FAIR VALUE MEASUREMENT

3 Months Ended

Mar. 31, 2022

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at March 31, 2022 and December 31, 2021:


	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2022		December 31, 2021
Counterparty CVA	$	(614)	$	(705)
Asset FVA	(530)		(433)
Citigroup (own credit) CVA	548		379
Liability FVA	131		110
Total CVA and FVA—derivative instruments	$	(465)	$	(649)

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


	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended March 31,
In millions of dollars	2022		2021
Counterparty CVA	$	(107)	$	9
Asset FVA	(105)		69
Own credit CVA	116		(37)
Liability FVA	22		24
Total CVA and FVA—derivative instruments	$	(74)	$	65
DVA related to own FVO liabilities(1)	$	1,050	$	(38)
Total CVA, DVA and FVA	$	976	$	27

(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

Fair Value Hierarchy

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

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

•Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in 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 fair value hierarchy classification approach typically utilizes rules-based and data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:

•The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based upon the frequency of observed transactions and the quality of independent market data available on the measurement date.

•A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions in the market.

•Otherwise, an instrument is classified as Level 3.

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2022 and December 31, 2021. 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 March 31, 2022	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	347,330	$	202	$	347,532	$	(113,183)	$	234,349
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		29,411		498		29,909		—		29,909
Residential	—		415		118		533		—		533
Commercial	—		614		52		666		—		666
Total trading mortgage-backed securities	$	—	$	30,440	$	668	$	31,108	$	—	$	31,108
U.S. Treasury and federal agency securities	$	64,273	$	3,353	$	2	$	67,628	$	—	$	67,628
State and municipal	—		1,852		6		1,858		—		1,858
Foreign government	41,456		30,671		94		72,221		—		72,221
Corporate	1,500		16,632		1,013		19,145		—		19,145
Equity securities	54,369		10,312		199		64,880		—		64,880
Asset-backed securities	—		966		466		1,432		—		1,432
Other trading assets(2)	8		20,236		492		20,736		—		20,736
Total trading non-derivative assets	$	161,606	$	114,462	$	2,940	$	279,008	$	—	$	279,008
Trading derivatives
Interest rate contracts	$	411	$	163,626	$	3,005	$	167,042
Foreign exchange contracts	—		152,974		885		153,859
Equity contracts	51		44,396		1,738		46,185
Commodity contracts	—		47,949		1,663		49,612
Credit derivatives	—		10,174		1,069		11,243
Total trading derivatives—before netting and collateral	$	462	$	419,119	$	8,360	$	427,941
Netting agreements									$	(319,683)
Netting of cash collateral received									(29,269)
Total trading derivatives—after netting and collateral	$	462	$	419,119	$	8,360	$	427,941	$	(348,952)	$	78,989
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,847	$	46	$	36,893	$	—	$	36,893
Residential	—		276		44		320		—		320
Commercial	—		18		—		18		—		18
Total investment mortgage-backed securities	$	—	$	37,141	$	90	$	37,231	$	—	$	37,231
U.S. Treasury and federal agency securities	$	90,466	$	58	$	1	$	90,525	$	—	$	90,525
State and municipal	—		1,799		705		2,504		—		2,504
Foreign government	60,498		61,932		1,029		123,459		—		123,459
Corporate	2,646		3,186		237		6,069		—		6,069
Marketable equity securities	285		182		16		483		—		483
Asset-backed securities	—		294		2		296		—		296
Other debt securities	—		4,690		—		4,690		—		4,690
Non-marketable equity securities(3)	—		18		298		316		—		316
Total investments	$	153,895	$	109,300	$	2,378	$	265,573	$	—	$	265,573

Table continues on the next page.


