DERIVATIVES (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Derivative notionals |
Derivative Notionals
| | | | | | | | | | | | | | | | | | Hedging instruments under ASC 815 | Trading derivative instruments | | In millions of dollars | June 30,
2026 | December 31,
2025 | June 30,
2026 | December 31,
2025 | | | | Interest rate contracts | | | | | | | | Swaps | $ | 487,950 | | $ | 412,754 | | $ | 20,181,810 | | $ | 16,768,436 | | | | | Futures and forwards | — | | — | | 3,466,154 | | 3,219,583 | | | | | Written options | — | | — | | 3,319,951 | | 3,089,023 | | | | | Purchased options | — | | — | | 3,013,229 | | 2,814,873 | | | | | Total interest rate contracts | $ | 487,950 | | $ | 412,754 | | $ | 29,981,144 | | $ | 25,891,915 | | | | | Foreign exchange contracts | | | | | | | | Swaps | $ | 42,600 | | $ | 42,205 | | $ | 9,705,386 | | $ | 9,307,564 | | | | | Futures, forwards and spot | 59,897 | | 59,253 | | 6,324,018 | | 5,108,296 | | | | | Written options | — | | — | | 1,180,456 | | 885,093 | | | | | Purchased options | — | | — | | 1,150,997 | | 851,426 | | | | | Total foreign exchange contracts | $ | 102,497 | | $ | 101,458 | | $ | 18,360,857 | | $ | 16,152,379 | | | | | Equity contracts | | | | | | | | Swaps | $ | — | | $ | — | | $ | 594,187 | | $ | 520,623 | | | | | Futures and forwards | — | | — | | 200,036 | | 107,399 | | | | | Written options | — | | — | | 983,596 | | 809,293 | | | | | Purchased options | — | | — | | 804,139 | | 654,093 | | | | | Total equity contracts | $ | — | | $ | — | | $ | 2,581,958 | | $ | 2,091,408 | | | | | Commodity and other contracts | | | | | | | | Swaps | $ | — | | $ | — | | $ | 91,041 | | $ | 78,205 | | | | | Futures and forwards | 9,537 | | 11,102 | | 265,803 | | 230,619 | | | | | Written options | — | | — | | 74,032 | | 70,154 | | | | | Purchased options | — | | — | | 69,669 | | 67,213 | | | | | Total commodity and other contracts | $ | 9,537 | | $ | 11,102 | | $ | 500,545 | | $ | 446,191 | | | | | Credit derivatives | | | | | | | | Protection sold | $ | — | | $ | — | | $ | 502,462 | | $ | 475,228 | | | | | Protection purchased | — | | — | | 624,478 | | 600,329 | | | | | Total credit derivatives | $ | — | | $ | — | | $ | 1,126,940 | | $ | 1,075,557 | | | | | Total derivative notionals | $ | 599,984 | | $ | 525,314 | | $ | 52,551,444 | | $ | 45,657,450 | | | |
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| 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 June 30, 2026 and December 31, 2025. 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. For additional information on Citi’s derivative mark-to-market (MTM) receivables/payables, see Note 24 to the Consolidated Financial Statements in Citi’s 2025 Form 10-K.
