DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2024

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 presented below 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	March 31, 2024		December 31, 2023		March 31, 2024		December 31, 2023
Interest rate contracts
Swaps	$	257,336	$	277,003	$	19,320,033	$	17,077,712
Futures and forwards	—		—		3,909,064		3,022,127
Written options	—		—		2,631,715		2,753,912
Purchased options	—		—		2,565,443		2,687,662
Total interest rate contracts	$	257,336	$	277,003	$	28,426,255	$	25,541,413
Foreign exchange contracts
Swaps	$	36,307	$	45,851	$	7,807,130	$	7,943,054
Futures, forwards and spot	49,641		49,779		4,830,776		3,737,063
Written options	—		—		967,819		778,397
Purchased options	—		—		955,022		771,134
Total foreign exchange contracts	$	85,948	$	95,630	$	14,560,747	$	13,229,648
Equity contracts
Swaps	$	—	$	—	$	289,732	$	317,117
Futures and forwards	—		—		70,303		72,592
Written options	—		—		555,561		544,315
Purchased options	—		—		443,450		428,949
Total equity contracts	$	—	$	—	$	1,359,046	$	1,362,973
Commodity and other contracts
Swaps	$	—	$	—	$	76,194	$	82,009
Futures and forwards	2,607		1,750		151,006		161,811
Written options	—		—		53,308		49,555
Purchased options	—		—		51,672		46,742
Total commodity and other contracts	$	2,607	$	1,750	$	332,180	$	340,117
Credit derivatives(1)
Protection sold	$	—	$	—	$	513,714	$	496,699
Protection purchased	—		—		588,856		567,627
Total credit derivatives	$	—	$	—	$	1,102,570	$	1,064,326
Total derivative notionals	$	345,891	$	374,383	$	45,780,798	$	41,538,477

(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, 2024 and December 31, 2023. 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 in the Company’s balance sheet presentation, 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, 2024	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	499	$	3
Cleared	159		53
Interest rate contracts	$	658	$	56
Over-the-counter	$	1,320	$	998
Cleared	—		—
Foreign exchange contracts	$	1,320	$	998
Total derivatives instruments designated as ASC 815 hedges	$	1,978	$	1,054
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	105,553	$	97,690
Cleared	42,046		43,419
Exchange traded	80		43
Interest rate contracts	$	147,679	$	141,152
Over-the-counter	$	131,348	$	122,844
Cleared	480		491
Exchange traded	1		14
Foreign exchange contracts	$	131,829	$	123,349
Over-the-counter	$	21,211	$	32,826
Cleared	2		3
Exchange traded	35,389		35,579
Equity contracts	$	56,602	$	68,408
Over-the-counter	$	15,377	$	16,727
Exchange traded	699		831
Commodity and other contracts	$	16,076	$	17,558
Over-the-counter	$	6,133	$	6,274
Cleared	2,659		2,298
Credit derivatives	$	8,792	$	8,572
Total derivatives instruments not designated as ASC 815 hedges	$	360,978	$	359,039
Total derivatives	$	362,956	$	360,093
Less: Netting agreements(3)	$	(285,867)	$	(285,867)
Less: Netting cash collateral received/paid(4)	(23,492)		(27,720)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	53,597	$	46,506
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(430)	$	(648)
Less: Non-cash collateral received/paid	(2,762)		(10,279)
Total net receivables/payables(5)	$	50,405	$	35,579

(1)The derivatives fair values are also presented in Note 23.

(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 $208 billion, $43 billion and $35 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, 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 23.

(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 $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.

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
	Three Months Ended March 31,
In millions of dollars	2024		2023
Interest rate contracts	$	(36)	$	(96)
Foreign exchange	14		26
Total	$	(22)	$	(70)

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,
	2024				2023
In millions of dollars	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	$	—	$	(604)	$	—	$	(1)
Foreign exchange hedges	(71)		—		548		—
Commodity hedges(2)	1,520		—		(508)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	1,449	$	(604)	$	40	$	(1)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	620	$	—	$	(7)
Foreign exchange hedges	71		—		(548)		—
Commodity hedges(2)	(1,520)		—		508		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(1,449)	$	620	$	(40)	$	(7)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	—
Foreign exchange hedges(3)	(29)		—		22		—
Commodity hedges(2)(4)	98		—		49		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	69	$	—	$	71	$	—

(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.

(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 $(4) million and $(26) million for the three months ended March 31, 2024 and 2023, 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 quarter ended March 31, 2024 includes gain (loss) of approximately $93 million and $5 million under the mark-to-market approach and amortization approach, respectively. 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.

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, 2024 and December 31, 2023, 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 March 31, 2024
Debt securities AFS(2)(6)	$	103,809	$	(1,135)	$	(293)
Consumer loans(3)	33,872		(74)		—
Corporate loans(4)	5,702		(3)		(22)
Long-term debt	142,275		(1,697)		(5,228)
As of December 31, 2023
Debt securities AFS(5)(6)	$	111,886	$	(925)	$	(282)
Corporate loans(7)	4,968		93		(3)
Long-term debt	141,449		(908)		(5,160)

(1)Excludes physical commodities inventories with a carrying value of approximately $5 billion and $8 billion as of March 31, 2024 and December 31, 2023, respectively, which includes cumulative basis adjustments of approximately $(0.4) billion and $1.2 billion, respectively, for active hedges.

(2)These amounts include a cumulative basis adjustment of $(113) million for active hedges and $(27) million for de-designated hedges as of March 31, 2024, 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 $21 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $31 billion as of March 31, 2024) in a portfolio layer hedging relationship.

(3)All hedged consumer loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $10.0 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $34 billion as of March 31, 2024).

(4)All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.7 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $5.7 billion as of March 31, 2024).

(5)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 last-of-layer approach. The Company designated approximately $14 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $28 billion as of December 31, 2023) in a last-of-layer hedging relationship.

(6)Carrying amount represents the amortized cost.

(7)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).

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:

	Three Months Ended March 31,
In millions of dollars	2024				2023
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	306			$	21
Foreign exchange contracts	1				(12)
Total gain (loss) recognized in AOCI	$	307			$	9
	Other revenue		Net interest income		Other revenue		Net interest income
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts	$	—	$	(342)	$	—	$	(469)
Foreign exchange contracts	(1)		—		(1)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	(342)	$	(1)	$	(469)
Net pretax change in cash flow hedges included within AOCI			$	650			$	479

(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.

The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of March 31, 2024 is approximately $(0.6) billion. The maximum length of time over which forecasted cash flows are hedged is 14 years.

The after-tax impact of cash flow hedges on AOCI is presented in Note 19.

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 March 31, 2024	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By instrument
Credit default swaps and options	$	8,038	$	7,794	$	553,605	$	508,143
Total return swaps and other	754		778		35,251		5,571
Total by instrument	$	8,792	$	8,572	$	588,856	$	513,714
By rating of reference entity
Investment grade	$	4,553	$	4,012	$	444,255	$	395,280
Non-investment grade	4,239		4,560		144,601		118,434
Total by rating of reference entity	$	8,792	$	8,572	$	588,856	$	513,714
By maturity
Within 1 year	$	842	$	1,483	$	158,332	$	133,402
From 1 to 5 years	6,288		5,559		355,771		324,350
After 5 years	1,662		1,530		74,753		55,962
Total by maturity	$	8,792	$	8,572	$	588,856	$	513,714

(1)The fair value amount receivable is composed of $2,735 million under protection purchased and $6,057 million under protection sold.

(2)The fair value amount payable is composed of $6,684 million under protection purchased and $1,888 million under protection sold.

	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.