FAIR VALUE MEASUREMENT

6 Months Ended

Jun. 30, 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 June 30, 2021 and December 31, 2020:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2021		December 31, 2020
Counterparty CVA	$	(617)	$	(800)
Asset FVA	(434)		(525)
Citigroup (own credit) CVA	335		403
Liability FVA	78		67
Total CVA—derivative instruments	$	(638)	$	(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 June 30,				Six Months Ended June 30,
In millions of dollars	2021		2020		2021		2020
Counterparty CVA	$	34	$	45	$	43	$	(238)
Asset FVA	25		632		94		(421)
Own credit CVA	(41)		(271)		(78)		262
Liability FVA	(13)		(214)		11		123
Total CVA—derivative instruments	$	5	$	192	$	70	$	(274)
DVA related to own FVO liabilities(1)	$	(110)	$	(2,935)	$	(148)	$	1,253
Total CVA and DVA	$	(105)	$	(2,743)	$	(78)	$	979

(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: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. These include 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 the market.

•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 June 30, 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. The effects of these hedges are presented gross in the following tables:

Fair Value Levels

In millions of dollars at June 30, 2021	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	275,313	$	211	$	275,524	$	(87,648)	$	187,876
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		31,998		376		32,374		—		32,374
Residential	—		368		95		463		—		463
Commercial	—		900		87		987		—		987
Total trading mortgage-backed securities	$	—	$	33,266	$	558	$	33,824	$	—	$	33,824
U.S. Treasury and federal agency securities	$	60,491	$	3,004	$	—	$	63,495	$	—	$	63,495
State and municipal	—		1,540		70		1,610		—		1,610
Foreign government	60,726		30,205		141		91,072		—		91,072
Corporate	1,939		18,840		823		21,602		—		21,602
Equity securities	55,141		13,038		147		68,326		—		68,326
Asset-backed securities	—		1,016		692		1,708		—		1,708
Other trading assets(2)	305		14,838		555		15,698		—		15,698
Total trading non-derivative assets	$	178,602	$	115,747	$	2,986	$	297,335	$	—	$	297,335
Trading derivatives
Interest rate contracts	$	61	$	183,139	$	2,777	$	185,977
Foreign exchange contracts	—		118,018		553		118,571
Equity contracts	—		46,973		1,542		48,515
Commodity contracts	—		24,306		891		25,197
Credit derivatives	—		8,994		858		9,852
Total trading derivatives—before netting and collateral	$	61	$	381,430	$	6,621	$	388,112
Cash collateral paid(3)							$	22,104
Netting agreements									$	(293,047)
Netting of cash collateral received									(43,554)
Total trading derivatives—after netting and collateral	$	61	$	381,430	$	6,621	$	410,216	$	(336,601)	$	73,615
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	39,258	$	52	$	39,310	$	—	$	39,310
Residential	—		404		—		404		—		404
Commercial	—		43		—		43		—		43
Total investment mortgage-backed securities	$	—	$	39,705	$	52	$	39,757	$	—	$	39,757
U.S. Treasury and federal agency securities	$	126,147	$	—	$	—	$	126,147	$	—	$	126,147
State and municipal	—		2,331		748		3,079		—		3,079
Foreign government	66,557		52,703		957		120,217		—		120,217
Corporate	4,358		3,441		104		7,903		—		7,903
Marketable equity securities	129		66		—		195		—		195
Asset-backed securities	—		208		3		211		—		211
Other debt securities	—		5,663		—		5,663		—		5,663
Non-marketable equity securities(4)	—		69		382		451		—		451
Total investments	$	197,191	$	104,186	$	2,246	$	303,623	$	—	$	303,623

Table continues on the next page.

