v3.26.1
DERIVATIVES
 3 Months Ended
Mar. 31, 2026
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 on Citi’s use of and accounting for derivatives, see Note 24 to the Consolidated Financial Statements in Citi’s 2025 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. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
Derivative Notionals

 Hedging instruments under ASC 815Trading derivative instruments
In millions of dollarsMarch 31,
2026		December 31,
2025		March 31,
2026		December 31,
2025
Interest rate contracts    
Swaps$421,725 $412,754 $19,433,207 $16,768,436 
Futures and forwards— — 3,821,721 3,219,583 
Written options— — 3,351,746 3,089,023 
Purchased options— — 3,108,665 2,814,873 
Total interest rate contracts$421,725 $412,754 $29,715,339 $25,891,915 
Foreign exchange contracts 
Swaps$41,624 $42,205 $9,847,988 $9,307,564 
Futures, forwards and spot64,809 59,253 6,218,231 5,108,296 
Written options— — 1,236,898 885,093 
Purchased options— — 1,203,238 851,426 
Total foreign exchange contracts$106,433 $101,458 $18,506,355 $16,152,379 
Equity contracts  
Swaps$— $— $474,485 $520,623 
Futures and forwards— — 134,992 107,399 
Written options— — 947,358 809,293 
Purchased options— — 764,120 654,093 
Total equity contracts$— $— $2,320,955 $2,091,408 
Commodity and other contracts  
Swaps$— $— $93,964 $78,205 
Futures and forwards11,536 11,102 256,733 230,619 
Written options— — 77,252 70,154 
Purchased options— — 75,675 67,213 
Total commodity and other contracts$11,536 $11,102 $503,624 $446,191 
Credit derivatives 
Protection sold$— $— $525,652 $475,228 
Protection purchased— — 633,473 600,329 
Total credit derivatives$— $— $1,159,125 $1,075,557 
Total derivative notionals$539,694 $525,314 $52,205,398 $45,657,450 
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, 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 March 31, 2026AssetsLiabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter$467 $356 
Cleared327 48 
Interest rate contracts$794 $404 
Over-the-counter$1,348 $906 
Cleared— — 
Foreign exchange contracts$1,348 $906 
Total derivatives instruments designated as ASC 815 hedges$2,142 $1,310 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$92,725 $80,857 
Cleared97,170 98,224 
Exchange traded57 63 
Interest rate contracts$189,952 $179,144 
Over-the-counter$192,281 $177,134 
Cleared1,508 1,844 
Exchange traded2 2 
Foreign exchange contracts$193,791 $178,980 
Over-the-counter$25,667 $34,104 
Cleared— — 
Exchange traded51,080 52,818 
Equity contracts$76,747 $86,922 
Over-the-counter$27,304 $27,897 
Exchange traded932 1,222 
Commodity and other contracts$28,236 $29,119 
Over-the-counter$8,399 $8,174 
Cleared1,700 1,807 
Credit derivatives$10,099 $9,981 
Total derivatives instruments not designated as ASC 815 hedges$498,825 $484,146 
Total derivatives$500,967 $485,456 
Less: Netting agreements(3)
$(406,175)$(406,175)
Less: Netting cash collateral received/paid(4)
(27,603)(16,150)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$67,189 $63,131 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(2,252)$(57)
Less: Non-cash collateral received/paid(8,052)(3,831)
Total net receivables/payables(5)
$56,885 $59,243 

(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 $257 billion, $99 billion and $50 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, 2025AssetsLiabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter$342 $152 
Cleared52 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 
Cleared132,155 134,275 
Exchange traded16 17 
Interest rate contracts$225,517 $217,086 
Over-the-counter$157,116 $147,903 
Cleared3,672 3,877 
Exchange traded3 2 
Foreign exchange contracts$160,791 $151,782 
Over-the-counter$23,600 $35,370 
Cleared— — 
Exchange traded45,707 43,831 
Equity contracts$69,307 $79,201 
Over-the-counter$22,131 $23,989 
Exchange traded557 593 
Commodity and other contracts$22,688 $24,582 
Over-the-counter$7,499 $8,952 
Cleared2,224 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.


