DERIVATIVES

12 Months Ended

Dec. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

In the ordinary course of business, Citigroup enters into various types of derivative transactions, which include:

•Futures and forward contracts, which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price that may be settled in cash or through delivery of an item readily convertible to cash.

•Swap contracts, which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount.

•Option contracts, which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices.

Swaps, forwards and some option contracts are over-the-counter (OTC) derivatives that are bilaterally negotiated with counterparties and settled with those counterparties, except for swap contracts that are novated and “cleared” through central counterparties (CCPs). Futures contracts and other option contracts are standardized contracts that are traded on an exchange with a CCP as the counterparty from the inception of the transaction. Citigroup enters into derivative contracts relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons:

•Trading Purposes: Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities.

•Hedging: Citigroup uses derivatives in connection with its own risk management activities to hedge certain risks or reposition the risk profile of the Company. Hedging may be accomplished by applying hedge accounting in accordance with ASC 815, Derivatives and Hedging. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to synthetically convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage market risks inherent in specific groups of on-balance sheet assets and liabilities, including AFS securities, commodities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign exchange contracts are used to hedge non-U.S.-dollar-denominated debt, foreign currency-denominated AFS securities and net investment exposures.

Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, market prices, foreign exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to satisfy a derivative liability where the value of any collateral held by Citi is not adequate to cover such losses. The recognition in earnings of unrealized gains on derivative transactions is subject to management’s assessment of the probability of counterparty default. Liquidity risk is the potential exposure that arises when the size of a derivative position may affect the ability to monetize the position in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress.

Derivative transactions are customarily documented under industry standard master netting agreements, which provide that following an event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net obligation due to be paid to, or by, the defaulting party. These net obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement.

The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides (i) the requisite level of certainty regarding enforceability and (ii) that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default, including bankruptcy, insolvency or similar proceeding.

A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.

Exposure to credit risk on derivatives is affected by market volatility, which may impair the ability of counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements.

Cash collateral and security collateral in the form of G10 government debt securities are often posted by a party to a master netting agreement to secure the net open exposure of the other party; the receiving party is free to commingle/rehypothecate such collateral in the ordinary course of its business. Nonstandard collateral such as corporate bonds, municipal bonds, U.S. agency securities and/or MBS may also be pledged as collateral for derivative transactions. Security collateral posted to open and maintain a master netting agreement with a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement.

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. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.

Derivative Notionals


	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	December 31, 2024		December 31, 2023		December 31, 2024		December 31, 2023
Interest rate contracts
Swaps	$	276,939	$	277,003	$	15,245,212	$	17,077,712
Futures and forwards	—		—		3,006,869		3,022,127
Written options	—		—		2,799,577		2,753,912
Purchased options	—		—		2,526,165		2,687,662
Total interest rate contracts	$	276,939	$	277,003	$	23,577,823	$	25,541,413
Foreign exchange contracts
Swaps	$	36,421	$	45,851	$	7,422,309	$	7,943,054
Futures, forwards and spot	55,671		49,779		4,028,135		3,737,063
Written options	—		—		1,022,109		778,397
Purchased options	—		—		1,013,884		771,134
Total foreign exchange contracts	$	92,092	$	95,630	$	13,486,437	$	13,229,648
Equity contracts
Swaps	$	—	$	—	$	323,751	$	317,117
Futures and forwards	—		—		73,437		72,592
Written options	—		—		581,659		544,315
Purchased options	—		—		436,702		428,949
Total equity contracts	$	—	$	—	$	1,415,549	$	1,362,973
Commodity and other contracts
Swaps	$	—	$	—	$	80,582	$	82,009
Futures and forwards	4,403		1,750		183,494		161,811
Written options	—		—		54,673		49,555
Purchased options	—		—		55,819		46,742
Total commodity and other contracts	$	4,403	$	1,750	$	374,568	$	340,117
Credit derivatives(1)
Protection sold	$	—	$	—	$	439,146	$	496,699
Protection purchased	—		—		531,429		567,627
Total credit derivatives	$	—	$	—	$	970,575	$	1,064,326
Total derivative notionals	$	373,434	$	374,383	$	39,824,952	$	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 December 31, 2024 and 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 December 31, 2024	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	695	$	1
Cleared	154		19