In millions of dollars at June 30, 2021	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	7,278		$	429		$	7,707	$	—	$	7,707
Mortgage servicing rights	—			—			419			419		—		419
Non-trading derivatives and other financial assets measured on a recurring basis	$	3,457		$	7,571		$	55		$	11,083	$	—	$	11,083
Total assets	$	379,311		$	891,525		$	12,967		$	1,305,907	$	(424,249)	$	881,658
Total as a percentage of gross assets(5)	29.5%			69.4%			1.0%
Liabilities
Interest-bearing deposits	$	—		$	2,595		$	154		$	2,749	$	—	$	2,749
Securities loaned and sold under agreements to repurchase	—			157,088			488			157,576		(80,871)		76,705
Trading account liabilities
Securities sold, not yet purchased	91,879			21,740			168			113,787		—		113,787
Other trading liabilities	—			13			1			14		—		14
Total trading liabilities	$	91,879		$	21,753		$	169		$	113,801	$	—	$	113,801
Trading derivatives
Interest rate contracts	$	42		$	167,686		$	1,013		$	168,741
Foreign exchange contracts	2			115,996			737			116,735
Equity contracts	—			55,835			4,092			59,927
Commodity contracts	—			27,437			749			28,186
Credit derivatives	—			9,578			899			10,477
Total trading derivatives—before netting and collateral	$	44		$	376,532		$	7,490		$	384,066
Cash collateral received(6)										$	17,965
Netting agreements												$	(293,047)
Netting of cash collateral paid												(48,079)
Total trading derivatives—after netting and collateral	$	44		$	376,532		$	7,490		$	402,031	$	(341,126)	$	60,905
Short-term borrowings	$	—		$	7,317		$	41		$	7,358	$	—	$	7,358
Long-term debt	—			51,307			25,068			76,375		—		76,375
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,152		$	123		$	4		$	3,279			$	3,279
Total liabilities	$	95,075		$	616,715		$	33,414		$	763,169	$	(421,997)	$	341,172
Total as a percentage of gross liabilities(5)	12.8		%	82.8		%	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 $70,183 million of gross cash collateral paid, of which $48,079 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 $61,519 million of gross cash collateral received, of which $43,554 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—before netting and collateral	$	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—after netting and collateral	$	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—before netting and collateral	$	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—after netting and collateral	$	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 and six months ended June 30, 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	Mar. 31, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	262	$	(2)	$	—	$	—	$	(49)	$	43	$	—	$	—	$	(43)	$	211	$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	38		2		—		238		(7)		113		—		(8)		—		376		(12)
Residential	268		(1)		—		41		(65)		57		—		(205)		—		95		2
Commercial	59		16		—		60		(8)		11		—		(51)		—		87		3
Total trading mortgage-backed securities	$	365	$	17	$	—	$	339	$	(80)	$	181	$	—	$	(264)	$	—	$	558	$	(7)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	94		—		—		—		(29)		5		—		—		—		70		—
Foreign government	81		4		—		125		(28)		14		—		(55)		—		141		1
Corporate	290		(15)		—		312		(50)		408		—		(122)		—		823		(36)
Marketable equity securities	89		2		—		80		(40)		23		—		(7)		—		147		15
Asset-backed securities	1,208		209		—		17		(148)		352		—		(946)		—		692		22
Other trading assets	571		62		—		31		(121)		201		—		(189)		—		555		4
Total trading non-derivative assets	$	2,698	$	279	$	—	$	904	$	(496)	$	1,184	$	—	$	(1,583)	$	—	$	2,986	$	(1)
Trading derivatives, net(4)
Interest rate contracts	$	1,229	$	(126)	$	—	$	218	$	321	$	2	$	—	$	—	$	120	$	1,764	$	(70)
Foreign exchange contracts	(86)		59		—		—		4		111		—		(282)		10		(184)		(28)
Equity contracts	(2,876)		309		—		(634)		892		85		—		(94)		(232)		(2,550)		349
Commodity contracts	732		236		—		(148)		(612)		28		—		(45)		(49)		142		(194)
Credit derivatives	71		(57)		—		(52)		(74)		—		—		—		71		(41)		(107)
Total trading derivatives, net(4)	$	(930)	$	421	$	—	$	(616)	$	531	$	226	$	—	$	(421)	$	(80)	$	(869)	$	(50)

