FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2022		December 31, 2021
Counterparty CVA	$	(849)	$	(705)
Asset FVA	(625)		(433)
Citigroup (own credit) CVA	746		379
Liability FVA	199		110
Total CVA and FVA—derivative instruments	$	(529)	$	(649)

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 June 30,				Six Months Ended June 30,
In millions of dollars	2022		2021		2022		2021
Counterparty CVA	$	(94)	$	34	$	(201)	$	43
Asset FVA	(46)		25		(151)		94
Own credit CVA	182		(41)		298		(78)
Liability FVA	68		(13)		90		11
Total CVA and FVA—derivative instruments	$	110	$	5	$	36	$	70
DVA related to own FVO liabilities(1)	$	2,592	$	(110)	$	3,642	$	(148)
Total CVA, DVA and FVA	$	2,702	$	(105)	$	3,678	$	(78)

(1)    See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2021 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 June 30, 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 June 30, 2022	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	340,834	$	183	$	341,017	$	(98,257)	$	242,760
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		32,121		708		32,829		—		32,829
Residential	—		519		153		672		—		672
Commercial	—		860		138		998		—		998
Total trading mortgage-backed securities	$	—	$	33,500	$	999	$	34,499	$	—	$	34,499
U.S. Treasury and federal agency securities	$	56,991	$	3,917	$	1	$	60,909	$	—	$	60,909
State and municipal	—		1,681		80		1,761		—		1,761
Foreign government	43,585		26,703		364		70,652		—		70,652
Corporate	2,415		14,577		537		17,529		—		17,529
Equity securities	42,192		8,946		133		51,271		—		51,271
Asset-backed securities	—		1,404		554		1,958		—		1,958
Other trading assets(2)	18		19,577		816		20,411		—		20,411
Total trading non-derivative assets	$	145,201	$	110,305	$	3,484	$	258,990	$	—	$	258,990
Trading derivatives
Interest rate contracts	$	476	$	155,912	$	3,137	$	159,525
Foreign exchange contracts	—		185,093		1,017		186,110
Equity contracts	55		53,351		2,185		55,591
Commodity contracts	—		47,253		2,423		49,676
Credit derivatives	—		10,558		1,243		11,801
Total trading derivatives—before netting and collateral	$	531	$	452,167	$	10,005	$	462,703
Netting agreements									$	(348,255)
Netting of cash collateral received									(32,563)
Total trading derivatives—after netting and collateral	$	531	$	452,167	$	10,005	$	462,703	$	(380,818)	$	81,885
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	12,487	$	28	$	12,515	$	—	$	12,515
Residential	—		238		40		278		—		278
Commercial	—		7		—		7		—		7
Total investment mortgage-backed securities	$	—	$	12,732	$	68	$	12,800	$	—	$	12,800
U.S. Treasury and federal agency securities	$	91,530	$	334	$	—	$	91,864	$	—	$	91,864
State and municipal	—		1,953		539		2,492		—		2,492
Foreign government	51,472		67,213		1,001		119,686		—		119,686
Corporate	2,838		3,273		334		6,445		—		6,445
Marketable equity securities	406		172		10		588		—		588
Asset-backed securities	—		275		1		276		—		276
Other debt securities	—		4,936		—		4,936		—		4,936
Non-marketable equity securities(3)	—		7		310		317		—		317
Total investments	$	146,246	$	90,895	$	2,263	$	239,404	$	—	$	239,404

Table continues on the next page.