In millions of dollars at March 31, 2022	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	5,110		$	622		$	5,732	$	—	$	5,732
Mortgage servicing rights	—			—			520			520		—		520



Non-trading derivatives and other financial assets measured on a recurring basis	$	5,021		$	6,700		$	68		$	11,789	$	—	$	11,789
Total assets	$	320,984		$	1,002,021		$	15,090		$	1,338,095	$	(462,135)	$	875,960
Total as a percentage of gross assets(4)	24.0%			74.9%			1.1%
Liabilities
Interest-bearing deposits	$	—		$	1,647		$	191		$	1,838	$	—	$	1,838
Securities loaned and sold under agreements to repurchase	—			167,741			612			168,353		(102,810)		65,543
Trading account liabilities
Securities sold, not yet purchased	101,842			19,075			38			120,955		—		120,955
Other trading liabilities	—			2			—			2		—		2
Total trading liabilities	$	101,842		$	19,077		$	38		$	120,957	$	—	$	120,957
Trading derivatives
Interest rate contracts	$	288		$	152,640		$	2,226		$	155,154
Foreign exchange contracts	—			147,960			1,016			148,976
Equity contracts	25			48,499			3,302			51,826
Commodity contracts	2			43,851			1,446			45,299
Credit derivatives	—			10,073			1,073			11,146
Total trading derivatives—before netting and collateral	$	315		$	403,023		$	9,063		$	412,401
Netting agreements												$	(319,683)
Netting of cash collateral paid												(25,616)
Total trading derivatives—after netting and collateral	$	315		$	403,023		$	9,063		$	412,401	$	(345,299)	$	67,102
Short-term borrowings	$	—		$	7,331		$	36		$	7,367	$	—	$	7,367
Long-term debt	—			55,845			27,432			83,277		—		83,277




Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,668		$	—		$	—		$	3,668			$	3,668
Total liabilities	$	105,825		$	654,664		$	37,372		$	797,861	$	(448,109)	$	349,752
Total as a percentage of gross liabilities(4)	13.3		%	82.1		%	4.7		%

(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. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

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

(4)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.

Fair Value Levels


In millions of dollars at December 31, 2021	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	342,030	$	231	$	342,261	$	(125,795)	$	216,466
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		34,534		496		35,030		—		35,030
Residential	1		643		104		748		—		748
Commercial	—		778		81		859		—		859
Total trading mortgage-backed securities	$	1	$	35,955	$	681	$	36,637	$	—	$	36,637
U.S. Treasury and federal agency securities	$	44,900	$	3,230	$	4	$	48,134	$	—	$	48,134
State and municipal	—		1,995		37		2,032		—		2,032
Foreign government	39,176		31,485		23		70,684		—		70,684
Corporate	1,544		16,156		412		18,112		—		18,112
Equity securities	53,833		10,047		174		64,054		—		64,054
Asset-backed securities	—		981		613		1,594		—		1,594
Other trading assets(2)	—		20,346		576		20,922		—		20,922
Total trading non-derivative assets	$	139,454	$	120,195	$	2,520	$	262,169	$	—	$	262,169
Trading derivatives
Interest rate contracts	$	90	$	161,500	$	3,898	$	165,488
Foreign exchange contracts	—		134,912		637		135,549
Equity contracts	41		43,904		1,307		45,252
Commodity contracts	—		28,547		1,797		30,344
Credit derivatives	—		9,299		919		10,218
Total trading derivatives—before netting and collateral	$	131	$	378,162	$	8,558	$	386,851
Netting agreements									$	(292,628)
Netting of cash collateral received									(24,447)
Total trading derivatives—after netting and collateral	$	131	$	378,162	$	8,558	$	386,851	$	(317,075)	$	69,776
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	33,165	$	51	$	33,216	$	—	$	33,216
Residential	—		286		94		380		—		380
Commercial	—		25		—		25		—		25
Total investment mortgage-backed securities	$	—	$	33,476	$	145	$	33,621	$	—	$	33,621
U.S. Treasury and federal agency securities	$	122,271	$	168	$	1	$	122,440	$	—	$	122,440
State and municipal	—		1,849		772		2,621		—		2,621
Foreign government	56,842		61,112		786		118,740		—		118,740
Corporate	2,861		2,871		188		5,920		—		5,920
Marketable equity securities	350		177		16		543		—		543
Asset-backed securities	—		300		3		303		—		303
Other debt securities	—		4,877		—		4,877		—		4,877
Non-marketable equity securities(3)	—		28		316		344		—		344
Total investments	$	182,324	$	104,858	$	2,227	$	289,409	$	—	$	289,409

Table continues on the next page.


