In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 24 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

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.


	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	September 30, 2024		December 31, 2023		September 30, 2024		December 31, 2023
Interest rate contracts
Swaps	$	288,367	$	277,003	$	18,656,456	$	17,077,712
Futures and forwards	—		—		3,471,800		3,022,127
Written options	—		—		2,903,068		2,753,912
Purchased options	—		—		2,639,344		2,687,662
Total interest rate contracts	$	288,367	$	277,003	$	27,670,668	$	25,541,413
Foreign exchange contracts
Swaps	$	38,142	$	45,851	$	8,609,176	$	7,943,054
Futures, forwards and spot	50,341		49,779		5,203,348		3,737,063
Written options	—		—		1,168,997		778,397
Purchased options	—		—		1,162,814		771,134
Total foreign exchange contracts	$	88,483	$	95,630	$	16,144,335	$	13,229,648
Equity contracts
Swaps	$	—	$	—	$	334,497	$	317,117
Futures and forwards	—		—		74,762		72,592
Written options	—		—		608,335		544,315
Purchased options	—		—		470,621		428,949
Total equity contracts	$	—	$	—	$	1,488,215	$	1,362,973
Commodity and other contracts
Swaps	$	—	$	—	$	79,070	$	82,009
Futures and forwards	3,427		1,750		178,223		161,811
Written options	—		—		66,528		49,555
Purchased options	—		—		70,612		46,742
Total commodity and other contracts	$	3,427	$	1,750	$	394,433	$	340,117
Credit derivatives(1)
Protection sold	$	—	$	—	$	514,599	$	496,699
Protection purchased	—		—		600,021		567,627
Total credit derivatives	$	—	$	—	$	1,114,620	$	1,064,326
Total derivative notionals	$	380,277	$	374,383	$	46,812,271	$	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, and as a market-maker to facilitate client transactions.

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of September 30, 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.


	Derivatives classified in Trading account assets/liabilities(1)(2)
In millions of dollars at September 30, 2024	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	183	$	571
Cleared	56		158

Interest rate contracts	$	239	$	729
Over-the-counter	$	1,733	$	1,477
Cleared	—		—

Foreign exchange contracts	$	1,733	$	1,477




Total derivatives instruments designated as ASC 815 hedges	$	1,972	$	2,206
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	100,207	$	91,252
Cleared	43,120		42,974
Exchange traded	104		50
Interest rate contracts	$	143,431	$	134,276
Over-the-counter	$	156,115	$	152,524
Cleared	1,144		1,103
Exchange traded	4		—
Foreign exchange contracts	$	157,263	$	153,627
Over-the-counter	$	22,551	$	34,739
Cleared	—		—
Exchange traded	40,185		39,808
Equity contracts	$	62,736	$	74,547
Over-the-counter	$	12,960	$	15,407

Exchange traded	894		887
Commodity and other contracts	$	13,854	$	16,294
Over-the-counter	$	6,001	$	6,341
Cleared	2,021		1,873

Credit derivatives	$	8,022	$	8,214
Total derivatives instruments not designated as ASC 815 hedges	$	385,306	$	386,958
Total derivatives	$	387,278	$	389,164

Less: Netting agreements(3)	$	(316,493)	$	(316,493)
Less: Netting cash collateral received/paid(4)	(19,843)		(25,082)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	50,942	$	47,589
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	(308)	$	(28)
Less: Non-cash collateral received/paid	(5,655)		(3,464)
Total net receivables/payables(5)	$	44,979	$	44,097

(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.


	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

(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.

For the three and nine months ended September 30, 2024 and 2023, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 for further information.

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


	Gains (losses) included in Other revenue
	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2024		2023		2024		2023
Interest rate contracts	$	(23)	$	(16)	$	(67)	$	(47)
Foreign exchange	(60)		(46)		(182)		(113)
Total	$	(83)	$	(62)	$	(249)	$	(160)

Fair Value Hedges

For additional information regarding Citi’s fair value hedges, see Note 24 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.


	Gains (losses) on fair value hedges(1)
	Three Months Ended September 30,								Nine Months Ended September 30,
	2024				2023				2024				2023
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	$	—	$	(128)	$	—	$	19	$	—	$	(1,168)	$	—	$	(473)
Foreign exchange hedges	350		—		(577)		—		424		—		709		—
Commodity hedges(2)	9		—		289		—		1,240		—		(36)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	359	$	(128)	$	(288)	$	19	$	1,664	$	(1,168)	$	673	$	(473)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	110	$	—	$	(21)	$	—	$	1,178	$	—	$	460
Foreign exchange hedges	(350)		—		577		—		(424)		—		(709)		—
Commodity hedges(2)	(9)		—		(289)		—		(1,240)		—		36		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(359)	$	110	$	288	$	(21)	$	(1,664)	$	1,178	$	(673)	$	460
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange hedges(3)	51		—		9		—		54		—		33		—
Commodity hedges(2)(4)	102		—		100		—		269		—		201		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	153	$	—	$	109	$	—	$	323	$	—	$	234	$	—

(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.

