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FAIR VALUE MEASUREMENT

3 Months Ended

Mar. 31, 2020

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at March 31, 2020 and December 31, 2019:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2020			December 31, 2019
Counterparty CVA	$	(1,513	)	$	(705	)
Asset FVA	(1,479		)	(530		)
Citigroup (own-credit) CVA	835			341
Liability FVA	409			72
Total CVA—derivative instruments	$	(1,748	)	$	(822	)

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended March 31,
In millions of dollars	2020			2019
Counterparty CVA	$	(283	)	$	74
Asset FVA	(1,053		)	20
Own-credit CVA	533			(92		)
Liability FVA	337			(48		)
Total CVA—derivative instruments	$	(466	)	$	(46	)
DVA related to own FVO liabilities⁽¹⁾	$	4,188		$	(725	)
Total CVA and DVA	$	3,722		$	(771	)


(1)	See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:


•	Level 1: Quoted prices for identical instruments in active markets.


•	Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.


•	Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2020 and December 31, 2019. The Company may hedge positions that have been classified in the Level 3 category with other

financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:

Fair Value Levels



In millions of dollars at March 31, 2020	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	270,056	$	300	$	270,356	$	(114,719	)	$	155,637
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		46,727		85		46,812		—			46,812
Residential	—		712		304		1,016		—			1,016
Commercial	—		2,464		44		2,508		—			2,508
Total trading mortgage-backed securities	$	—	$	49,903	$	433	$	50,336	$	—		$	50,336
U.S. Treasury and federal agency securities	$	56,087	$	7,810	$	—	$	63,897	$	—		$	63,897
State and municipal	—		3,131		92		3,223		—			3,223
Foreign government	61,440		18,003		39		79,482		—			79,482
Corporate	1,240		17,618		412		19,270		—			19,270
Equity securities	27,678		8,356		143		36,177		—			36,177
Asset-backed securities	—		1,898		1,561		3,459		—			3,459
Other trading assets⁽²⁾	75		11,203		639		11,917		—			11,917
Total trading non-derivative assets	$	146,520	$	117,922	$	3,319	$	267,761	$	—		$	267,761
Trading derivatives
Interest rate contracts	$	163	$	254,826	$	3,513	$	258,502
Foreign exchange contracts	1		201,879		720		202,600
Equity contracts	65		57,008		596		57,669
Commodity contracts	—		21,827		1,237		23,064
Credit derivatives	—		14,872		1,609		16,481
Total trading derivatives	$	229	$	550,412	$	7,675	$	558,316
Cash collateral paid⁽³⁾							$	28,991
Netting agreements									$	(424,832	)
Netting of cash collateral received									(65,236		)
Total trading derivatives	$	229	$	550,412	$	7,675	$	587,307	$	(490,068	)	$	97,239
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	43,506	$	47	$	43,553	$	—		$	43,553
Residential	—		752		—		752		—			752
Commercial	—		68		—		68		—			68
Total investment mortgage-backed securities	$	—	$	44,326	$	47	$	44,373	$	—		$	44,373
U.S. Treasury and federal agency securities	$	121,159	$	4,103	$	—	$	125,262	$	—		$	125,262
State and municipal	—		4,778		687		5,465		—			5,465
Foreign government	75,363		41,779		225		117,367		—			117,367
Corporate	6,696		4,263		238		11,197		—			11,197
Marketable equity securities	329		353		—		682		—			682
Asset-backed securities	—		450		16		466		—			466
Other debt securities	—		4,089		—		4,089		—			4,089
Non-marketable equity securities⁽⁴⁾	—		26		354		380		—			380
Total investments	$	203,547	$	104,167	$	1,567	$	309,281	$	—		$	309,281

Table continues on the next page.



