DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2025

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, 2025		December 31, 2024		March 31, 2025		December 31, 2024
Interest rate contracts
Swaps	$	358,870	$	276,939	$	19,205,497	$	15,245,212
Futures and forwards	—		—		3,620,561		3,006,869
Written options	—		—		2,854,320		2,799,577
Purchased options	—		—		2,655,366		2,526,165
Total interest rate contracts	$	358,870	$	276,939	$	28,335,744	$	23,577,823
Foreign exchange contracts
Swaps	$	36,361	$	36,421	$	8,218,569	$	7,422,309
Futures, forwards and spot	56,490		55,671		5,437,700		4,028,135
Written options	—		—		1,183,154		1,022,109
Purchased options	—		—		1,187,801		1,013,884
Total foreign exchange contracts	$	92,851	$	92,092	$	16,027,224	$	13,486,437
Equity contracts
Swaps	$	—	$	—	$	329,883	$	323,751
Futures and forwards	—		—		74,426		73,437
Written options	—		—		783,385		581,659
Purchased options	—		—		625,986		436,702
Total equity contracts	$	—	$	—	$	1,813,680	$	1,415,549
Commodity and other contracts
Swaps	$	—	$	—	$	80,760	$	80,582
Futures and forwards	19,257		4,403		160,185		183,494
Written options	—		—		64,279		54,673
Purchased options	—		—		66,161		55,819
Total commodity and other contracts	$	19,257	$	4,403	$	371,385	$	374,568
Credit derivatives(1)
Protection sold	$	—	$	—	$	533,380	$	439,146
Protection purchased	—		—		626,695		531,429
Total credit derivatives	$	—	$	—	$	1,160,075	$	970,575
Total derivative notionals	$	470,978	$	373,434	$	47,708,108	$	39,824,952

(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

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, 2025 and December 31, 2024. 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, 2025	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	397	$	134
Cleared	52		48
Interest rate contracts	$	449	$	182
Over-the-counter	$	1,049	$	677
Cleared	—		—
Foreign exchange contracts	$	1,049	$	677
Total derivatives instruments designated as ASC 815 hedges	$	1,498	$	859
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	92,334	$	84,463
Cleared	66,590		66,358
Exchange traded	51		73
Interest rate contracts	$	158,975	$	150,894
Over-the-counter	$	136,619	$	127,735
Cleared	791		751
Exchange traded	10		13
Foreign exchange contracts	$	137,420	$	128,499
Over-the-counter	$	21,321	$	27,446
Cleared	—		—
Exchange traded	39,771		38,699
Equity contracts	$	61,092	$	66,145
Over-the-counter	$	15,863	$	17,343
Exchange traded	691		1,303
Commodity and other contracts	$	16,554	$	18,646
Over-the-counter	$	6,922	$	6,274
Cleared	2,130		1,945
Credit derivatives	$	9,052	$	8,219
Total derivatives instruments not designated as ASC 815 hedges	$	383,093	$	372,403
Total derivatives	$	384,591	$	373,262
Less: Netting agreements(3)	$	(304,560)	$	(304,560)
Less: Netting cash collateral received/paid(4)	(25,022)		(19,204)
Net receivables/payables included on the Consolidated Balance Sheet(5)	$	55,009	$	49,498
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(2,332)	$	(35)
Less: Non-cash collateral received/paid	(5,440)		(3,072)
Total net receivables/payables(5)	$	47,237	$	46,391

(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 $200 billion, $67 billion and $38 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 $9 billion of derivative asset and $13 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, 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 derivative 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 $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.

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 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 March 31,
In millions of dollars	2025		2024
Interest rate contracts	$	4	$	(36)
Foreign exchange	(89)		14
Total	$	(85)	$	(22)

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,
	2025				2024
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	$	—	$	(414)	$	—	$	(604)
Foreign exchange hedges	9		—		(71)		—
Commodity hedges(2)	(274)		—		1,520		—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges	$	(265)	$	(414)	$	1,449	$	(604)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	—	$	419	$	—	$	620
Foreign exchange hedges	(9)		—		71		—
Commodity hedges(2)	274		—		(1,520)		—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	265	$	419	$	(1,449)	$	620
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges	$	—	$	—	$	—	$	—
Foreign exchange hedges(3)	27		—		(29)		—
Commodity hedges(2)(4)	202		—		98		—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges	$	229	$	—	$	69	$	—

(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 $10 million and $(4) million for the three months ended March 31, 2025 and 2024, 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 March 31, 2025 includes gain (loss) of approximately $170 million and $32 million under the mark-to-market approach and amortization approach, respectively. 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.

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, 2025 and December 31, 2024, 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 March 31, 2025
Debt securities AFS—specifically hedged(2)	$	40,178	$	111	$	(2)
Debt securities AFS—portfolio-layer method(2)(3)	34,047		206		(78)
Consumer loans—portfolio-layer method(4)	53,345		231		—
Corporate loans—portfolio-layer method(5)	3,733		20		(39)
Long-term debt	152,782		45		(4,314)
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)

(1)Excludes physical commodities inventories with a carrying value of approximately $20.1 billion and $11.4 billion as of March 31, 2025 and December 31, 2024, respectively, which includes cumulative basis adjustments of approximately $0.2 billion and $0.8 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 $27.7 billion and $12.9 billion as the hedged amount in the portfolio-layer hedging relationship as of March 31, 2025 and December 31, 2024, respectively.

(4)    The Company designated approximately $19.6 billion and $17.0 billion as the hedged amount in the portfolio-layer hedging relationship as of March 31, 2025 and December 31, 2024, respectively.

(5)    The Company designated approximately $2.6 billion and $3.0 billion as the hedged amount in the portfolio-layer hedging relationship as of March 31, 2025 and December 31, 2024, 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:

	Three Months Ended March 31,
In millions of dollars	2025				2024
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts	$	(181)			$	306
Foreign exchange contracts	—				1
Total gain (loss) recognized in AOCI	$	(181)			$	307
	Other revenue		Net interest income		Other revenue		Net interest income
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts	$	—	$	(189)	$	—	$	(342)
Foreign exchange contracts	—		—		(1)		—
Total gain (loss) reclassified from AOCI into earnings	$	—	$	(189)	$	(1)	$	(342)
Net pretax change in cash flow hedges included within AOCI			$	8			$	650

(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 March 31, 2025	Receivable(1)		Payable(2)		Protection purchased		Protection sold
By instrument
Credit default swaps and options	$	7,343	$	7,317	$	574,949	$	522,262
Total return swaps and other	1,709		902		51,746		11,118
Total by instrument	$	9,052	$	8,219	$	626,695	$	533,380
By rating of reference entity
Investment grade	$	4,052	$	3,730	$	415,533	$	355,050
Non-investment grade	5,000		4,489		211,162		178,330
Total by rating of reference entity	$	9,052	$	8,219	$	626,695	$	533,380
By maturity
Within 1 year	$	1,032	$	1,340	$	158,726	$	144,474
From 1 to 5 years	5,795		5,242		371,428		309,060
After 5 years	2,225		1,637		96,541		79,846
Total by maturity	$	9,052	$	8,219	$	626,695	$	533,380

(1)The fair value amount receivable is composed of $3,788 million under protection purchased and $5,264 million under protection sold.

(2)The fair value amount payable is composed of $6,249 million under protection purchased and $1,970 million under protection sold.

	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.