FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

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

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at September 30, 2021 and December 31, 2020:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2021		December 31, 2020
Counterparty CVA	$	(671)	$	(800)
Asset FVA	(459)		(525)
Citigroup (own credit) CVA	375		403
Liability FVA	80		67
Total CVA—derivative instruments	$	(675)	$	(855)

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

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

	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Counterparty CVA	$	25	$	104	$	68	$	(134)
Asset FVA	(23)		105		71		(316)
Own credit CVA	34		(62)		(44)		200
Liability FVA	(63)		(36)		(52)		87
Total CVA—derivative instruments	$	(27)	$	111	$	43	$	(163)
DVA related to own FVO liabilities(1)	$	(107)	$	(452)	$	(256)	$	801
Total CVA and DVA	$	(134)	$	(341)	$	(213)	$	638

(1)    See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

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 September 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 September 30, 2021	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	328,482	$	257	$	328,739	$	(116,539)	$	212,200
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		29,577		432		30,009		—		30,009
Residential	—		415		61		476		—		476
Commercial	—		656		120		776		—		776
Total trading mortgage-backed securities	$	—	$	30,648	$	613	$	31,261	$	—	$	31,261
U.S. Treasury and federal agency securities	$	42,689	$	4,621	$	—	$	47,310	$	—	$	47,310
State and municipal	—		1,570		71		1,641		—		1,641
Foreign government	54,922		27,517		33		82,472		—		82,472
Corporate	1,914		20,833		541		23,288		—		23,288
Equity securities	49,713		10,350		205		60,268		—		60,268
Asset-backed securities	—		804		664		1,468		—		1,468
Other trading assets(2)	—		16,278		915		17,193		—		17,193
Total trading non-derivative assets	$	149,238	$	112,621	$	3,042	$	264,901	$	—	$	264,901
Trading derivatives
Interest rate contracts	$	59	$	170,175	$	3,162	$	173,396
Foreign exchange contracts	—		131,744		516		132,260
Equity contracts	—		51,894		1,787		53,681
Commodity contracts	—		45,933		1,202		47,135
Credit derivatives	—		9,432		810		10,242
Total trading derivatives—before netting and collateral	$	59	$	409,178	$	7,477	$	416,714
Cash collateral paid(3)							$	23,216
Netting agreements									$	(313,526)
Netting of cash collateral received									(48,391)
Total trading derivatives—after netting and collateral	$	59	$	409,178	$	7,477	$	439,930	$	(361,917)	$	78,013
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,617	$	52	$	36,669	$	—	$	36,669
Residential	—		351		12		363		—		363
Commercial	—		34		—		34		—		34
Total investment mortgage-backed securities	$	—	$	37,002	$	64	$	37,066	$	—	$	37,066
U.S. Treasury and federal agency securities	$	123,004	$	170	$	—	$	123,174	$	—	$	123,174
State and municipal	—		1,949		735		2,684		—		2,684
Foreign government	65,314		54,068		812		120,194		—		120,194
Corporate	3,577		3,157		192		6,926		—		6,926
Marketable equity securities	243		136		—		379		—		379
Asset-backed securities	—		261		3		264		—		264
Other debt securities	—		5,265		—		5,265		—		5,265
Non-marketable equity securities(4)	—		47		347		394		—		394
Total investments	$	192,138	$	102,055	$	2,153	$	296,346	$	—	$	296,346

Table continues on the next page.