In millions of dollars at March 31, 2020	Level 1			Level 2			Level 3			Gross inventory		Netting⁽¹⁾			Net balance
Loans	$	—		$	3,462		$	537		$	3,999	$	—		$	3,999
Mortgage servicing rights	—			—			367			367		—			367
Non-trading derivatives and other financial assets measured on a recurring basis	$	3,512		$	11,151		$	—		$	14,663	$	—		$	14,663
Total assets	$	353,808		$	1,057,170		$	13,765		$	1,453,734	$	(604,787	)	$	848,947
Total as a percentage of gross assets⁽⁵⁾	24.8		%	74.2		%	1.0		%
Liabilities
Interest-bearing deposits	$	—		$	2,156		$	491		$	2,647	$	—		$	2,647
Securities loaned and sold under agreements to repurchase	—			171,238			730			171,968		(109,234		)	62,734
Trading account liabilities
Securities sold, not yet purchased	73,734			11,029			1,334			86,097		—			86,097
Other trading liabilities	—			79			—			79		—			79
Total trading liabilities	$	73,734		$	11,108		$	1,334		$	86,176	$	—		$	86,176
Trading derivatives
Interest rate contracts	$	144		$	234,007		$	1,758		$	235,909
Foreign exchange contracts	—			204,675			718			205,393
Equity contracts	37			58,861			2,432			61,330
Commodity contracts	—			24,831			1,779			26,610
Credit derivatives	—			14,380			793			15,173
Total trading derivatives	$	181		$	536,754		$	7,480		$	544,415
Cash collateral received⁽⁶⁾										$	17,023
Netting agreements												$	(424,832	)
Netting of cash collateral paid												(58,787		)
Total trading derivatives	$	181		$	536,754		$	7,480		$	561,438	$	(483,619	)	$	77,819
Short-term borrowings	$	—		$	8,312		$	52		$	8,364	$	—		$	8,364
Long-term debt	—			34,779			18,135			52,914		—			52,914
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	4,222		$	117		$	—		$	4,339	$	—		$	4,339
Total liabilities	$	78,137		$	764,464		$	28,222		$	887,846	$	(592,853	)	$	294,993
Total as a percentage of gross liabilities⁽⁵⁾	9.0		%	87.8		%	3.2		%


(1)	Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(2)	Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(3)	Reflects the net amount of $87,778 million gross cash collateral paid, of which $58,787 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).


(5)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(6)	Reflects the net amount $82,259 million of gross cash collateral received, of which $65,236 million was used to offset trading derivative assets.

Fair Value Levels



In millions of dollars at December 31, 2019	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	254,253	$	303	$	254,556	$	(101,363	)	$	153,193
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		27,661		10		27,671		—			27,671
Residential	—		573		123		696		—			696
Commercial	—		1,632		61		1,693		—			1,693
Total trading mortgage-backed securities	$	—	$	29,866	$	194	$	30,060	$	—		$	30,060
U.S. Treasury and federal agency securities	$	26,159	$	3,736	$	—	$	29,895	$	—		$	29,895
State and municipal	—		2,573		64		2,637		—			2,637
Foreign government	50,948		20,326		52		71,326		—			71,326
Corporate	1,332		17,246		313		18,891		—			18,891
Equity securities	41,663		9,878		100		51,641		—			51,641
Asset-backed securities	—		1,539		1,177		2,716		—			2,716
Other trading assets⁽²⁾	74		11,412		555		12,041		—			12,041
Total trading non-derivative assets	$	120,176	$	96,576	$	2,455	$	219,207	$	—		$	219,207
Trading derivatives
Interest rate contracts	$	7	$	196,493	$	1,168	$	197,668
Foreign exchange contracts	1		107,022		547		107,570
Equity contracts	83		28,148		240		28,471
Commodity contracts	—		13,498		714		14,212
Credit derivatives	—		9,960		449		10,409
Total trading derivatives	$	91	$	355,121	$	3,118	$	358,330
Cash collateral paid⁽³⁾							$	17,926
Netting agreements									$	(274,970	)
Netting of cash collateral received									(44,353		)
Total trading derivatives	$	91	$	355,121	$	3,118	$	376,256	$	(319,323	)	$	56,933
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	35,198	$	32	$	35,230	$	—		$	35,230
Residential	—		793		—		793		—			793
Commercial	—		74		—		74		—			74
Total investment mortgage-backed securities	$	—	$	36,065	$	32	$	36,097	$	—		$	36,097
U.S. Treasury and federal agency securities	$	106,103	$	5,315	$	—	$	111,418	$	—		$	111,418
State and municipal	—		4,355		623		4,978		—			4,978
Foreign government	69,957		41,196		96		111,249		—			111,249
Corporate	5,150		6,076		45		11,271		—			11,271
Marketable equity securities	87		371		—		458		—			458
Asset-backed securities	—		500		22		522		—			522
Other debt securities	—		4,730		—		4,730		—			4,730
Non-marketable equity securities⁽⁴⁾	—		93		441		534		—			534
Total investments	$	181,297	$	98,701	$	1,259	$	281,257	$	—		$	281,257

Table continues on the next page.