In millions of dollars at June 30, 2022	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	4,211		$	325		$	4,536	$	—	$	4,536
Mortgage servicing rights	—			—			600			600		—		600
Non-trading derivatives and other financial assets measured on a recurring basis	$	3,502		$	6,520		$	63		$	10,085	$	—	$	10,085
Total assets	$	295,480		$	1,004,932		$	16,923		$	1,317,335	$	(479,075)	$	838,260
Total as a percentage of gross assets(4)	22.4%			76.3%			1.3%
Liabilities
Interest-bearing deposits	$	—		$	2,290		$	18		$	2,308	$	—	$	2,308
Securities loaned and sold under agreements to repurchase	—			154,757			593			155,350		(90,776)		64,574
Trading account liabilities
Securities sold, not yet purchased	98,389			19,231			72			117,692		—		117,692
Other trading liabilities	—			4			—			4		—		4
Total trading liabilities	$	98,389		$	19,235		$	72		$	117,696	$	—	$	117,696
Trading derivatives
Interest rate contracts	$	347		$	147,534		$	2,256		$	150,137
Foreign exchange contracts	—			180,531			861			181,392
Equity contracts	108			56,115			2,286			58,509
Commodity contracts	—			42,461			2,168			44,629
Credit derivatives	—			8,703			1,592			10,295
Total trading derivatives—before netting and collateral	$	455		$	435,344		$	9,163		$	444,962
Netting agreements												$	(348,255)
Netting of cash collateral paid												(33,950)
Total trading derivatives—after netting and collateral	$	455		$	435,344		$	9,163		$	444,962	$	(382,205)	$	62,757
Short-term borrowings	$	—		$	6,771		$	81		$	6,852	$	—	$	6,852
Long-term debt	—			59,610			29,778			89,388		—		89,388
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,288		$	—		$	—		$	3,288	$	—	$	3,288
Total liabilities	$	102,132		$	678,007		$	39,705		$	819,844	$	(472,981)	$	346,863
Total as a percentage of gross liabilities(4)	12.5		%	82.7		%	4.8		%

(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.

(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

(3)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).

(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(3)									(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(4)	—		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(5)	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(3)												(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(5)	11.5		%	83.9		%	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)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(4)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).

(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.

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	Mar. 31, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell	$	202	$	(12)	$	—	$	—	$	—	$	36	$	—	$	—	$	(43)	$	183	$	(10)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	498		(15)		—		80		(89)		318		—		(84)		—		708		(19)
Residential	118		—		—		28		(11)		47		—		(29)		—		153		(4)
Commercial	52		(3)		—		96		(8)		4		—		(3)		—		138		(3)
Total trading mortgage-backed securities	$	668	$	(18)	$	—	$	204	$	(108)	$	369	$	—	$	(116)	$	—	$	999	$	(26)
U.S. Treasury and federal agency securities	$	2	$	—	$	—	$	—	$	(1)	$	—	$	—	$	—	$	—	$	1	$	—
State and municipal	6		4		—		71		—		—		—		(1)		—		80		(3)
Foreign government	94		(27)		—		249		(1)		57		—		(8)		—		364		(12)
Corporate	1,013		59		—		120		(244)		181		—		(592)		—		537		38
Marketable equity securities	199		(9)		—		14		(61)		58		—		(68)		—		133		(23)
Asset-backed securities	466		(24)		—		82		(100)		262		—		(132)		—		554		(26)
Other trading assets	492		79		—		305		(30)		117		6		(149)		(4)		816		54
Total trading non-derivative assets	$	2,940	$	64	$	—	$	1,045	$	(545)	$	1,044	$	6	$	(1,066)	$	(4)	$	3,484	$	2
Trading derivatives, net(4)
Interest rate contracts	$	779	$	434	$	—	$	141	$	(272)	$	7	$	6	$	(6)	$	(208)	$	881	$	473
Foreign exchange contracts	(131)		769		—		34		(50)		73		20		(547)		(12)		156		126
Equity contracts	(1,564)		1,189		—		(60)		232		220		—		(91)		(27)		(101)		1,182
Commodity contracts	217		208		—		(74)		84		67		—		(98)		(149)		255		246
Credit derivatives	(4)		6		—		(97)		(164)		—		—		—		(90)		(349)		(26)
Total trading derivatives, net(4)	$	(703)	$	2,606	$	—	$	(56)	$	(170)	$	367	$	26	$	(742)	$	(486)	$	842	$	2,001