In millions of dollars at September 30, 2021	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	6,437		$	722		$	7,159	$	—	$	7,159
Mortgage servicing rights	—			—			409			409		—		409
Non-trading derivatives and other financial assets measured on a recurring basis	$	4,347		$	7,462		$	86		$	11,895	$	—	$	11,895
Total assets	$	345,782		$	966,235		$	14,146		$	1,349,379	$	(478,456)	$	870,923
Total as a percentage of gross assets(5)	26.1%			72.9%			1.1%
Liabilities
Interest-bearing deposits	$	—		$	2,531		$	182		$	2,713	$	—	$	2,713
Securities loaned and sold under agreements to repurchase	—			184,142			656			184,798		(109,536)		75,262
Trading account liabilities
Securities sold, not yet purchased	98,685			17,671			88			116,444		—		116,444
Other trading liabilities	—			7			—			7		—		7
Total trading liabilities	$	98,685		$	17,678		$	88		$	116,451	$	—	$	116,451
Trading derivatives
Interest rate contracts	$	45		$	155,183		$	1,671		$	156,899
Foreign exchange contracts	3			129,263			724			129,990
Equity contracts	26			58,787			3,760			62,573
Commodity contracts	—			46,434			784			47,218
Credit derivatives	—			9,889			760			10,649
Total trading derivatives—before netting and collateral	$	74		$	399,556		$	7,699		$	407,329
Cash collateral received(6)										$	18,492
Netting agreements												$	(313,526)
Netting of cash collateral paid												(49,460)
Total trading derivatives—after netting and collateral	$	74		$	399,556		$	7,699		$	425,821	$	(362,986)	$	62,835
Short-term borrowings	$	—		$	8,811		$	3		$	8,814	$	—	$	8,814
Long-term debt	—			52,136			26,042			78,178		—		78,178
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,245		$	177		$	1		$	3,423			$	3,423
Total liabilities	$	102,004		$	665,031		$	34,671		$	820,198	$	(472,522)	$	347,676
Total as a percentage of gross liabilities(5)	12.7		%	83.0		%	4.3		%

(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 $72,676 million of gross cash collateral paid, of which $49,460 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 $66,883 million of gross cash collateral received, of which $48,391 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 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 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	Jun. 30, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	211	$	1	$	—	$	45	$	—	$	43	$	—	$	—	$	(43)	$	257	$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	376		20		—		60		(52)		154		—		(126)		—		432		17
Residential	95		2		—		5		(9)		19		—		(51)		—		61		3
Commercial	87		1		—		17		(12)		36		—		(9)		—		120		1
Total trading mortgage-backed securities	$	558	$	23	$	—	$	82	$	(73)	$	209	$	—	$	(186)	$	—	$	613	$	21
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	70		3		—		—		—		—		—		(2)		—		71		4
Foreign government	141		26		—		7		(98)		6		—		(49)		—		33		4
Corporate	823		3		—		123		(110)		246		—		(544)		—		541		16
Marketable equity securities	147		12		—		55		(9)		58		—		(58)		—		205		14
Asset-backed securities	692		101		—		128		(19)		186		—		(424)		—		664		(28)
Other trading assets	555		138		—		25		(67)		379		—		(115)		—		915		36
Total trading non-derivative assets	$	2,986	$	306	$	—	$	420	$	(376)	$	1,084	$	—	$	(1,378)	$	—	$	3,042	$	67
Trading derivatives, net(4)
Interest rate contracts	$	1,764	$	(160)	$	—	$	(79)	$	56	$	10	$	—	$	—	$	(100)	$	1,491	$	(189)
Foreign exchange contracts	(184)		131		—		(71)		(22)		11		—		(3)		(70)		(208)		121
Equity contracts	(2,550)		538		—		(370)		668		134		—		(98)		(295)		(1,973)		452
Commodity contracts	142		200		—		(3)		106		44		—		(50)		(21)		418		218
Credit derivatives	(41)		(84)		—		24		116		—		—		—		35		50		(87)
Total trading derivatives, net(4)	$	(869)	$	625	$	—	$	(499)	$	924	$	199	$	—	$	(151)	$	(451)	$	(222)	$	515

