,249
Credit derivatives(1)
Protection sold	$	—	$	—	$	638,379	$	572,486
Protection purchased	—		—		682,144		645,996
Total credit derivatives	$	—	$	—	$	1,320,523	$	1,218,482
Total derivative notionals	$	409,118	$	367,355	$	44,358,096	$	41,989,120

(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) 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.

Derivative mark-to-market (MTM) receivables/payables

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of June 30, 2022 and December 31, 2021. 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 the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.

In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

Derivative Mark-to-Market (MTM) Receivables/Payables

In millions of dollars at June 30, 2022	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	671	$	2
Cleared	126		426
Interest rate contracts	$	797	$	428
Over-the-counter	$	1,729	$	2,147
Cleared	1		—
Foreign exchange contracts	$	1,730	$	2,147
Total derivatives instruments designated as ASC 815 hedges	$	2,527	$	2,575
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	123,716	$	115,511
Cleared	34,690		33,926
Exchange traded	322		272
Interest rate contracts	$	158,728	$	149,709
Over-the-counter	$	183,935	$	178,416
Cleared	445		829
Foreign exchange contracts	$	184,380	$	179,245
Over-the-counter	$	25,577	$	27,170
Cleared	22		12
Exchange traded	29,992		31,327
Equity contracts	$	55,591	$	58,509
Over-the-counter	$	47,253	$	41,326
Exchange traded	2,423		3,303
Commodity and other contracts	$	49,676	$	44,629
Over-the-counter	$	9,837	$	8,401
Cleared	1,964		1,894
Credit derivatives	$	11,801	$	10,295
Total derivatives instruments not designated as ASC 815 hedges	$	460,176	$	442,387
Total derivatives	$	462,703	$	444,962
Less: Netting agreements(3)	$	(348,255)	$	(348,255)
Less: Netting cash collateral received/paid(4)	(32,563)		(33,950)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	81,885	$	62,757
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(2,244)	$	(1,918)
Less: Non-cash collateral received/paid	(4,878)		(12,975)
Total net receivables/payables(5)	$	74,763	$	47,864

(1)The derivative fair values are also presented in Note 20.

(2)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.

(3)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $286 billion, $31 billion and $31 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(5)The net receivables/payables include approximately $7 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

In millions of dollars at December 31, 2021	Derivatives classified in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedges	Assets		Liabilities
Over-the-counter	$	1,167	$	6
Cleared	122		89
Interest rate contracts	$	1,289	$	95
Over-the-counter	$	1,338	$	1,472
Cleared	6		—
Foreign exchange contracts	$	1,344	$	1,472
Total derivatives instruments designated as ASC 815 hedges	$	2,633	$	1,567
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	152,524	$	138,114
Cleared	11,579		11,821
Exchange traded	96		44
Interest rate contracts	$	164,199	$	149,979
Over-the-counter	$	133,357	$	133,548
Cleared	848		278
Foreign exchange contracts	$	134,205	$	133,826
Over-the-counter	$	23,452	$	28,352
Cleared	19		—
Exchange traded	21,781		21,332
Equity contracts	$	45,252	$	49,684
Over-the-counter	$	29,279	$	29,833
Exchange traded	1,065		1,546
Commodity and other contracts	$	30,344	$	31,379
Over-the-counter	$	6,896	$	6,959
Cleared	3,322		4,056
Credit derivatives	$	10,218	$	11,015
Total derivatives instruments not designated as ASC 815 hedges	$	384,218	$	375,883
Total derivatives	$	386,851	$	377,450
Less: Netting agreements(3)	$	(292,628)	$	(292,628)
Less: Netting cash collateral received/paid(4)	(24,447)		(29,306)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	69,776	$	55,516
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(907)	$	(538)
Less: Non-cash collateral received/paid	(5,777)		(13,607)
Total net receivables/payables(5)	$	63,092	$	41,371

(1)The derivative fair values are also presented in Note 20.

(2)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.

(3)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $259 billion, $14 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(5)The net receivables/payables include approximately $10 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges

The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.

	Gains (losses) included in Other revenue
	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2022		2021		2022		2021
Interest rate contracts	$	72	$	(15)	$	144	$	(75)
Foreign exchange	(4)		(13)		(81)		(34)
Total	$	68	$	(28)	$	63	$	(109)

The following table summarizes the gains (losses) on the Company’s fair value hedges:

	Gains (losses) on fair value hedges(1)
	Three Months Ended June 30,								Six Months Ended June 30,
	2022				2021				2022				2021
In millions of dollars	Other revenue		Net interest income		Other revenue		Net interest income		Other revenue		Net interest income		Other revenue		Net interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	(1,717)	$	—	$	454	$	—	$	(6,383)	$	—	$	(3,481)
Foreign exchange hedges	(1,234)		—		220		—		(1,659)		—		10		—
Commodity hedges	(257)		—		(277)		—		615		—		(566)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	(1,491)	$	(1,717)	$	(57)	$	454	$	(1,044)	$	(6,383)	$	(556)	$	(3,481)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	1,646	$	—	$	(559)	$	—	$	6,243	$	—	$	3,267
Foreign exchange hedges	1,233		—		(220)		—		1,657		—		(10)		—
Commodity hedges	257		—		277		—		(615)		—		566		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	1,490	$	1,646	$	57	$	(559)	$	1,042	$	6,243	$	556	$	3,267
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	(5)	$	—	$	1	$	—	$	(11)	$	—	$	(3)
Foreign exchange hedges(2)	73		—		13		—		104		—		17		—
Commodity hedges	(26)		—		(53)		—		23		—		(75)		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	47	$	(5)	$	(40)	$	1	$	127	$	(11)	$	(58)	$	(3)

(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest income and is excluded from this table.

