expected future cash flows determined in step one. Citi’s own credit CVA is determined using Citi-specific CDS spreads for the relevant tenor. Generally, counterparty CVA is determined using CDS spread indices for each credit rating and tenor. For certain identified netting sets where individual analysis is practicable (e.g., exposures to counterparties with liquid CDSs), counterparty-specific CDS spreads are used. For FVA, a term structure of spreads is applied to the expected funding exposures (e.g., the market liquidity spread used to represent the term funding premium associated with certain OTC derivatives).

The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments.

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at December 31, 2022 and 2021:


	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	December 31, 2022		December 31, 2021
Counterparty CVA	$	(816)	$	(705)
Asset FVA	(622)		(433)
Citigroup (own credit) CVA	607		379
Liability FVA	263		110
Total CVA and FVA—derivative instruments	$	(568)	$	(649)

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


	Credit/funding/debt valuation adjustments gain (loss)
In millions of dollars	2022		2021		2020
Counterparty CVA	$	(227)	$	79	$	(101)
Asset FVA	(102)		96		(95)
Own credit CVA	157		(33)		133
Liability FVA	155		(22)		(6)
Total CVA and FVA—derivative instruments	$	(17)	$	120	$	(69)
DVA related to own FVO liabilities(1)	$	2,685	$	296	$	(616)
Total CVA, DVA and FVA	$	2,668	$	416	$	(685)

(1) See Note 20.

Securities Purchased Under Agreements to Resell and Securities Sold Under Agreements to Repurchase

No quoted prices exist for these instruments, since fair value is determined using a discounted cash flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivatives or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.

Trading Account Assets and Liabilities—Trading Securities and Trading Loans

When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities.

For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing various valuation techniques, including discounted cash flows, price-based and internal models. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when the primary inputs to the valuation are unobservable, or prices from independent sources are insufficient to corroborate valuation, a loan or security is

generally classified as Level 3. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors.

When the Company’s principal exit market for a portfolio of loans is through securitization, the Company uses the securitization price as a key input into the fair value of the loan portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization within the current market environment. Where such a price verification is possible, loan portfolios are typically classified as Level 2 in the fair value hierarchy.

For most of the subprime mortgage backed security (MBS) exposures, fair value is determined utilizing observable transactions where available, or other valuation techniques such as discounted cash flow analysis utilizing valuation assumptions derived from similar, more observable securities as market proxies. The valuation of certain asset-backed security (ABS) CDO positions is inferred through the net asset value of the underlying assets of the ABS CDO.

Trading Account Assets and Liabilities—Derivatives

Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy.

Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending on the observability of the significant inputs to the model.

The valuation techniques depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, such as derivative pricing models (e.g., Black-Scholes and Monte Carlo simulations).

The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign exchange rates, volatilities and correlation.

Investments

The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source.

Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are not generally traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including guideline public company analysis and comparable transactions. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions. Private

equity securities are generally classified as Level 3 of the fair value hierarchy.

In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the investment will be realized at a price other than the NAV. Consistent with the provisions of ASU 2015-07, these investments are categorized within the fair value hierarchy and are not included in the tables below. See Note 13 for additional information.

Short-Term Borrowings and Long-Term Debt

Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable.

The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading Account Assets and Liabilities—Derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