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	Jun. 30, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	52	$	—	$	—	$	20	$	(10)	$	—	$	—	$	(10)	$	—	$	52	$	—
Residential	—		—		—		—		—		12		—		—		—		12		—
Total investment mortgage-backed securities	$	52	$	—	$	—	$	20	$	(10)	$	12	$	—	$	(10)	$	—	$	64	$	—
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	748		—		(6)		—		—		2		—		(9)		—		735		(6)
Foreign government	957		—		(25)		63		(232)		99		—		(50)		—		812		(6)
Corporate	104		—		(2)		151		(41)		7		—		(27)		—		192		—
Marketable equity securities	—		—		—		—		—		—		—		—		—		—		—
Asset-backed securities	3		—		—		—		—		—		—		—		—		3		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	382		—		(36)		1		—		—		—		—		—		347		(53)
Total investments	$	2,246	$	—	$	(69)	$	235	$	(283)	$	120	$	—	$	(96)	$	—	$	2,153	$	(65)
Loans	$	429	$	—	$	(16)	$	—	$	(20)	$	—	$	336	$	—	$	(7)	$	722	$	14
Mortgage servicing rights	419		—		(3)		—		—		—		8		—		(15)		409		(3)
Other financial assets measured on a recurring basis	55		—		3		10		(4)		33		—		(11)		—		86		—
Liabilities
Interest-bearing deposits	$	154	$	—	$	(25)	$	—	$	—	$	—	$	14	$	—	$	(11)	$	182	$	5
Securities loaned and sold under agreements to repurchase	488		(29)		—		183		—		—		—		—		(44)		656		6
Trading account liabilities
Securities sold, not yet purchased	168		(22)		—		7		(4)		21		—		—		(126)		88		4
Other trading liabilities	1		1		—		—		—		—		—		—		—		—		4
Short-term borrowings	41		(1)		—		2		(12)		—		2		—		(31)		3		2
Long-term debt	25,068		486		—		2,052		(1,086)		—		1,526		—		(1,032)		26,042		434
Other financial liabilities measured on a recurring basis	4		—		—		—		—		—		—				(3)		1		—

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

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

(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 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		Sept. 30, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	320	$	(10)	$	—	$	45	$	(49)	$	319	$	—	$	—	$	(368)	$	257	$	25
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	27		21		—		312		(60)		268		—		(136)		—		432		31
Residential	340		24		—		74		(77)		220		—		(520)		—		61		17
Commercial	136		22		—		93		(53)		60		—		(138)		—		120		2
Total trading mortgage-backed securities	$	503	$	67	$	—	$	479	$	(190)	$	548	$	—	$	(794)	$	—	$	613	$	50
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	94		3		—		—		(29)		5		—		(2)		—		71		4
Foreign government	51		31		—		143		(126)		77		—		(143)		—		33		4
Corporate	375		78		—		441		(278)		721		—		(796)		—		541		(6)
Marketable equity securities	73		59		—		139		(51)		93		—		(108)		—		205		26
Asset-backed securities	1,606		349		—		163		(217)		1,120		—		(2,357)		—		664		(58)
Other trading assets	945		156		—		86		(196)		727		4		(803)		(4)		915		29
Total trading non-derivative assets	$	3,647	$	743	$	—	$	1,451	$	(1,087)	$	3,291	$	4	$	(5,003)	$	(4)	$	3,042	$	49
Trading derivatives, net(4)
Interest rate contracts	$	1,614	$	(458)	$	—	$	94	$	377	$	12	$	(84)	$	—	$	(64)	$	1,491	$	(216)
Foreign exchange contracts	52		52		—		(63)		(18)		145		—		(300)		(76)		(208)		53
Equity contracts	(3,213)		1,150		—		(968)		1,566		243		—		(215)		(536)		(1,973)		237
Commodity contracts	292		750		—		7		(511)		138		—		(205)		(53)		418		272
Credit derivatives	48		(205)		—		39		45		—		—		—		123		50		(239)
Total trading derivatives, net(4)	$	(1,207)	$	1,289	$	—	$	(891)	$	1,459	$	538	$	(84)	$	(720)	$	(606)	$	(222)	$	107
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	2	$	42	$	(10)	$	3	$	—	$	(15)	$	—	$	52	$	(53)
Residential	—		—		—		—		—		12		—		—		—		12		—
Total investment mortgage-backed securities	$	30	$	—	$	2	$	42	$	(10)	$	15	$	—	$	(15)	$	—	$	64	$	(53)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	834		—		(16)		58		(108)		5		—		(38)		—		735		(12)
Foreign government	268		—		(24)		503		(521)		744		—		(158)		—		812		(4)
Corporate	60		—		(13)		183		(41)		37		—		(34)		—		192		2
Asset-backed securities	1		—		(21)		36		—		—		—		(13)		—		3		(25)
Non-marketable equity securities	349		—		4		2		—		—		—		(8)		—		347		(53)
Total investments	$	1,542	$	—	$	(68)	$	824	$	(680)	$	801	$	—	$	(266)	$	—	$	2,153	$	(145)