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, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	46	$	—	$	(2)	$	—	$	(10)	$	—	$	—	$	(6)	$	—	$	28	$	(2)
Residential	44		—		(4)		—		—		—		—		—		—		40		(4)
Total investment mortgage-backed securities	$	90	$	—	$	(6)	$	—	$	(10)	$	—	$	—	$	(6)	$	—	$	68	$	(6)
U.S. Treasury and federal agency securities	$	1	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	705		—		(34)		—		(131)		1		—		(2)		—		539		(14)
Foreign government	1,029		—		(15)		—		(54)		202		—		(161)		—		1,001		(16)
Corporate	237		—		(3)		100		—		—		—		—		—		334		(1)
Marketable equity securities	16		—		(6)		—		—		—		—		—		—		10		(7)
Asset-backed securities	2		—		(1)		—		—		—		—		—		—		1		—
Non-marketable equity securities	298		—		2		—		—		20		—		(10)		—		310		(1)
Total investments	$	2,378	$	—	$	(64)	$	100	$	(195)	$	223	$	—	$	(179)	$	—	$	2,263	$	(45)
Loans	$	622	$	—	$	(105)	$	1	$	(193)	$	—	$	1	$	—	$	(1)	$	325	$	(7)
Mortgage servicing rights	520		—		59				—				35				(14)		600		59
Other financial assets measured on a recurring basis	68		—		4		7		(12)		13		15		—		(32)		63		7
Liabilities
Interest-bearing deposits	$	191	$	—	$	7	$	—	$	(122)	$	—	$	17	$	—	$	(61)	$	18	$	—
Securities loaned and sold under agreements to repurchase	612		24		—		—		(3)		16		—		—		(8)		593		10
Trading account liabilities
Securities sold, not yet purchased	38		(8)		—		10		(4)		30		—		1		(11)		72		(12)
Short-term borrowings	36		1		—		12		(12)		—		69		—		(23)		81		2
Long-term debt	27,432		4,719		—		3,335		(2,634)		—		6,527		—		(163)		29,778		4,232

(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, 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, 2021		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell	$	231	$	(1)	$	—	$	—	$	—	$	124	$	—	$	—	$	(171)	$	183	$	(7)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	496		(13)		—		127		(158)		484		—		(228)		—		708		(21)
Residential	104		—		—		61		(32)		85		—		(65)		—		153		(5)
Commercial	81		(5)		—		97		(34)		9		—		(10)		—		138		(2)
Total trading mortgage-backed securities	$	681	$	(18)	$	—	$	285	$	(224)	$	578	$	—	$	(303)	$	—	$	999	$	(28)
U.S. Treasury and federal agency securities	$	4	$	(4)	$	—	$	2	$	(1)	$	—	$	—	$	—	$	—	$	1	$	—
State and municipal	37		5		—		71		(20)		1		—		(14)		—		80		(5)
Foreign government	23		(26)		—		299		(1)		87		—		(18)		—		364		(18)
Corporate	412		68		—		262		(278)		828		—		(755)		—		537		18
Marketable equity securities	174		(14)		—		63		(87)		108		—		(111)		—		133		(40)
Asset-backed securities	613		(19)		—		140		(167)		393		—		(406)		—		554		(45)
Other trading assets	576		126		—		333		(92)		366		16		(501)		(8)		816		75
Total trading non-derivative assets	$	2,520	$	118	$	—	$	1,455	$	(870)	$	2,361	$	16	$	(2,108)	$	(8)	$	3,484	$	(43)
Trading derivatives, net(4)
Interest rate contracts	$	1,726	$	600	$	—	$	73	$	(803)	$	9	$	6	$	(6)	$	(724)	$	881	$	650
Foreign exchange contracts	(89)		1,164		—		(475)		(6)		175		20		(611)		(22)		156		235
Equity contracts	(2,140)		1,997		—		(73)		207		405		—		(316)		(181)		(101)		1,634
Commodity contracts	422		622		—		(45)		(409)		120		—		(142)		(313)		255		410
Credit derivatives	(31)		(57)		—		(65)		(151)		—		—		(1)		(44)		(349)		(95)
Total trading derivatives, net(4)	$	(112)	$	4,326	$	—	$	(585)	$	(1,162)	$	709	$	26	$	(1,076)	$	(1,284)	$	842	$	2,834