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 December 31, 2022 and 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 December 31, 2022	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	350,145	$	149	$	350,294	$	(110,767)	$	239,527
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		34,878		600		35,478		—		35,478
Residential	1		1,821		166		1,988		—		1,988
Commercial	—		798		145		943		—		943
Total trading mortgage-backed securities	$	1	$	37,497	$	911	$	38,409	$	—	$	38,409
U.S. Treasury and federal agency securities	$	63,067	$	4,513	$	1	$	67,581	$	—	$	67,581
State and municipal	—		2,256		7		2,263		—		2,263
Foreign government	38,383		25,850		119		64,352		—		64,352
Corporate	1,593		11,955		394		13,942		—		13,942
Equity securities	43,990		10,179		192		54,361		—		54,361
Asset-backed securities	—		1,597		668		2,265		—		2,265
Other trading assets(2)	24		14,963		648		15,635		—		15,635
Total trading non-derivative assets	$	147,058	$	108,810	$	2,940	$	258,808	$	—	$	258,808
Trading derivatives
Interest rate contracts	$	297	$	174,156	$	3,751	$	178,204
Foreign exchange contracts	—		186,897		766		187,663
Equity contracts	20		40,683		1,704		42,407
Commodity contracts	—		26,823		1,501		28,324
Credit derivatives	—		7,484		905		8,389
Total trading derivatives—before netting and collateral	$	317	$	436,043	$	8,627	$	444,987
Netting agreements									$	(346,545)
Netting of cash collateral received									(23,136)
Total trading derivatives—after netting and collateral	$	317	$	436,043	$	8,627	$	444,987	$	(369,681)	$	75,306
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	11,232	$	30	$	11,262	$	—	$	11,262
Residential	—		444		41		485		—		485
Commercial	—		2		—		2		—		2
Total investment mortgage-backed securities	$	—	$	11,678	$	71	$	11,749	$	—	$	11,749
U.S. Treasury and federal agency securities	$	91,851	$	439	$	—	$	92,290	$	—	$	92,290
State and municipal	—		1,637		586		2,223		—		2,223
Foreign government	58,419		74,250		608		133,277		—		133,277
Corporate	2,230		2,343		343		4,916		—		4,916
Marketable equity securities	254		165		10		429		—		429
Asset-backed securities	—		1,029		1		1,030		—		1,030
Other debt securities	—		4,194		—		4,194		—		4,194
Non-marketable equity securities(3)	—		9		430		439		—		439
Total investments	$	152,754	$	95,744	$	2,049	$	250,547	$	—	$	250,547

Table continues on the next page.


In millions of dollars at December 31, 2022	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	3,999		$	1,361		$	5,360	$	—	$	5,360
Mortgage servicing rights	—			—			665			665		—		665



Non-trading derivatives and other financial assets measured on a recurring basis	$	4,310		$	6,291		$	57		$	10,658	$	—	$	10,658
Total assets	$	304,439		$	1,001,032		$	15,848		$	1,321,319	$	(480,448)	$	840,871
Total as a percentage of gross assets(4)	23.0		%	75.8		%	1.2		%
Liabilities
Interest-bearing deposits	$	—		$	1,860		$	15		$	1,875	$	—	$	1,875
Securities loaned and sold under agreements to repurchase	—			155,822			1,031			156,853		(85,967)		70,886
Trading account liabilities
Securities sold, not yet purchased	97,559			13,111			50			110,720		—		110,720
Other trading liabilities	—			8			3			11		—		11
Total trading liabilities	$	97,559		$	13,119		$	53		$	110,731	$	—	$	110,731
Trading derivatives
Interest rate contracts	$	175		$	169,049		$	3,396		$	172,620
Foreign exchange contracts	—			185,279			716			185,995
Equity contracts	70			40,905			2,808			43,783
Commodity contracts	2			25,093			1,223			26,318
Credit derivatives	—			6,715			1,062			7,777
Total trading derivatives—before netting and collateral	$	247		$	427,041		$	9,205		$	436,493
Netting agreements												$	(346,545)
Netting of cash collateral paid												(30,032)
Total trading derivatives—after netting and collateral	$	247		$	427,041		$	9,205		$	436,493	$	(376,577)	$	59,916
Short-term borrowings	$	—		$	6,184		$	38		$	6,222	$	—	$	6,222
Long-term debt	—			69,878			36,117			105,995		—		105,995




Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	4,197		$	240		$	2		$	4,439	$	—	$	4,439
Total liabilities	$	102,003		$	674,144		$	46,461		$	822,608	$	(462,544)	$	360,064
Total as a percentage of gross liabilities(4)	12.4		%	82.0		%	5.6		%

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

(3)Amounts exclude $27 million 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)	29.0		%	69.9		%	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 account 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		%

(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 $145 million 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 following tables present the changes in the Level 3 fair value category for the years ended December 31, 2022 and 2021. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