In millions of dollars at December 31, 2021	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	5,371		$	711		$	6,082	$	—	$	6,082
Mortgage servicing rights	—			—			404			404		—		404



Non-trading derivatives and other financial assets measured on a recurring basis	$	4,075		$	8,194		$	73		$	12,342	$	—	$	12,342
Total assets	$	325,984		$	958,810		$	14,724		$	1,299,518	$	(442,870)	$	856,648
Total as a percentage of gross assets(4)	25.1%			73.8%			1.1%
Liabilities
Interest-bearing deposits	$	—		$	1,483		$	183		$	1,666	$	—	$	1,666
Securities loaned and sold under agreements to repurchase	—			174,318			643			174,961		(118,267)		56,694
Trading account liabilities
Securities sold, not yet purchased	82,675			23,268			65			106,008		—		106,008
Other trading liabilities	—			5			—			5		—		5
Total trading liabilities	$	82,675		$	23,273		$	65		$	106,013	$	—	$	106,013
Trading derivatives
Interest rate contracts	$	56		$	147,846		$	2,172		$	150,074
Foreign exchange contracts	—			134,572			726			135,298
Equity contracts	60			46,177			3,447			49,684
Commodity contracts	—			30,004			1,375			31,379
Credit derivatives	—			10,065			950			11,015
Total trading derivatives—before netting and collateral	$	116		$	368,664		$	8,670		$	377,450
Netting agreements												$	(292,628)
Netting of cash collateral paid												(29,306)
Total trading derivatives—after netting and collateral	$	116		$	368,664		$	8,670		$	377,450	$	(321,934)	$	55,516
Short-term borrowings	$	—		$	7,253		$	105		$	7,358	$	—	$	7,358
Long-term debt	—			57,100			25,509			82,609		—		82,609



Non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,574		$	—		$	1		$	3,575	$	—	$	3,575
Total liabilities	$	86,365		$	632,091		$	35,176		$	753,632	$	(440,201)	$	313,431
Total as a percentage of gross liabilities(4)	11.5		%	83.9		%	4.7		%

(3)Amounts exclude $0.1 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).

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three months ended March 31, 2022 and 2021. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example,

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

Level 3 Fair Value Rollforward


			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2022
Assets
Securities borrowed and purchased under agreements to resell	$	231	$	11	$	—	$	—	$	—	$	88	$	—	$	—	$	(128)	$	202	$	4
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	496		2		—		47		(69)		166		—		(144)		—		498		1
Residential	104		—		—		33		(21)		38		—		(36)		—		118		(2)
Commercial	81		(2)		—		1		(26)		5		—		(7)		—		52		(3)
Total trading mortgage-backed securities	$	681	$	—	$	—	$	81	$	(116)	$	209	$	—	$	(187)	$	—	$	668	$	(4)
U.S. Treasury and federal agency securities	$	4	$	(4)	$	—	$	2	$	—	$	—	$	—	$	—	$	—	$	2	$	—
State and municipal	37		1		—		—		(20)		1		—		(13)		—		6		—
Foreign government	23		1		—		50		—		30		—		(10)		—		94		(12)
Corporate	412		9		—		142		(34)		647		—		(163)		—		1,013		(46)
Marketable equity securities	174		(5)		—		49		(26)		50		—		(43)		—		199		9
Asset-backed securities	613		5		—		58		(67)		131		—		(274)		—		466		(20)
Other trading assets	576		47		—		28		(62)		249		10		(352)		(4)		492		(97)
Total trading non-derivative assets	$	2,520	$	54	$	—	$	410	$	(325)	$	1,317	$	10	$	(1,042)	$	(4)	$	2,940	$	(170)
Trading derivatives, net(4)
Interest rate contracts	$	1,726	$	166	$	—	$	(68)	$	(531)	$	2	$	—	$	—	$	(516)	$	779	$	366
Foreign exchange contracts	(89)		395		—		(509)		44		102		—		(64)		(10)		(131)		87
Equity contracts	(2,140)		808		—		(13)		(25)		185		—		(225)		(154)		(1,564)		983
Commodity contracts	422		414		—		29		(493)		53		—		(44)		(164)		217		542
Credit derivatives	(31)		(63)		—		32		13		—		—		(1)		46		(4)		(67)
Total trading derivatives, net(4)	$	(112)	$	1,720	$	—	$	(529)	$	(992)	$	342	$	—	$	(334)	$	(798)	$	(703)	$	1,911