In millions of dollars at December 31, 2019	Level 1			Level 2			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	3,683		$	402		$	4,085	$	—		$	4,085
Mortgage servicing rights	—			—			495			495		—			495
Non-trading derivatives and other financial assets measured on a recurring basis	$	5,628		$	7,201		$	1		$	12,830	$	—		$	12,830
Total assets	$	307,192		$	815,535		$	8,033		$	1,148,686	$	(420,686	)	$	728,000
Total as a percentage of gross assets⁽⁵⁾	27.2		%	72.1		%	0.7		%
Liabilities
Interest-bearing deposits	$	—		$	2,104		$	215		$	2,319	$	—		$	2,319
Securities loaned and sold under agreements to repurchase	—			111,567			757			112,324		(71,673		)	40,651
Trading account liabilities
Securities sold, not yet purchased	60,429			11,965			48			72,442		—			72,442
Other trading liabilities	—			24			—			24		—			24
Total trading liabilities	$	60,429		$	11,989		$	48		$	72,466	$	—		$	72,466
Trading account derivatives
Interest rate contracts	$	8		$	176,480		$	1,167		$	177,655
Foreign exchange contracts	—			110,180			552			110,732
Equity contracts	144			28,506			1,836			30,486
Commodity contracts	—			16,542			773			17,315
Credit derivatives	—			10,233			505			10,738
Total trading derivatives	$	152		$	341,941		$	4,833		$	346,926
Cash collateral received⁽⁶⁾										$	14,391
Netting agreements												$	(274,970	)
Netting of cash collateral paid												(38,919		)
Total trading derivatives	$	152		$	341,941		$	4,833		$	361,317	$	(313,889	)	$	47,428
Short-term borrowings	$	—		$	4,933		$	13		$	4,946	$	—		$	4,946
Long-term debt	—			38,614			17,169			55,783		—			55,783
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	6,280		$	63		$	—		$	6,343	$	—		$	6,343
Total liabilities	$	66,861		$	511,211		$	23,035		$	615,498	$	(385,562	)	$	229,936
Total as a percentage of gross liabilities⁽⁵⁾	11.1		%	85.0		%	3.8		%


(1)	Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(2)	Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(3)	Reflects the net amount of $56,845 million of gross cash collateral paid, of which $38,919 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).


(5)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

(6)

Reflects the net amount of $58,744 million of gross cash collateral received, of which $44,353 million was used to offset trading derivative assets.

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three months ended March 31, 2020 and 2019. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3

category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward



				Net realized/unrealized gains/losses incl. in					Transfers																			Unrealized gains/ losses still held⁽³⁾
In millions of dollars	Dec. 31, 2019			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar, 31 2020
Assets
Securities borrowed and purchased under agreements to resell	$	303		$	(20	)	$	—	$	—		$	—		$	66	$	—	$	—		$	(49	)	$	300		$	3
Trading non-derivative assets
Trading mortgage- backed securities
U.S. government-sponsored agency guaranteed	10			(75		)	—		12			(3		)	141		—		—			—			85			4
Residential	123			(8		)	—		60			(4		)	178		—		(45		)	—			304			(11		)
Commercial	61			—			—		3			(3		)	27		—		(44		)	—			44			(1		)
Total trading mortgage- backed securities	$	194		$	(83	)	$	—	$	75		$	(10	)	$	346	$	—	$	(89	)	$	—		$	433		$	(8	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	64			2			—		10			(2		)	21		—		(3		)	—			92			—
Foreign government	52			(85		)	—		—			—			86		—		(14		)	—			39			70
Corporate	313			302			—		22			8			215		—		(448		)	—			412			246
Marketable equity securities	100			—			—		28			(3		)	32		—		(14		)	—			143			1
Asset-backed securities	1,177			(169		)	—		239			(4		)	468		—		(150		)	—			1,561			(307		)
Other trading assets	555			193			—		28			(137		)	105		8		(103		)	(10		)	639			195
Total trading non- derivative assets	$	2,455		$	160		$	—	$	402		$	(148	)	$	1,273	$	8	$	(821	)	$	(10	)	$	3,319		$	197
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	1		$	351		$	—	$	1,383		$	(22	)	$	1	$	56	$	13		$	(28	)	$	1,755		$	314
Foreign exchange contracts	(5		)	(15		)	—		(25		)	9			44		—		(8		)	2			2			19
Equity contracts	(1,596		)	(210		)	—		(287		)	224			3		—		(1		)	31			(1,836		)	(223		)
Commodity contracts	(59		)	(459		)	—		38			(56		)	46		—		(34		)	(18		)	(542		)	(441		)
Credit derivatives	(56		)	946			—		154			(286		)	—		—		—			58			816			946
Total trading derivatives, net⁽⁴⁾	$	(1,715	)	$	613		$	—	$	1,263		$	(131	)	$	94	$	56	$	(30	)	$	45		$	195		$	615