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

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

Level 3 Fair Value Rollforward


			Net realized/unrealized gains (losses) included 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		Dec. 31, 2022
Assets
Securities borrowed and purchased under agreements to resell	$	231	$	12	$	—	$	3	$	—	$	252	$	—	$	—	$	(349)	$	149	$	18
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	496		(81)		—		244		(475)		969		—		(553)		—		600		(59)
Residential	104		(5)		—		112		(87)		187		—		(145)		—		166		(1)
Commercial	81		(13)		—		167		(78)		37		—		(49)		—		145		(3)
Total trading mortgage-backed securities	$	681	$	(99)	$	—	$	523	$	(640)	$	1,193	$	—	$	(747)	$	—	$	911	$	(63)
U.S. Treasury and federal agency securities	$	4	$	(4)	$	—	$	2	$	(1)	$	1	$	—	$	—	$	(1)	$	1	$	(1)
State and municipal	37		9		—		77		(35)		16		—		(97)		—		7		—
Foreign government	23		(41)		—		308		(326)		248		—		(93)		—		119		(22)
Corporate	412		101		—		499		(451)		1,068		—		(1,235)		—		394		(136)
Marketable equity securities	174		45		—		161		(105)		155		—		(238)		—		192		(42)
Asset-backed securities	613		(41)		—		243		(239)		835		—		(743)		—		668		(36)
Other trading assets	576		249		—		407		(594)		774		27		(779)		(12)		648		(122)
Total trading non-derivative assets	$	2,520	$	219	$	—	$	2,220	$	(2,391)	$	4,290	$	27	$	(3,932)	$	(13)	$	2,940	$	(422)
Trading derivatives, net(4)
Interest rate contracts	$	1,726	$	176	$	—	$	33	$	(792)	$	(163)	$	7	$	79	$	(711)	$	355	$	(588)
Foreign exchange contracts	(89)		734		—		(422)		(22)		124		20		(459)		164		50		(81)
Equity contracts	(2,140)		1,604		—		(572)		673		176		—		(370)		(475)		(1,104)		1,057
Commodity contracts	422		822		—		194		(716)		100		—		(211)		(333)		278		413
Credit derivatives	(31)		(266)		—		(7)		131		(36)		—		—		52		(157)		(198)
Total trading derivatives, net(4)	$	(112)	$	3,070	$	—	$	(774)	$	(726)	$	201	$	27	$	(961)	$	(1,303)	$	(578)	$	603

Table continues on the next page.


			Net realized/unrealized gains (losses) included 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		Dec. 31, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	51	$	—	$	(7)	$	1	$	(10)	$	7	$	—	$	(12)	$	—	$	30	$	(24)
Residential	94		—		(5)		—		(42)		3		—		(9)		—		41		(5)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	145	$	—	$	(12)	$	1	$	(52)	$	10	$	—	$	(21)	$	—	$	71	$	(29)
U.S. Treasury and federal agency securities	$	1	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	772		—		(65)		82		(164)		2		—		(41)		—		586		(49)
Foreign government	786		—		(72)		256		(276)		706		—		(792)		—		608		(23)
Corporate	188		—		(4)		197		(4)		24		—		(58)		—		343		(2)
Marketable equity securities	16		—		(7)		—		—		1		—		—		—		10		—
Asset-backed securities	3		—		22		41		(1)		—		—		(64)		—		1		(5)
Other debt securities	—		—		—		—		—		82		—		(82)		—		—		—
Non-marketable equity securities	316		—		(11)		11		(12)		155		—		(29)		—		430		4
Total investments	$	2,227	$	—	$	(150)	$	588	$	(509)	$	980	$	—	$	(1,087)	$	—	$	2,049	$	(104)
Loans	$	711	$	—	$	15	$	426	$	(208)	$	—	$	569	$	—	$	(152)	$	1,361	$	145
Mortgage servicing rights	404		—		201		—		—		—		120		—		(60)		665		199
Other financial assets measured on a recurring basis	73		—		(12)		29		(26)		46		39		(26)		(66)		57		—
Liabilities
Interest-bearing deposits	$	183	$	—	$	6	$	8	$	(122)	$	—	$	20	$	—	$	(68)	$	15	$	—
Securities loaned and sold under agreements to repurchase	643		86		—		3		(3)		453		196		—		(175)		1,031		7
Trading account liabilities
Securities sold, not yet purchased	65		2		—		55		(36)		135		—		—		(167)		50		(65)
Other trading liabilities	—		(3)		—		—		—		—		—		—		—		3		—
Short-term borrowings	105		109		—		46		(69)		—		96		—		(31)		38		(14)
Long-term debt	25,509		9,796		—		9,873		(7,612)		—		18,847		—		(704)		36,117		7,805
Other financial liabilities measured on a recurring basis	1		—		(6)		5		(5)		—		2		—		(7)		2		—