Derivative Mark-to-Market (MTM) Receivables/Payables
| | | | | | | | | | Derivatives classified in
Trading account assets/liabilities(1)(2) | | In millions of dollars at June 30, 2026 | Assets | Liabilities | | Derivatives instruments designated as ASC 815 hedges | | | | Over-the-counter | $ | 289 | | $ | 273 | | | Cleared | 62 | | 77 | | | | | | Interest rate contracts | $ | 351 | | $ | 350 | | | Over-the-counter | $ | 877 | | $ | 883 | | | Cleared | 1 | | — | | | | | | Foreign exchange contracts | $ | 878 | | $ | 883 | | | | | | | | | | | | | | | Total derivatives instruments designated as ASC 815 hedges | $ | 1,229 | | $ | 1,233 | | | Derivatives instruments not designated as ASC 815 hedges | | | | Over-the-counter | $ | 89,361 | | $ | 78,055 | | | Cleared | 113,337 | | 115,615 | | | Exchange traded | 36 | | 43 | | | Interest rate contracts | $ | 202,734 | | $ | 193,713 | | | Over-the-counter | $ | 200,948 | | $ | 183,480 | | | Cleared | 976 | | 1,161 | | | Exchange traded | 1 | | 3 | | | Foreign exchange contracts | $ | 201,925 | | $ | 184,644 | | | Over-the-counter | $ | 32,836 | | $ | 48,366 | | | Cleared | — | | — | | | Exchange traded | 65,398 | | 64,630 | | | Equity contracts | $ | 98,234 | | $ | 112,996 | | | Over-the-counter | $ | 20,193 | | $ | 24,650 | | | | | | Exchange traded | 605 | | 674 | | | Commodity and other contracts | $ | 20,798 | | $ | 25,324 | | | Over-the-counter | $ | 7,599 | | $ | 7,511 | | | Cleared | 2,384 | | 2,444 | | | | | | Credit derivatives | $ | 9,983 | | $ | 9,955 | | | Total derivatives instruments not designated as ASC 815 hedges | $ | 533,674 | | $ | 526,632 | | | Total derivatives | $ | 534,903 | | $ | 527,865 | | | | | Less: Netting agreements(3) | $ | (442,830) | | $ | (442,830) | | Less: Netting cash collateral received/paid(4) | (26,027) | | (20,458) | | Net receivables/payables included on the Consolidated Balance Sheet(5) | $ | 66,046 | | $ | 64,577 | | Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet | | | | | | | Less: Cash collateral received/paid | $ | (1,849) | | $ | (57) | | | Less: Non-cash collateral received/paid | (8,067) | | (6,132) | | Total net receivables/payables(5) | $ | 56,130 | | $ | 58,388 | |
(1)The derivatives fair values are also presented in Note 21. (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 $264 billion, $116 billion and $63 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 annexes 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 $12 billion of derivative asset and $17 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, 2025 | Assets | Liabilities | | Derivatives instruments designated as ASC 815 hedges | | | | Over-the-counter | $ | 342 | | $ | 152 | | | Cleared | 52 | | 134 | | | | | | Interest rate contracts | $ | 394 | | $ | 286 | | | Over-the-counter | $ | 893 | | $ | 1,082 | | | Cleared | — | | — | | | | | | Foreign exchange contracts | $ | 893 | | $ | 1,082 | | | | | | | | | | | | | | | Total derivatives instruments designated as ASC 815 hedges | $ | 1,287 | | $ | 1,368 | | | Derivatives instruments not designated as ASC 815 hedges | | | | Over-the-counter | $ | 93,346 | | $ | 82,794 | | | Cleared | 132,155 | | 134,275 | | | Exchange traded | 16 | | 17 | | | Interest rate contracts | $ | 225,517 | | $ | 217,086 | | | Over-the-counter | $ | 157,116 | | $ | 147,903 | | | Cleared | 3,672 | | 3,877 | | | Exchange traded | 3 | | 2 | | | Foreign exchange contracts | $ | 160,791 | | $ | 151,782 | | | Over-the-counter | $ | 23,600 | | $ | 35,370 | | | Cleared | — | | — | | | Exchange traded | 45,707 | | 43,831 | | | Equity contracts | $ | 69,307 | | $ | 79,201 | | | Over-the-counter | $ | 22,131 | | $ | 23,989 | | | | | | Exchange traded | 557 | | 593 | | | Commodity and other contracts | $ | 22,688 | | $ | 24,582 | | | Over-the-counter | $ | 7,499 | | $ | 8,952 | | | Cleared | 2,224 | | 2,280 | | | | | | Credit derivatives | $ | 9,723 | | $ | 11,232 | | | Total derivatives instruments not designated as ASC 815 hedges | $ | 488,026 | | $ | 483,883 | | | Total derivatives | $ | 489,313 | | $ | 485,251 | | | | | Less: Netting agreements(3) | $ | (406,408) | | $ | (406,408) | | Less: Netting cash collateral received/paid(4) | (27,471) | | (20,629) | | Net receivables/payables included on the Consolidated Balance Sheet(5) | $ | 55,434 | | $ | 58,214 | | Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet | | | | | | | Less: Cash collateral received/paid | $ | (1,363) | | $ | (58) | | | Less: Non-cash collateral received/paid | (5,047) | | (4,386) | | Total net receivables/payables(5) | $ | 49,024 | | $ | 53,770 | |
