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DERIVATIVES (Tables)
 3 Months Ended
Mar. 31, 2023
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 815Trading derivative instruments
In millions of dollarsMarch 31,
2023		December 31,
2022		March 31,
2023		December 31,
2022
Interest rate contracts    
Swaps$264,079 $255,280 $26,305,698 $23,780,711 
Futures and forwards— — 4,093,147 2,966,025 
Written options— — 2,422,224 1,937,025 
Purchased options— — 2,279,877 1,881,291 
Total interest rate contracts$264,079 $255,280 $35,100,946 $30,565,052 
Foreign exchange contracts 
Swaps$43,953 $48,678 $7,524,629 $6,746,070 
Futures, forwards and spot47,295 43,666 3,940,884 3,350,341 
Written options— — 831,553 789,077 
Purchased options— — 821,267 783,591 
Total foreign exchange contracts$91,248 $92,344 $13,118,333 $11,669,079 
Equity contracts  
Swaps$— $— $268,081 $266,115 
Futures and forwards95,533 76,935 
Written options— — 503,029 482,266 
Purchased options— — 397,384 387,766 
Total equity contracts$— $— $1,264,027 $1,213,082 
Commodity and other contracts  
Swaps$— $— $89,225 $90,884 
Futures and forwards1,054 1,571 176,672 165,314 
Written options— — 51,463 45,862 
Purchased options— — 53,145 48,197 
Total commodity and other contracts$1,054 $1,571 $370,505 $350,257 
Credit derivatives(1)
 
Protection sold$— $— $731,188 $593,136 
Protection purchased— — 781,832 641,639 
Total credit derivatives$— $— $1,513,020 $1,234,775 
Total derivative notionals$356,381 $349,195 $51,366,831 $45,032,245 

(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 March 31, 2023 and December 31, 2022. 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

Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at March 31, 2023AssetsLiabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter$496 $— 
Cleared104 35 
Interest rate contracts$600 $35 
Over-the-counter$1,491 $1,028 
Cleared2 18 
Foreign exchange contracts$1,493 $1,046 
Total derivatives instruments designated as ASC 815 hedges$2,093 $1,081 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$122,577 $114,593 
Cleared44,236 48,255 
Exchange traded218 160 
Interest rate contracts$167,031 $163,008 
Over-the-counter$129,761 $127,318 
Cleared359 364 
Exchange traded1 4 
Foreign exchange contracts$130,121 $127,686 
Over-the-counter$16,295 $21,467 
Cleared— 6 
Exchange traded24,210 23,126 
Equity contracts$40,505 $44,599 
Over-the-counter$23,115 $22,329 
Exchange traded1,067 1,246 
Commodity and other contracts$24,182 $23,575 
Over-the-counter$6,977 $6,868 
Cleared3,065 3,147 
Credit derivatives$10,042 $10,015 
Total derivatives instruments not designated as ASC 815 hedges$371,881 $368,883 
Total derivatives$373,974 $369,964 
Less: Netting agreements(3)
$(292,519)$(292,519)
Less: Netting cash collateral received/paid(4)
(15,376)(23,990)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$66,079 $53,455 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,094)$(781)
Less: Non-cash collateral received/paid(4,657)(12,984)
Total net receivables/payables(5)
$60,328 $39,690 

(1)The derivative fair values are also presented in Note 21.
(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 $224 billion, $46 billion and $23 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 $13 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at December 31, 2022AssetsLiabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter$468 $1 
Cleared129 101 
Interest rate contracts$597 $102 
Over-the-counter$2,288 $1,766 
Cleared3 3 
Foreign exchange contracts$2,291 $1,769 
Total derivatives instruments designated as ASC 815 hedges$2,888 $1,871 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$126,844 $119,854 
Cleared50,515 52,566 
Exchange traded248 98 
Interest rate contracts$177,607 $172,518 
Over-the-counter$184,869 $183,578 
Cleared502 643 
Exchange traded1 5 
Foreign exchange contracts$185,372 $184,226 
Over-the-counter$19,674 $21,871 
Cleared1 4 
Exchange traded22,732 21,908 
Equity contracts$42,407 $43,783 
Over-the-counter$27,285 $24,912 
Exchange traded1,039 1,406 
Commodity and other contracts$28,324 $26,318 
Over-the-counter$6,836 $5,807 
Cleared1,553 1,970 
Credit derivatives$8,389 $7,777 
Total derivatives instruments not designated as ASC 815 hedges$442,099 $434,622 
Total derivatives$444,987 $436,493 
Less: Netting agreements(3)
$(346,545)$(346,545)
Less: Netting cash collateral received/paid(4)
(23,136)(30,032)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$75,306 $59,916 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,455)$(2,272)
Less: Non-cash collateral received/paid(5,923)(13,475)
Total net receivables/payables(5)
$67,928 $44,169 

(1)The derivative fair values are also presented in Note 21.
(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 $276 billion, $49 billion and $22 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 $14 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 March 31,
In millions of dollars20232022
Interest rate contracts$(96)$72 
Foreign exchange26 (77)
Total$(70)$(5)
The following table summarizes the gains (losses) on the Company’s fair value hedges:

