FAIR VALUE MEASUREMENT (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of CVA and FVA applied to fair value of derivative instruments

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at December 31, 2020 and 2019:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	December 31, 2020		December 31, 2019
Counterparty CVA	$	(800)	$	(705)
Asset FVA	(525)		(530)
Citigroup (own-credit) CVA	403		341
Liability FVA	67		72
Total CVA—derivative instruments(1)	$	(855)	$	(822)

(1)     FVA is included with CVA for presentation purposes.

Schedule of pretax gains (losses) related to changes in CVA, FVA and DVA

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 years indicated:

	Credit/funding/debt valuation adjustments gain (loss)
In millions of dollars	2020		2019		2018
Counterparty CVA	$	(101)	$	149	$	(109)
Asset FVA	(95)		13		46
Own-credit CVA	133		(131)		178
Liability FVA	(6)		(63)		56
Total CVA—derivative instruments	$	(69)	$	(32)	$	171
DVA related to own FVO liabilities(1)	$	(616)	$	(1,473)	$	1,415
Total CVA and DVA(2)	$	(685)	$	(1,505)	$	1,586

(1)    See Notes 1, 17 and 19 to the Consolidated Financial Statements.

(2)    FVA is included with CVA for presentation purposes.

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 December 31, 2020 and 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 December 31, 2020	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	335,073	$	320	$	335,393	$	(150,189)	$	185,204
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		42,903		27		42,930		—		42,930
Residential	—		391		340		731		—		731
Commercial	—		893		136		1,029		—		1,029
Total trading mortgage-backed securities	$	—	$	44,187	$	503	$	44,690	$	—	$	44,690
U.S. Treasury and federal agency securities	$	64,529	$	2,269	$	—	$	66,798	$	—	$	66,798
State and municipal	—		1,224		94		1,318		—		1,318
Foreign government	68,195		15,143		51		83,389		—		83,389
Corporate	1,607		18,840		375		20,822		—		20,822
Equity securities	54,117		12,289		73		66,479		—		66,479
Asset-backed securities	—		776		1,606		2,382		—		2,382
Other trading assets(2)	—		11,295		945		12,240		—		12,240
Total trading non-derivative assets	$	188,448	$	106,023	$	3,647	$	298,118	$	—	$	298,118
Trading derivatives
Interest rate contracts	$	42	$	238,026	$	3,393	$	241,461
Foreign exchange contracts	2		155,994		674		156,670
Equity contracts	66		48,362		2,091		50,519
Commodity contracts	—		13,546		992		14,538
Credit derivatives	—		8,634		1,155		9,789
Total trading derivatives	$	110	$	464,562	$	8,305	$	472,977
Cash collateral paid(3)							$	32,778
Netting agreements									$	(364,879)
Netting of cash collateral received									(63,915)
Total trading derivatives	$	110	$	464,562	$	8,305	$	505,755	$	(428,794)	$	76,961
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	43,888	$	30	$	43,918	$	—	$	43,918
Residential	—		571		—		571		—		571
Commercial	—		50		—		50		—		50
Total investment mortgage-backed securities	$	—	$	44,509	$	30	$	44,539	$	—	$	44,539
U.S. Treasury and federal agency securities	$	146,032	$	172	$	—	$	146,204	$	—	$	146,204
State and municipal	—		2,885		834		3,719		—		3,719
Foreign government	77,056		47,644		268		124,968		—		124,968
Corporate	6,326		4,114		60		10,500		—		10,500
Marketable equity securities	287		228		—		515		—		515
Asset-backed securities	—		277		1		278		—		278
Other debt securities	—		4,876		—		4,876		—		4,876
Non-marketable equity securities(4)	—		50		349		399		—		399
Total investments	$	229,701	$	104,755	$	1,542	$	335,998	$	—	$	335,998

Table continues on the next page.