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	Mar. 31, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	2	$	22	$	—	$	3	$	—	$	(5)	$	—	$	52	$	(21)
Total investment mortgage-backed securities	$	30	$	—	$	2	$	22	$	—	$	3	$	—	$	(5)	$	—	$	52	$	(21)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	794		—		8		54		(108)		2		—		(2)		—		748		6
Foreign government	523		—		3		440		(289)		315		—		(35)		—		957		3
Corporate	56		—		(7)		32		—		30		—		(7)		—		104		(1)
Asset-backed securities	4		—		(21)		33		—		—		—		(13)		—		3		1
Non-marketable equity securities	352		—		30		—		—		—		—		—		—		382		2
Total investments	$	1,759	$	—	$	15	$	581	$	(397)	$	350	$	—	$	(62)	$	—	$	2,246	$	(10)
Loans	$	1,944	$	—	$	476	$	60	$	(2,051)	$	—	$	—	$	—	$	—	$	429	$	169
Mortgage servicing rights	433		—		(21)		—		—		—		25		—		(18)		419		(21)
Other financial assets measured on a recurring basis	—		—		—		55		—		—		—		—		—		55		—
Liabilities
Interest-bearing deposits	$	199	$	—	$	2	$	—	$	(44)	$	—	$	11	$	—	$	(10)	$	154	$	—
Securities loaned and sold under agreements to repurchase	977		22		—		—		(483)		80		—		—		(64)		488		—
Trading account liabilities
Securities sold, not yet purchased	167		7		—		54		(21)		10		—		—		(35)		168		26
Other trading liabilities	6		5		—		—		—		—		—		—		—		1		4
Short-term borrowings	49		33		—		40		(32)		—		17		—		—		41		17
Long-term debt	26,337		(849)		—		3,937		(5,966)		—		1,825		—		(1,914)		25,068		(699)
Other financial liabilities measured on a recurring basis	8		—		—		—		(4)		—		—				—		4		—

(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 June 30, 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, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	320	$	(11)	$	—	$	—	$	(49)	$	276	$	—	$	—	$	(325)	$	211	$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	27		1		—		252		(8)		114		—		(10)		—		376		16
Residential	340		22		—		69		(68)		201		—		(469)		—		95		18
Commercial	136		21		—		76		(41)		24		—		(129)		—		87		2
Total trading mortgage-backed securities	$	503	$	44	$	—	$	397	$	(117)	$	339	$	—	$	(608)	$	—	$	558	$	36
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	94		—		—		—		(29)		5		—		—		—		70		1
Foreign government	51		5		—		136		(28)		71		—		(94)		—		141		(6)
Corporate	375		75		—		318		(168)		475		—		(252)		—		823		(7)
Marketable equity securities	73		47		—		84		(42)		35		—		(50)		—		147		32
Asset-backed securities	1,606		248		—		35		(198)		934		—		(1,933)		—		692		8
Other trading assets	945		18		—		61		(129)		348		4		(688)		(4)		555		(5)
Total trading non-derivative assets	$	3,647	$	437	$	—	$	1,031	$	(711)	$	2,207	$	4	$	(3,625)	$	(4)	$	2,986	$	59
Trading derivatives, net(4)
Interest rate contracts	$	1,614	$	(298)	$	—	$	173	$	321	$	2	$	(84)	$	—	$	36	$	1,764	$	(197)
Foreign exchange contracts	52		(79)		—		8		4		134		—		(297)		(6)		(184)		(57)
Equity contracts	(3,213)		612		—		(598)		898		109		—		(117)		(241)		(2,550)		213
Commodity contracts	292		550		—		10		(617)		94		—		(155)		(32)		142		280
Credit derivatives	48		(121)		—		15		(71)		—		—		—		88		(41)		(198)
Total trading derivatives, net(4)	$	(1,207)	$	664	$	—	$	(392)	$	535	$	339	$	(84)	$	(569)	$	(155)	$	(869)	$	41
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	2	$	22	$	—	$	3	$	—	$	(5)	$	—	$	52	$	(42)
Total investment mortgage-backed securities	$	30	$	—	$	2	$	22	$	—	$	3	$	—	$	(5)	$	—	$	52	$	(42)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	834		—		(10)		58		(108)		3		—		(29)		—		748		(8)
Foreign government	268		—		1		440		(289)		645		—		(108)		—		957		3
Corporate	60		—		(11)		32		—		30		—		(7)		—		104		(1)
Asset-backed securities	1		—		(21)		36		—		—		—		(13)		—		3		(37)
Non-marketable equity securities	349		—		40		1		—		—		—		(8)		—		382		2
Total investments	$	1,542	$	—	$	1	$	589	$	(397)	$	681	$	—	$	(170)	$	—	$	2,246	$	(83)

