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DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Notionals


	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	December 31, 2023		December 31, 2022		December 31, 2023		December 31, 2022
Interest rate contracts
Swaps	$	277,003	$	255,280	$	17,077,712	$	23,780,711
Futures and forwards	—		—		3,022,127		2,966,025
Written options	—		—		2,753,912		1,937,025
Purchased options	—		—		2,687,662		1,881,291
Total interest rate contracts	$	277,003	$	255,280	$	25,541,413	$	30,565,052
Foreign exchange contracts
Swaps	$	45,851	$	48,678	$	7,943,054	$	6,746,070
Futures, forwards and spot	49,779		43,666		3,737,063		3,350,341
Written options	—		—		778,397		789,077
Purchased options	—		—		771,134		783,591
Total foreign exchange contracts	$	95,630	$	92,344	$	13,229,648	$	11,669,079
Equity contracts
Swaps	$	—	$	—	$	317,117	$	266,115
Futures and forwards	—		—		72,592		76,935
Written options	—		—		544,315		482,266
Purchased options	—		—		428,949		387,766
Total equity contracts	$	—	$	—	$	1,362,973	$	1,213,082
Commodity and other contracts
Swaps	$	—	$	—	$	82,009	$	90,884
Futures and forwards	1,750		1,571		161,811		165,314
Written options	—		—		49,555		45,862
Purchased options	—		—		46,742		48,197
Total commodity and other contracts	$	1,750	$	1,571	$	340,117	$	350,257
Credit derivatives(1)
Protection sold	$	—	$	—	$	496,699	$	593,136
Protection purchased	—		—		567,627		641,639
Total credit derivatives	$	—	$	—	$	1,064,326	$	1,234,775
Total derivative notionals	$	374,383	$	349,195	$	41,538,477	$	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

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


	Derivatives classified in Trading account assets/liabilities(1)(2)
In millions of dollars at December 31, 2023	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	458	$	5
Cleared	99		121

Interest rate contracts	$	557	$	126
Over-the-counter	$	1,690	$	1,732
Cleared	—		—

Foreign exchange contracts	$	1,690	$	1,732




Total derivatives instruments designated as ASC 815 hedges	$	2,247	$	1,858
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	113,993	$	105,512
Cleared	43,858		47,462
Exchange traded	86		86
Interest rate contracts	$	157,937	$	153,060
Over-the-counter	$	157,633	$	155,027
Cleared	368		420
Exchange traded	3		22
Foreign exchange contracts	$	158,004	$	155,469
Over-the-counter	$	19,515	$	25,425
Cleared	—		—
Exchange traded	23,763		22,521
Equity contracts	$	43,278	$	47,946
Over-the-counter	$	16,921	$	18,086

Exchange traded	648		710
Commodity and other contracts	$	17,569	$	18,796
Over-the-counter	$	6,094	$	6,293
Cleared	2,245		1,789

Credit derivatives	$	8,339	$	8,082
Total derivatives instruments not designated as ASC 815 hedges	$	385,127	$	383,353
Total derivatives	$	387,374	$	385,211
Less: Netting agreements(3)	$	(308,431)	$	(308,431)
Less: Netting cash collateral received/paid(4)	(21,226)		(26,101)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	57,717	$	50,679
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	(563)	$	(348)
Less: Non-cash collateral received/paid	(5,208)		(12,504)
Total net receivables/payables(5)	$	51,946	$	37,827

(1)The derivatives fair values are also presented in Note 26.

(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 $242 billion, $44 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 with appropriate legal opinion supporting enforceability of netting. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(5)The net receivables/payables include approximately $4 billion of derivative asset and $10 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, 2022	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	468	$	1
Cleared	129		101

Interest rate contracts	$	597	$	102
Over-the-counter	$	2,288	$	1,766
Cleared	3		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
Cleared	50,515		52,566
Exchange traded	248		98
Interest rate contracts	$	177,607	$	172,518
Over-the-counter	$	184,869	$	183,578
Cleared	502		643
Exchange traded	1		5
Foreign exchange contracts	$	185,372	$	184,226
Over-the-counter	$	19,674	$	21,871
Cleared	1		4
Exchange traded	22,732		21,908
Equity contracts	$	42,407	$	43,783
Over-the-counter	$	27,285	$	24,912

Exchange traded	1,039		1,406
Commodity and other contracts	$	28,324	$	26,318
Over-the-counter	$	6,836	$	5,807
Cleared	1,553		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 26.

(2)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.