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		Jun. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	51	$	—	$	(9)	$	1	$	(10)	$	4	$	—	$	(9)	$	—	$	28	$	(4)
Residential	94		—		(6)		—		(39)		—		—		(9)		—		40		(5)
Total investment mortgage-backed securities	$	145	$	—	$	(15)	$	1	$	(49)	$	4	$	—	$	(18)	$	—	$	68	$	(9)
U.S. Treasury and federal agency securities	$	1	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	772		—		(78)		—		(142)		1		—		(14)		—		539		(47)
Foreign government	786		—		(39)		250		(113)		385		—		(268)		—		1,001		(19)
Corporate	188		—		(7)		153		—		—		—		—		—		334		(2)
Marketable equity securities	16		—		(6)		—		—		—		—		—		—		10		(7)
Asset-backed securities	3		—		11		—		—		—		—		(13)		—		1		—
Non-marketable equity securities	316		—		(12)		11		—		20		—		(25)		—		310		(1)
Total investments	$	2,227	$	—	$	(147)	$	415	$	(304)	$	410	$	—	$	(338)	$	—	$	2,263	$	(85)
Loans	$	711	$	—	$	(190)	$	1	$	(195)	$	—	$	1	$	—	$	(3)	$	325	$	166
Mortgage servicing rights	404		—		158		—		—		—		69		—		(31)		600		157
Other financial assets measured on a recurring basis	73		—		7		7		(16)		14		40		(1)		(61)		63		48
Liabilities
Interest-bearing deposits	$	183	$	—	$	3	$	7	$	(122)	$	—	$	18	$	—	$	(65)	$	18	$	—
Securities loaned and sold under agreements to repurchase	643		50		—		—		(3)		16		—		—		(13)		593		28
Trading account liabilities
Securities sold, not yet purchased	65		21		—		35		(19)		83		—		1		(72)		72		(2)
Short-term borrowings	105		89		—		40		(21)		—		76		—		(30)		81		1
Long-term debt	25,509		8,245		—		6,743		(3,507)		—		9,699		—		(421)		29,778		(4,197)
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 June 30, 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	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 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 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		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)

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		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.

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 June 30, 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	$	183	Model-based	Interest rate	1.50		%	2.80		%	2.20		%
Mortgage-backed securities	$	804	Yield analysis	Yield	3.50		%	22.00		%	8.80		%
	243		Price-based	Price	$	0.80		$	100.10		$	59.70
State and municipal, foreign government, corporate and other debt securities	$	2,483	Price-based	Price	$	—		$	934.30		$	186.50
	499		Model-based
Marketable equity securities(5)	$	136	Price-based	Price	$	—		$	8,922.80		$	52.70
Asset-backed securities	$	328	Price-based	Price	$	4.10		$	100.00		$	79.60
	192		Yield analysis	Yield	4.20		%	16.00		%	7.90		%
Non-marketable equities	$	148	Comparables analysis	Illiquidity discount	15.00		%	32.00		%	27.60		%
	150		Price-based	PE ratio	15.20x			18.00x			15.90x
				Revenue multiple	12.80x			30.00x			14.00x
				EBITDA multiples	17.40x			17.40x			17.40x
				Cost of capital	17.50		%	20.00		%	17.60		%
				Adjustment factor	0.30x			0.50x			0.30x
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,279	Model-based	IR Normal volatility	0.30		%	1.70		%	0.90		%
				Yield	(0.20)		%	1.60		%	0.50		%
Foreign exchange contracts (gross)	$	1,754	Model-based	IR Basis	(1.20)		%	5.20		%	0.20		%
				IR Normal volatility	0.40		%	1.60		%	0.60		%
Equity contracts (gross)(7)	$	4,366	Model-based	Equity volatility	0.10		%	313.90		%	46.70		%
				Equity forward	49.00		%	247.10		%	97.00		%
				Equity-Equity correlation	(6.49)		%	99.70		%	86.80		%
				Equity-FX correlation	(95.00)		%	80.00		%	(17.20)		%
Commodity and other contracts (gross)	$	4,043	Model-based	Commodity correlation	(53.00)		%	93.50		%	19.10		%
				Commodity volatility	13.00		%	107.30		%	26.30		%
				Forward price	12.45		%	381.82		%	86.52		%
Credit derivatives (gross)	$	2,396	Model-based	Credit spread	16 bps			601 bps			123 bps
	434		Price-based	Recovery rate	5.00		%	75.00		%	37.00		%
				Upfront points	—		%	99.00		%	43.90		%
				Credit correlation	15.00		%	85.00		%	43.60		%
				Credit spread volatility	23.40		%	79.20		%	47.00		%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	57	Price-based	Price	$	84.35		$	785.00		$	181.80
Loans and leases	$	309	Model-based	Equity volatility	60.88		%	99.02		%	94.64		%
				Forward price	12.45		%	369.11		%	83.72		%
				Commodity volatility	13.04		%	107.31		%	26.33		%
				Commodity correlation	(53.02)		%	93.52		%	19.08		%