Interest rate contracts	$	849	$	20
Over-the-counter	$	2,951	$	1,117
Cleared	—		—

Foreign exchange contracts	$	2,951	$	1,117




Total derivatives instruments designated as ASC 815 hedges	$	3,800	$	1,137
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	95,907	$	88,776
Cleared	33,447		33,269
Exchange traded	75		67
Interest rate contracts	$	129,429	$	122,112
Over-the-counter	$	210,755	$	202,582
Cleared	2,329		2,298
Exchange traded	10		20
Foreign exchange contracts	$	213,094	$	204,900
Over-the-counter	$	19,262	$	25,950
Cleared	—		—
Exchange traded	35,882		35,786
Equity contracts	$	55,144	$	61,736
Over-the-counter	$	11,945	$	13,804

Exchange traded	675		826
Commodity and other contracts	$	12,620	$	14,630
Over-the-counter	$	6,907	$	5,569
Cleared	1,808		1,684

Credit derivatives	$	8,715	$	7,253
Total derivatives instruments not designated as ASC 815 hedges	$	419,002	$	410,631
Total derivatives	$	422,802	$	411,768
Less: Netting agreements(3)	$	(334,900)	$	(334,900)
Less: Netting cash collateral received/paid(4)	(27,303)		(28,570)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	60,599	$	48,298
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet

Less: Cash collateral received/paid	$	(808)	$	(52)
Less: Non-cash collateral received/paid	(6,017)		(3,376)
Total net receivables/payables(5)	$	53,774	$	44,870

(1)The derivatives 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 $264 billion, $36 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 $13 billion of derivative asset and $15 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 derivative fair values are also presented in Note 26.

(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.

(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.

For the years ended December 31, 2024, 2023 and 2022, 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
	Year ended December 31,
In millions of dollars	2024		2023		2022
Interest rate contracts	$	(91)	$	(47)	$	141
Foreign exchange	(135)		(216)		(56)
Total	$	(226)	$	(263)	$	85

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,
	2024				2023				2022
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	$	—	$	(1,073)	$	—	$	(804)	$	—	$	(8,322)
Foreign exchange hedges	(112)		—		1,433		—		(1,375)		—
Commodity hedges(2)	657		—		(46)		—		(1,870)		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	545	$	(1,073)	$	1,387	$	(804)	$	(3,245)	$	(8,322)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	1,071	$	—	$	795	$	—	$	8,087
Foreign exchange hedges	112		—		(1,433)		—		1,372		—
Commodity hedges(2)	(657)		—		46		—		1,870		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(545)	$	1,071	$	(1,387)	$	795	$	3,242	$	8,087
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange hedges(3)	36		—		2		—		171		—
Commodity hedges(2)(4)	396		—		312		—		94		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	432	$	—	$	314	$	—	$	265	$	—

(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 $(19) million and $(70) million for the years ended December 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 and are generally reflected directly in earnings under the mark-to-market approach or recorded in AOCI under the amortization approach. The year ended December 31, 2024 includes gain (loss) of approximately $321 million and $75 million under the mark-to-market approach and amortization approach, respectively. 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.

Cumulative Basis Adjustment

The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at December 31, 2024 and 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.


Balance sheet line item in which hedged item is recorded (in millions of dollars)	Carrying amount of hedged asset/ liability(1)		Cumulative basis adjustment increasing (decreasing) the carrying amount
			Active		De-designated
As of December 31, 2024
Debt securities AFS—specifically hedged(2)	$	55,786	$	(348)	$	(100)
Debt securities AFS—portfolio-layer method(2)(3)	28,554		(193)		(67)
Consumer loans—portfolio-layer method(4)	53,700		(224)		—

Corporate loans—portfolio-layer method(5)	4,269		(72)		(12)

Long-term debt	147,910		(1,051)		(4,499)
As of December 31, 2023
Debt securities AFS—specifically hedged(2)	$	83,243	$	(1,173)	$	(231)
Debt securities AFS—portfolio-layer method(2)(3)	28,643		248		(51)
Corporate loans—portfolio-layer method(5)	4,968		93		(3)

Long-term debt	141,449		(908)		(5,160)

(1) Excludes physical commodities inventories with a carrying value of approximately $11.4 billion and $8 billion as of December 31, 2024 and 2023, respectively, which includes cumulative basis adjustments of approximately $0.8 billion and $1.2 billion, respectively, for active hedges.