			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		Jun. 30, 2021
Loans	$	1,985	$	—	$	348	$	271	$	(2,051)	$	—	$	1	$	—	$	(125)	$	429	$	100
Mortgage servicing rights	336		—		52		—		—		—		68		—		(37)		419		59
Other financial assets measured on a recurring basis	—		—		—		55		—		—		—		—		—		55		—
Liabilities
Interest-bearing deposits	$	206	$	—	$	18	$	—	$	(44)	$	—	$	20	$	—	$	(10)	$	154	$	(45)
Securities loaned and sold under agreements to repurchase	631		7		—		—		(483)		488		—		—		(141)		$	488	19
Trading account liabilities
Securities sold, not yet purchased	214		61		—		62		(25)		20		—		—		(42)		$	168	(2)
Other trading liabilities	26		25		—		—		—		—		—		—		—		$	1	—
Short-term borrowings	219		32		—		42		(44)		—		25		—		(169)		$	41	17
Long-term debt	25,210		1,773		—		4,869		(5,968)		—		7,545		—		(4,815)		$	25,068	791
Other financial liabilities measured on a recurring basis	1		—		(3)		—		(4)		—		14		—		(10)		$	4	—

(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 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 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 June 30, 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	Mar. 31, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2020
Assets
Securities borrowed or purchased under agreements to resell	$	300	$	34	$	—	$	—	$	—	$	42	$	—	$	—	$	(50)	$	326	$	36
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	85		1		—		4		(6)		67		—		(55)		—		96		4
Residential	304		14		—		144		(39)		96		—		(86)		—		433		7
Commercial	44		4		—		140		(14)		62		—		(19)		—		217		11
Total trading mortgage-backed securities	$	433	$	19	$	—	$	288	$	(59)	$	225	$	—	$	(160)	$	—	$	746	$	22
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	92		—		—		5		(1)		41		—		(20)		—		117		—
Foreign government	39		57		—		2		(2)		18		—		(88)		—		26		54
Corporate	412		(12)		—		64		(78)		204		—		(185)		(6)		399		(71)
Equity securities	143		9		—		10		—		174		—		(244)		—		92		(3)
Asset-backed securities	1,561		67		—		257		(56)		272		—		(316)		—		1,785		46
Other trading assets	639		27		—		153		(15)		126		6		(134)		(5)		797		1
Total trading non-derivative assets	$	3,319	$	167	$	—	$	779	$	(211)	$	1,060	$	6	$	(1,147)	$	(11)	$	3,962	$	49
Trading derivatives, net(4)
Interest rate contracts	$	1,755	$	24	$	—	$	231	$	20	$	1	$	—	$	—	$	(63)	$	1,968	$	7
Foreign exchange contracts	2		(37)		—		(8)		2		5		—		(5)		15		(26)		(47)
Equity contracts	(1,836)		(354)		—		(104)		12		21		—		(5)		31		(2,235)		(349)
Commodity contracts	(542)		253		—		(1)		(14)		20		—		(10)		16		(278)		241
Credit derivatives	816		(367)		—		17		(72)		—		—		—		8		402		(367)
Total trading derivatives, net(4)	$	195	$	(481)	$	—	$	135	$	(52)	$	47	$	—	$	(20)	$	7	$	(169)	$	(515)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	47	$	—	$	(19)	$	1	$	—	$	1	$	—	$	—	$	—	$	30	$	(36)
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	47	$	—	$	(19)	$	1	$	—	$	1	$	—	$	—	$	—	$	30	$	(36)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	687		—		24		172		(131)		95		—		(22)		—		825		21
Foreign government	225		—		7		—		(64)		61		—		(33)		—		196		6
Corporate	238		—		10		—		(152)		10		—		—		—		106		—
Equity securities	—		—		—		1		—		—		—		—		—		1		—
Asset-backed securities	16		—		(2)		—		—		—		—		(8)		—		6		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	354		—		21		—		—		2		—		—		(45)		332		25
Total investments	$	1,567	$	—	$	41	$	174	$	(347)	$	169	$	—	$	(63)	$	(45)	$	1,496	$	16