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, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	51	$	—	$	(7)	$	1	$	—	$	4	$	—	$	(3)	$	—	$	46	$	(10)
Residential	94		—		(2)		—		(39)		—		—		(9)		—		44		(2)

Total investment mortgage-backed securities	$	145	$	—	$	(9)	$	1	$	(39)	$	4	$	—	$	(12)	$	—	$	90	$	(12)
U.S. Treasury and federal agency securities	$	1	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	1	$	—
State and municipal	772		—		(44)		—		(11)		—		—		(12)		—		705		(43)
Foreign government	786		—		(24)		250		(59)		183		—		(107)		—		1,029		(25)
Corporate	188		—		(4)		53		—		—		—		—		—		237		—
Marketable equity securities	16		—		—		—		—		—		—		—		—		16		—
Asset-backed securities	3		—		12		—		—		—		—		(13)		—		2		(2)
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	316		—		(14)		11		—		—		—		(15)		—		298		(14)
Total investments	$	2,227	$	—	$	(83)	$	315	$	(109)	$	187	$	—	$	(159)	$	—	$	2,378	$	(96)
Loans	$	711	$	—	$	(85)	$	—	$	(2)	$	—	$	—	$	—	$	(2)	$	622	$	7
Mortgage servicing rights	404		—		99		—		—		—		34		—		(17)		520		98
Other financial assets measured on a recurring basis	73		—		2		—		(4)		1		25		(1)		(28)		68		10
Liabilities
Interest-bearing deposits	$	183	$	—	$	(4)	$	7	$	—	$	—	$	1	$	—	$	(4)	$	191	$	11
Securities loaned and sold under agreements to repurchase	643		26		—		—		—		—		—		—		(5)		612		23
Trading account liabilities
Securities sold, not yet purchased	65		29		—		25		(15)		53		—		—		(61)		38		(26)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	105		88		—		28		(9)		—		7		—		(7)		36		9
Long-term debt	25,509		3,526		—		3,408		(873)		—		3,172		—		(258)		27,432		3,436
Other financial liabilities measured on a recurring basis	1		—		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 March 31, 2022.

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

Total investment mortgage-backed securities	$	30	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30	$	—
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	834		—		(18)		4		—		1		—		(27)		—		794		(16)
Foreign government	268		—		(2)		—		—		330		—		(73)		—		523		(11)
Corporate	60		—		(4)		—		—		—		—		—		—		56		—

Asset-backed securities	1		—		—		3		—		—		—		—		—		4		—

Non-marketable equity securities	349		—		10		1		—		—		—		(8)		—		352		4
Total investments	$	1,542	$	—	$	(14)	$	8	$	—	$	331	$	—	$	(108)	$	—	$	1,759	$	(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 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2021
Loans	$	1,985	$	—	$	(128)	$	211	$	—	$	—	$	1	$	—	$	(125)	$	1,944	$	(125)
Mortgage servicing rights	336		—		73		—		—		—		43		—		(19)		433		80
Other financial assets measured on a recurring basis	—		—		—		—		—		—		—		—		—		—		—
Liabilities
Interest-bearing deposits	$	206	$	—	$	16	$	—	$	—	$	—	$	9	$	—	$	—	$	199	$	7
Securities loaned and sold under agreements to repurchase	631		(15)		—		—		—		408		—		—		(77)		977		(15)
Trading account liabilities
Securities sold, not yet purchased	214		54		—		8		(4)		10		—		—		(7)		167		39
Other trading liabilities	26		20		—		—		—		—		—		—		—		6		21
Short-term borrowings	219		(1)		—		2		(12)		—		8		—		(169)		49		(1)
Long-term debt	25,210		2,622		—		932		(2)		—		5,720		—		(2,901)		26,337		1,962
Other financial liabilities measured on a recurring basis	1		—		(3)		—		—		—		14		—		(10)		8		(3)

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to 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.