(2) Carrying amount represents the amortized cost basis of the hedged securities or portfolio layers.

(3) The Company designated approximately $12.9 billion and $14.0 billion as the hedged amount in the portfolio-layer hedging relationship as of December 31, 2024 and 2023, respectively.

(4) The Company designated approximately $17.0 billion as the hedged amount in the portfolio-layer hedging relationship as of December 31, 2024.

(5) The Company designated approximately $3.0 billion and $3.6 billion as the hedged amount in the portfolio-layer hedging relationship as of December 31, 2024 and 2023, respectively.

Cash Flow Hedges

The pretax change in AOCI from cash flow hedges is presented below:


In millions of dollars	2024				2023				2022
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	476			$	(434)			$	(3,640)
Foreign exchange contracts	(7)				13				34
Total gain (loss) recognized in AOCI	$	469			$	(421)			$	(3,606)
	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	$	—	$	(1,027)	$	—	$	(1,897)	$	—	$	(125)
Foreign exchange contracts	(3)		—		(4)		—		(4)		—
Total gain (loss) reclassified from AOCI into earnings	$	(3)	$	(1,027)	$	(4)	$	(1,897)	$	(4)	$	(125)
Net pretax change in cash flow hedges included within AOCI			$	1,499			$	1,480			$	(3,477)

(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 December 31, 2024 is approximately $(0.5) 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 21.

Net Investment Hedges

The pretax gain (loss) recorded in CTA within AOCI, related to net investment hedges, was $2.8 billion, $(1.4) billion and $370 million for the years ended December 31, 2024, 2023 and 2022, respectively. The year ended December 31, 2022 includes a $36 million pretax loss related to net investment hedges, which were reclassified from AOCI into earnings (recorded in Other revenue).

Credit Derivatives

Citi is a market maker and trades a range of credit derivatives. Through these contracts, Citi either purchases or writes protection on either a single name or a portfolio of reference credits. Citi also uses credit derivatives to help mitigate credit risk in its corporate and consumer loan portfolios and other cash positions and to facilitate client transactions.

Citi manages counterparty credit risk arising from credit derivative contracts primarily through master netting agreements, collateral agreements and daily margin settlement requirements. A majority of Citi’s top 15 counterparties (by receivable balance owed to Citi) are central clearing houses, banks, financial institutions or other dealers. Contracts with these counterparties do not include ratings-based termination events. However, counterparty ratings downgrades may have an incremental effect by lowering the threshold at which Citi may call for additional collateral.

The range of credit derivatives entered into includes credit default swaps, total return swaps, credit options and credit-linked notes.

A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a predefined credit event on a reference entity. These credit events are defined by the terms of the derivative contract and the reference entity and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference entity and, in a more limited range of transactions, debt restructuring. Credit derivative transactions that reference emerging market entities also typically include additional credit events to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of reference entities or asset-backed securities. If there is no credit event, as defined by the specific derivative contract, then the protection seller makes no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the protection seller will be required to make a payment to the protection buyer. Under certain contracts, the seller of protection may not be required to make a payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount.

A total return swap typically transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment plus any depreciation of the reference asset exceeds the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset or a credit event with respect to the reference entity, subject to the provisions of the related total return swap agreement between the protection seller and the protection buyer.

A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of a reference entity. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell credit protection on the reference entity at a specified “strike” spread level. The option purchaser buys the right to sell credit default protection on the reference entity to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset or other reference entity. The options usually terminate if a credit event occurs with respect to the underlying reference entity.

A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note effectively provides credit protection to the issuer by agreeing to receive a return that could be negatively affected by credit events on the underlying reference entity. If the reference entity defaults, the note may be cash settled or physically settled by delivery of a debt security of the reference entity. Thus, the maximum amount of the note purchaser’s exposure is the amount paid for the credit-linked note.

