FAIR VALUE MEASUREMENT

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2020 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, 2021 and December 31, 2020:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2021		December 31, 2020
Counterparty CVA	$	(642)	$	(800)
Asset FVA	(449)		(525)
Citigroup (own credit) CVA	376		403
Liability FVA	91		67
Total CVA—derivative instruments	$	(624)	$	(855)

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	2021		2020
Counterparty CVA	$	9	$	(283)
Asset FVA	69		(1,053)
Own credit CVA	(37)		533
Liability FVA	24		337
Total CVA—derivative instruments	$	65	$	(466)
DVA related to own FVO liabilities(1)	$	(38)	$	4,188
Total CVA and DVA	$	27	$	3,722

(1)    See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 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, 2021 and December 31, 2020. 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, 2021	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	308,726	$	262	$	308,988	$	(110,080)	$	198,908
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		35,846		38		35,884				35,884
Residential	—		317		268		585				585
Commercial	—		813		59		872				872
Total trading mortgage-backed securities	$	—	$	36,976	$	365	$	37,341	$	—	$	37,341
U.S. Treasury and federal agency securities	$	59,877	$	2,325	$	—	$	62,202			$	62,202
State and municipal	—		1,171		94		1,265				1,265
Foreign government	76,118		16,226		81		92,425				92,425
Corporate	1,256		19,209		290		20,755				20,755
Equity securities	53,461		11,296		89		64,846				64,846
Asset-backed securities	—		951		1,208		2,159				2,159
Other trading assets(2)	12		11,253		571		11,836				11,836
Total trading non-derivative assets	$	190,724	$	99,407	$	2,698	$	292,829	$	—	$	292,829
Trading derivatives
Interest rate contracts	$	95	$	187,808	$	3,080	$	190,983
Foreign exchange contracts	—		139,621		557		140,178
Equity contracts	141		42,287		1,881		44,309
Commodity contracts	—		14,704		1,714		16,418
Credit derivatives	—		9,459		1,167		10,626
Total trading derivatives	$	236	$	393,879	$	8,399	$	402,514
Cash collateral paid(3)							$	21,388
Netting agreements									$	(307,824)
Netting of cash collateral received									(48,248)
Total trading derivatives	$	236	$	393,879	$	8,399	$	423,902	$	(356,072)	$	67,830
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	42,673	$	30	$	42,703			$	42,703
Residential	—		437		—		437				437
Commercial	—		45		—		45				45
Total investment mortgage-backed securities	$	—	$	43,155	$	30	$	43,185	$	—	$	43,185
U.S. Treasury and federal agency securities	$	122,532	$	168	$	—	$	122,700			$	122,700
State and municipal	—		2,457		794		3,251				3,251
Foreign government	73,560		45,531		523		119,614				119,614
Corporate	6,212		3,980		56		10,248				10,248
Marketable equity securities	184		65		—		249				249
Asset-backed securities	—		270		4		274				274
Other debt securities	—		4,764		—		4,764				4,764
Non-marketable equity securities(4)	—		44		352		396				396
Total investments	$	202,488	$	100,434	$	1,759	$	304,681	$	—	$	304,681

Table continues on the next page.

