CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

6 Months Ended

Jun. 30, 2023

Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract]

CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:

In millions of dollars	Net unrealized gains (losses) on debt securities		Debt valuation adjustment (DVA)(1)		Cash flow hedges(2)		Benefit plans(3)		CTA, net of hedges(4)		Excluded component of fair value hedges		Long-duration insurance contracts(5)		Accumulated other comprehensive income (loss)
Three Months Ended June 30, 2023
Balance, March 31, 2023	$	(5,162)	$	517	$	(2,161)	$	(5,859)	$	(32,796)	$	(12)	$	32	$	(45,441)
Other comprehensive income before reclassifications	133		(613)		(206)		(170)		23		27		(6)		(812)
Increase (decrease) due to amounts reclassified from AOCI	(7)		(6)		377		34		—		(10)		—		388
Change, net of taxes	$	126	$	(619)	$	171	$	(136)	$	23	$	17	$	(6)	$	(424)
Balance at June 30, 2023	$	(5,036)	$	(102)	$	(1,990)	$	(5,995)	$	(32,773)	$	5	$	26	$	(45,865)
Six Months Ended June 30, 2023
Balance, December 31, 2022	$	(5,998)	$	842	$	(2,522)	$	(5,755)	$	(33,637)	$	8	$	—	$	(47,062)
Adjustment to opening balance, net of taxes(6)	—		—		—		—		—		—		27		27
Adjusted balance, beginning of period	$	(5,998)	$	842	$	(2,522)	$	(5,755)	$	(33,637)	$	8	$	27	$	(47,035)
Other comprehensive income before reclassifications	988		(940)		(200)		(302)		864		11		(1)		420
Increase (decrease) due to amounts reclassified from AOCI	(26)		(4)		732		62		—		(14)		—		750
Change, net of taxes	$	962	$	(944)	$	532	$	(240)	$	864	$	(3)	$	(1)	$	1,170
Balance at June 30, 2023	$	(5,036)	$	(102)	$	(1,990)	$	(5,995)	$	(32,773)	$	5	$	26	$	(45,865)

In millions of dollars	Net unrealized gains (losses) on debt securities		Debt valuation adjustment (DVA)(1)		Cash flow hedges(2)		Benefit plans(3)		CTA, net of hedges(4)		Excluded component of fair value hedges		Long-duration insurance contracts		Accumulated other comprehensive income (loss)
Three Months Ended June 30, 2022
Balance, March 31, 2022	$	(4,891)	$	(394)	$	(1,440)	$	(5,681)	$	(31,180)	$	1	$	—	$	(43,585)
Other comprehensive income before reclassifications	(1,612)		1,968		(515)		(271)		(1,975)		4		—		(2,401)
Increase (decrease) due to amounts reclassified from AOCI	111		(1)		(151)		182		345		5		—		491
Change, net of taxes	$	(1,501)	$	1,967	$	(666)	$	(89)	$	(1,630)	$	9	$	—	$	(1,910)
Balance at June 30, 2022	$	(6,392)	$	1,573	$	(2,106)	$	(5,770)	$	(32,810)	$	10	$	—	$	(45,495)
Six Months Ended June 30, 2022
Balance, December 31, 2021	$	(614)	$	(1,187)	$	101	$	(5,852)	$	(31,166)	$	(47)	$	—	$	(38,765)
Other comprehensive income before reclassifications	(5,895)		2,761		(1,839)		21		(1,989)		50		—		(6,891)
Increase (decrease) due to amounts reclassified from AOCI	117		(1)		(368)		61		345		7		—		161
Change, net of taxes	$	(5,778)	$	2,760	$	(2,207)	$	82	$	(1,644)	$	57	$	—	$	(6,730)
Balance at June 30, 2022	$	(6,392)	$	1,573	$	(2,106)	$	(5,770)	$	(32,810)	$	10	$	—	$	(45,495)

(1)Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 22.

(2)Primarily driven by Citi’s pay floating/receive fixed interest rate swap programs that hedge certain floating rates on assets.

(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.

(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Russian ruble and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2023. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Polish zloty, Chilean peso, Euro, Russian ruble, Japanese yen and South Korean won against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2023. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Chilean peso, Mexican peso, Japanese yen and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2022. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Japanese yen, Indian rupee, British pound sterling and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2022. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.

(5)Reflects the change in the liability for future policyholder benefits for certain long-duration life-contingent annuity contracts that are issued by a regulated Citi insurance subsidiary in Mexico and reported within Legacy Franchises. The amount reflects the change in the liability after discounting using an upper-medium grade fixed income instrument yield that reflects the duration characteristics of the liability. As of June 30, 2023, the balance of the liability for future policyholder benefits, which is recorded within Other Liabilities, for this insurance subsidiary was approximately $560 million.

(6)See Note 1.