Table continues on the next page.



			Net realized/unrealized gains/losses incl. in						Transfers																	Unrealized gains/losses still held⁽³⁾
In millions of dollars	Dec. 31, 2019		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2020
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—		$	14		$	—	$	1		$	—	$	—	$	—		$	—		$	47	$	34
Residential	—		—			—			—		—			—		—		—			—			—		—
Commercial	—		—			—			—		—			—		—		—			—			—		—
Total investment mortgage-backed securities	$	32	$	—		$	14		$	—	$	1		$	—	$	—	$	—		$	—		$	47	$	34
U.S. Treasury and federal agency securities	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	—	$	—
State and municipal	623		—			(31		)	138		—			—		—		(43		)	—			687		(9		)
Foreign government	96		—			(2		)	27		—			147		—		(43		)	—			225		(16		)
Corporate	45		—			(8		)	49		—			152		—		—			—			238		—
Marketable equity securities	—		—			—			—		—			—		—		—			—			—		—
Asset-backed securities	22		—			5			—		—			—		—		(11		)	—			16		—
Other debt securities	—		—			—			—		—			—		—		—			—			—		—
Non-marketable equity securities	441		—			(74		)	—		—			—		—		(3		)	(10		)	354		(76		)
Total investments	$	1,259	$	—		$	(96	)	$	214	$	1		$	299	$	—	$	(100	)	$	(10	)	$	1,567	$	(67	)
Loans	$	402	$	—		$	(79	)	$	217	$	(1	)	$	—	$	—	$	—		$	(2	)	$	537	$	(127	)
Mortgage servicing rights	495		—			(143		)	—		—			—		32		—			(17		)	367		(133		)
Other financial assets measured on a recurring basis	1		—			—			—		—			—		—		(1		)	—			—		—
Liabilities
Interest-bearing deposits	$	215	$	—		$	(6	)	$	278	$	—		$	—	$	—	$	—		$	(8	)	$	491	$	—
Securities loaned and sold under agreements to repurchase	757		27			—			—		—			—		—		—			—			730		(33		)
Trading account liabilities
Securities sold, not yet purchased	48		(101		)	—			1,208		(10		)	—		9		—			(22		)	1,334		(240		)
Other trading liabilities	—		—			—			—		—			—		—		—			—			—		—
Short-term borrowings	13		10			—			11		—			—		38		—			—			52		10
Long-term debt	17,169		1,951			—			2,051		(1,491		)	—		3,340		—			(983		)	18,135		1,167
Other financial liabilities measured on a recurring basis	—		—			—			—		—			—		2		—			(2		)	—		—


(1)	Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2020.


(4)	Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.



