FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 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 September 30, 2022 and December 31, 2021:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2022		December 31, 2021
Counterparty CVA	$	(1,020)	$	(705)
Asset FVA	(718)		(433)
Citigroup (own credit) CVA	775		379
Liability FVA	257		110
Total CVA and FVA—derivative instruments	$	(706)	$	(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 September 30,				Nine Months Ended September 30,
In millions of dollars	2022		2021		2022		2021
Counterparty CVA	$	(10)	$	25	$	(211)	$	68
Asset FVA	(96)		(23)		(247)		71
Own credit CVA	29		34		327		(44)
Liability FVA	58		(63)		148		(52)
Total CVA and FVA—derivative instruments	$	(19)	$	(27)	$	17	$	43
DVA related to own FVO liabilities(1)	$	1,159	$	(107)	$	4,800	$	(256)
Total CVA, DVA and FVA	$	1,140	$	(134)	$	4,817	$	(213)

(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 September 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 September 30, 2022	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	326,645	$	141	$	326,786	$	(97,767)	$	229,019
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		30,517		672		31,189		—		31,189
Residential	1		853		142		996		—		996
Commercial	—		817		116		933		—		933
Total trading mortgage-backed securities	$	1	$	32,187	$	930	$	33,118	$	—	$	33,118
U.S. Treasury and federal agency securities	$	77,742	$	2,740	$	—	$	80,482	$	—	$	80,482
State and municipal	—		2,068		22		2,090		—		2,090
Foreign government	41,515		27,530		380		69,425		—		69,425
Corporate	1,530		14,164		460		16,154		—		16,154
Equity securities	33,153		7,740		187		41,080		—		41,080
Asset-backed securities	—		1,557		612		2,169		—		2,169
Other trading assets(2)	1		15,378		679		16,058		—		16,058
Total trading non-derivative assets	$	153,942	$	103,364	$	3,270	$	260,576	$	—	$	260,576
Trading derivatives
Interest rate contracts	$	730	$	186,092	$	3,761	$	190,583
Foreign exchange contracts	—		252,468		858		253,326
Equity contracts	57		58,446		2,353		60,856
Commodity contracts	—		47,989		1,406		49,395
Credit derivatives	—		8,802		1,423		10,225
Total trading derivatives—before netting and collateral	$	787	$	553,797	$	9,801	$	564,385
Netting agreements									$	(431,992)
Netting of cash collateral received									(34,709)
Total trading derivatives—after netting and collateral	$	787	$	553,797	$	9,801	$	564,385	$	(466,701)	$	97,684
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	11,305	$	26	$	11,331	$	—	$	11,331
Residential	—		437		39		476		—		476
Commercial	—		4		—		4		—		4
Total investment mortgage-backed securities	$	—	$	11,746	$	65	$	11,811	$	—	$	11,811
U.S. Treasury and federal agency securities	$	89,618	$	45	$	—	$	89,663	$	—	$	89,663
State and municipal	—		1,578		575		2,153		—		2,153
Foreign government	51,713		66,398		860		118,971		—		118,971
Corporate	2,437		2,739		337		5,513		—		5,513
Marketable equity securities	233		188		10		431		—		431
Asset-backed securities	—		274		2		276		—		276
Other debt securities	—		3,756		—		3,756		—		3,756
Non-marketable equity securities(3)	—		9		384		393		—		393
Total investments	$	144,001	$	86,733	$	2,233	$	232,967	$	—	$	232,967

Table continues on the next page.