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

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

(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 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) included 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		Dec. 31, 2021
Assets
Securities borrowed and purchased under agreements to resell	$	320	$	(36)	$	—	$	45	$	(49)	$	362	$	—	$	—	$	(411)	$	231	$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	27		8		—		355		(131)		447		—		(210)		—		496		11
Residential	340		25		—		89		(96)		282		—		(536)		—		104		13
Commercial	136		23		—		96		(58)		62		—		(178)		—		81		—
Total trading mortgage-backed securities	$	503	$	56	$	—	$	540	$	(285)	$	791	$	—	$	(924)	$	—	$	681	$	24
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	4	$	—	$	—	$	—	$	—	$	—	$	4	$	—
State and municipal	94		(4)		—		20		(29)		17		—		(61)		—		37		(6)
Foreign government	51		29		—		143		(129)		83		—		(154)		—		23		(2)
Corporate	375		74		—		461		(384)		867		—		(981)		—		412		(38)
Marketable equity securities	73		67		—		156		(52)		118		—		(188)		—		174		23
Asset-backed securities	1,606		371		—		173		(297)		1,313		—		(2,553)		—		613		(43)
Other trading assets	945		97		—		158		(457)		980		4		(1,147)		(4)		576		(37)
Total trading non-derivative assets	$	3,647	$	690	$	—	$	1,655	$	(1,633)	$	4,169	$	4	$	(6,008)	$	(4)	$	2,520	$	(79)
Trading derivatives, net(4)
Interest rate contracts	$	1,614	$	(376)	$	—	$	102	$	562	$	27	$	(84)	$	—	$	(119)	$	1,726	$	4
Foreign exchange contracts	52		(8)		—		(57)		104		220		—		(326)		(74)		(89)		7
Equity contracts	(3,213)		964		—		(1,101)		1,923		364		—		(364)		(713)		(2,140)		(729)
Commodity contracts	292		474		—		174		(454)		162		—		(238)		12		422		261
Credit derivatives	48		(136)		—		(96)		40		—		—		—		113		(31)		(130)
Total trading derivatives, net(4)	$	(1,207)	$	918	$	—	$	(978)	$	2,175	$	773	$	(84)	$	(928)	$	(781)	$	(112)	$	(587)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	2	$	42	$	(10)	$	3	$	—	$	(16)	$	—	$	51	$	2
Residential	—		—		—		54		(12)		52		—		—		—		94		(1)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	30	$	—	$	2	$	96	$	(22)	$	55	$	—	$	(16)	$	—	$	145	$	1
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	1	$	—	$	—	$	—	$	—	$	—	$	1	$	—
State and municipal	834		—		(21)		58		(108)		49		—		(40)		—		772		(12)
Foreign government	268		—		(49)		512		(565)		871		—		(251)		—		786		(2)
Corporate	60		—		(14)		183		(44)		37		—		(34)		—		188		2
Marketable equity securities	—		—		—		16		—		—		—		—		—		16		—
Asset-backed securities	1		—		(21)		36		—		—		—		(13)		—		3		(2)
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	349		—		(27)		2		—		—		—		(8)		—		316		(6)
Total investments	$	1,542	$	—	$	(130)	$	904	$	(739)	$	1,012	$	—	$	(362)	$	—	$	2,227	$	(19)

Table continues on the next page.