				Net realized/unrealized gains (losses) incl. in						Transfers																					Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2018			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances			Sales			Settlements			Mar. 31, 2019
Assets
Securities borrowed and purchased under agreements to resell	$	115		$	(4	)	$	—		$	(4	)	$	3		$	45		$	—		$	—		$	(89	)	$	66		$	(2	)
Trading non-derivative assets
Trading mortgage- backed securities
U.S. government-sponsored agency guaranteed	156			—			—			—			(25		)	48			—			(25		)	—			154			3
Residential	268			1			—			5			(31		)	69			—			(184		)	—			128			10
Commercial	77			2			—			2			(1		)	24			—			(35		)	—			69			1
Total trading mortgage- backed securities	$	501		$	3		$	—		$	7		$	(57	)	$	141		$	—		$	(244	)	$	—		$	351		$	14
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	(1	)	$	—		$	—
State and municipal	200			(1		)	—			—			(19		)	1			—			(3		)	—			178			—
Foreign government	31			(1		)	—			9			—			3			—			(3		)	—			39			1
Corporate	360			90			—			21			(26		)	69			(33		)	(103		)	—			378			(35		)
Marketable equity securities	153			(10		)	—			1			(11		)	9			—			(15		)	—			127			14
Asset-backed securities	1,484			(26		)	—			7			(32		)	221			—			(225		)	—			1,429			38
Other trading assets	818			5			—			13			(32		)	340			4			(102		)	(4		)	1,042			(20		)
Total trading non- derivative assets	$	3,548		$	60		$	—		$	58		$	(177	)	$	784		$	(29	)	$	(695	)	$	(5	)	$	3,544		$	12
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(154	)	$	(51	)	$	—		$	(15	)	$	27		$	6		$	12		$	—		$	59		$	(116	)	$	(60	)
Foreign exchange contracts	(6		)	60			—			(15		)	15			3			—			(4		)	(7		)	46			28
Equity contracts	(784		)	(294		)	—			(154		)	9			(1		)	(59		)	2			(64		)	(1,345		)	(222		)
Commodity contracts	(18		)	280			—			(3		)	10			54			—			(34		)	15			304			300
Credit derivatives	61			(319		)	—			(18		)	232			—			—			—			78			34			(320		)
Total trading derivatives, net⁽⁴⁾	$	(901	)	$	(324	)	$	—		$	(205	)	$	293		$	62		$	(47	)	$	(36	)	$	81		$	(1,077	)	$	(274	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	32		$	(2	)
Residential	—			—			—			—			—			—			—			—			—			—			—
Commercial	—			—			—			—			—			—			—			—			—			—			—
Total investment mortgage-backed securities	$	32		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	32		$	(2	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
State and municipal	708			—			52			3			—			185			—			(38		)	—			910			44
Foreign government	68			—			(4		)	—			—			39			—			(32		)	—			71			(1		)
Corporate	156			—			—			—			(94		)	—			—			(2		)	—			60			—
Marketable equity securities	—			—			—			—			—			—			—			—			—			—			—
Asset-backed securities	187			—			(2		)	94			—			550			—			(23		)	—			806			(4		)
Other debt securities	—			—			—			—			—			—			—			—			—			—			—
Non-marketable equity securities	586			—			22			—			—			4			—			(86		)	(21		)	505			(11		)
Total investments	$	1,737		$	—		$	68		$	97		$	(94	)	$	778		$	—		$	(181	)	$	(21	)	$	2,384		$	26



			Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2018		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances			Sales			Settlements			Mar. 31, 2019
Loans	$	277	$	—		$	45		$	125		$	(70	)	$	6	$	—		$	(10	)	$	—		$	373	$	45
Mortgage servicing rights	584		—			(27		)	—			—			—		12			—			(18		)	551		(25		)
Other financial assets measured on a recurring basis	—		—			16			—			—			—		(2		)	(4		)	(10		)	—		12
Liabilities
Interest-bearing deposits	$	495	$	—		$	(10	)	$	1		$	(4	)	$	—	$	674		$	—		$	(129	)	$	1,047	$	(157	)
Securities loaned and sold under agreements to repurchase	983		4			—			(1		)	4			—		—			1			58			1,041		(2		)
Trading account liabilities
Securities sold, not yet purchased	586		124			—			1			(441		)	—		—			—			(7		)	15		13
Other trading liabilities	—		—			—			—			—			—		—			—			—			—		—
Short-term borrowings	37		23			—			9			(6		)	—		153			—			—			170		18
Long-term debt	12,570		(407		)	—			877			(1,601		)	—		5,950			(3		)	(4,466		)	13,734		(1,001		)
Other financial liabilities measured on a recurring basis	—		—			—			—			—			—		—			—			—			—		—


(1)	Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2019.


(4)	Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward

The following were the significant Level 3 transfers for the period December 31, 2019 to March 31, 2020:


•	Transfers of Interest rate contracts of $1.4 billion from Level 2 to Level 3 due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of inflation and other interest rate derivatives.