In millions of dollars at September 30, 2022	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	3,244		$	635		$	3,879	$	—	$	3,879
Mortgage servicing rights	—			—			647			647		—		647
Non-trading derivatives and other financial assets measured on a recurring basis	$	3,318		$	6,579		$	50		$	9,947	$	—	$	9,947
Total assets	$	302,048		$	1,080,362		$	16,777		$	1,399,187	$	(564,468)	$	834,719
Total as a percentage of gross assets(4)	21.6%			77.2%			1.2%
Liabilities
Interest-bearing deposits	$	—		$	2,424		$	16		$	2,440	$	—	$	2,440
Securities loaned and sold under agreements to repurchase	—			155,912			997			156,909		(83,802)		73,107
Trading account liabilities
Securities sold, not yet purchased	108,425			15,350			103			123,878		—		123,878
Other trading liabilities	—			2			2			4		—		4
Total trading liabilities	$	108,425		$	15,352		$	105		$	123,882	$	—	$	123,882
Trading derivatives
Interest rate contracts	$	358		$	179,520		$	3,787		$	183,665
Foreign exchange contracts	—			248,737			581			249,318
Equity contracts	84			61,530			2,292			63,906
Commodity contracts	—			41,377			1,153			42,530
Credit derivatives	—			7,806			1,536			9,342
Total trading derivatives—before netting and collateral	$	442		$	538,970		$	9,349		$	548,761
Netting agreements												$	(431,992)
Netting of cash collateral paid												(44,172)
Total trading derivatives—after netting and collateral	$	442		$	538,970		$	9,349		$	548,761	$	(476,164)	$	72,597
Short-term borrowings	$	—		$	6,534		$	35		$	6,569	$	—	$	6,569
Long-term debt	—			60,115			31,710			91,825		—		91,825
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,064		$	136		$	13		$	3,213	$	—	$	3,213
Total liabilities	$	111,931		$	779,443		$	42,225		$	933,599	$	(559,966)	$	373,633
Total as a percentage of gross liabilities(4)	12.0		%	83.5		%	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. 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
Total 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	Jun. 30, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell	$	183	$	(1)	$	—	$	—	$	—	$	128	$	—	$	—	$	(169)	$	141	$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	708		(28)		—		54		(153)		310		—		(219)		—		672		(33)
Residential	153		(2)		—		25		(22)		33		—		(45)		—		142		(2)
Commercial	138		(4)		—		20		(17)		5		—		(26)		—		116		1
Total trading mortgage-backed securities	$	999	$	(34)	$	—	$	99	$	(192)	$	348	$	—	$	(290)	$	—	$	930	$	(34)
U.S. Treasury and federal agency securities	$	1	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(1)	$	—	$	—
State and municipal	80		4		—		4		(6)		14		—		(74)		—		22		—
Foreign government	364		(14)		—		5		(4)		70		—		(41)		—		380		(9)
Corporate	537		21		—		193		(72)		91		—		(310)		—		460		(15)
Marketable equity securities	133		48		—		71		(12)		34		—		(87)		—		187		(26)
Asset-backed securities	554		(7)		—		68		(25)		196		—		(174)		—		612		(18)
Other trading assets	816		32		—		74		(280)		191		11		(161)		(4)		679		(19)
Total trading non-derivative assets	$	3,484	$	50	$	—	$	514	$	(591)	$	944	$	11	$	(1,137)	$	(5)	$	3,270	$	(121)
Trading derivatives, net(4)
Interest rate contracts	$	881	$	(278)	$	—	$	(503)	$	(12)	$	(195)	$	1	$	83	$	(3)	$	(26)	$	(142)
Foreign exchange contracts	156		(171)		—		32		(3)		(146)		—		212		197		277		121
Equity contracts	(101)		162		—		60		222		(347)		—		28		37		61		(150)
Commodity contracts	255		110		—		140		(134)		(60)		—		(2)		(56)		253		151
Credit derivatives	(349)		(110)		—		53		124		(36)		—		1		204		(113)		(164)
Total trading derivatives, net(4)	$	842	$	(287)	$	—	$	(218)	$	197	$	(784)	$	1	$	322	$	379	$	452	$	(184)

