DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative notionals

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.

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, 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.

(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
	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.

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, 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.

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	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.

Schedule of key characteristics of credit derivative portfolio

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.