(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, 2021 to March 31, 2022:

•During the three months ended March 31, 2022, transfers of Long-term debt were $3.4 billion from Level 2 to Level 3. Of the $3.4 billion transfer in the three months ended March 31, 2022, approximately $2.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.5 billion related to equity and credit derivative 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 $0.9 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three months ended March 31, 2022.

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

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

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

Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.


As of March 31, 2022	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	$	202	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.93		%	1.61		%	1.29		%
Mortgage-backed securities	$	406	Yield analysis	Yield	2.89		%	23.51		%	8.74		%
	331		Price-based	Price	$	1.44		$	107.50		$	62.19
State and municipal, foreign government, corporate and other debt securities	$	2,755	Price-based	Price	$	—		$	972.91		$	181.94
	388		Model-based
Marketable equity securities(5)	$	152	Price-based	Price	$	—		$	11,150.34		$	78.60
	36		Model-based	WAL	1.49 years			1.49 years			1.49 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148

Asset-backed securities	$	337	Price-based	Price	$	22.50		$	100.00		$	83.09
	123		Yield analysis	Yield	3.99		%	14.71		%	7.67		%
Non-marketable equities	$	161	Comparables analysis	Illiquidity discount	10.00		%	33.10		%	27.05		%
	93		Price-based	PE ratio	10.00x			18.90x			13.12x
	42		Model-based	Adjustment factor	0.33x			0.50x			0.35x
				Price	$	187.74		$	2,532.62		$	2,013.54
				Cost of capital	17.50		%	20.00		%	17.60		%
				Revenue multiple	18.50x			30.00x			19.56x
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,143	Model-based	IR Normal volatility	0.29		%	1.42		%	0.87		%
Foreign exchange contracts (gross)	$	1,818	Model-based	Yield	(0.06)		%	1.49		%	0.26		%
				IR Normal volatility	0.27		%	1.39		%	0.47		%
				Credit spread	137 bps			535 bps			508 bps



Equity contracts (gross)(7)	$	4,987	Model-based	Equity volatility	0.07		%	312.13		%	30.49		%
				Equity forward	60.82		%	203.15		%	90.56		%
				Equity-Equity correlation	(6.49)		%	99.80		%	85.81		%
				Equity-FX correlation	(95.00)		%	80.00		%	(17.60)		%


Commodity and other contracts (gross)	$	3,109	Model-based	Commodity correlation	(51.32)		%	91.86		%	33.31		%
				Commodity volatility	15.33		%	177.76		%	29.32		%
				Forward price	23.78		%	666.67		%	116.53		%
Credit derivatives (gross)	$	1,718	Model-based	Credit spread	6 bps			875 bps			83 bps
	457		Price-based	Recovery rate	25.00		%	40.00		%	37.82		%
				Upfront points	(2.78)		%	99.00		%	53.64		%
				Credit correlation	25.00		%	75.00		%	43.71		%
				Price	$	25.50		$	102.00		$	73.71

Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	63	Price-based	Price	$	87.71		$	114.38		$	101.03
Loans and leases	$	604	Model-based	Equity volatility	24.51		%	89.69		%	60.07		%



				Commodity volatility	15.33		%	177.76		%	29.32		%


As of March 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				Commodity correlation	(51.32)		%	91.86		%	33.31		%
				Forward price	23.78		%	403.25		%	108.34		%
Mortgage servicing rights	$	448	Cash flow	Yield	0.10		%	13.10		%	5.25		%
	72		Model-based	WAL	3.7 years			8.24 years			6.67 years
Liabilities
Interest-bearing deposits	$	191	Model-based	IR Normal volatility	0.40		%	1.39		%	0.62		%
				Forward price	100.00		%	100.00		%	100.00		%
				Equity forward	60.82		%	203.15		%	90.48		%
				Equity volatility	0.07		%	312.13		%	21.65		%
Securities loaned and sold under agreements to repurchase	$	612	Model-based	Interest rate	0.58		%	2.80		%	2.49		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	53	Price-based	Price	$	—		$	12,100.00		$	1,956.88



Short-term borrowings and long-term debt	$	27,176	Model-based	IR Normal volatility	0.27		%	13.00		%	0.69		%
				Equity volatility	0.07		%	312.13		%	21.98		%
				Equity forward	60.82		%	203.15		%	90.48		%
				Equity-IR correlation	(10.00)		%	60.00		%	35.22		%