(1)The derivative fair values are also presented in Note 21. (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 $227 billion, $136 billion and $43 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 annexes 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 $11 billion of derivative asset and $15 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
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| 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 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, | | 2026 | 2025 | 2026 | 2025 | | In millions of dollars | Principal transactions | Net interest income | Principal transactions | Net interest income | Principal transactions | Net interest income | Principal transactions | Net interest income | | Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | | | Interest rate hedges | $ | — | | $ | (360) | | $ | — | | $ | (9) | | $ | — | | $ | (961) | | $ | — | | $ | (423) | | | Foreign exchange hedges | 158 | | — | | 308 | | — | | 31 | | — | | 317 | | — | | | Commodity hedges | (563) | | — | | (496) | | — | | 80 | | — | | (770) | | — | | | Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (405) | | $ | (360) | | $ | (188) | | $ | (9) | | $ | 111 | | $ | (961) | | $ | (453) | | $ | (423) | | | Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | | | Interest rate hedges | $ | — | | $ | 362 | | $ | — | | $ | 9 | | $ | — | | $ | 965 | | $ | — | | $ | 428 | | | Foreign exchange hedges | (158) | | — | | (308) | | — | | (31) | | — | | (317) | | — | | | Commodity hedges | 563 | | — | | 496 | | — | | (80) | | — | | 770 | | — | | | Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 405 | | $ | 362 | | $ | 188 | | $ | 9 | | $ | (111) | | $ | 965 | | $ | 453 | | $ | 428 | | | Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | | | | | | | | | | Interest rate hedges | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | Foreign exchange hedges(2) | 90 | | — | | 94 | | — | | 80 | | — | | 121 | | — | | Commodity hedges(3) | 71 | | — | | 154 | | — | | 155 | | — | | 356 | | — | | | Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 161 | | $ | — | | $ | 248 | | $ | — | | $ | 235 | | $ | — | | $ | 477 | | $ | — | |
(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)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, 2026 and 2025, respectively. (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 or recorded in AOCI under the amortization approach. The quarter ended June 30, 2026 includes a gain (loss) of approximately $71 million and less than $(1) million under the mark-to-market approach and amortization approach, respectively. 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.
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| 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 June 30, 2026 and December 31, 2025, 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 June 30, 2026 | | | | | | | AFS debt securities—specifically hedged(2) | $ | 63,865 | | $ | (301) | | $ | 5 | | AFS debt securities—portfolio-layer method(2)(3) | 53,050 | | (89) | | 239 | | Consumer loans—portfolio-layer method(4) | 48,048 | | (102) | | — | | Corporate loans—portfolio-layer method(5) | 3,038 | | (4) | | (26) | | | Long-term debt | 151,514 | | (1,535) | | (2,753) | | | Short-term borrowings | 7,702 | | (5) | | — | | | As of December 31, 2025 | | | | | | | AFS debt securities—specifically hedged(2) | $ | 41,914 | | $ | 177 | | $ | 100 | | AFS debt securities—portfolio-layer method(2)(3) | 35,528 | | 133 | | 132 | | Consumer loans—portfolio-layer method(4) | 50,455 | | 343 | | — | | Corporate loans—portfolio-layer method(5) | 4,164 | | 17 | | (18) | | | Long-term debt | 162,666 | | 72 | | (2,978) | |
(1)Excludes physical commodities inventories with a carrying value of approximately $9.6 billion and $11.2 billion as of June 30, 2026 and December 31, 2025, respectively, which includes cumulative basis adjustments of approximately $0.1 billion in both periods, for active hedges. (2)Carrying amount represents the amortized cost basis of the hedged securities or portfolio layers. (3)The Company designated approximately $42.1 billion and $24.0 billion as the hedged amount in the portfolio-layer hedging relationship as of June 30, 2026 and December 31, 2025, respectively. (4) The Company designated approximately $27.0 billion and $26.0 billion as the hedged amount in the portfolio-layer hedging relationship as of June 30, 2026 and December 31, 2025, respectively. (5) The Company designated approximately $2.2 billion and $2.8 billion as the hedged amount in the portfolio-layer hedging relationship as of June 30, 2026 and December 31, 2025, respectively.