•	Transfers of Securities sold, not purchased of $1.2 billion from Level 2 to Level 3, mainly related to a structured debt product where unobservable credit spreads widened, causing the value of the embedded credit derivative feature to become significant relative to the total value of the instrument.

•

Transfers of Long-term debt of $2.1 billion from Level 2 to Level 3, resulting from interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes have resulted in unobservable volatility becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.5 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.

The following were the significant Level 3 transfers for the period December 31, 2018 to March 31, 2019:

•

Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

Valuation Techniques and Inputs for Level 3 Fair Value

Measurements

The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.



As of March 31, 2020	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Securities borrowed and purchased under agreements to resell	$	300	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.15		%	1.87		%	1.51		%
Mortgage-backed securities	$	328	Price-based	Price	$	43		$	121		$	90
	115		Yield analysis	Yield	1.30		%	12.44		%	4.81		%
State and municipal, foreign government, corporate and other debt securities	$	1,334	Price-based	Price	$	34		$	1,014		$	88
	672		Model-based	Credit spread	35 bps			295 bps			210 bps
Marketable equity securities⁽⁵⁾	$	93	Price-based	Price	$	—		$	28,483		$	1,051
	50		Model-based	WAL	1.24 years			1.24 years			1.24 years
				Recovery (in millions)	$	5,450		$	5,450		$	5,450
Asset-backed securities	$	958	Price-based	Price	$	1		$	100		$	52
	610		Yield analysis	Yield	3.72		%	25.26		%	11.37		%
Non-marketable equities	$	240	Comparables analysis	Price	$	3		$	1,513		$	805
	88		Price-based	Appraised value (in thousands)	$	571		$	25,002		$	10,799
				Revenue multiple	1.80x			20.50x			5.34x
				PE ratio	9.60x			23.80x			15.48x
				Discount to price	—		%	10.00		%	57.00		%
				Price to book ratio	0.60x			1.60x			0.96x
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	5,028	Model-based	Inflation volatility	0.22		%	2.93		%	0.81		%
				IR normal volatility	0.25		%	1.15		%	0.58		%
Foreign exchange contracts (gross)	$	1,438	Model-based	FX volatility	7.85		%	27.91		%	12.62		%
				Credit spread	60 bps			661 bps			283 bps
				IR normal volatility	0.22		%	1.15		%	0.60		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	(51.00		)%	40.00		%	32.65		%
				Interest rate	0.78		%	58.26		%	13.77		%
Equity contracts (gross)⁽⁷⁾	$	3,011	Model-based	Forward price	61.52		%	107.02		%	92.93		%
				Equity volatility	4.89		%	61.94		%	28.54		%
Commodity and other contracts (gross)	$	3,015	Model-based	Forward price	33.94		%	583.93		%	116.44		%
				Commodity correlation	(41.42		)%	90.86		%	55.61		%



As of March 31, 2020	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
				Commodity volatility	0.65		%	138.96		%	29.38		%
Credit derivatives (gross)	$	1,985	Model-based	Credit correlation	25.00		%	90.00		%	44.94		%
	417		Price-based	Credit spread	17 bps			710 bps			170 bps
				Recovery rate	1.00		%	65.00		%	36.93		%
				Upfront points	2.50		%	108.63		%	65.28		%
Loans and leases	$	495	Model-based	Equity volatility	24.01		%	177.87		%	66.18		%
				Credit spread	34 bps			576 bps			189 bps
Mortgage servicing rights	$	290	Cash flow	Yield	2.45		%	12.00		%	6.56		%
	77		Model-based	WAL	2.94 years			5.97 years			4.6 years
Liabilities
Interest-bearing deposits	$	491	Model-based	IR normal volatility	0.35		%	1.15		%	0.59		%
Securities loaned and sold under agreement to repurchase	$	730	Model-based	Interest rate	0.15		%	1.84		%	1.01		%
Trading account liabilities
Securities sold, not yet purchased	$	1,165	Model-based	Credit spread	505 bps			1,100 bps			747 bps
	155		Price-based	Price	$	—		$	7,038		$	107
Short-term borrowings and long-term debt	$	18,260	Model-based	IR normal volatility	0.22		%	1.15		%	0.56		%
				Forward price	33.94		%	583.93		%	92.99		%