In millions of dollars at March 31, 2021	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	5,581		$	1,944		$	7,525			$	7,525
Mortgage servicing rights	—			—			433			433				433
Non-trading derivatives and other financial assets measured on a recurring basis	$	2,311		$	7,864		$	—		$	10,175	$	—	$	10,175
Total assets	$	395,759		$	915,891		$	15,495		$	1,348,533	$	(466,152)	$	882,381
Total as a percentage of gross assets(5)	29.8%			69.0%			1.2%
Liabilities
Interest-bearing deposits	$	—		$	2,941		$	199		$	3,140			$	3,140
Securities loaned and sold under agreements to repurchase	—			161,693			977			162,670		(93,957)		68,713
Trading account liabilities
Securities sold, not yet purchased	104,802			13,730			167			118,699				118,699
Other trading liabilities	—			14			6			20				20
Total trading liabilities	$	104,802		$	13,744		$	173		$	118,719	$	—	$	118,719
Trading derivatives
Interest rate contracts	$	77		$	173,362		$	1,851		$	175,290
Foreign exchange contracts	1			137,144			643			137,788
Equity contracts	56			51,358			4,757			56,171
Commodity contracts	—			17,697			982			18,679
Credit derivatives	—			9,468			1,096			10,564
Total trading derivatives	$	134		$	389,029		$	9,329		$	398,492
Cash collateral received(6)										$	22,945
Netting agreements												$	(307,824)
Netting of cash collateral paid												(53,215)
Total trading derivatives	$	134		$	389,029		$	9,329		$	421,437	$	(361,039)	$	60,398
Short-term borrowings	$	—		$	7,357		$	49		$	7,406			$	7,406
Long-term debt	—			41,734			26,337			68,071				68,071
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	2,619		$	48		$	8		$	2,675			$	2,675
Total liabilities	$	107,555		$	616,546		$	37,072		$	784,118	$	(454,996)	$	329,122
Total as a percentage of gross liabilities(5)	14.1		%	81.0		%	4.9		%

(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 $74,603 million of gross cash collateral paid, of which $53,215 million was used to offset trading derivative liabilities.

(4)Amounts exclude $0.1 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 $71,193 million of gross cash collateral received, of which $48,248 million was used to offset trading derivative assets.

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(2)		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 account 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
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 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 $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 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 $72,111 million of gross cash collateral received, of which $63,915 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, 2021 and 2020. 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(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	320	$	(9)	$	—	$	—	$	—	$	233	$	—	$	—	$	(282)	$	262	$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	27		(1)		—		14		(1)		1		—		(2)		—		38		(1)
Residential	340		23		—		28		(3)		144		—		(264)		—		268		7
Commercial	136		5		—		16		(33)		13		—		(78)		—		59		(7)
Total trading mortgage-backed securities	$	503	$	27	$	—	$	58	$	(37)	$	158	$	—	$	(344)	$	—	$	365	$	(1)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	94		—		—		—		—		—		—		—		—		94		1
Foreign government	51		1		—		11		—		57		—		(39)		—		81		(3)
Corporate	375		90		—		6		(118)		67		—		(130)		—		290		41
Marketable equity securities	73		45		—		4		(2)		12		—		(43)		—		89		9
Asset-backed securities	1,606		39		—		18		(50)		582		—		(987)		—		1,208		(79)
Other trading assets	945		(44)		—		30		(8)		147		4		(499)		(4)		571		1
Total trading non-derivative assets	$	3,647	$	158	$	—	$	127	$	(215)	$	1,023	$	4	$	(2,042)	$	(4)	$	2,698	$	(31)
Trading derivatives, net(4)
Interest rate contracts	$	1,614	$	(172)	$	—	$	(45)	$	—	$	—	$	(84)	$	—	$	(84)	$	1,229	$	(85)
Foreign exchange contracts	52		(138)		—		8		—		23		—		(15)		(16)		(86)		(31)
Equity contracts	(3,213)		303		—		36		6		24		—		(23)		(9)		(2,876)		268
Commodity contracts	292		314		—		158		(5)		66		—		(110)		17		732		324
Credit derivatives	48		(64)		—		67		3		—		—		—		17		71		(64)
Total trading derivatives, net(4)	$	(1,207)	$	243	$	—	$	224	$	4	$	113	$	(84)	$	(148)	$	(75)	$	(930)	$	412