In millions of dollars at December 31, 2020	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	4,869		$	1,985		$	6,854	$	—	$	6,854
Mortgage servicing rights	—			—			336			336		—		336
Non-trading derivatives and other financial assets measured on a recurring basis	$	6,230		$	8,383		$	—		$	14,613	$	—	$	14,613
Total assets	$	424,489		$	1,023,665		$	16,135		$	1,497,067	$	(578,983)	$	918,084
Total as a percentage of gross assets(5)	29.0		%	69.9		%	1.1		%
Liabilities
Interest-bearing deposits	$	—		$	1,752		$	206		$	1,958	$	—	$	1,958
Securities loaned and sold under agreements to repurchase	—			156,644			631			157,275		(97,069)		60,206
Trading account liabilities
Securities sold, not yet purchased	85,353			14,477			214			100,044		—		100,044
Other trading liabilities	—			—			26			26		—		26
Total trading liabilities	$	85,353		$	14,477		$	240		$	100,070	$	—	$	100,070
Trading derivatives
Interest rate contracts	$	25		$	220,607		$	1,779		$	222,411
Foreign exchange contracts	3			155,441			622			156,066
Equity contracts	53			58,212			5,304			63,569
Commodity contracts	—			17,393			700			18,093
Credit derivatives	—			9,022			1,107			10,129
Total trading derivatives	$	81		$	460,675		$	9,512		$	470,268
Cash collateral received(6)										$	8,196
Netting agreements												$	(364,879)
Netting of cash collateral paid												(45,628)
Total trading derivatives	$	81		$	460,675		$	9,512		$	478,464	$	(410,507)	$	67,957
Short-term borrowings	$	—		$	4,464		$	219		$	4,683	$	—	$	4,683
Long-term debt	—			41,853			25,210			67,063		—		67,063
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	6,762		$	72		$	1		$	6,835	$	—	$	6,835
Total liabilities	$	92,196		$	679,937		$	36,019		$	816,348	$	(507,576)	$	308,772
Total as a percentage of gross liabilities(5)	11.4		%	84.1		%	4.5		%

(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 25 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 $78,406 million of gross cash collateral paid, of which $45,628 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 No. 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 $72,111 million of gross cash collateral received, of which $63,915 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(1)		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 25 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 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 hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward

			Net realized/unrealized gains (losses) included in(1)				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		Dec. 31, 2020
Assets																					0
Securities borrowed and purchased under agreements to resell	$	303	$	23	$	—	$	—	$	—	$	194	$	—	$	—	$	(200)	$	320	$	43
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	10		(79)		—		21		(11)		392		—		(306)		—		27		(1)
Residential	123		79		—		234		(68)		486		—		(514)		—		340		(20)
Commercial	61		—		—		162		(35)		174		—		(226)		—		136		(14)
Total trading mortgage-backed securities	$	194	$	—	$	—	$	417	$	(114)	$	1,052	$	—	$	(1,046)	$	—	$	503	$	(35)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	64		2		—		33		(3)		62		—		(64)		—		94		4
Foreign government	52		(35)		—		9		(1)		169		—		(143)		—		51		(7)
Corporate	313		246		—		211		(136)		770		—		(1,023)		(6)		375		(37)
Marketable equity securities	100		(16)		—		43		(2)		240		—		(292)		—		73		(11)
Asset-backed securities	1,177		(105)		—		677		(131)		1,406		—		(1,418)		—		1,606		(248)
Other trading assets	555		315		—		471		(343)		387		19		(440)		(19)		945		(56)
Total trading non-derivative assets	$	2,455	$	407	$	—	$	1,861	$	(730)	$	4,086	$	19	$	(4,426)	$	(25)	$	3,647	$	(390)
Trading derivatives, net(4)
Interest rate contracts	$	1	$	429	$	—	$	1,644	$	16	$	41	$	134	$	(34)	$	(617)	$	1,614	$	161
Foreign exchange contracts	(5)		105		—		(61)		48		74		—		(55)		(54)		52		130
Equity contracts	(1,596)		(536)		—		(519)		378		35		—		(886)		(89)		(3,213)		(3,868)
Commodity contracts	(59)		(1)		—		99		(108)		101		—		(61)		321		292		407
Credit derivatives	(56)		123		—		173		(334)		—		—		—		142		48		(136)
Total trading derivatives, net(4)	$	(1,715)	$	120	$	—	$	1,336	$	—	$	251	$	134	$	(1,036)	$	(297)	$	(1,207)	$	(3,306)