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		Sept. 30, 2021
Loans	$	1,985	$	—	$	332	$	271	$	(2,071)	$	—	$	337	$	—	$	(132)	$	722	$	111
Mortgage servicing rights	336		—		49		—		—		—		76		—		(52)		409		50
Other financial assets measured on a recurring basis	—		—		3		65		(4)		33		—		(11)		—		86		—
Liabilities
Interest-bearing deposits	$	206	$	—	$	(7)	$	—	$	(44)	$	—	$	34	$	—	$	(21)	$	182	$	(146)
Securities loaned and sold under agreements to repurchase	631		(22)		—		183		(483)		488		—		—		(185)		656		25
Trading account liabilities
Securities sold, not yet purchased	214		39		—		69		(29)		41		—		—		(168)		88		4
Other trading liabilities	26		26		—		—		—		—		—		—		—		—		—
Short-term borrowings	219		31		—		44		(56)		—		27		—		(200)		3		2
Long-term debt	25,210		2,259		—		6,921		(7,054)		—		9,071		—		(5,847)		26,042		1,305
Other financial liabilities measured on a recurring basis	1		—		(3)		—		(4)		—		14		—		(13)		1		—

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to 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 September 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	Jun. 30, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2020
Assets
Securities borrowed or purchased under agreements to resell	$	326	$	4	$	—	$	—	$	—	$	43	$	—	$	—	$	(43)	$	330	$	4
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	96		9		—		5		—		182		—		(26)		—		266		9
Residential	433		64		—		10		(17)		67		—		(288)		—		269		(1)
Commercial	217		1		—		13		—		24		—		(74)		—		181		—
Total trading mortgage-backed securities	$	746	$	74	$	—	$	28	$	(17)	$	273	$	—	$	(388)	$	—	$	716	$	8
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	117		—		—		—		—		—		—		(41)		—		76		—
Foreign government	26		1		—		4		—		26		—		(16)		—		41		—
Corporate	399		(25)		—		22		(57)		160		2		(227)		—		274		(16)
Marketable equity securities	92		(31)		—		2		—		15		—		(13)		—		65		(25)
Asset-backed securities	1,785		14		—		167		(1)		351		—		(488)		—		1,828		4
Other trading assets	797		(24)		—		140		(102)		66		5		(84)		(4)		794		(29)
Total trading non-derivative assets	$	3,962	$	9	$	—	$	363	$	(177)	$	891	$	7	$	(1,257)	$	(4)	$	3,794	$	(58)
Trading derivatives, net(4)
Interest rate contracts	$	1,968	$	70	$	—	$	(17)	$	(7)	$	31	$	78	$	(62)	$	(525)	$	1,536	$	50
Foreign exchange contracts	(26)		122		—		(23)		29		3		—		(6)		(74)		25		47
Equity contracts	(2,235)		(183)		—		(41)		(69)		1		—		(12)		(120)		(2,659)		(160)
Commodity contracts	(278)		172		—		48		(5)		29		—		(15)		24		(25)		151
Credit derivatives	402		(271)		—		(33)		19		—		—		—		34		151		(274)
Total trading derivatives, net(4)	$	(169)	$	(90)	$	—	$	(66)	$	(33)	$	64	$	78	$	(95)	$	(661)	$	(972)	$	(186)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	(27)
Residential	—		—		—		—		—		—		—		—		—		—		8
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	(19)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	825		—		(5)		2		—		19		—		(16)		—		825		25
Foreign government	196		—		3		—		—		66		—		(76)		—		189		—
Corporate	106		—		—		—		—		—		—		(50)		—		56		—
Marketable equity securities	1		—		(1)		—		—		—		—		—		—		—		(1)
Asset-backed securities	6		—		(4)		—		—		—		—		—		—		2		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	332		—		17		—		(2)		—		3		—		—		350		16
Total investments	$	1,496	$	—	$	10	$	2	$	(2)	$	85	$	3	$	(142)	$	—	$	1,452	$	21