			Net realized/unrealized gains (losses) included 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		Dec. 31, 2021
Loans	$	1,985	$	—	$	90	$	311	$	(2,071)	$	—	$	529	$	—	$	(133)	$	711	$	(77)
Mortgage servicing rights	336		—		43		—		—		—		92		—		(67)		404		52
Other financial assets measured on a recurring basis	—		—		6		65		(27)		58		—		(26)		(3)		73		—
Liabilities
Interest-bearing deposits	$	206	$	—	$	(18)	$	—	$	(44)	$	—	$	38	$	—	$	(35)	$	183	$	(19)
Securities loaned and sold under agreements to repurchase	631		(9)		—		183		(483)		488		—		—		(185)		643		32
Trading account liabilities
Securities sold, not yet purchased	214		48		—		87		(34)		59		—		—		(213)		65		(4)
Other trading liabilities	26		26		—		—		—		—		—		—		—		—		—
Short-term borrowings	219		43		—		137		(57)		—		49		—		(200)		105		(2)
Long-term debt	25,210		2,774		—		8,611		(9,771)		—		10,262		—		(6,029)		25,509		1,756
Other financial liabilities measured on a recurring basis	1		—		(3)		—		(4)		—		14		—		(13)		1		—

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

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

Level 3 Fair Value Transfers

The following were the significant Level 3 transfers for the period December 31, 2021 to December 31, 2022:

•During the 12 months ended December 31, 2022, transfers of Long-term debt were $9.9 billion from Level 2 to Level 3. Of the $9.9 billion transfer in, approximately $7.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.9 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $7.6 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the 12 months ended December 31, 2022.

The following were the significant Level 3 transfers for the period December 31, 2020 to December 31, 2021:

•During the 12 months ended December 31, 2021, transfers of Loans of $2.1 billion from Level 3 to Level 2 were primarily driven by equity forward and volatility inputs that have been assessed as not significant to the overall valuation of certain hybrid loan instruments, including equity options and long dated equity call spreads.

•During the 12 months ended December 31, 2021, transfers of Equity contracts of $1.1 billion from Level 2 to Level 3 were due to equity forward and volatility inputs becoming an unobservable and/or significant input relative to the overall valuation of equity options and equity swaps. In other instances, market changes have resulted in observable equity forward and volatility inputs becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.9 billion of certain equity contracts being transferred from Level 3 to Level 2.

•During the 12 months ended December 31, 2021, transfers of Long-term debt were $8.6 billion from Level 2 to Level 3. Of the $8.6 billion transfer in, approximately $7.2 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $1.0 billion related to equity volatility inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $9.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the 12 months ended December 31, 2021.

Valuation Techniques and Inputs for Level 3 Fair

Value Measurements

The Company’s Level 3 inventory consists of both cash instruments and derivatives of varying complexity.

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. Methodologies are applied consistently. Changes in listed inputs period versus period represent

variables that become more, or less, significant, hence their addition or removal from the table below. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table above represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.


As of December 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Assets
Securities borrowed and purchased under agreements to resell	$	146	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	2.61		%	2.61		%	2.61		%
Mortgage-backed securities	$	228	Price-based	Price	$	1.04		$	99.71		$	51.51
	732		Yield analysis	Yield	4.41		%	20.30		%	9.74		%
State and municipal, foreign government, corporate and other debt securities	$	2,360	Price-based	Price	$	0.01		$	994.68		$	245.85
Marketable equity securities(5)	$	147	Price-based	Price	$	—		$	9,087.76		$	114.29
	31		Model-based	WAL	2.24 years			2.24 years			2.24 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148
Asset-backed securities	$	304	Price-based	Price	$	10.50		$	145.00		$	74.97
	308		Yield analysis	Yield	5.76		%	18.58		%	9.34		%
Non-marketable equities	$	287	Comparables analysis	Illiquidity discount	8.60		%	17.00		%	10.16		%
	101		Price-based	PE ratio	14.00x			15.70x			15.16x
				Cost of capital	8.10		%	17.50		%	10.44		%
				Revenue multiple	3.60x			13.90x			12.40x
Derivatives—gross(6)
Interest rate contracts (gross)	$	7,108	Model-based	IR normal volatility	0.33		%	1.82		%	0.96		%
Foreign exchange contracts (gross)	$	1,437	Model-based	IR normal volatility	0.33		%	1.47		%	0.67		%
				IR Basis	(4.23)		%	9.68		%	(0.03)		%
				Equity volatility	0.05		%	300.72		%	33.91		%
				Credit spread	116 bps			626 bps			594 bps
Equity contracts (gross)(7)	$	4,430	Model-based	Equity volatility	0.05		%	300.72		%	41.47		%
				Equity forward	68.34		%	271.61		%	103.50		%
				Equity-FX correlation	(95.00)		%	50.00		%	(16.33)		%
				Equity-Equity correlation	(3.98)		%	98.68		%	85.63		%
				WAL	2.24 years			2.24 years			2.24 years
				Recovery (in millions)	$7,148			$7,148			$7,148
				Equity-IR correlation	(18.83)		%	60.00		%	32.37		%
Commodity and other contracts (gross)	$	2,724	Model-based	Forward price	14.27		%	385.50		%	106.08		%
				Commodity volatility	10.43		%	151.50		%	33.55		%
				Commodity correlation	(32.00)		%	91.94		%	36.70		%
Credit derivatives (gross)	$	1,520	Model-based	Credit spread	2.50 bps			955.10 bps			101.27 bps
	439		Price-based	Recovery rate	25.00		%	75.00		%	42.27		%
				Credit correlation	25.00		%	80.00		%	42.38		%
				Price	$	31.71		$	99.00		$	78.75