			Net realized/unrealized gains (losses) included in(1)				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		Dec. 31, 2020
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	(5)	$	2	$	—	$	1	$	—	$	—	$	—	$	30	$	(104)
Residential	—		—		76		—		—		—		—		(76)		—		—		5
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	32	$	—	$	71	$	2	$	—	$	1	$	—	$	(76)	$	—	$	30	$	(99)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	623		—		(3)		322		(131)		121		—		(98)		—		834		(20)
Foreign government	96		—		11		27		(64)		381		—		(183)		—		268		(4)
Corporate	45		—		6		49		(152)		162		—		(50)		—		60		—
Marketable equity securities	—		—		(1)		1		—		—		—		—		—		—		—
Asset-backed securities	22		—		(1)		—		—		—		—		(20)		—		1		(4)
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	441		—		(35)		—		(2)		2		3		(3)		(57)		349		10
Total investments	$	1,259	$	—	$	48	$	401	$	(349)	$	667	$	3	$	(430)	$	(57)	$	1,542	$	(117)
Loans	$	402	$	—	$	1,143	$	451	$	(6)	$	—	$	—	$	—	$	(5)	$	1,985	$	1,424
Mortgage servicing rights	495		—		(204)		—		—		—		123		—		(78)		336		(180)
Other financial assets measured on a recurring basis	1		—		—		—		—		—		—		(1)		—		—		—
Liabilities
Interest-bearing deposits	$	215	$	—	$	11	$	278	$	(152)	$	—	$	34	$	—	$	(158)	$	206	$	(142)
Securities loaned and sold under agreements to repurchase	757		5		—		—		—		—		—		—		(121)		631		(18)
Trading account liabilities
Securities sold, not yet purchased	48		(102)		—		271		(17)		—		—		10		(200)		214		(163)
Other trading liabilities	—		9		—		35		—		—		—		—		—		26		23
Short-term borrowings	13		78		—		220		(6)		—		86		—		(16)		219		(91)
Long-term debt	17,169		(1,489)		—		6,553		(2,615)		—		10,270		—		(7,656)		25,210		(1,679)
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		3		—		(2)		1		—

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit 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 and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 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) included in(1)				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		Dec. 31, 2019
Assets
Securities borrowed and purchased under agreements to resell	$	115	$	(5)	$	—	$	191	$	(4)	$	195	$	—	$	—	$	(189)	$	303	$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	156		—		—		54		(72)		160		(1)		(287)		—		10		1
Residential	268		15		—		86		(80)		227		—		(393)		—		123		10
Commercial	77		14		—		150		(105)		136		—		(211)		—		61		(4)
Total trading mortgage-backed securities	$	501	$	29	$	—	$	290	$	(257)	$	523	$	(1)	$	(891)	$	—	$	194	$	7
U.S. Treasury and federal agency securities	$	1	$	(9)	$	—	$	—	$	—	$	20	$	—	$	(11)	$	(1)	$	—	$	—
State and municipal	200		(2)		—		1		(19)		2		—		(118)		—		64		(2)
Foreign government	31		28		—		12		(7)		88		—		(100)		—		52		1
Corporate	360		284		—		213		(86)		323		(29)		(742)		(10)		313		(11)
Marketable equity securities	153		(21)		—		13		(19)		117		—		(143)		—		100		(51)
Asset-backed securities	1,484		(65)		—		51		(127)		738		—		(904)		—		1,177		29
Other trading assets	818		(52)		—		97		(283)		598		36		(630)		(29)		555		(257)
Total trading non-derivative assets	$	3,548	$	192	$	—	$	677	$	(798)	$	2,409	$	6	$	(3,539)	$	(40)	$	2,455	$	(284)
Trading derivatives, net(4)
Interest rate contracts	$	(154)	$	116	$	—	$	(129)	$	172	$	154	$	45	$	(1)	$	(202)	$	1	$	2,194
Foreign exchange contracts	(6)		(73)		—		152		(97)		113		—		(114)		20		(5)		(134)
Equity contracts	(784)		(425)		—		(213)		274		(111)		(147)		(8)		(182)		(1,596)		(422)
Commodity contracts	(18)		(121)		—		(15)		(15)		252		—		(133)		(9)		(59)		(33)
Credit derivatives	61		(412)		—		(114)		204		—		—		14		191		(56)		(289)
Total trading derivatives, net(4)	$	(901)	$	(915)	$	—	$	(319)	$	538	$	408	$	(102)	$	(242)	$	(182)	$	(1,715)	$	1,316
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	32	$	(1)
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	32	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	32	$	(1)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	708		—		86		14		(318)		430		—		(297)		—		623		82
Foreign government	68		—		2		—		—		145		—		(119)		—		96		2
Corporate	156		—		(14)		3		(94)		—		—		(6)		—		45		—
Marketable equity securities	—		—		—		—		—		—		—		—		—		—		—
Asset-backed securities	187		—		(11)		122		(612)		550		—		(214)		—		22		13
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	586		—		(11)		39		(1)		11		—		(151)		(32)		441		16
Total investments	$	1,737	$	—	$	52	$	178	$	(1,025)	$	1,136	$	—	$	(787)	$	(32)	$	1,259	$	112

Table continues on the next page.