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, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	28	$	—	$	(2)	$	—	$	—	$	—	$	—	$	—	$	—	$	26	$	(2)
Residential	40		—		(4)		—		—		3		—		—		—		39		(5)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	68	$	—	$	(6)	$	—	$	—	$	3	$	—	$	—	$	—	$	65	$	(7)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	539		—		(20)		81		—		—		—		(25)		—		575		(14)
Foreign government	1,001		—		(53)		6		(56)		224		—		(262)		—		860		(44)
Corporate	334		—		4		1		(3)		1		—		—		—		337		—
Marketable equity securities	10		—		—		—		—		—		—		—		—		10		—
Asset-backed securities	1		—		8		—		—		—		—		(7)		—		2		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	310		—		(3)		—		(10)		87		—		—		—		384		—
Total investments	$	2,263	$	—	$	(70)	$	88	$	(69)	$	315	$	—	$	(294)	$	—	$	2,233	$	(65)
Loans	$	325	$	—	$	5	$	83	$	(3)	$	—	$	333	$	—	$	(108)	$	635	$	(6)
Mortgage servicing rights	600		—		37				—				25				(15)		647		38
Other financial assets measured on a recurring basis	63		—		(19)		22		—		7		(1)		(16)		(6)		50		(12)
Liabilities
Interest-bearing deposits	$	18	$	—	$	3	$	—	$	—	$	—	$	2	$	—	$	(1)	$	16	$	—
Securities loaned and sold under agreements to repurchase	593		36		—		—		—		437		33		—		(30)		997		—
Trading account liabilities
Securities sold, not yet purchased	72		(10)		—		13		(2)		46		—		—		(36)		103		(13)
Other trading liabilities	—		(2)		—		—		—		—		—		—		—		2		—
Short-term borrowings	81		12		—		1		(40)		—		6		—		(1)		35		(17)
Long-term debt	29,778		3,734		—		2,831		(811)		—		3,838		—		(192)		31,710		3,336
Other financial liabilities measured on a recurring basis	—		—		(8)		5		—		—		—				—		13		—

(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, 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		Sept. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell	$	231	$	(2)	$	—	$	—	$	—	$	252	$	—	$	—	$	(340)	$	141	$	14
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	496		(41)		—		181		(311)		794		—		(447)		—		672		(53)
Residential	104		(2)		—		86		(54)		118		—		(110)		—		142		(1)
Commercial	81		(9)		—		117		(51)		14		—		(36)		—		116		7
Total trading mortgage-backed securities	$	681	$	(52)	$	—	$	384	$	(416)	$	926	$	—	$	(593)	$	—	$	930	$	(47)
U.S. Treasury and federal agency securities	$	4	$	(4)	$	—	$	2	$	(1)	$	—	$	—	$	—	$	(1)	$	—	$	—
State and municipal	37		9		—		75		(26)		15		—		(88)		—		22		(1)
Foreign government	23		(40)		—		304		(5)		157		—		(59)		—		380		(19)
Corporate	412		89		—		455		(350)		919		—		(1,065)		—		460		(109)
Marketable equity securities	174		34		—		134		(99)		142		—		(198)		—		187		(47)
Asset-backed securities	613		(26)		—		208		(192)		589		—		(580)		—		612		(151)
Other trading assets	576		158		—		407		(372)		557		27		(662)		(12)		679		(95)
Total trading non-derivative assets	$	2,520	$	168	$	—	$	1,969	$	(1,461)	$	3,305	$	27	$	(3,245)	$	(13)	$	3,270	$	(469)
Trading derivatives, net(4)
Interest rate contracts	$	1,726	$	322	$	—	$	(430)	$	(815)	$	(186)	$	7	$	77	$	(727)	$	(26)	$	(332)
Foreign exchange contracts	(89)		993		—		(443)		(9)		29		20		(399)		175		277		240
Equity contracts	(2,140)		2,159		—		(13)		429		58		—		(288)		(144)		61		1,021
Commodity contracts	422		732		—		95		(543)		60		—		(144)		(369)		253		412
Credit derivatives	(31)		(167)		—		(12)		(27)		(36)		—		—		160		(113)		(260)
Total trading derivatives, net(4)	$	(112)	$	4,039	$	—	$	(803)	$	(965)	$	(75)	$	27	$	(754)	$	(905)	$	452	$	1,081

