v3.25.2
DERIVATIVES
 6 Months Ended
Jun. 30, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES DERIVATIVES
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 2024 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.

Derivative Notionals

 Hedging instruments under ASC 815Trading derivative instruments
In millions of dollarsJune 30,
2025		December 31,
2024		June 30,
2025		December 31,
2024
Interest rate contracts    
Swaps$344,522 $276,939 $20,123,482 $15,245,212 
Futures and forwards— — 3,744,099 3,006,869 
Written options— — 3,182,139 2,799,577 
Purchased options— — 2,948,408 2,526,165 
Total interest rate contracts$344,522 $276,939 $29,998,128 $23,577,823 
Foreign exchange contracts 
Swaps$42,500 $36,421 $9,180,755 $7,422,309 
Futures, forwards and spot61,633 55,671 5,797,263 4,028,135 
Written options— — 1,271,157 1,022,109 
Purchased options— — 1,247,119 1,013,884 
Total foreign exchange contracts$104,133 $92,092 $17,496,294 $13,486,437 
Equity contracts  
Swaps$— $— $380,769 $323,751 
Futures and forwards— — 79,995 73,437 
Written options— — 836,521 581,659 
Purchased options— — 686,292 436,702 
Total equity contracts$— $— $1,983,577 $1,415,549 
Commodity and other contracts  
Swaps$— $— $77,260 $80,582 
Futures and forwards9,153 4,403 175,589 183,494 
Written options— — 68,451 54,673 
Purchased options— — 72,091 55,819 
Total commodity and other contracts$9,153 $4,403 $393,391 $374,568 
Credit derivatives(1)
 
Protection sold$— $— $502,959 $439,146 
Protection purchased— — 601,645 531,429 
Total credit derivatives$— $— $1,104,604 $970,575 
Total derivative notionals$457,808 $373,434 $50,975,994 $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.
The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of June 30, 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 June 30, 2025AssetsLiabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter$298 $488 
Cleared79 116 
Interest rate contracts$377 $604 
Over-the-counter$1,100 $2,174 
Cleared— — 
Foreign exchange contracts$1,100 $2,174 
Total derivatives instruments designated as ASC 815 hedges$1,477 $2,778 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$98,949 $89,056 
Cleared98,131 99,694 
Exchange traded33 45 
Interest rate contracts$197,113 $188,795 
Over-the-counter$174,311 $162,788 
Cleared1,249 1,218 
Exchange traded4 5 
Foreign exchange contracts$175,564 $164,011 
Over-the-counter$26,036 $37,673 
Cleared— — 
Exchange traded47,206 44,851 
Equity contracts$73,242 $82,524 
Over-the-counter$13,590 $14,957 
Exchange traded746 1,049 
Commodity and other contracts$14,336 $16,006 
Over-the-counter$7,256 $6,826 
Cleared2,731 2,683 
Credit derivatives$9,987 $9,509 
Total derivatives instruments not designated as ASC 815 hedges$470,242 $460,845 
Total derivatives$471,719 $463,623 
Less: Netting agreements(3)
$(385,343)$(385,343)
Less: Netting cash collateral received/paid(4)
(27,790)(23,829)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$58,586 $54,451 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,560)$(56)
Less: Non-cash collateral received/paid(5,616)(3,152)
Total net receivables/payables(5)
$51,410 $51,243 

(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 $241 billion, $100 billion and $44 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 $10 billion of derivative asset and $14 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, 2024AssetsLiabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter$695 $1 
Cleared154 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 
Cleared33,447 33,269 
Exchange traded75 67 
Interest rate contracts$129,429 $122,112 
Over-the-counter$210,755 $202,582 
Cleared2,329 2,298 
Exchange traded10 20 
Foreign exchange contracts$213,094 $204,900 
Over-the-counter$19,262 $25,950 
Cleared— — 
Exchange traded35,882 35,786 
Equity contracts$55,144 $61,736 
Over-the-counter$11,945 $13,804 
Exchange traded675 826 
Commodity and other contracts$12,620 $14,630 
Over-the-counter$6,907 $5,569 
Cleared1,808 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.
For the three and six months ended June 30, 2025 and 2024, 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 June 30,Six Months Ended June 30,
In millions of dollars2025202420252024
Interest rate contracts$(36)$(8)$(32)$(44)
Foreign exchange(323)(136)(412)(122)
Total$(359)$(144)$(444)$(166)


Fair Value Hedges
For additional information on Citi’s fair value hedges, see Notes 1 and 24 to the Consolidated Financial Statements in Citi’s 2024 Form 10-K.
The following table summarizes the gains (losses) on the Company’s fair value hedges:



 
Gains (losses) on fair value hedges(1)
Three Months Ended June 30,Six Months Ended June 30,
2025202420252024
In millions of dollarsOther revenueNet interest incomeOther revenueNet interest incomeOther
revenue		Net interest incomeOther revenueNet interest income
Gain (loss) on the hedging derivatives included in assessment
of the effectiveness of fair value hedges		  
Interest rate hedges$— $(9)$— $(436)$— $(423)$— $(1,040)
Foreign exchange hedges308 — 145 — 317 — 74 — 
Commodity hedges(2)
(496)— (289)— (770)— 1,231 — 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(188)$(9)$(144)$(436)$(453)$(423)$1,305 $(1,040)
Gain (loss) on the hedged item in designated and qualifying
fair value hedges
Interest rate hedges$— $9 $— $448 $— $428 $— $1,068 
Foreign exchange hedges(308)— (145)— (317)— (74)— 
Commodity hedges(2)
496 — 289 — 770 — (1,231)— 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$188 $9 $144 $448 $453 $428 $(1,305)$1,068 
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges    
Interest rate hedges$— $— $— $— $— $— $— $— 
Foreign exchange hedges(3)
94 — 32 — 121 — 3 — 
Commodity hedges(2)(4)
154 — 70 — 356 — 167 — 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$248 $— $102 $— $477 $— $170 $— 