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	Jun. 30, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2020
Loans	$	978	$	—	$	567	$	138	$	—	$	—	$	—	$	—	$	(2)	$	1,681	$	573
Mortgage servicing rights	345		—		(22)		—		—		—		31		—		(20)		334		(14)
Other financial assets measured on a recurring basis	—		—		(3)		19		—		—		(13)		(3)		—		—		(11)
Liabilities
Interest-bearing deposits	$	237	$	—	$	26	$	—	$	—	$	—	$	4	$	—	$	(2)	$	213	$	23
Securities loaned or sold under agreements to repurchase	625		(34)		—		—		—		—		—		—		—		659		(126)
Trading account liabilities
Securities sold, not yet purchased	104		3		—		54		(3)		—		—		—		(11)		141		—
Other trading liabilities	—		(16)		—		27		—		—		—		—		—		43		(15)
Short-term borrowings	128		9		—		78		—		—		11		—		(7)		201		13
Long-term debt	21,633		(267)		—		1,396		(27)		—		1,308		—		(1,461)		23,116		(234)
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		2		—		—		2		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 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 September 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		Sept. 30, 2020
Assets
Securities borrowed and purchased under agreements to resell	$	303	$	18	$	—	$	—	$	—	$	151	$	—	$	—	$	(142)	$	330	$	4
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	10		(65)		—		21		(9)		390		—		(81)		—		266		14
Residential	123		70		—		214		(60)		341		—		(419)		—		269		(6)
Commercial	61		5		—		156		(17)		113		—		(137)		—		181		(13)
Total trading mortgage-backed securities	$	194	$	10	$	—	$	391	$	(86)	$	844	$	—	$	(637)	$	—	$	716	$	(5)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	64		2		—		15		(3)		62		—		(64)		—		76		1
Foreign government	52		(27)		—		6		(2)		130		—		(118)		—		41		—
Corporate	313		265		—		108		(127)		579		2		(860)		(6)		274		7
Marketable equity securities	100		(22)		—		40		(3)		221		—		(271)		—		65		(33)
Asset-backed securities	1,177		(88)		—		663		(61)		1,091		—		(954)		—		1,828		(208)
Other trading assets	555		196		—		321		(254)		297		19		(321)		(19)		794		(63)
Total trading non-derivative assets	$	2,455	$	336	$	—	$	1,544	$	(536)	$	3,224	$	21	$	(3,225)	$	(25)	$	3,794	$	(301)
Trading derivatives, net(4)
Interest rate contracts	$	1	$	445	$	—	$	1,597	$	(9)	$	33	$	134	$	(49)	$	(616)	$	1,536	$	365
Foreign exchange contracts	(5)		70		—		(56)		40		52		—		(19)		(57)		25		339
Equity contracts	(1,596)		(747)		—		(432)		167		25		—		(18)		(58)		(2,659)		(658)
Commodity contracts	(59)		(34)		—		85		(75)		95		—		(59)		22		(25)		(34)
Credit derivatives	(56)		308		—		138		(339)		—		—		—		100		151		49
Total trading derivatives, net(4)	$	(1,715)	$	42	$	—	$	1,332	$	(216)	$	205	$	134	$	(145)	$	(609)	$	(972)	$	61
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	(5)	$	1	$	1	$	1	$	—	$	—	$	—	$	30	$	(64)
Residential	—		—		—		—		—		—		—		—		—		—		8
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	32	$	—	$	(5)	$	1	$	1	$	1	$	—	$	—	$	—	$	30	$	(56)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	623		—		(12)		312		(131)		114		—		(81)		—		825		50
Foreign government	96		—		8		27		(64)		274		—		(152)		—		189		—
Corporate	45		—		2		49		(152)		162		—		(50)		—		56		—
Marketable equity securities	—		—		(1)		1		—		—		—		—		—		—		(1)
Asset-backed securities	22		—		(1)		—		—		—		—		(19)		—		2		6
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	441		—		(36)		—		(2)		2		3		(3)		(55)		350		24
Total investments	$	1,259	$	—	$	(45)	$	390	$	(348)	$	553	$	3	$	(305)	$	(55)	$	1,452	$	23