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	Mar. 31, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2020
Loans	$	537	$	—	$	447	$	—	$	(5)	$	—	$	—	$	—	$	(1)	$	978	$	355
Mortgage servicing rights	367		—		(26)		—		—		—		24		—		(20)		345		(14)
Other financial assets measured on a recurring basis	—		—		14		—		—		—		(6)		(4)		(4)		—		2
Liabilities
Interest-bearing deposits	$	491	$	—	$	(5)	$	—	$	(151)	$	—	$	30	$	—	$	(138)	$	237	$	(27)
Securities loaned or sold under agreements to repurchase	730		—		—		—		—		—		—		—		(105)		625		—
Trading account liabilities
Securities sold, not yet purchased	200		(28)		—		43		(8)		—		—		—		(159)		104		24
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	52		9		—		75		(6)		—		23		—		(7)		128		16
Long-term debt	19,269		(1,691)		—		1,875		(1,475)		—		2,527		—		(2,254)		21,633		(1,518)
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		—		—		—		—		—

(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 June 30, 2020.

(4)Total Level 3 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		Jun. 30, 2020
Assets
Securities borrowed and purchased under agreements to resell	$	303	$	14	$	—	$	—	$	—	$	108	$	—	$	—	$	(99)	$	326	$	39
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	10		(74)		—		16		(9)		208		—		(55)		—		96		5
Residential	123		6		—		204		(43)		274		—		(131)		—		433		—
Commercial	61		4		—		143		(17)		89		—		(63)		—		217		(10)
Total trading mortgage-backed securities	$	194	$	(64)	$	—	$	363	$	(69)	$	571	$	—	$	(249)	$	—	$	746	$	(5)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	64		2		—		15		(3)		62		—		(23)		—		117		1
Foreign government	52		(28)		—		2		(2)		104		—		(102)		—		26		52
Corporate	313		290		—		86		(70)		419		—		(633)		(6)		399		(87)
Marketable equity securities	100		9		—		38		(3)		206		—		(258)		—		92		(19)
Asset-backed securities	1,117		(102)		—		496		(60)		740		—		(466)		—		1,785		(222)
Other trading assets	555		220		—		181		(152)		231		14		(237)		(15)		797		(23)
Total trading non-derivative assets	$	2,455	$	327	$	—	$	1,181	$	(359)	$	2,333	$	14	$	(1,968)	$	(21)	$	3,962	$	(303)
Trading derivatives, net(4)
Interest rate contracts	$	1	$	375	$	—	$	1,614	$	(2)	$	2	$	56	$	13	$	(91)	$	1,968	$	387
Foreign exchange contracts	(5)		(52)		—		(33)		11		49		—		(13)		17		(26)		104
Equity contracts	(1,596)		(564)		—		(391)		236		24		—		(6)		62		(2,235)		(663)
Commodity contracts	(59)		(206)		—		37		(70)		66		—		(44)		(2)		(278)		(211)
Credit derivatives	(56)		579		—		171		(358)		—		—		—		66		402		372
Total trading derivatives, net(4)	$	(1,715)	$	132	$	—	$	1,398	$	(183)	$	141	$	56	$	(50)	$	52	$	(169)	$	(11)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	(5)	$	1	$	1	$	1	$	—	$	—	$	—	$	30	$	(23)
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	32	$	—	$	(5)	$	1	$	1	$	1	$	—	$	—	$	—	$	30	$	(23)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	623		—		(7)		310		(131)		95		—		(65)		—		825		25
Foreign government	96		—		5		27		(64)		208		—		(76)		—		196		(9)
Corporate	45		—		2		49		(152)		162		—		—		—		106		—
Marketable equity securities	—		—		—		1		—		—		—		—		—		1		—
Asset-backed securities	22		—		3		—		—		—		—		(19)		—		6		34
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	441		—		(53)		—		—		2		—		(3)		(55)		332		22
Total investments	$	1,259	$	—	$	(55)	$	388	$	(346)	$	468	$	—	$	(163)	$	(55)	$	1,496	$	49

