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Citigroup C Credit Derivative Maximum Exposure
Credit Derivative Maximum Exposure at other companies
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Where this comes from
Reported directly by Citigroup in its filing.
Tagged under the XBRL concept us-gaap:CreditDerivativeMaximumExposureUndiscounted.
The source filing: Citigroup’s 10-Q, filed August 6, 2026.
- Filed
- Aug 6, 2026, 5:14 PM EDT
- Fiscal quarter
- Q2 FY2026
- Calendar quarter
- Q2 2026
- Accession
- 0000831001-26-000045
| In millions of dollars at June 30, 2026 | Fair values / Receivable(1) | Fair values / Payable(2) | Notionals / Protectionpurchased | Notionals / Protectionsold |
|---|---|---|---|---|
| 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 |
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FAQ
- What is Citigroup's credit derivative maximum exposure?
- Citigroup (C) reported credit derivative maximum exposure of $502.46B in Q2 2026.
- How has Citigroup's credit derivative maximum exposure changed year-over-year?
- Citigroup's credit derivative maximum exposure decreased by 0.1% year-over-year, from $502.96B to $502.46B.
- What is the long-term trend for Citigroup's credit derivative maximum exposure?
- Over 5 years (2020 to 2025), Citigroup's credit derivative maximum exposure has grown at a -2.7% compound annual growth rate (CAGR), from $543.61B to $475.23B.
- What does credit derivative maximum exposure mean?
- This represents the maximum potential undiscounted loss the company could face from its credit derivative contracts if all counterparties were to default. It serves as a primary measure of the company's tail-risk exposure in the credit derivatives market. This is a critical metric for assessing systemic risk and capital adequacy.
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