 
Gains (losses) on fair value hedges(1)
Three Months Ended March 31,
20232022
In millions of dollarsOther revenueNet interest incomeOther revenueNet interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges$— $(1)$— $(4,666)
Foreign exchange hedges548 — (425)— 
Commodity hedges(4)
(508)— 872 — 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$40 $(1)$447 $(4,666)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$— $(7)$— $4,597 
Foreign exchange hedges(548)— 424 — 
Commodity hedges(4)
508 — (872)— 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(40)$(7)$(448)$4,597 
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges		 
Interest rate hedges$— $— $— $(6)
Foreign exchange hedges(2)
22 — 31 — 
Commodity hedges(3)(4)
49 — 49 — 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$71 $— $80 $(6)

(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. Amounts included both hedges of AFS securities and long term debt on a net basis which largely offset in the current period.
(2)Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings under the mark-to-market approach. 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 $(26) million and $64 million for the three months ended March 31, 2023 and 2022, respectively.
(3)Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness reflected directly in earnings under the mark-to-market approach or recorded in AOCI under the amortization approach. The quarter ended March 31, 2023 includes gain (loss) of approximately $45 million and $4 million under the mark-to-market approach and amortization approach, respectively. The quarter ended March 31, 2022 includes gain (loss) of approximately $50 million and $(1) million under the mark-to-market approach and amortization approach, respectively.
(4)The gain (loss) amounts for commodity hedges are included in Principal transactions for periods beginning 2023.
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 March 31, 2023 and December 31, 2022, along with the cumulative 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 recordedCarrying amount of hedged asset/ liabilityCumulative basis adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of March 31, 2023
Debt securities AFS(1)(3)
$90,947 $(2,079)$(320)
Long-term debt135,571 (2,928)(4,493)
As of December 31, 2022
Debt securities AFS(2)(3)
$98,837 $(2,976)$(333)
Long-term debt144,549 (5,040)(3,399)

(1)These amounts include a cumulative basis adjustment of less than $(1) million for active hedges and $(295) million for de-designated hedges as of March 31, 2023, related to certain financial assets previously designated as the hedged item in a fair value hedge using the portfolio layer approach. The Company designated approximately $7 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $14 billion as of March 31, 2023) in a portfolio layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $(91) million for active hedges and $(309) million for de-designated hedges as of December 31, 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 December 31, 2022) 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 18.
 Three Months Ended March 31,
In millions of dollars20232022
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$21 $(1,760)
Foreign exchange contracts(12)23 
Total gain (loss) recognized in AOCI
$9 $(1,737)

Other
revenue		Net interest
income		Other
revenue
Net interest
income
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts$— $(469)$— $286 
Foreign exchange contracts(1)— (1)— 
Total gain (loss) reclassified from AOCI into earnings
$(1)$(469)$(1)$286 
Net pretax change in cash flow hedges included within AOCI
$479 $(2,022)

(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 valuesNotionals
In millions of dollars at March 31, 2023
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By instrument
Credit default swaps and options$9,258 $9,596 $761,898 $725,565 
Total return swaps and other784 419 19,934 5,623 
Total by instrument$10,042 $10,015 $781,832 $731,188 
By rating of reference entity
Investment grade$4,892 $4,406 $621,216 $582,066 
Non-investment grade5,150 5,609 160,616 149,122 
Total by rating of reference entity$10,042 $10,015 $781,832 $731,188 
By maturity
Within 1 year$1,007 $1,650 $167,412 $167,358 
From 1 to 5 years6,146 5,885 509,256 476,327 
After 5 years2,889 2,480 105,164 87,503 
Total by maturity$10,042 $10,015 $781,832 $731,188 

(1)The fair value amount receivable is composed of $4,849 million under protection purchased and $5,193 million under protection sold.
(2)The fair value amount payable is composed of $5,680 million under protection purchased and $4,335 million under protection sold.

 Fair valuesNotionals
In millions of dollars at December 31, 2022
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By instrument
Credit default swaps and options$6,867 $7,360 $623,981 $586,504 
Total return swaps and other1,522 417 17,658 6,632 
Total by instrument$8,389 $7,777 $641,639 $593,136 
By rating of reference entity
Investment grade$3,796 $2,970 $499,339 $462,873 
Non-investment grade4,593 4,807 142,300 130,263 
Total by rating of reference entity$8,389 $7,777 $641,639 $593,136 
By maturity
Within 1 year$1,753 $1,801 $147,031 $148,721 
From 1 to 5 years4,577 4,134 443,113 407,293 
After 5 years2,059 1,842 51,495 37,122 
Total by maturity$8,389 $7,777 $641,639 $593,136 

(1)    The fair value amount receivable is composed of $5,094 million under protection purchased and $3,295 million under protection sold.
(2)    The fair value amount payable is composed of $3,573 million under protection purchased and $4,204 million under protection sold.