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	—
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	—
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	834		—		(18)		4		—		1		—		(27)		—		794		(16)
Foreign government	268		—		(2)		—		—		330		—		(73)		—		523		(11)
Corporate	60		—		(4)		—		—		—		—		—		—		56		—
Marketable equity securities	—		—		—		—		—		—		—		—		—		—		—
Asset-backed securities	1		—		—		3		—		—		—		—		—		4		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	349		—		10		1		—		—		—		(8)		—		352		4
Total investments	$	1,542	$	—	$	(14)	$	8	$	—	$	331	$	—	$	(108)	$	—	$	1,759	$	(23)
Loans	$	1,985	$	—	$	(128)	$	211	$	—	$	—	$	1	$	—	$	(125)	$	1,944	$	(125)
Mortgage servicing rights	336		—		73		—		—		—		43		—		(19)		433		80
Other financial assets measured on a recurring basis	—		—		—		—		—		—		—		—		—		—		—
Liabilities
Interest-bearing deposits	$	206	$	—	$	16	$	—	$	—	$	—	$	9	$	—	$	—	$	199	$	7
Securities loaned and sold under agreements to repurchase	631		(15)		—		—		—		408		—		—		(77)		977		(15)
Trading account liabilities
Securities sold, not yet purchased	214		54		—		8		(4)		10		—		—		(7)		167		39
Other trading liabilities	26		20		—		—		—		—		—		—		—		6		21
Short-term borrowings	219		(1)		—		2		(12)		—		8		—		(169)		49		(1)
Long-term debt	25,210		2,622		—		932		(2)		—		5,720		—		(2,901)		26,337		1,962
Other financial liabilities measured on a recurring basis	1		—		(3)		—		—		—		14		—		(10)		8		(3)

(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 March 31, 2021.

(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(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		Mar. 31, 2020
Assets
Securities borrowed or 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
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
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		—
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)

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. 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		Mar. 31, 2020
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 or sold under agreements to repurchase	757		27		—		—		—		—		—		—		—		730		(33)
Trading account liabilities																			—
Securities sold, not yet purchased	48		(167)		—		8		(10)		—		9		—		(22)		200		(240)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	13		10		—		11		—		—		38		—		—		52		10
Long-term debt	17,169		1,311		—		3,189		(2,693)		—		4,261		—		(1,346)		19,269		936
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		2		—		(2)		—		—

(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 investments 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 March 31, 2020.

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

Level 3 Fair Value Rollforward

There were no significant Level 3 transfers for the period December 31, 2020 to March 31, 2021.

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 Long-term debt of $3.2 billion from Level 2 to Level 3, primarily driven by $2.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products and $1.2 billion related to structured debt products 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. 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 primarily resulted in $2.7 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.

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, 2021	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	$	262	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.34		%	0.40		%	0.37		%
Mortgage-backed securities	$	227	Price-based	Price	$	24.00		$	114.77		$	91.51
	148		Yield analysis	Yield	2.47		%	19.21		%	8.44		%
State and municipal, foreign government, corporate and other debt securities	$	1,488	Price-based	Price	$	—		$	865.86		$	89.54
	778		Model-based	Credit spread	35 bps			375 bps			230 bps
Marketable equity securities(5)	$	49	Price-based	Price	$	—		$	70,000		$	14,868
	32		Model-based	Recovery (in millions)	$	5,733		$	5,733		$	5,733
				WAL	1.23 years			1.23 years			1.23 years
Asset-backed securities	$	789	Price-based	Price	$	2.07		$	130.05		$	70.09
	422		Yield analysis	Yield	3.04		%	15.54		%	7.71		%
Non-marketable equities	$	214	Comparables analysis	Illiquidity discount	10.00		%	35.00		%	21.94		%
	100		Price-based	PE Ratio	12.00x			28.40x			18.42x
	37		Model-based	Adjustment factor	0.11x			0.56x			0.26x
				Price	$	0.97		$	1,960.00		$	1,538.36
				EBITDA multiples	4.20x			16.70x			11.85x
				Revenue multiple	2.30x			28.80x			16.13x
Derivatives—gross(6)
Interest rate contracts (gross)	$	4,892	Model-based	Inflation volatility	0.26		%	2.90		%	0.78		%
				IR normal volatility	0.12		%	0.89		%	0.61		%
Foreign exchange contracts (gross)	$	1,200	Model-based	FX volatility	0.59		%	13.70		%	11.78		%
				Interest rate	0.06		%	46.79		%	1.09		%
				IR normal volatility	0.12		%	0.88		%	0.41		%
Equity contracts (gross)(7)	$	6,594	Model-based	Equity volatility	5.98		%	94.42		%	42.72		%
				Forward price	61.90		%	108.04		%	93.54		%
Commodity and other contracts (gross)	2,672		Model-based	Commodity correlation	(51.81)		%	92.81		%	62.96		%
				Commodity volatility	0.10		%	65.86		%	24.26		%
				Forward price	9.42		%	383.13		%	94.30		%
Credit derivatives (gross)	$	1,848	Model-based	Credit spread	6 bps			500 bps			88 bps
	413		Price-based	Recovery rate	25.00		%	60.00		%	39.84		%
				Upfront points	—		%	99.12		%	50.13		%
Loans and leases	$	1,893	Model-based	Equity volatility	23.41		%	80.12		%	62.45		%
Mortgage servicing rights	$	354	Cash flow	Yield	3.00		%	16.60		%	7.57		%