(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 table below does not include any offsetting gains (losses) on the economically hedged items:


	Gains (losses) included in Other revenue
	Year ended December 31,
In millions of dollars	2023		2022		2021
Interest rate contracts	$	(47)	$	141	$	(70)
Foreign exchange	(216)		(56)		(102)
Total	$	(263)	$	85	$	(172)

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


	Gains (losses) on fair value hedges(1)
	Year ended December 31,
	2023				2022				2021
In millions of dollars	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	$	—	$	(804)	$	—	$	(8,322)	$	—	$	(5,425)
Foreign exchange hedges	1,433		—		(1,375)		—		(627)		—
Commodity hedges(2)	(46)		—		(1,870)		—		(3,983)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	1,387	$	(804)	$	(3,245)	$	(8,322)	$	(4,610)	$	(5,425)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	795	$	—	$	8,087	$	—	$	5,043
Foreign exchange hedges	(1,433)		—		1,372		—		628		—
Commodity hedges(2)	46		—		1,870		—		3,973		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(1,387)	$	795	$	3,242	$	8,087	$	4,601	$	5,043
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	—	$	—	$	(9)
Foreign exchange hedges(3)	2		—		171		—		79		—
Commodity hedges(2)(4)	312		—		94		—		5		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	314	$	—	$	265	$	—	$	84	$	(9)

(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)The gain (loss) amounts for commodity hedges are included in Principal transactions for periods beginning 2023.

(3)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 $(70) million and $73 million for the years ended December 31, 2023 and 2022, respectively.

(4)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 year ended December 31, 2023 includes gain (loss) of approximately $284 million and $28 million under the mark-to-market approach and amortization approach, respectively. The year ended December 31, 2022 includes gain (loss) of approximately $86 million and $8 million under the mark-to-market approach and amortization approach, respectively.

Schedule of fair value hedging instruments, statements of financial performance and financial position

The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at December 31, 2023 and 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 recorded	Carrying amount of hedged asset/ liability(1)		Cumulative basis adjustment increasing (decreasing) the carrying amount
			Active		De-designated
As of December 31, 2023
Debt securities AFS(2)(5)	$	111,886	$	(925)	$	(282)
Corporate loans(3)	4,968		93		(3)
Long-term debt	141,449		(908)		(5,160)
As of December 31, 2022
Debt securities AFS(4)(5)	$	98,837	$	(2,976)	$	(333)
Long-term debt	144,549		(5,040)		(3,399)

(1) Excludes physical commodities inventories with a carrying value of approximately $8 billion as of December 31, 2023, which includes cumulative basis adjustments of approximately $1.2 billion for active hedges.

(2) These amounts include a cumulative basis adjustment of $248 million for active hedges and $(51) million for de-designated hedges as of December 31, 2023, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the portfolio layer approach. The Company designated approximately $14 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $28 billion as of December 31, 2023) in a portfolio layer-hedging relationship.

(3) All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.6 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $5.0 billion as of December 31, 2023).

(4) 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.

(5) 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:


In millions of dollars	2023				2022				2021
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	(434)			$	(3,640)			$	(847)
Foreign exchange contracts	13				34				(51)
Total gain (loss) recognized in AOCI	$	(421)			$	(3,606)			$	(898)
	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	$	—	$	(1,897)	$	—	$	(125)	$	—	$	1,075
Foreign exchange contracts	(4)		—		(4)		—		(4)		—
Total gain (loss) reclassified from AOCI into earnings	$	(4)	$	(1,897)	$	(4)	$	(125)	$	(4)	$	1,075
Net pretax change in cash flow hedges included within AOCI			$	1,480			$	(3,477)			$	(1,969)

(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 December 31, 2023	Receivable(1)		Payable(2)		Protection purchased		Protection sold






By instrument
Credit default swaps and options	$	7,686	$	7,243	$	539,522	$	491,514
Total return swaps and other	653		839		28,105		5,185
Total by instrument	$	8,339	$	8,082	$	567,627	$	496,699
By rating of reference entity
Investment grade	$	4,282	$	4,138	$	444,989	$	393,115
Non-investment grade	4,057		3,944		122,638		103,584
Total by rating of reference entity	$	8,339	$	8,082	$	567,627	$	496,699
By maturity
Within 1 year	$	986	$	1,713	$	155,910	$	128,874
From 1 to 5 years	5,816		4,939		366,156		337,583
After 5 years	1,537		1,430		45,561		30,242
Total by maturity	$	8,339	$	8,082	$	567,627	$	496,699

(1)The fair value amount receivable is composed of $2,770 million under protection purchased and $5,569 million under protection sold.

(2)The fair value amount payable is composed of $6,097 million under protection purchased and $1,985 million under protection sold.


	Fair values				Notionals
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 other	1,522		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 grade	4,593		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 years	4,577		4,134		443,113		407,293
After 5 years	2,059		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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details