As of December 31, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Securities borrowed and purchased under agreements to resell	$	303	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	1.59		%	3.67		%	2.72		%
Mortgage-backed securities	$	196	Price-based	Price	$	36		$	505		$	97
	22		Model-based
State and municipal, foreign government, corporate and other debt securities	$	880	Model-based	Price	$	—		$	1,238		$	90
	677		Price-based	Credit spread	35 bps			295 bps			209 bps
Marketable equity securities⁽⁵⁾	$	70	Price-based	Price	$	—		$	38,500		$	2,979
	30		Model-based	WAL	1.48 years			1.48 years			1.48 years
				Recovery (in millions)	$	5,450		$	5,450		$	5,450
Asset-backed securities	$	812	Price-based	Price	$	4		$	103		$	60
	368		Yield analysis	Yield	0.61		%	23.38		%	8.88		%
Non-marketable equities	$	316	Comparables analysis	EBITDA multiples	7.00x			17.95x			10.34x
	97		Price-based	Appraised value (in thousands)	$	397		$	33,246		$	8,446
				Price	$	3		$	2,019		$	1,020
				PE ratio	14.70x			28.70x			20.54x
				Price to book ratio	1.50x			3.00x			1.88x
				Discount to price	—		%	10.00		%	2.32		%
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	2,196	Model-based	Inflation volatility	0.21		%	2.74		%	0.79		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				IR normal volatility	0.09		%	0.66		%	0.53		%



As of December 31, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Foreign exchange contracts (gross)	$	1,099	Model-based	FX volatility	1.27		%	12.16		%	9.17		%
				IR normal volatility	0.27		%	0.66		%	0.58		%
				FX rate	37.39		%	586.84		%	80.64		%
				Interest rate	2.72		%	56.14		%	13.11		%
				IR-IR correlation	(51.00		)%	40.00		%	32.00		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
Equity contracts (gross)⁽⁷⁾	$	2,076	Model-based	Equity volatility	3.16		%	52.80		%	28.43		%
				Forward price	62.60		%	112.69		%	98.46		%
				WAL	1.48 years			1.48 years			1.48 years
				Recovery (in millions)	$	5,450		$	5,450		$	5,450
Commodity and other contracts (gross)	$	1,487	Model-based	Forward price	37.62		%	362.57		%	119.32		%
				Commodity volatility	5.25		%	93.63		%	23.55		%
				Commodity correlation	(39.65		)%	87.81		%	41.80		%
Credit derivatives (gross)	$	613	Model-based	Credit spread	8 bps			283 bps			80 bps
	341		Price-based	Upfront points	2.59		%	99.94		%	59.41		%
				Price	$	12		$	100		$	87
				Credit correlation	25.00		%	87.00		%	48.57		%
				Recovery rate	20.00		%	65.00		%	48.00		%
Loans and leases	$	378	Model-based	Credit spread	9 bps			52 bps			48 bps
				Equity volatility	32.00		%	32.00		%	32.00		%
Mortgage servicing rights	$	418	Cash flow	Yield	1.78		%	12.00		%	9.49		%
	77		Model-based	WAL	4.07 years			8.13 years			6.61 years
Liabilities
Interest-bearing deposits	$	215	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	97.59		%	111.06		%	102.96		%
Securities loaned and sold under agreements to repurchase	$	757	Model-based	Interest rate	1.59		%	2.38		%	1.95		%
Trading account liabilities
Securities sold, not yet purchased	$	46	Price-based	Price	$	—		$	866		$	96
Short-term borrowings and long-term debt	$	17,182	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				IR normal volatility	0.09		%	0.66		%	0.46		%
				Forward price	37.62		%	362.57		%	97.52		%
				Equity-IR Correlation	15.00		%	44.00		%	32.66		%


(1)	The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Some inputs are shown as zero due to rounding.


(3)	When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.


(4)	Weighted averages are calculated based on the fair values of the instruments.


(5)	For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.


(6)	Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(7)

Includes hybrid products.

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.

The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:



In millions of dollars	Fair value		Level 2		Level 3
March 31, 2020
Loans HFS⁽¹⁾	$	4,951	$	781	$	4,170
Other real estate owned	15		8		7
Loans⁽²⁾	759		553		206
Non-marketable equity securities measured using the measurement alternative	308		308		—
Total assets at fair value on a nonrecurring basis	$	6,033	$	1,650	$	4,383



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2019
Loans HFS⁽¹⁾	$	4,579	$	3,249	$	1,330
Other real estate owned	20		6		14
Loans⁽²⁾	344		93		251
Non-marketable equity securities measured using the measurement alternative	249		249		—
Total assets at fair value on a nonrecurring basis	$	5,192	$	3,597	$	1,595


(1)	Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.