As of June 30, 2022	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Mortgage servicing rights	$	529	Cash flow	Yield	—		%	12.90		%	5.30		%
	71		Model-based	WAL	4 years			9.7 years			7.70 years
Liabilities
Interest-bearing deposits	$	18	Model-based	IR Normal volatility	0.30		%	0.90		%	0.50		%
				Forward price	100.00		%	100.00		%	100.00		%
Securities loaned and sold under agreements to repurchase	$	593	Model-based	Interest rate	1.80		%	3.70		%	3.10		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	46	Price-based	Price	$	—		$	12,100		$	2,133
	24		Yield analysis	Yield	3.40		%	4.60		%	4.00		%
				Upfront points	4.00		%	4.00		%	4.00		%
Short-term borrowings and long-term debt	$	28,623	Model-based	IR Normal volatility	0.30		%	1.70		%	0.80		%
				Equity volatility	0.10		%	313.90		%	52.60		%
				Equity forward	49.00		%	247.10		%	96.90		%

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 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
June 30, 2022
Loans HFS(1)	$	2,431	$	1,199	$	1,232
Other real estate owned	3		—		3
Loans(2)	133		—		133
Non-marketable equity securities measured using the measurement alternative	153		—		153
Total assets at fair value on a nonrecurring basis	$	2,720	$	1,199	$	1,521

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 June 30, 2022	Fair value(1)  (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans held-for-sale	$	1,232	Price-based	Price	$	84.00	$	100.00	$	95.40
Other real estate owned	$	1	Price-based	Appraised value(4)	$	38,899	$	991,478	$	775,330
	1		Recovery analysis
Loans(5)	$	133	Recovery analysis	Appraised value(4)	$	10,000	$	3,900,000	$	243,283
Non-marketable equity securities measured using the measurement alternative	$	135	Price-based	Price	$	3.35	$	2,416.43	$	1,359.84
	18		Comparable analysis	Revenue multiple	11.30x		11.30x		11.30x

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.

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 June 30,				Six Months Ended June 30,
In millions of dollars	2022		2021		2022		2021
Loans HFS	$	(86)	$	(15)	$	(223)	$	(17)
Other real estate owned	—		—		—		—
Loans(1)	4		49		9		60
Non-marketable equity securities measured using the measurement alternative	43		211		128		291
Total nonrecurring fair value gains (losses)	$	(39)	$	245	$	(86)	$	334

(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.

	June 30, 2022				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	272.7	$	255.0	$	126.7	$	124.9	$	3.4
Securities borrowed and purchased under agreements to resell	118.6		118.6		—		118.6		—
Loans(1)(2)	636.7		641.0		—		—		641.0
Other financial assets(2)(3)	398.8		398.8		266.6		17.5		114.7
Liabilities
Deposits	$	1,319.5	$	1,318.2	$	—	$	1,175.0	$	143.2
Securities loaned and sold under agreements to repurchase	133.9		133.9		—		133.9		—
Long-term debt(4)	168.0		165.5		—		161.4		4.1
Other financial liabilities(5)	159.0		159.0		—		22.4		136.6

	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 $16.0 billion for June 30, 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 June 30, 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.