			Net realized/unrealized gains (losses) included in(1)				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		Dec. 31, 2019
Loans	$	277	$	—	$	192	$	148	$	(189)	$	16	$	—	$	(40)	$	(2)	$	402	$	186
Mortgage servicing rights	584		—		(84)		—		—		—		70		—		(75)		495		(68)
Other financial assets measured on a recurring basis	—		—		96		6		(2)		2		32		(21)		(112)		1		18
Liabilities
Interest-bearing deposits	$	495	$	—	$	(16)	$	10	$	(783)	$	—	$	843	$	—	$	(366)	$	215	$	(25)
Securities loaned and sold under agreements to repurchase	983		121		—		1		4		—		—		(168)		58		757		(26)
Trading account liabilities
Securities sold, not yet purchased	586		122		—		68		(443)		19		—		(12)		(48)		48		3
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	37		32		—		13		(42)		—		168		—		(131)		13		(1)
Long-term debt	12,570		(1,899)		—		3,304		(4,411)		—		6,766		—		(2,958)		17,169		(1,411)
Other financial liabilities measured on a recurring basis	—		—		4		5		—		—		4		—		(5)		—		—

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit 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 and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2019.

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

Significant valuation techniques and most significant unobservable inputs used in Level 3 fair value measurements

Valuation Techniques and Inputs for Level 3 Fair

Value Measurements

The Company’s Level 3 inventory consists of both cash

instruments and derivatives of varying complexity. The

valuation methodologies used to measure the fair value of

these positions include discounted cash flow analysis, internal

models and comparative analysis. A position is classified

within Level 3 of the fair value hierarchy when one or more unobservable inputs are used that are considered significant to its valuation. The specific reason an input is deemed

unobservable varies; for example, at least one significant

input to the pricing model is not observable in the market, at

least one significant input has been adjusted to make it more

representative of the position being valued or the price quote

available does not reflect sufficient trading activities.

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 December 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	$	320	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.30		%	0.35		%	0.32		%
Mortgage-backed securities	$	344	Price-based	Price	$	30		$	111		$	80
	168		Yield analysis	Yield	2.63		%	21.80		%	10.13		%
State and municipal, foreign government, corporate and other debt securities	$	1,566	Price-based	Price	$	—		$	2,265		$	90
	852		Model-based	Credit spread	35 bps			375 bps			226 bps
Marketable equity securities(5)	$	36	Model-based	Price	$	—		$	31,000		$	5,132
	36		Price-based	WAL	1.48 years			1.48 years			1.48 years
				Recovery (in millions)	$	5,733		$	5,733		$	5,733
Asset-backed securities	$	863	Price-based	Price	$	2		$	157		$	59
	744		Yield analysis	Yield	3.77		%	21.77		%	9.01		%
Non-marketable equities	$	205	Comparables analysis	Illiquidity discount	10.00		%	45.00		%	25.29		%
				PE ratio	13.60x			28.00x			22.83x
	142		Price-based	Price	$	136		$	2,041		$	1,647
				EBITDA multiples	3.30x			36.70x			15.10x
				Adjustment factor	0.20x			0.61x			0.25x
				Appraised value (in thousands)	$	287		$	39,745		$	21,754
				Revenue multiple	2.70x			28.00x			8.92x
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,143	Model-based	Inflation volatility	0.27		%	2.36		%	0.78		%
				IR normal volatility	0.11		%	0.73		%	0.52		%
Foreign exchange contracts (gross)	$	1,296	Model-based	FX volatility	1.70		%	12.63		%	5.41		%
				Contingent event	100.00		%	100.00		%	100.00		%
				Interest rate	0.84		%	84.09		%	17.55		%
				IR normal volatility	0.11		%	0.52		%	0.46		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	(21.71)		%	40.00		%	38.09		%
Equity contracts (gross)(7)	$	7,330	Model-based	Equity volatility	5.00		%	91.43		%	42.74		%
				Forward price	65.88		%	105.20		%	91.82		%
Commodity and other contracts (gross)	$	1,636	Model-based	Commodity correlation	(44.92)		%	95.91		%	70.60		%
				Commodity volatility	0.16		%	80.17		%	23.72		%
				Forward price	15.40		%	262.00		%	98.53		%
Credit derivatives (gross)	$	1,854	Model-based	Credit spread	3.50 bps			352.35 bps			99.89 bps