For the three months ended March 31, 2026 and 2025, 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.
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 2025 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 March 31,
20262025
In millions of dollarsPrincipal transactionsNet interest incomePrincipal transactionsNet interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges$— $(601)$— $(414)
Foreign exchange hedges(127)— 9 — 
Commodity hedges644 — (274)— 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$517 $(601)$(265)$(414)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$— $603 $— $419 
Foreign exchange hedges127 — (9)— 
Commodity hedges(644)— 274 — 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(517)$603 $265 $419 
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges 
Interest rate hedges$— $— $— $— 
Foreign exchange hedges(2)
(10)— 27 — 
Commodity hedges(3)
84 — 202 — 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$74 $— $229 $— 

(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 $19 million and $10 million for the three months ended March 31, 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 March 31, 2026 includes a gain (loss) of approximately $84 million and less than $1 million under the mark-to-market approach and amortization approach, respectively. The quarter ended March 31, 2025 includes a gain (loss) of approximately $170 million and $32 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 2025 Form 10-K.
The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at March 31, 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
ActiveDe-designated
As of March 31, 2026
AFS debt securities—specifically hedged(2)
$53,520 $(92)$72 
AFS debt securities—portfolio-layer method(2)(3)
39,877 (57)286 
Consumer loans—portfolio-layer method(4)
49,362 206 — 
Corporate loans—portfolio-layer method(5)
3,761 8 (19)
Long-term debt153,455 (858)(2,767)
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 debt162,666 72 (2,978)

(1)Excludes physical commodities inventories with a carrying value of approximately $10.9 billion and $11.2 billion as of March 31, 2026 and December 31, 2025, respectively, which includes cumulative basis adjustments of approximately $(0.8) billion and $0.1 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 $13.3 billion and $24.0 billion as the hedged amount in the portfolio-layer hedging relationship as of March 31, 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 March 31, 2026 and December 31, 2025, respectively.
(5)    The Company designated approximately $2.3 billion and $2.8 billion as the hedged amount in the portfolio-layer hedging relationship as of March 31, 2026 and December 31, 2025, 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 2025 Form 10-K.
The pretax change in AOCI from cash flow hedges is presented below:







 Three Months Ended March 31,
In millions of dollars20262025
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(329)$(181)
Foreign exchange contracts(36)— 
Total gain (loss) recognized in AOCI
$(365)$(181)

Net interest income
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts$(27)$(189)
Foreign exchange contracts(8)— 
Total gain (loss) reclassified from AOCI into earnings
$(35)$(189)
Net pretax change in cash flow hedges included within AOCI
$(330)$8 

(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 March 31, 2026 is approximately $(0.2) billion. The maximum length of time over which forecasted cash flows are hedged is 12 years.
The after-tax impact of cash flow hedges on AOCI is presented in Note 17.

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 2025 Form 10-K.
The pretax gain (loss) recorded in CTA within AOCI, related to net investment hedges, was $356 million and $(581) million for the three months ended March 31, 2026 and 2025, respectively.
Credit Derivatives
For additional information on Citi’s credit derivatives, see Note 24 to the Consolidated Financial Statements in Citi’s 2025 Form 10-K.
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by derivative form, rating of reference entity and maturity:








Fair valuesNotionals
In millions of dollars at March 31, 2026
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By instrument
Credit default swaps and options$7,583 $7,541 $562,188 $508,942 
Total return swaps and other2,516 2,440 71,285 16,710 
Total by instrument$10,099 $9,981 $633,473 $525,652 
By rating of reference entity
Investment grade$4,499 $4,164 $430,492 $370,606 
Non-investment grade5,600 5,817 202,981 155,046 
Total by rating of reference entity$10,099 $9,981 $633,473 $525,652 
By maturity
Within 1 year$1,638 $1,832 $177,750 $159,228 
From 1 to 5 years5,821 5,976 354,827 284,344 
After 5 years2,640 2,173 100,896 82,080 
Total by maturity$10,099 $9,981 $633,473 $525,652 

(1)The fair value amount receivable is composed of $5,079 million under protection purchased and $5,020 million under protection sold.
(2)The fair value amount payable is composed of $7,341 million under protection purchased and $2,640 million under protection sold.

 Fair valuesNotionals
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 other2,032 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 grade5,050 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 years6,495 6,469 360,174 311,311 
After 5 years1,862 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.
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 March 31, 2026 and December 31, 2025 was $15 billion and $16 billion, respectively. The Company posted $13 billion as collateral for this exposure in the normal course of business as of March 31, 2026 and December 31, 2025.
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 March 31, 2026, 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, 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 $3.2 billion and $8.2 billion as of March 31, 2026 and December 31, 2025, respectively.
At March 31, 2026, the fair value of these previously derecognized assets was $3.1 billion. The fair value of the total return swaps as of March 31, 2026 was $6 million recorded as gross derivative assets and $90 million recorded as gross derivative liabilities. At December 31, 2025, the fair value of these previously derecognized assets was $8.0 billion, and the fair value of the total return swaps was $103 million recorded as gross derivative assets and $69 million recorded as gross derivative liabilities.