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		Jun. 30, 2020
Loans	$	402	$	—	$	368	$	217	$	(6)	$	—	$	—	$	—	$	(3)	$	978	$	509
Mortgage servicing rights	495		—		(169)		—		—		—		56		—		(37)		345		(147)
Other financial assets measured on a recurring basis	1		—		14		—		—		—		(6)		(5)		(4)		—		16
Liabilities
Interest-bearing deposits	$	215	$	—	$	(11)	$	278	$	(151)	$	—	$	30	$	—	$	(146)	$	237	$	(6)
Securities loaned and sold under agreements to repurchase	757		27		—		—		—		—		—		—		(105)		625		(33)
Trading account liabilities
Securities sold, not yet purchased	48		(129)		—		117		(18)		—		9		—		(181)		104		(7)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	13		19		—		86		(6)		—		61		—		(7)		128		21
Long-term debt	17,169		(380)		—		5,063		(4,168)		—		6,788		—		(3,600)		21,633		(746)
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 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 June 30, 2020.

(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, 2020 to June 30, 2021:

•During the three and six months ended June 30, 2021, transfers of Loans of $2.1 billion from Level 3 to Level 2 were primarily driven by equity forward and volatility inputs that have been assessed as not significant to the overall valuation of certain hybrid loan instruments, including equity options and long dated equity call spreads.

•During the three and six months ended June 30, 2021, transfers of Long-term debt were $3.9 billion and $4.9 billion, respectively, from Level 2 to Level 3. Of the $4.9 billion transfer in the six months ended June 30, 2021, approximately $4.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.8 billion related to equity volatility inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $6.0 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2021.

The following were the significant Level 3 transfers for the period December 31, 2019 to June 30, 2020:

•During the six months ended June 30, 2020, transfers of Interest rate contracts of $1.6 billion from Level 2 to Level 3 were due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of the related interest rate derivatives.

•During the three and six months ended June 30, 2020, $1.9 billion and $5.1 billion of Long-term debt containing embedded derivatives was transferred from Level 2 to Level 3, as a result of interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable volatility inputs becoming insignificant 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 and $4.2 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2020, respectively.

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 June 30, 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	$	211	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.30		%	0.30		%	0.30		%
Mortgage-backed securities	$	452	Yield analysis	Yield	1.64		%	17.78		%	7.31		%
	136		Price-based	Price	$	4.00		$	120.68		$	91.67
State and municipal, foreign government, corporate and other debt securities	$	2,069	Price-based	Price	$	5.24		$	1,027.67		$	213.01
	973		Model-based	Credit spread	35 bps			583 bps			246 bps
Marketable equity securities(5)	$	139	Price-based	Price	$	—		$	97,500.00		$	25,976.84
				Illiquidity discount	24.70		%	25.00		%	24.87		%
Asset-backed securities	$	418	Price-based	Price	$	2.08		$	166.03		$	68.96
	211		Yield analysis	Yield	2.29		%	15.40		%	6.35		%
Non-marketable equities	$	248	Comparables analysis	Illiquidity discount	10.00		%	35.00		%	21.53		%
	97		Price-based	PE ratio	12.00x			31.00x			18.52x
				Adjustment factor	0.18x			0.80x			0.47x
				Price	$	11.03		$	1,610.00		$	1,269.53
				EBITDA multiples	5.70x			19.40x			13.18x
				Revenue multiple	10.20x			15.30x			13.58x
Derivatives—gross(6)
Interest rate contracts (gross)	$	3,740	Model-based	IR Normal volatility	0.10		%	0.75		%	0.55		%
				Inflation volatility	0.28		%	2.58		%	1.47		%
Foreign exchange contracts (gross)	$	1,240	Model-based	IR Normal volatility	0.11		%	0.58		%	0.51		%
				IR basis	(0.70)		%	1.07		%	0.10		%
				FX volatility	5.00		%	28.55		%	9.94		%
Equity contracts (gross)(7)	$	5,608	Model-based	Equity volatility	—		%	299.00		%	50.26		%
				Equity forward	57.00		%	125.00		%	89.82		%
Commodity and other contracts (gross)	$	1,640	Model-based	Commodity correlation	(49.00)		%	92.00		%	18.34		%
				Commodity volatility	10.00		%	69.00		%	24.91		%
				Forward price	9.99		%	421.06		%	110.04		%
Credit derivatives (gross)	$	1,283	Model-based	Credit spread	4 bps			600 bps			52 bps
	466		Price-based	Recovery rate	25.00		%	75.00		%	46.24		%
				Upfront points	5.05		%	100.00		%	58.73		%
				Price	$	15.06		$	103.63		$	72.48
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	17	Price-based	Price	$	4.96		$	44.50		$	39.76
Loans and leases	$	335	Model-based	Equity volatility	22.06		%	63.96		%	30.76		%
	87		Price-based	Price	$	35.23		$	409.11		$	111.37
Mortgage servicing rights	$	339	Cash flow	Yield	2.00		%	15.00		%	6.74		%