As of December 31, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
	408		Price-based	Recovery rate	20.00		%	60.00		%	41.60		%
				Credit correlation	25.00		%	80.00		%	43.36		%
				Upfront points	—		%	107.20		%	48.10		%
Loans and leases	$	1,804	Model-based	Equity volatility	24.65		%	83.09		%	58.23		%
Mortgage servicing rights	258		Cash flow	Yield	2.86		%	16.00		%	6.32		%
	78		Model-based	WAL	2.66 years			5.40 years			4.46 years
Liabilities
Interest-bearing deposits	$	206	Model-based	IR Normal volatility	0.11		%	0.73		%	0.54		%
Securities loaned and sold under agreements to repurchase	$	631	Model-based	Interest rate	0.08		%	1.86		%	0.71		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	178	Model-based	IR lognormal volatility	52.06		%	128.87		%	89.82		%
	62		Price-based	Price	$	—		$	866		$	80
				Interest rate	10.03		%	20.07		%	13.70		%
Short-term borrowings and long-term debt	$	24,827	Model-based	IR Normal volatility	0.11		%	0.73		%	0.51		%
				Forward price	15.40		%	262.00		%	92.48		%

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		%
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 nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(7)Includes hybrid products.

Items measured at fair value of a nonrecurring basis

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
December 31, 2020
Loans HFS(1)	$	3,375	$	478	$	2,897
Other real estate owned	17		4		13
Loans(2)	1,015		679		336
Non-marketable equity securities measured using the measurement alternative	315		312		3
Total assets at fair value on a nonrecurring basis	$	4,722	$	1,473	$	3,249

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 December 31, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans HFS	$	2,683	Price-based	Price	$	79		$	100		$	98
Other real estate owned	$	7	Price-based	Appraised value(4)	$	3,110,711		$	4,241,357		$	3,586,975
	4		Recovery analysis	Price	51			51			51
Loans(5)	$	147	Price-based	Price	$	2		$	49		$	23
	73		Recovery analysis	Recovery rate	0.99		%	78.00		%	13.37		%
				Appraised value(4)	$	34		$	43,646,426		$	17,762,950

As of December 31, 2019	Fair value(1)  (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans HFS	$	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(5)	$	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		%
	66		Price-based	Price	$	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 amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

Changes in total nonrecurring fair value measurements

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:

	Year ended December 31,
In millions of dollars	2020
Loans HFS	$	(91)
Other real estate owned	(1)
Loans(1)	(137)
Non-marketable equity securities measured using the measurement alternative	70
Total nonrecurring fair value gains (losses)	$	(159)

	Year ended December 31,
In millions of dollars	2019
Loans HFS	$	—
Other real estate owned	(1)
Loans(1)	(56)
Non-marketable equity securities measured using the measurement alternative	99
Total nonrecurring fair value gains (losses)	$	42

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

Estimated Fair Value of Financial Instruments

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

The disclosure also excludes leases, affiliate investments, pension and benefit obligations, certain insurance contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the tables exclude the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into.

	December 31, 2020				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	110.3	$	113.2	$	23.3	$	87.0	$	2.9
Securities borrowed and purchased under agreements to resell	109.5		109.5		—		109.5		—
Loans(1)(2)	643.3		663.9		—		0.6		663.3
Other financial assets(2)(3)	383.2		383.2		291.5		18.1		73.6
Liabilities
Deposits	$	1,278.7	$	1,278.8	$	—	$	1,093.3	$	185.5
Securities loaned and sold under agreements to repurchase	139.3		139.3		—		139.3		—
Long-term debt(4)	204.6		221.2		—		197.8		23.4
Other financial liabilities(5)	102.4		102.4		—		19.2		83.2

	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 credit losses on loans of $25.0 billion for December 31, 2020 and $12.8 billion for December 31, 2019. In addition, the carrying values exclude $0.7 billion and $1.4 billion of lease finance receivables at December 31, 2020 and 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.