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		Sept. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	51	$	—	$	(11)	$	1	$	(10)	$	4	$	—	$	(9)	$	—	$	26	$	(5)
Residential	94		—		(10)		—		(39)		3		—		(9)		—		39		(6)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	145	$	—	$	(21)	$	1	$	(49)	$	7	$	—	$	(18)	$	—	$	65	$	(11)
U.S. Treasury and federal agency securities	$	1	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	772		—		(98)		81		(142)		1		—		(39)		—		575		(73)
Foreign government	786		—		(92)		256		(169)		609		—		(530)		—		860		(36)
Corporate	188		—		(3)		154		(3)		1		—		—		—		337		(2)
Marketable equity securities	16		—		(6)		—		—		—		—		—		—		10		—
Asset-backed securities	3		—		19		—		—		—		—		(20)		—		2		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	316		—		(15)		11		(10)		107		—		(25)		—		384		—
Total investments	$	2,227	$	—	$	(217)	$	503	$	(373)	$	725	$	—	$	(632)	$	—	$	2,233	$	(122)
Loans	$	711	$	—	$	(185)	$	84	$	(198)	$	—	$	334	$	—	$	(111)	$	635	$	(52)
Mortgage servicing rights	404		—		195		—		—		—		94		—		(46)		647		194
Other financial assets measured on a recurring basis	73		—		(13)		29		(16)		21		39		(17)		(66)		50		8
Liabilities
Interest-bearing deposits	$	183	$	—	$	6	$	7	$	(122)	$	—	$	20	$	—	$	(66)	$	16	$	—
Securities loaned and sold under agreements to repurchase	643		86		—		—		(3)		453		33		—		(43)		997		—
Trading account liabilities
Securities sold, not yet purchased	65		11		—		48		(21)		129		—		1		(108)		103		(6)
Other trading liabilities	—		(2)		—		—		—		—		—		—		—		2		—
Short-term borrowings	105		101		—		41		(61)		—		82		—		(31)		35		(22)
Long-term debt	25,509		11,979		—		9,574		(4,318)		—		13,537		—		(613)		31,710		9,530
Other financial liabilities measured on a recurring basis	1		—		(7)		5		—		—		—		—		—		13		—

(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, 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	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		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
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 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	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		—
Commercial	—		—		—		—		—				—		—		—		—		—
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
Marketable equity securities	—		—		—		—		—		—		—		—		—		—		—
Asset-backed securities	1		—		(21)		36		—		—		—		(13)		—		3		(25)
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
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.

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, 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	$	141	Model-based	Interest rate	2.40		%	2.40		%	2.40		%
				Credit spread	15 bps			15 bps			15 bps
Mortgage-backed securities	$	645	Yield analysis	Yield	4.43		%	18.27		%	8.42		%
	344		Price-based	Price	$	0.76		$	109.46		$	67.19
State and municipal, foreign government, corporate and other debt securities	$	2,433	Price-based	Price	$	0.01		$	927.52		$	186.59
	891		Model-based	Equity forward	77.40		%	254.90		%	103.70		%
				Equity volatility	—		%	301.70		%	34.50		%
Marketable equity securities(5)	$	156	Price-based	Price	$	—		$	7,876.60		$	74.30
	26		Model-based	WAL	2.48 years			2.48 years			2.48 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148
Asset-backed securities	$	451	Price-based	Price	$	21.13		$	145.00		$	88.14
Non-marketable equities	$	200	Price-based	Illiquidity discount	10.00		%	29.40		%	24.47		%
	145		Comparables analysis	PE ratio	13.20x			15.70x			15.08x
	40		Model-based	Cost of capital	8.10		%	17.50		%	10.40		%
				Revenue multiple	4.20x			10.50x			9.75x
Derivatives—gross(6)
Interest rate contracts (gross)	$	7,129	Model-based	IR normal volatility	0.33		%	1.78		%	1.04		%
Foreign exchange contracts (gross)	$	1,331	Model-based	IR basis	(5.23)		%	16.38		%	0.34		%
				IR normal volatility	0.33		%	1.78		%	0.32		%
				Credit spread	143 bps			879 bps			766 bps
Equity contracts (gross)(7)	$	4,436	Model-based	Equity volatility	—		%	301.69		%	41.90		%
				Equity forward	77.43		%	254.93		%	103.67		%
				Equity-Equity correlation	(6.49)		%	100.00		%	87.19		%
				Equity-FX correlation	(95.00)		%	80.00		%	(9.77)		%
				WAL	2.48 years			2.48 years			2.48 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148
Commodity and other contracts (gross)	$	2,559	Model-based	Commodity correlation	(50.34)		%	93.35		%	26.54		%
				Commodity volatility	15.49		%	133.07		%	25.90		%
				Forward price	17.53		%	524.16		%	123.15		%
Credit derivatives (gross)	$	2,076	Model-based	Credit spread	13 bps			961 bps			154 bps
	394		Price-based	Recovery rate	2.00		%	75.00		%	37.55		%
				Credit correlation	10.00		%	90.00		%	43.22		%
				Price	$	—		$	95.02		$	7.13
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	25	Price-based	Price	$	0.73		$	845.00		$	214.89
Loans and leases	$	337	Price-based	Price	$	—		$	109.75		$	81.61