As of June 30, 2021	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
	80		Model-based	WAL	3.15 years			6.32 years			5.49 years
Liabilities
Interest-bearing deposits	$	154	Model-based	IR Normal volatility	0.13		%	0.75		%	0.61		%
Securities loaned and sold under agreements to repurchase	$	488	Model-based	Interest rate	0.06		%	2.04		%	1.25		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	116	Model-based	IR Lognormal volatility	55.87		%	139.01		%	106.26		%
	52		Price-based	Price	$	—		$	12,351.44		$	2,184.24
				Interest rate	0.17		%	0.23		%	0.20		%
Short-term borrowings and long-term debt	$	24,881	Model-based	IR Normal volatility	0.11		%	0.75		%	0.55		%
				Equity volatility	0.07		%	299.00		%	64.51		%
				Equity forward	57.00		%	125.00		%	89.78		%
				Equity-FX correlation	(81.00)		%	80.00		%	(12.54)		%
				FX volatility	—		%	37.00		%	10.12		%

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		%

As of December 31, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				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
	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 tables above include the fair values for the items listed and may not foot to the total population for each category.

(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 an identical or similar investment in 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
June 30, 2021
Loans HFS(1)	$	587	$	212	$	375
Other real estate owned	22		—		22
Loans(2)	354		—		354
Non-marketable equity securities measured using the measurement alternative	487		152		335
Total assets at fair value on a nonrecurring basis	$	1,450	$	364	$	1,086

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 June 30, 2021	Fair value(1)  (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans held-for-sale	$	375	Price-based	Price	$	90.32	$	100.00	$	96.68
Other real estate owned	$	13	Recovery analysis	Appraised value(4)	$	20,000	$	1,800,000	$	599,971
Loans (5)	$	224	Recovery analysis	Appraised value(4)	$	4,000	$	21,240,661	$	4,002,656
	128		Price-based	Price	2.55		60.00		$	29.10
Non-marketable equity securities measured using the measurement alternative	$	331	Price-based	Price	$	5.41	$	1,592.82	$	468.68

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 table above includes the fair values for the items listed and may not foot to the total population for each category.

(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 table presents 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 June 30,				Six Months Ended June 30,
In millions of dollars	2021		2020		2021		2020
Loans HFS	$	(15)	$	32	$	(17)	$	(198)
Other real estate owned	—		(1)		—		(1)
Loans(1)	49		(266)		60		(189)
Non-marketable equity securities measured using the measurement alternative	211		(52)		291		(29)
Total nonrecurring fair value gains (losses)	$	245	$	(287)	$	334	$	(417)

(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 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.

	June 30, 2021				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	181.9	$	183.4	$	73.8	$	106.9	$	2.7
Securities borrowed and purchased under agreements to resell	121.2		121.2		—		120.9		0.3
Loans(1)(2)	649.3		665.2		—		—		665.2
Other financial assets(2)(3)	397.9		397.9		279.3		19.9		98.7
Liabilities
Deposits	$	1,307.5	$	1,308.3	$	—	$	1,138.6	$	169.7
Securities loaned and sold under agreements to repurchase	145.1		145.1		—		145.0		0.1
Long-term debt(4)	188.2		203.1		—		184.0		19.1
Other financial liabilities(5)	114.8		114.8		—		19.6		95.2

	December 31, 2020				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	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 $19.2 billion for June 30, 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 June 30, 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 June 30, 2021 and December 31, 2020 were off-balance liabilities of $6.7 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.