(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $12 million and $76 million for the three and six months ended June 30, 2022 and $(13) million and $(26) million for the three and six months ended June 30, 2021, respectively.

Schedule of amounts recorded on the Balance Sheet related to cumulative basis adjustments for fair value hedges

The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 2022 and December 31, 2021, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities that would reverse through earnings in future periods.

In millions of dollars
Balance sheet line item in which hedged item is recorded	Carrying amount of hedged asset/ liability		Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount
			Active		De-designated
As of June 30, 2022
Debt securities AFS(1)(3)	$	101,249	$	(1,137)	$	(270)
Long-term debt	148,863		(3,848)		(587)
As of December 31, 2021
Debt securities AFS(2)(3)	$	62,733	$	149	$	212
Long-term debt	149,305		623		3,936

(1)These amounts include a cumulative basis adjustment of $(11) million for active hedges and $(228) million for de-designated hedges as of June 30, 2022, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $11 billion as of June 30, 2022) in a last-of-layer hedging relationship.

(2)These amounts include a cumulative basis adjustment of $24 million for active hedges and $(92) million for de-designated hedges as of December 31, 2021, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $6 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $25 billion as of December 31, 2021) in a last-of-layer hedging relationship.

(3)Carrying amount represents the amortized cost.

Schedule of pretax change in accumulated other comprehensive income (loss) from cash flow hedges

The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17.

	Three Months Ended June 30,								Six Months Ended June 30,
In millions of dollars	2022				2021				2022				2021
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	(681)			$	39			$	(2,441)			$	(416)
Foreign exchange contracts	(7)				(3)				16				—
Total gain (loss) recognized in AOCI	$	(688)			$	36			$	(2,425)			$	(416)
	Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue		Other revenue		Net interest revenue
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts	$	—	$	199	$	—	$	266	$	—	$	485	$	—	$	544
Foreign exchange contracts	(1)		—		(1)		—		(2)		—		(2)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	199	$	(1)	$	266	$	(2)	$	485	$	(2)	$	544
Net pretax change in cash flow hedges included within AOCI			$	(886)			$	(229)			$	(2,908)			$	(958)

(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/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.

Schedule of key characteristics of credit derivative portfolio

The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:

	Fair values				Notionals
In millions of dollars at June 30, 2022	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	3,507	$	3,767	$	111,649	$	115,903
Broker-dealers	2,872		1,865		46,453		39,567
Non-financial	73		22		2,161		1,515
Insurance and other financial institutions	5,349		4,641		521,881		481,394
Total by industry of counterparty	$	11,801	$	10,295	$	682,144	$	638,379
By instrument
Credit default swaps and options	$	10,182	$	9,935	$	667,694	$	631,332
Total return swaps and other	1,619		360		14,450		7,047
Total by instrument	$	11,801	$	10,295	$	682,144	$	638,379
By rating of reference entity
Investment grade	$	4,201	$	3,602	$	536,771	$	499,423
Non-investment grade	7,600		6,693		145,373		138,956
Total by rating of reference entity	$	11,801	$	10,295	$	682,144	$	638,379
By maturity
Within 1 year	$	2,504	$	1,722	$	159,569	$	160,373
From 1 to 5 years	6,486		6,078		467,326		437,448
After 5 years	2,811		2,495		55,249		40,558
Total by maturity	$	11,801	$	10,295	$	682,144	$	638,379

(1)The fair value amount receivable is composed of $9,839 million under protection purchased and $1,962 million under protection sold.

(2)The fair value amount payable is composed of $2,672 million under protection purchased and $7,623 million under protection sold.

	Fair values				Notionals
In millions of dollars at December 31, 2021	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By industry of counterparty
Banks	$	2,375	$	3,031	$	108,415	$	103,756
Broker-dealers	1,962		1,139		44,364		40,068
Non-financial	113		306		2,785		2,728
Insurance and other financial institutions	5,768		6,539		490,432		425,934
Total by industry of counterparty	$	10,218	$	11,015	$	645,996	$	572,486
By instrument
Credit default swaps and options	$	9,923	$	10,234	$	628,136	$	565,131
Total return swaps and other	295		781		17,860		7,355
Total by instrument	$	10,218	$	11,015	$	645,996	$	572,486
By rating of reference entity
Investment grade	$	4,149	$	4,258	$	511,652	$	448,944
Non-investment grade	6,069		6,757		134,344		123,542
Total by rating of reference entity	$	10,218	$	11,015	$	645,996	$	572,486
By maturity
Within 1 year	$	878	$	1,462	$	133,866	$	115,603
From 1 to 5 years	6,674		6,638		454,617		413,174
After 5 years	2,666		2,915		57,513		43,709
Total by maturity	$	10,218	$	11,015	$	645,996	$	572,486

(1)    The fair value amount receivable is composed of $3,705 million under protection purchased and $6,513 million under protection sold.

(2)    The fair value amount payable is composed of $7,354 million under protection purchased and $3,661 million under protection sold.