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		Sept. 30, 2020
Loans	$	402	$	—	$	935	$	355	$	(6)	$	—	$	—	$	—	$	(5)	$	1,681	$	1,026
Mortgage servicing rights	495		—		(191)		—		—		—		87		—		(57)		334		(161)
Other financial assets measured on a recurring basis	1		—		11		19		—		—		(19)		(8)		(4)		—		9
Liabilities
Interest-bearing deposits	$	215	$	—	$	15	$	278	$	(151)	$	—	$	34	$	—	$	(148)	$	213	$	(122)
Securities loaned and sold under agreements to repurchase	757		(7)		—		—		—		—		—		—		(105)		659		(159)
Trading account liabilities
Securities sold, not yet purchased	48		(126)		—		171		(21)		—		9		—		(192)		141		(40)
Other trading liabilities	—		(16)		—		27		—		—		—		—		—		43		(15)
Short-term borrowings	13		28		—		164		(6)		—		72		—		(14)		201		15
Long-term debt	17,169		(647)		—		6,459		(4,195)		—		8,096		—		(5,060)		23,116		(487)
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		4		—		(2)		2		—

(1)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 September 30, 2020.

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

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

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 September 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	$	257	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.27		%	0.64		%	0.46		%
Mortgage-backed securities	$	376	Yield analysis	Yield	2.10		%	17.85		%	5.62		%
	244		Price-based	Price	$	4.41		$	120.77		$	50.04
State and municipal, foreign government, corporate and other debt securities	$	2,223	Price-based	Price	$	0.01		$	1,024.98		$	188.92
	904		Model-based	Equity volatility	—		%	286.78		%	23.08		%
Marketable equity securities(5)	$	139	Price-based	Price	$	—		$	73,000.00		$	6,027.91
	41		Model-based	Illiquidity discount	20.00		%	21.00		%	20.31		%
	25		Comparables analysis	WAL	1.99 years			1.99 years			1.99 years
				Recovery (in millions)	$	5,733		$	5,733		$	5,733
				Revenue multiple	6.40x			6.40x			6.40x
Asset-backed securities	$	360	Price-based	Price	$	5.70		$	3,450.00		$	447.00
	307		Yield analysis	Yield	2.76		%	21.13		%	7.25		%
Non-marketable equities	$	166	Comparables analysis	Illiquidity discount	10.00		%	35.00		%	27.40		%
	114		Price-based	PE ratio	11.20x			29.60x			16.62x
	67		Model-based	Adjustment factor	—x			0.70x			0.32x
				Price	$	43.43		$	1,684.00		$	1,219.39
				EBITDA multiples	4.60x			18.30x			12.89x
				Revenue multiple	13.00x			25.10x			18.54x
Derivatives—gross(6)
Interest rate contracts (gross)	$	4,681	Model-based	IR Normal volatility	0.05		%	0.78		%	0.57		%
				Inflation volatility	0.26		%	2.71		%	1.22		%
Foreign exchange contracts (gross)	$	1,219	Model-based	IR Normal volatility	0.11		%	0.59		%	0.51		%
				FX volatility	0.76		%	41.60		%	10.25		%
				Interest rate	2.43		%	8.04		%	6.39		%
Equity contracts (gross)(7)	$	5,400	Model-based	Equity volatility	—		%	286.78		%	35.61		%
				Equity forward	57.78		%	127.80		%	89.35		%
				Equity-Equity correlation	(40.00)		%	99.00		%	80.51		%
				Equity-FX correlation	(80.10)		%	80.00		%	(10.34)		%
Commodity and other contracts (gross)	$	1,985	Model-based	Commodity correlation	(50.82)		%	91.95		%	(0.71)		%
				Commodity volatility	11.00		%	130.00		%	25.04		%
				Forward price	37.49		%	619.33		%	99.31		%
Credit derivatives (gross)	$	1,111	Model-based	Credit spread	5 bps			625 bps			66 bps
	458		Price-based	Recovery rate	25.00		%	75.00		%	42.25		%
				Upfront points	4.54		%	99.97		%	59.38		%
				Credit correlation	25.00		%	80.00		%	52.25		%
				Price	$	40.00		$	102.88		$	79.01