As of September 30, 2022	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
	$	297	Model-based	Equity volatility	58.44		%	103.57		%	72.59		%
				Forward price	17.53		%	524.16		%	148.69		%
				Commodity volatility	15.49		%	133.07		%	25.90		%
				Commodity correlation	(50.34)		%	93.35		%	26.54		%
Mortgage servicing rights	$	571	Cash flow	Yield	0.80		%	13.20		%	5.97		%
	76		Model-based	WAL	4.07 years			10.23 years			8.19 years
Liabilities
Interest-bearing deposits	$	16	Model-based	IR normal volatility	0.23		%	0.64		%	0.42		%
				Forward price	100.00		%	100.00		%	100.00		%
Securities loaned and sold under agreements to repurchase	$	997	Model-based	Interest rate	3.43		%	4.43		%	4.08		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	86	Price-based	Price	$	—		$	12,100		$	1,085
Short-term borrowings and long-term debt	$	31,745	Model-based	IR normal volatility	0.33		%	20.00		%	1.57		%
				Equity volatility	—		%	301.69		%	34.49		%

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
September 30, 2022
Loans HFS(1)	$	3,175	$	1,151	$	2,024
Other real estate owned	3		—		3
Loans(2)	126		—		126
Non-marketable equity securities measured using the measurement alternative	70		—		70
Total assets at fair value on a nonrecurring basis	$	3,374	$	1,151	$	2,223

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 September 30, 2022	Fair value(1)  (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans held-for-sale	$	2,024	Price-based	Price	$	80.40		$	100.00		$	91.24
Other real estate owned	$	1	Price-based	Appraised value(4)	$	10,200		$	990,910		$	730,901
	1		Recovery analysis
Loans(5)	$	126	Recovery analysis	Appraised value(4)	$	12,000		$	17,525,636		$	2,578,191
Non-marketable equity securities measured using the measurement alternative	$	40	Price-based	Price	$	3.35		$	196.50		$	96.21
	29		Comparable analysis	Revenue multiple	9.26x			73.10x			31.10x
				Discount to price percentage	28.00		%	28.00		%	28.00		%

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 September 30,				Nine Months Ended September 30,
In millions of dollars	2022		2021		2022		2021
Loans HFS	$	(250)	$	(13)	$	(413)	$	(22)
Other real estate owned	—		—		—		—
Loans(1)	10		(10)		17		33
Non-marketable equity securities measured using the measurement alternative	(14)		72		114		363
Total nonrecurring fair value gains (losses)	$	(254)	$	49	$	(282)	$	374

(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, 2022				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	273.3	$	245.4	$	122.2	$	120.1	$	3.1
Securities borrowed and purchased under agreements to resell	120.2		120.3		—		120.3		—
Loans(1)(2)	625.5		627.2		—		—		627.2
Other financial assets(2)(3)	410.9		410.9		281.0		18.6		111.3
Liabilities
Deposits	$	1,304.0	$	1,299.4	$	—	$	1,139.5	$	159.9
Securities loaned and sold under agreements to repurchase	130.3		130.3		—		130.3		—
Long-term debt(4)	161.2		154.0		—		117.2		36.8
Other financial liabilities(5)	157.3		157.3		—		26.4		130.9

	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 $16.3 billion for September 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 September 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.