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:

In millions of dollars	Pretax		Tax effect(1)		After-tax
Three Months Ended June 30, 2023
Balance, March 31, 2023	$	(53,443)	$	8,002	$	(45,441)
Change in net unrealized gains (losses) on debt securities	210		(84)		126
Debt valuation adjustment (DVA)	(837)		218		(619)
Cash flow hedges	233		(62)		171
Benefit plans	(156)		20		(136)
Foreign currency translation adjustment (CTA)	15		8		23
Excluded component of fair value hedges	22		(5)		17
Long-duration insurance contracts	(8)		2		(6)
Change	$	(521)	$	97	$	(424)
Balance at June 30, 2023	$	(53,964)	$	8,099	$	(45,865)
Six Months Ended June 30, 2023
Balance, December 31, 2022	$	(55,253)	$	8,191	$	(47,062)
Adjustment to opening balance(2)	39		(12)		27
Adjusted balance, beginning of period	$	(55,214)	$	8,179	$	(47,035)
Change in net unrealized gains (losses) on debt securities	1,323		(361)		962
DVA	(1,270)		326		(944)
Cash flow hedges	712		(180)		532
Benefit plans	(312)		72		(240)
CTA	803		61		864
Excluded component of fair value hedges	(4)		1		(3)
Long-duration insurance contracts	(2)		1		(1)
Change	$	1,250	$	(80)	$	1,170
Balance at June 30, 2023	$	(53,964)	$	8,099	$	(45,865)

In millions of dollars	Pretax		Tax effect(1)		After-tax
Three Months Ended June 30, 2022
Balance, March 31, 2022	$	(51,807)	$	8,222	$	(43,585)
Change in net unrealized gains (losses) on debt securities	(1,990)		489		(1,501)
DVA	2,592		(625)		1,967
Cash flow hedges	(886)		220		(666)
Benefit plans	(73)		(16)		(89)
CTA	(1,414)		(216)		(1,630)
Excluded component of fair value hedges	12		(3)		9
Long-duration insurance contracts	—		—		—
Change	$	(1,759)	$	(151)	$	(1,910)
Balance, June 30, 2022	$	(53,566)	$	8,071	$	(45,495)
Six Months Ended June 30, 2022
Balance, December 31, 2021	$	(45,383)	$	6,618	$	(38,765)
Change in net unrealized gains (losses) on debt securities	(7,614)		1,836		(5,778)
DVA	3,642		(882)		2,760
Cash flow hedges	(2,908)		701		(2,207)
Benefit plans	104		(22)		82
CTA	(1,483)		(161)		(1,644)
Excluded component of fair value hedges	76		(19)		57
Long-duration insurance contracts	—		—		—
Change	$	(8,183)	$	1,453	$	(6,730)
Balance, June 30, 2022	$	(53,566)	$	8,071	$	(45,495)

(1)    Income tax effects of these items are released from AOCI contemporaneously with the related gross pretax amount.

(2)    See Note 1.

The Company recognized pretax (gains) losses related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:

	Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2023		2022		2023		2022
Realized (gains) losses on sales of investments	$	(49)	$	58	$	(121)	$	(22)
Gross impairment losses	43		90		94		180
Subtotal, pretax	$	(6)	$	148	$	(27)	$	158
Tax effect	(1)		(37)		1		(41)
Net realized (gains) losses on investments, after-tax(1)	$	(7)	$	111	$	(26)	$	117
Realized DVA (gains) losses on fair value option liabilities, pretax	$	(7)	$	(1)	$	(4)	$	(1)
Tax effect	1		—		—		—
Net realized DVA, after-tax	$	(6)	$	(1)	$	(4)	$	(1)
Interest rate contracts	$	495	$	(199)	$	964	$	(485)
Foreign exchange contracts	1		1		2		2
Subtotal, pretax	$	496	$	(198)	$	966	$	(483)
Tax effect	(119)		47		(234)		115
Amortization of cash flow hedges, after-tax(2)	$	377	$	(151)	$	732	$	(368)
Amortization of unrecognized:
Prior service cost (benefit)	$	(5)	$	(5)	$	(11)	$	(11)
Net actuarial loss	51		58		100		128
Curtailment/settlement impact(3)	1		183		(4)		(33)
Subtotal, pretax	$	47	$	236	$	85	$	84
Tax effect	(13)		(54)		(23)		(23)
Amortization of benefit plans, after-tax(3)	$	34	$	182	$	62	$	61
Excluded component of fair value hedges, pretax	$	(13)	$	7	$	(19)	$	10
Tax effect	3		(2)		5		(3)
Excluded component of fair value hedges, after-tax	$	(10)	$	5	$	(14)	$	7
Long-duration insurance contracts, pretax	$	—	$	—	$	—	$	—
Tax effect	—		—		—		—
Long-duration insurance contracts, after-tax	$	—	$	—	$	—	$	—
CTA, pretax	$	—	$	397	$	—	$	397
Tax effect	—		(52)		—		(52)
CTA, after-tax(4)	$	—	$	345	$	—	$	345
Total amounts reclassified out of AOCI, pretax	$	517	$	589	$	1,001	$	165
Total tax effect	(129)		(98)		(251)		(4)
Total amounts reclassified out of AOCI, after-tax	$	388	$	491	$	750	$	161

(1)The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 for additional details.

(2)See Note 21 for additional details.

(3)See Note 8 for additional details.

(4)The pretax amount is reclassified to Discontinued operations and Other revenue in the Consolidated Statement of Income, and results from the substantial liquidation of a legacy U.K. consumer operation. See Note 2 for additional details.