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| 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 June 30, | | Six Months Ended June 30, | | In millions of dollars | | 2026 | | 2025 | | 2026 | | 2025 | Amount of gain (loss) recognized in AOCI on derivatives | | | | | | | | | | Interest rate contracts | | $ | (376) | | | $ | (80) | | | $ | (705) | | | $ | (261) | | | Foreign exchange contracts | | 3 | | | — | | | (33) | | | — | | Total gain (loss) recognized in AOCI | | $ | (373) | | | $ | (80) | | | $ | (738) | | | $ | (261) | |
| | Net interest income | Amount of gain (loss) reclassified from AOCI to earnings(1) | | | | | | | | | | Interest rate contracts | | $ | (17) | | | $ | (168) | | | $ | (44) | | | $ | (357) | | | Foreign exchange contracts | | (7) | | | — | | | (15) | | | — | | Total gain (loss) reclassified from AOCI into earnings | | $ | (24) | | | $ | (168) | | | $ | (59) | | | $ | (357) | | Net pretax change in cash flow hedges included within AOCI | | $ | (349) | | | $ | 88 | | | $ | (679) | | | $ | 96 | |
(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.
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| Schedule of key characteristics of credit derivative portfolio |
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by derivative form, rating of reference entity and maturity: | | | | | | | | | | | | | | | | Fair values | Notionals | In millions of dollars at June 30, 2026 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold | | By instrument | | | | | | Credit default swaps and options | $ | 7,915 | | $ | 8,083 | | $ | 546,964 | | $ | 484,656 | | | Total return swaps and other | 2,068 | | 1,872 | | 77,514 | | 17,806 | | | Total by instrument | $ | 9,983 | | $ | 9,955 | | $ | 624,478 | | $ | 502,462 | | | By rating of reference entity | | | | | | Investment grade | $ | 4,756 | | $ | 4,495 | | $ | 446,210 | | $ | 391,477 | | | Non-investment grade | 5,227 | | 5,460 | | 178,268 | | 110,985 | | | Total by rating of reference entity | $ | 9,983 | | $ | 9,955 | | $ | 624,478 | | $ | 502,462 | | | By maturity | | | | | | Within 1 year | $ | 1,257 | | $ | 1,448 | | $ | 179,987 | | $ | 145,852 | | | From 1 to 5 years | 6,908 | | 6,718 | | 374,537 | | 326,731 | | | After 5 years | 1,818 | | 1,789 | | 69,954 | | 29,879 | | | Total by maturity | $ | 9,983 | | $ | 9,955 | | $ | 624,478 | | $ | 502,462 | |
(1)The fair value amount receivable is composed of $3,792 million under protection purchased and $6,191 million under protection sold. (2)The fair value amount payable is composed of $8,192 million under protection purchased and $1,763 million under protection sold.
| | | | | | | | | | | | | | | | Fair values | Notionals | In millions of dollars at December 31, 2025 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold | | By instrument | | | | | | Credit default swaps and options | $ | 7,691 | | $ | 8,008 | | $ | 529,748 | | $ | 457,932 | | | Total return swaps and other | 2,032 | | 3,224 | | 70,581 | | 17,296 | | | Total by instrument | $ | 9,723 | | $ | 11,232 | | $ | 600,329 | | $ | 475,228 | | | By rating of reference entity | | | | | | Investment grade | $ | 4,673 | | $ | 4,701 | | $ | 451,504 | | $ | 382,219 | | | Non-investment grade | 5,050 | | 6,531 | | 148,825 | | 93,009 | | | Total by rating of reference entity | $ | 9,723 | | $ | 11,232 | | $ | 600,329 | | $ | 475,228 | | | By maturity | | | | | | Within 1 year | $ | 1,366 | | $ | 2,817 | | $ | 173,546 | | $ | 135,335 | | | From 1 to 5 years | 6,495 | | 6,469 | | 360,174 | | 311,311 | | | After 5 years | 1,862 | | 1,946 | | 66,609 | | 28,582 | | | Total by maturity | $ | 9,723 | | $ | 11,232 | | $ | 600,329 | | $ | 475,228 | |
(1) The fair value amount receivable is composed of $3,899 million under protection purchased and $5,824 million under protection sold. (2) The fair value amount payable is composed of $9,275 million under protection purchased and $1,957 million under protection sold.
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