DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Notionals


	Hedging instruments under ASC 815				Trading derivative instruments
In millions of dollars	March 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 spot	64,809		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 forwards	11,536		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

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, 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, 2026	Assets		Liabilities
Derivatives instruments designated as ASC 815 hedges
Over-the-counter	$	467	$	356
Cleared	327		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
Cleared	97,170		98,224
Exchange traded	57		63
Interest rate contracts	$	189,952	$	179,144
Over-the-counter	$	192,281	$	177,134
Cleared	1,508		1,844
Exchange traded	2		2
Foreign exchange contracts	$	193,791	$	178,980
Over-the-counter	$	25,667	$	34,104
Cleared	—		—
Exchange traded	51,080		52,818
Equity contracts	$	76,747	$	86,922
Over-the-counter	$	27,304	$	27,897

Exchange traded	932		1,222
Commodity and other contracts	$	28,236	$	29,119
Over-the-counter	$	8,399	$	8,174
Cleared	1,700		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, 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.

(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.

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 March 31,
	2026				2025
In millions of dollars	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	$	—	$	(601)	$	—	$	(414)
Foreign exchange hedges	(127)		—		9		—
Commodity hedges	644		—		(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 hedges	127		—		(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.

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, 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 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 debt	153,455		(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 debt	162,666		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.

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	2026		2025
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.

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 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 other	2,516		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 grade	5,600		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 years	5,821		5,976		354,827		284,344
After 5 years	2,640		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 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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details