As of December 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				Credit spread volatility	35.58		%	64.79		%	40.47		%




Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	57	Price-based	Price	$	80.16		$	105.32		$	92.65
Loans and leases	$	1,059	Model-based	Equity volatility	0.05		%	300.72		%	42.62		%
	304		Price-based	Forward price	14.27		%	324.85		%	105.07		%
				Price	$0.01			$100.53			$84.77
				Equity forward	68.34		%	271.61		%	103.49		%
Mortgage servicing rights	$	580	Cash flow	Yield	(0.40)		%	13.20		%	5.36		%
	84		Model-based	WAL	3.92 years			9.33 years			7.71 years
Liabilities
Interest-bearing deposits	$	15	Model-based	Forward price	100.00		%	101.30		%	100.07		%
Securities loaned and sold under agreements to repurchase	$	970	Model-based	Interest rate	4.01		%	4.97		%	4.07		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	47	Price-based	Price	$	—		$	9,087.76		$	41.22
	6		Model-based	FX volatility	2.00		%	40.00		%	12.85		%
Short-term borrowings and long-term debt	$	36,155	Model-based	IR normal volatility	0.33		%	1.82		%	0.89		%


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		%


As of December 31, 2021	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				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.

Uncertainty of Fair Value Measurements Relating to Unobservable Inputs

Valuation uncertainty arises when there is insufficient or dispersed market data to allow a precise determination of the exit value of a fair-valued position or portfolio in today’s market. This is especially prevalent in Level 3 fair value instruments, where uncertainty exists in valuation inputs that may be both unobservable and significant to the instrument’s (or portfolio’s) overall fair value measurement. The uncertainties associated with key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the uncertainty on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.

The following section describes some of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation

Correlation is a measure of the extent to which two or more variables change in relation to each other. A variety of correlation-related assumptions are required for a wide range of instruments, including equity and credit baskets, foreign exchange options, Credit Index Tranches and many other instruments. For almost all of these instruments, correlations are not directly observable in the market and must be calculated using alternative sources, including historical information. Estimating correlation can be especially difficult where it may vary over time, and calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (e.g., swaption markets). Uncertainty therefore exists when an estimate of the appropriate level of correlation as an input into some fair value measurements is required.

Changes in correlation levels can have a substantial impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce greater losses in the event of default and a portion of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure.

Volatility

Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Volatility generally depends on the tenor of the underlying instrument

and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable and need to be estimated using alternative methods, such as comparable instruments, historical analysis or other sources of

market information. This leads to uncertainty around the final fair value measurement of instruments with unobservable volatilities.

The general relationship between changes in the value of an instrument (or a portfolio) to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an at-the-money option would experience a greater percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (e.g., an option on a basket of equities) depends on the volatility of the individual underlying securities as well as their correlations.

Yield

In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.

Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.

Prepayment

Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayments and high delinquencies amplifies each input’s negative impact on a mortgage security’s valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.