(2)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:



As of March 31, 2020	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	4,107	Price-based	Price	$	80		$	100		$	95
Other real estate owned	$	7	Recovery analysis	Appraised value⁽⁴⁾	$	187,166		$	2,333,138		$	2,019,646
Loans⁽⁵⁾	$	146	Recovery analysis	Recovery rate	—		%	100.00		%	59.77		%
	28		Price based	Cost of capital	0.10		%	100.00		%	56.50		%
				Appraised value	$	17,521,218		$	43,646,426		$	30,583,822



As of December 31, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	1,320	Price-based	Price	$	86		$	100		$	99
Other real estate owned	$	11	Price-based	Appraised value⁽⁴⁾	$	2,297,358		$	8,394,102		$	5,615,884
	5		Recovery analysis
Loans⁽⁶⁾	$	100	Recovery analysis	Recovery rate	0.57		%	100.00		%	64.78		%
	54		Cash flow	Price	$	2		$	54		$	27
	47		Price-based	Cost of capital	0.10		%	100.00		%	54.84		%
	29		Price-based	Appraised value⁽⁴⁾	$	17,521,218		$	43,646,426		$	30,583,822


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Some inputs are shown as zero due to rounding.


(3)	Weighted averages are calculated based on the fair values of the instruments.


(4)	Appraised values are disclosed in whole dollars.


(5)	Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate secured loans.


(6)	Includes estimated costs to sell.

Nonrecurring Fair Value Changes

The following tables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:



	Three Months Ended March 31,
In millions of dollars	2020			2019
Loans HFS	$	(391	)	$	(2	)
Other real estate owned	—			1
Loans⁽¹⁾	(44		)	(27		)
Non-marketable equity securities measured using the measurement alternative	22			61
Total nonrecurring fair value gains (losses)	$	(413	)	$	33

(1)

Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.

Estimated Fair Value of Financial Instruments Not Carried at Fair Value

The following table presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.



	March 31, 2020				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	88.7	$	90.0	$	1.6	$	86.2	$	2.2
Securities borrowed and purchased under agreements to resell	106.9		106.9		—		106.9		—
Loans⁽¹⁾⁽²⁾	695.1		711.2		—		—		711.2
Other financial assets⁽²⁾⁽³⁾	386.9		386.9		269.6		16.3		101.0
Liabilities
Deposits	$	1,182.3	$	1,182.3	$	—	$	978.4	$	203.9
Securities loaned and sold under agreements to repurchase	159.6		159.6		—		159.6		—
Long-term debt⁽⁴⁾	213.2		214.8		—		185.0		29.8
Other financial liabilities⁽⁵⁾	145.6		145.6		—		19.8		125.8



	December 31, 2019				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	86.4	$	87.8	$	1.9	$	83.8	$	2.1
Securities borrowed and purchased under agreements to resell	98.1		98.1		—		98.1		—
Loans⁽¹⁾⁽²⁾	681.2		677.7		—		4.7		673.0
Other financial assets⁽²⁾⁽³⁾	262.4		262.4		177.6		16.3		68.5
Liabilities
Deposits	$	1,068.3	$	1,066.7	$	—	$	875.5	$	191.2
Securities loaned and sold under agreements to repurchase	125.7		125.7		—		125.7		—
Long-term debt⁽⁴⁾	193.0		203.8		—		187.3		16.5
Other financial liabilities⁽⁵⁾	110.2		110.2		—		37.5		72.7


(1)	The carrying value of loans is net of the Allowance for loan losses of $20.8 billion for March 31, 2020 and $12.8 billion for December 31, 2019. In addition, the carrying values exclude $1.1 billion and $1.4 billion of lease finance receivables at March 31, 2020 and December 31, 2019, respectively.


(2)	Includes items measured at fair value on a nonrecurring basis.


(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


(4)	The carrying value includes long-term debt balances under qualifying fair value hedges.


(5)	Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at March 31, 2020 and December 31, 2019 were liabilities of $10.4 billion and $5.1 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of

consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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