As of December 31, 2021	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Assets
Securities borrowed and purchased under agreements to resell	$	231	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.26		%	0.72		%	0.50		%
Mortgage-backed securities	$	279	Price-based	Price	$	4		$	118		$	79
	526		Yield analysis	Yield	1.43		%	23.79		%	7.25		%
State and municipal, foreign government, corporate and other debt securities	$	2,264	Price-based	Price	$	—		$	995		$	193
	415		Model-based	Equity volatility	0.08		%	290.64		%	53.94		%
Marketable equity securities(5)	$	128	Price-based	Price	$	—		$	73,000		$	6,477
	43		Model-based	WAL	1.73 years			1.73 years			1.73 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148
Asset-backed securities	$	386	Price-based	Price	$	5		$	754		$	87
	208		Yield analysis	Yield	2.43		%	19.35		%	8.18		%
Non-marketable equities	$	121	Price-based	Illiquidity discount	10.00		%	36.00		%	26.43		%
	112		Comparables analysis	PE ratio	11.00x			29.00x			15.42x
	83		Model-based	Price	$	3		$	2,601		$	2,029
				Adjustment factor	0.33x			0.44x			0.34x
				Revenue multiple	19.80x			30.00x			20.48x
				Cost of capital	17.50		%	20.00		%	17.57		%
Derivatives—gross(6)
Interest rate contracts (gross)	$	6,054	Model-based	IR normal volatility	0.24		%	0.94		%	0.70		%
Foreign exchange contracts (gross)	$	1,364	Model-based	IR Normal volatility	0.24		%	0.74		%	0.58		%
				FX volatility	2.13		%	107.42		%	11.21		%
				Credit spread	140 bps			696 bps			639 bps
Equity contracts (gross)(7)	$	4,690	Model-based	Equity volatility	0.08		%	290.64		%	47.67		%
				Equity forward	57.99		%	165.83		%	89.45		%


				Equity-FX correlation	(95.00)		%	80.00		%	(16.00)		%
				Equity-Equity correlation	(6.49)		%	99.00		%	85.61		%
Commodity and other contracts (gross)	$	3,172	Model-based	Forward price	8.00		%	599.44		%	123.22		%
				Commodity volatility	10.87		%	188.30		%	26.85		%
				Commodity correlation	(50.52)		%	89.83		%	(7.11)		%
Credit derivatives (gross)	$	1,480	Model-based	Credit spread	1.00 bps			874.72 bps			68.83 bps
	427		Price-based	Recovery rate	20.00		%	75.00		%	44.72		%
				Upfront points	2.74		%	99.96		%	59.37		%
				Price	$	40		$	103		$	80
				Credit correlation	30.00		%	80.00		%	54.57		%




Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	69	Price-based	Price	$	94		$	2,598		$	591
Loans and leases	$	691	Model-based	Equity volatility	22.48		%	85.44		%	50.56		%
				Forward price	26.95		%	333.08		%	106.97		%
				Commodity volatility	10.87		%	188.30		%	26.85		%
				Commodity correlation	(50.52)		%	89.83		%	(7.11)		%
Mortgage servicing rights	$	331	Cash flow	Yield	(1.20)		%	12.10		%	4.51		%
	73		Model-based	WAL	2.75 years			5.86 years			5.14 years
Liabilities
Interest-bearing deposits	$	183	Model-based	IR Normal volatility	0.34		%	0.88		%	0.68		%
				Equity volatility	0.08		%	290.64		%	54.05		%
				Equity forward	57.99		%	165.83		%	89.39		%
Securities loaned and sold under agreements to repurchase	$	643	Model-based	Interest rate	0.12		%	1.95		%	1.47		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	63	Price-based	Price	$	—		$	12,875		$	1,707
Short-term borrowings and long-term debt	$	25,514	Model-based	IR Normal volatility	0.07		%	0.88		%	0.60		%
				Equity volatility	0.08		%	290.64		%	53.21		%
				Equity-IR correlation	(3.53)		%	60.00		%	32.12		%
				Equity-FX correlation	(95.00)		%	80.00		%	(15.98)		%
				FX volatility	0.06		%	41.76		%	9.38		%