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


	Fair values				Notionals
In millions of dollars at December 31, 2024	Receivable(1)		Payable(2)		Protection purchased		Protection sold






By instrument
Credit default swaps and options	$	6,765	$	6,545	$	486,901	$	431,005
Total return swaps and other	1,950		708		44,528		8,141
Total by instrument	$	8,715	$	7,253	$	531,429	$	439,146
By rating of reference entity
Investment grade	$	4,578	$	3,450	$	405,271	$	350,124
Non-investment grade	4,137		3,803		126,158		89,022
Total by rating of reference entity	$	8,715	$	7,253	$	531,429	$	439,146
By maturity
Within 1 year	$	1,606	$	1,166	$	140,541	$	118,885
From 1 to 5 years	5,625		4,906		342,608		295,503
After 5 years	1,484		1,181		48,280		24,758
Total by maturity	$	8,715	$	7,253	$	531,429	$	439,146

(1)The fair value amount receivable is composed of $3,864 million under protection purchased and $4,851 million under protection sold.

(2)The fair value amount payable is composed of $5,403 million under protection purchased and $1,850 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.

Fair values included in the above tables are prior to application of any netting agreements and cash collateral. For notional amounts, there is generally a difference between the total notional amounts of protection purchased and sold, and Citi may hold the reference assets directly rather than entering into offsetting credit derivative contracts as and when desired. The open risk exposures from credit derivative contracts are largely matched after certain cash positions in reference assets are considered and after notional amounts are adjusted, either to a duration-based equivalent basis or to reflect the level of subordination in tranched structures. The ratings of the credit derivatives portfolio presented in the tables and used to evaluate payment/performance risk are based on the assigned internal or external ratings of the reference asset or entity.

Where external ratings are used, investment-grade ratings are considered to be “Baa/BBB” and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system.

Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying reference credit. Credit derivatives written on an underlying non-investment-grade reference entity represent greater payment risk to the Company. The non-investment-grade category in the table above also includes credit derivatives where the underlying reference entity has been downgraded subsequent to the inception of the derivative.

The maximum potential amount of future payments under credit derivative contracts presented in the table above is based on the notional value of the derivatives. The Company believes that the notional amount for credit protection sold is not representative of the actual loss exposure based on historical experience. This amount has not been reduced by the value of the reference assets and the related cash flows. In accordance with most credit derivative contracts, should a credit event occur, the Company usually is liable for the difference between the protection sold and the value of the reference assets. Furthermore, the notional amount for credit protection sold has not been reduced for any cash collateral paid to a given counterparty, as such payments would be calculated after netting all derivative exposures, including any credit derivatives with that counterparty in accordance with a related master netting agreement. Due to such netting processes, determining the amount of collateral that corresponds to credit derivative exposures alone is not possible. The Company actively monitors open credit-risk exposures and manages this exposure by using a variety of strategies, including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above.

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 December 31, 2024 and 2023 was $15 billion and $15 billion, respectively. The Company posted $13 billion and $12 billion as collateral for this exposure in the normal course of business as of December 31, 2024 and 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 December 31, 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 an amount of less than $1 million upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.2 billion.

Derivatives Accompanied by Financial Asset Transfers

The Company executes total return swaps that provide it with synthetic exposure to substantially all of the economic return of the securities or other financial assets referenced in the contract. In certain cases, the derivative transaction is accompanied by the Company’s transfer of the referenced financial asset to the derivative counterparty, most typically in response to the derivative counterparty’s desire to hedge, in whole or in part, its synthetic exposure under the derivative contract by holding the referenced asset in funded form. In certain jurisdictions these transactions qualify as sales, resulting in derecognition of the securities transferred (see Note 1 for further discussion of the related sale conditions for transfers of financial assets). For a significant portion of the transactions, the Company has also executed another total return swap where the Company passes on substantially all of the economic return of the referenced securities to a different third party seeking the exposure. In those cases, the Company is not exposed, on a net basis, to changes in the economic return of the referenced securities.

These transactions generally involve the transfer of the Company’s liquid government bonds, convertible bonds or publicly traded corporate equity securities from the trading portfolio and are executed with third-party financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and subject to ongoing margin requirements.

When the conditions for sale accounting are met, the Company reports the transfer of the referenced financial asset as a sale and separately reports the accompanying derivative transaction. These transactions generally do not result in a gain or loss on the sale of the security, because the transferred security was held at fair value in the Company’s trading portfolio. 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 $6.2 billion and $4.3 billion as of December 31, 2024 and 2023, respectively.

At December 31, 2024, the fair value of these previously derecognized assets was $5.8 billion. The fair value of the total return swaps as of December 31, 2024 was $179 million recorded as gross derivative assets and $29 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.

The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.