As of March 31, 2021	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
	79		Model-based	WAL	3.45 years			6.91 years			5.86 years
Liabilities
Interest-bearing deposits	$	199	Model-based	IR normal volatility	0.12		%	0.89		%	0.68		%
Securities loaned and sold under agreements to repurchase	$	977	Model-based	Interest rate	0.08		%	1.86		%	0.71		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	129	Model-based	IR lognormal volatility	60.74		%	140.02		%	109.00		%
	45		Price-based	Price	$	—		$	865.86		$	77.85
				Interest rate	0.20		%	39.36		%	7.26		%
Short-term borrowings and long-term debt	$	26,380	Model-based	IR normal volatility	0.12		%	0.89		%	0.62		%
				Forward price	9.42		%	383.13		%	92.82		%

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		%

As of December 31, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
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
	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	$	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		%

(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, 2021
Loans HFS(1)	$	1,859	$	895	$	964
Other real estate owned	26		6		20
Loans(2)	1,060		646		414
Non-marketable equity securities measured using the measurement alternative	254		254		—
Total assets at fair value on a nonrecurring basis	$	3,199	$	1,801	$	1,398

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

(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, 2021	Fair value(1)  (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans held-for-sale	$	964	Price-based	Price	$	74.33	$	100.00	$	98.00
Other real estate owned	$	17	Recovery analysis	Appraised value(4)	$	186,431	$	4,328,299	$	3,682,631
	3		Price-based	Price	53.30		53.30		53.30
Loans(5)	$	377	Price-based	Price	$	2.50	$	50.00	$	25.06
	37		Recovery analysis	Appraised value(4)	95		43,646,426		15,277,236

As of December 31, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans held-for-sale	$	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

(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.

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	2021		2020
Loans HFS	$	(4)	$	(391)
Other real estate owned	—		—
Loans(1)	1		(44)
Non-marketable equity securities measured using the measurement alternative	81		22
Total nonrecurring fair value gains (losses)	$	78	$	(413)

(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 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, 2021				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	167.1	$	167.3	$	59.4	$	105.4	$	2.5
Securities borrowed and purchased under agreements to resell	116.2		116.2		—		116.2		—
Loans(1)(2)	636.2		653.1		—		0.9		652.2
Other financial assets(2)(3)	415.8		415.8		305.5		19.2		91.1
Liabilities
Deposits	$	1,297.8	$	1,298.6	$	—	$	1,125.7	$	172.9
Securities loaned and sold under agreements to repurchase	150.5		150.5		—		150.5		—
Long-term debt(4)	188.3		201.4		—		181.0		20.4
Other financial liabilities(5)	117.6		117.6		—		18.3		99.3

	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

(1)The carrying value of loans is net of the Allowance for credit losses on loans of $21.6 billion for March 31, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.6 billion and $0.7 billion of lease finance receivables at March 31, 2021 and December 31, 2020, 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, 2021 and December 31, 2020 were liabilities of $7.3 billion and $7.3 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.