(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
March 31, 2022
Loans HFS(1)	$	2,517	$	1,257	$	1,260
Other real estate owned	7		—		7
Loans(2)	147		—		147

Non-marketable equity securities measured using the measurement alternative	149		—		149
Total assets at fair value on a nonrecurring basis	$	2,820	$	1,257	$	1,563


In millions of dollars	Fair value		Level 2		Level 3
December 31, 2021
Loans HFS(1)	$	2,298	$	986	$	1,312
Other real estate owned	11		—		11
Loans(2)	144		—		144
Non-marketable equity securities measured using the measurement alternative	655		104		551
Total assets at fair value on a nonrecurring basis	$	3,108	$	1,090	$	2,018

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

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

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

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


As of March 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans held-for-sale	$	1,224	Price-based	Price	$	—	$	100.00	$	85.72
Other real estate owned	$	6	Recovery analysis	Appraised value(4)	$	10,000	$	2,892,872	$	2,100,488
Loans (5)	$	147	Recovery analysis	Appraised value(4)	$	10,000	$	3,900,000	$	243,383
Non-marketable equity securities measured using the measurement alternative	$	149	Price-based	Price	$	0.46	$	29.49	$	8.19


As of December 31, 2021	Fair value(1) (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans HFS	$	1,312	Price-based	Price	$	89		$	100		$	99
Other real estate owned	$	4	Price-based	Appraised value(4)	$	14,000		$	2,392,464		$	1,660,120
	5		Recovery analysis
Loans(5)	$	120	Recovery analysis	Appraised value(4)	$	10,000		$	3,900,000		$	247,018
	24		Price-based	Price	$	3		$	75		$	35
				Recovery rate	84.00		%	100.00		%	84.00		%
Non-marketable equity securities measured using the measurement alternative	$	551	Price-based	Price	$	6		$	1,339		$	52

(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 March 31,
In millions of dollars	2022		2021
Loans HFS	$	(152)	$	(4)
Other real estate owned	—		—
Loans(1)	4		1
Non-marketable equity securities measured using the measurement alternative	85		81

Total nonrecurring fair value gains (losses)	$	(63)	$	78

(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.


	March 31, 2022				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	247.2	$	235.5	$	124.0	$	108.5	$	3.0
Securities borrowed and purchased under agreements to resell	111.1		111.1		—		108.2		2.9
Loans(1)(2)	638.4		648.1		—		—		648.1
Other financial assets(2)(3)	393.8		393.8		251.5		20.6		121.7
Liabilities
Deposits	$	1,331.9	$	1,331.6	$	—	$	1,189.5	$	142.1
Securities loaned and sold under agreements to repurchase	139.0		139.0		—		139.0		—
Long-term debt(4)	170.7		175.6		—		170.3		5.3
Other financial liabilities(5)	144.9		144.9		—		20.4		124.5


	December 31, 2021				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	221.9	$	221.0	$	111.8	$	106.4	$	2.8
Securities borrowed and purchased under agreements to resell	110.8		110.8		—		106.4		4.4
Loans(1)(2)	644.8		659.6		—		—		659.6
Other financial assets(2)(3)	351.9		351.9		242.1		19.9		89.9
Liabilities
Deposits	$	1,315.6	$	1,316.2	$	—	$	1,153.9	$	162.3
Securities loaned and sold under agreements to repurchase	134.6		134.6		—		134.5		0.1
Long-term debt(4)	171.8		184.6		—		171.9		12.7
Other financial liabilities(5)	111.1		111.1		—		17.0		94.1

(1)The carrying value of loans is net of the Allowance for credit losses on loans of $15.4 billion for March 31, 2022 and $16.5 billion for December 31, 2021. In addition, the carrying values exclude $0.4 billion and $0.5 billion of lease finance receivables at March 31, 2022 and December 31, 2021, respectively.

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

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

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

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

The estimated fair values of the Company’s corporate unfunded lending commitments at March 31, 2022 and December 31, 2021 were off-balance sheet liabilities of $9.8 billion and $8.1 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.

- Definition

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

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