(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 $(2) million and $2 million for the three months ended June 30, 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 June 30, 2025 includes a gain (loss) of approximately $139 million and $15 million under the mark-to-market approach and amortization approach, respectively. The quarter ended June 30, 2024 includes a gain (loss) of approximately $51 million and $19 million under the mark-to-market approach and amortization approach, respectively.
Cumulative Basis Adjustment
For additional information on Citi’s cumulative basis adjustment, see Notes 1 and 24 to the Consolidated Financial Statements in Citi’s 2024 Form 10-K.
The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 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
ActiveDe-designated
As of June 30, 2025
Debt securities AFS—specifically hedged(2)
$43,449 $103 $115 
Debt securities AFS—portfolio-layer method(2)(3)
35,468 329 14 
Consumer loans—portfolio-layer method(4)
52,655 516 — 
Corporate loans—portfolio-layer method(5)
3,630 50 (39)
Long-term debt163,245 739 (3,784)
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 debt147,910 (1,051)(4,499)

(1)Excludes physical commodities inventories with a carrying value of approximately $9.2 billion and $11.4 billion as of June 30, 2025 and December 31, 2024, respectively, which includes cumulative basis adjustments of approximately $0.5 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 $27.4 billion and $12.9 billion as the hedged amount in the portfolio-layer hedging relationship as of June 30, 2025 and December 31, 2024, respectively.
(4)    The Company designated approximately $26.0 billion and $17.0 billion as the hedged amount in the portfolio-layer hedging relationship as of June 30, 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 June 30, 2025 and December 31, 2024, respectively.
Cash Flow Hedges
For additional information on Citi’s cash flow hedges, see Notes 1 and 24 to the Consolidated Financial Statements in Citi’s 2024 Form 10-K.
The pretax change in AOCI from cash flow hedges is presented below:







 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2025202420252024
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(80)$34 $(261)$340 
Foreign exchange contracts— (2)— (1)
Total gain (loss) recognized in AOCI
$(80)$32 $(261)$339 

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$— $(168)$— $(260)$— $(357)$— $(602)
Foreign exchange contracts— — (1)— — — (2)— 
Total gain (loss) reclassified from AOCI into earnings
$— $(168)$(1)$(260)$— $(357)$(2)$(602)
Net pretax change in cash flow hedges included within AOCI
$88 $293 $96 $943 

(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 June 30, 2025 is approximately $(0.2) billion. The maximum length of time over which forecasted cash flows are hedged is 13 years.
The after-tax impact of cash flow hedges on AOCI is presented in Note 19.

Net Investment Hedges
For additional information on Citi’s net investment hedges, see Notes 1 and 24 to the Consolidated Financial Statements in Citi’s 2024 Form 10-K.
The pretax gain (loss) recorded in CTA within AOCI, related to net investment hedges, was $(1,881) million and $(2,462) million for the three and six months ended June 30, 2025 and $1,057 million and $1,250 million for the three and six months ended June 30, 2024, respectively.

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

Fair valuesNotionals
In millions of dollars at June 30, 2025
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By instrument
Credit default swaps and options$7,920 $7,936 $541,514 $489,116 
Total return swaps and other2,067 1,573 60,131 13,843 
Total by instrument$9,987 $9,509 $601,645 $502,959 
By rating of reference entity
Investment grade$5,214 $4,549 $457,412 $406,280 
Non-investment grade4,773 4,960 144,233 96,679 
Total by rating of reference entity$9,987 $9,509 $601,645 $502,959 
By maturity
Within 1 year$1,188 $1,546 $155,348 $137,149 
From 1 to 5 years7,002 6,558 387,961 336,282 
After 5 years1,797 1,405 58,336 29,528 
Total by maturity$9,987 $9,509 $601,645 $502,959 

(1)The fair value amount receivable is composed of $3,890 million under protection purchased and $6,097 million under protection sold.
(2)The fair value amount payable is composed of $7,684 million under protection purchased and $1,825 million under protection sold.

 Fair valuesNotionals
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 other1,950 708 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 grade4,137 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 years5,625 4,906 342,608 295,503 
After 5 years1,484 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.
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 June 30, 2025 and December 31, 2024 was $13 billion and $15 billion, respectively. The Company posted $10 billion and $13 billion as collateral for this exposure in the normal course of business as of June 30, 2025 and December 31, 2024, 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 June 30, 2025, 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 approximately $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
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 $4.9 billion and $6.2 billion as of June 30, 2025 and December 31, 2024, respectively.
At June 30, 2025, the fair value of these previously derecognized assets was $4.6 billion. The fair value of the total return swaps as of June 30, 2025 was $119 million recorded as gross derivative assets and $26 million recorded as gross derivative liabilities. At December 31, 2024, the fair value of these previously derecognized assets was $5.8 billion, and the fair value of the total return swaps was $179 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.