As of September 30, 2021	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	87	Price-based	Price	$	5.63		$	252.23		$	152.32
Loans and leases	$	656	Model-based	Equity volatility	23.42		%	63.96		%	36.98		%
Mortgage servicing rights	$	333	Cash flow	Yield	2.00		%	14.00		%	6.70		%
	76		Model-based	WAL	3.26 years			6.68 years			5.68 years
Liabilities
Interest-bearing deposits	$	149	Model-based	IR Normal volatility	0.14		%	0.78		%	0.62		%
Securities loaned and sold under agreements to repurchase	$	656	Model-based	Interest rate	0.13		%	2.34		%	1.62		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	81	Price-based	Price	$	—		$	12,100.00		$	1,378.00
Short-term borrowings and long-term debt	$	25,792	Model-based	IR Normal volatility	0.11		%	0.78		%	0.56		%
				Equity volatility	—		%	286.78		%	23.17		%
				Equity-IR correlation	(13.00)		%	60.00		%	29.19		%
				Equity-FX correlation	(80.10)		%	80.00		%	(10.34)		%
				FX volatility	—		%	32.57		%	9.68		%

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		%

As of December 31, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				Interest rate	0.84		%	84.09		%	17.55		%
				IR normal volatility	0.11		%	0.52		%	0.46		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	(21.71)		%	40.00		%	38.09		%
Equity contracts (gross)(7)	$	7,330	Model-based	Equity volatility	5.00		%	91.43		%	42.74		%
				Forward price	65.88		%	105.20		%	91.82		%
Commodity and other contracts (gross)	$	1,636	Model-based	Commodity correlation	(44.92)		%	95.91		%	70.60		%
				Commodity volatility	0.16		%	80.17		%	23.72		%
				Forward price	15.40		%	262.00		%	98.53		%
Credit derivatives (gross)	$	1,854	Model-based	Credit spread	3.50 bps			352.35 bps			99.89 bps
	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 of a nonrecurring basis

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

In millions of dollars	Fair value		Level 2		Level 3
September 30, 2021
Loans HFS(1)	$	876	$	368	$	508
Other real estate owned	5		—		5
Loans(2)	224		—		224
Non-marketable equity securities measured using the measurement alternative	233		44		189
Total assets at fair value on a nonrecurring basis	$	1,338	$	412	$	926

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 September 30, 2021	Fair value(1)  (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans held-for-sale	$	508	Price-based	Price	$	90.00	$	100.00	$	98.37
Other real estate owned	$	5	Recovery analysis	Appraised value(4)	$	27,000	$	3,400,000	$	712,192
Loans (5)	$	192	Price-based	Appraised value(4)	$	91	$	3,900,000	$	253,297
	32		Recovery analysis	Price	2.70		70.00		32.14
Non-marketable equity securities measured using the measurement alternative	$	189	Price-based	Price	$	8.48	$	1,951.67	$	580.68

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.

Changes in total nonrecurring fair value measurements

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 September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Loans HFS	$	(13)	$	(26)	$	(22)	$	(133)
Other real estate owned	—		—		—		(1)
Loans(1)	(10)		(31)		33		(131)
Non-marketable equity securities measured using the measurement alternative	72		37		363		8
Total nonrecurring fair value gains (losses)	$	49	$	(20)	$	374	$	(257)

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

Estimated fair value of financial instruments

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

	September 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	$	203.0	$	203.7	$	89.1	$	111.6	$	3.0
Securities borrowed and purchased under agreements to resell	125.5		125.5		—		121.8		3.7
Loans(1)(2)	639.4		654.2		—		—		654.2
Other financial assets(2)(3)	421.0		421.0		302.5		21.3		97.2
Liabilities
Deposits	$	1,344.8	$	1,345.5	$	—	$	1,178.0	$	167.5
Securities loaned and sold under agreements to repurchase	133.9		133.9		—		133.6		0.3
Long-term debt(4)	180.1		194.0		—		179.8		14.2
Other financial liabilities(5)	115.4		115.4		—		18.0		97.4

	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 $17.7 billion for September 30, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.5 billion and $0.7 billion of lease finance receivables at September 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.