(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 $(10) million and $(10) million for the three months ended September 30, 2024 and 2023, respectively. The amount of cross-currency basis included in AOCI was $(12) million and $(14) million for the nine months ended September 30, 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 and are generally reflected directly in earnings under the mark-to-market approach or recorded in AOCI under the amortization approach. The quarter ended September 30, 2024 includes gain (loss) of approximately $70 million and $32 million under the mark-to-market approach and amortization approach, respectively. The quarter ended September 30, 2023 includes gain (loss) of approximately $93 million and $7 million under the mark-to-market approach and amortization approach, respectively.

Cumulative Basis Adjustment

Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. This cumulative basis adjustment becomes part of the carrying amount of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at September 30, 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 September 30, 2024
Debt securities AFS(2)(6)	$	91,697	$	277	$	(68)
Consumer loans(3)	55,483		670		—
Corporate loans(4)	5,520		65		62
Long-term debt	151,843		237		(4,254)
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)

(2)These amounts include a cumulative basis adjustment of $299 million for active hedges and $86 million for de-designated hedges as of September 30, 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 $11 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $30 billion as of September 30, 2024) in a portfolio layer hedging relationship.

(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 portfolio 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 portfolio layer hedging relationship.

Cash Flow Hedges

Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The pretax change in AOCI from cash flow hedges is presented below:


	Three Months Ended September 30,								Nine Months Ended September 30,
In millions of dollars	2024				2023				2024				2023
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	(378)			$	467			$	(38)			$	208
Foreign exchange contracts	(6)				10				(7)				15
Total gain (loss) recognized in AOCI	$	(384)			$	477			$	(45)			$	223
	Other revenue		Net interest income		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	$	—	$	(212)	$	—	$	(480)	$	—	$	(814)	$	—	$	(1,444)
Foreign exchange contracts	(1)		—		(1)		—		(3)		—		(3)		—
Total gain (loss) reclassified from AOCI into earnings	$	(1)	$	(212)	$	(1)	$	(480)	$	(3)	$	(814)	$	(3)	$	(1,444)
Net pretax change in cash flow hedges included within AOCI			$	(171)			$	958			$	772			$	1,670

Net Investment Hedges

Citigroup uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citi records the change in the fair value of these hedging instruments and the translation adjustment for the investments in these foreign subsidiaries in Foreign currency translation adjustment (CTA) within AOCI.

The pretax gain (loss) recorded in CTA within AOCI, related to net investment hedges, was $(92) million and $1,158 million for the three and nine months ended September 30, 2024 and $363 million and $(586) million for the three and nine months ended September 30, 2023, respectively.


	Fair values				Notionals
In millions of dollars at September 30, 2024	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By instrument
Credit default swaps and options	$	7,243	$	7,320	$	557,482	$	505,828
Total return swaps and other	779		894		42,539		8,771
Total by instrument	$	8,022	$	8,214	$	600,021	$	514,599
By rating of reference entity
Investment grade	$	4,184	$	4,088	$	458,741	$	402,141
Non-investment grade	3,838		4,126		141,280		112,458
Total by rating of reference entity	$	8,022	$	8,214	$	600,021	$	514,599
By maturity
Within 1 year	$	706	$	1,480	$	164,391	$	139,057
From 1 to 5 years	5,487		5,216		355,461		314,820
After 5 years	1,829		1,518		80,169		60,722
Total by maturity	$	8,022	$	8,214	$	600,021	$	514,599


	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

Credit Risk-Related Contingent Features in Derivatives

Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.

The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at September 30, 2024 and December 31, 2023 was $14 billion and $15 billion, respectively. The Company posted $12 billion and $12 billion as collateral for this exposure in the normal course of business as of September 30, 2024 and December 31, 2023, respectively.

A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of September 30, 2024, the Company could be required to post an additional $0.2 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $16 million upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.2 billion.

For transfers of financial assets accounted for as a sale by the Company, and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $5.5 billion and $4.3 billion as of September 30, 2024 and December 31, 2023, respectively.

At September 30, 2024, the fair value of these previously derecognized assets was $5.3 billion. The fair value of the total return swaps as of September 30, 2024 was $168 million recorded as gross derivative assets and $31 million recorded as gross derivative liabilities. At December 31, 2023, the fair value of these previously derecognized assets was $4.3 billion, and the fair value of the total return swaps was $121 million recorded as gross derivative assets and $29 million recorded as gross derivative liabilities.