Recovery

Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (e.g., commercial mortgage-backed securities), the expected recovery amount of a defaulted property is typically unknown until a liquidation of the property is imminent. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security.

Credit Spread

Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high-yield bond as compared to an investment-grade bond. Generally, the credit spread for an investment-grade bond is also more observable and less volatile than its high-yield counterpart.

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for an identical or similar investment in the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.

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


In millions of dollars	Fair value		Level 2		Level 3
December 31, 2022
Loans HFS(1)	$	2,336	$	457	$	1,879
Other real estate owned	1		—		1
Loans(2)	69		—		69
Non-marketable equity securities measured using the measurement alternative	597		—		597
Total assets at fair value on a nonrecurring basis	$	3,003	$	457	$	2,546


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.

The fair value of loans HFS is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.

Where the fair value of the related collateral is based on an appraised value, the loan is generally classified as Level 3. In addition, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.

The fair value of non-marketable equity securities under the measurement alternative is based on observed transaction prices for the identical or similar investment of the same issuer, or an internal valuation technique in the case of an impairment. Where there are insufficient market observations to conclude the inputs are observable, where significant adjustments are made to the observed transaction prices or when an internal valuation technique is used, the security is classified as Level 3. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.

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 December 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans held-for-sale	$	1,830	Price-based	Price	$	0.88	$	100.23	$	65.91
Other real estate owned	$	1	Price-based	Appraised value(4)	$	30,000	$	441,750	$	310,552
Loans(5)	$	45	Recovery analysis	Appraised value(4)	$	12,000	$	14,022,820	$	3,714,342
	24		Appraised value
Non-marketable equity securities measured using the measurement alternative	$	234		Revenue multiple	4.95x		73.10x		19.68x
	363			Price	$	0.46	$	2,416.43	$	557.86


As of December 31, 2021	Fair value(1) (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans held-for-sale	$	1,312	Price-based	Price	$	89		$	100		$	99
Other real estate owned	$	4	Price-based	Appraised value(4)	$	14,000		$	2,392,464		$	1,660,120
	5		Recovery analysis
Loans(5)	$	120	Recovery analysis	Appraised value(4)	$	10,000		$	3,900,000		$	247,018
	24		Price-based	Price	$	3		$	75		$	35

				Recovery rate	84.00		%	100.00		%	84.00		%
Non-marketable equity securities measured using the measurement alternative	$	551	Price-based	Price	$	6		$	1,339		$	52

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

(2)Some inputs are shown as zero due to rounding.

(3)Weighted averages are calculated based on the fair values of the instruments.

(4)Appraised values are disclosed in whole dollars.

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

Nonrecurring Fair Value Changes

The following tables present 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:


	Year ended December 31,
In millions of dollars	2022		2021
Loans HFS	$	(58)	$	(31)
Other real estate owned	—		—
Loans(1)	13		9
Non-marketable equity securities measured using the measurement alternative	315		468
Total nonrecurring fair value gains (losses)	$	270	$	446

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

Estimated Fair Value of Financial Instruments Not Carried at Fair Value

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

The disclosure also excludes leases, affiliate investments, pension and benefit obligations, certain insurance contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value

associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the tables exclude the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into.


	December 31, 2022				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	274.3	$	249.2	$	123.2	$	123.1	$	2.9
Securities borrowed and purchased under agreements to resell	125.9		125.9		—		125.9		—
Loans(1)(2)	634.5		634.9		—		—		634.9
Other financial assets(2)(3)	427.1		427.1		320.0		22.0		85.1
Liabilities
Deposits	$	1,364.1	$	1,345.4	$	—	$	1,159.4	$	186.0
Securities loaned and sold under agreements to repurchase	131.6		131.6		—		131.6		—
Long-term debt(4)	165.6		160.5		—		151.1		9.4
Other financial liabilities(5)	142.4		142.4		—		26.5		115.9


	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 $17.0 billion for December 31, 2022 and $16.5 billion for December 31, 2021. In addition, the carrying values exclude $0.4 billion and $0.5 billion of lease finance receivables at December 31, 2022 and 2021 respectively.

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

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

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

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

The estimated fair values of the Company’s corporate unfunded lending commitments at December 31, 2022 and 2021 were off-balance sheet liabilities of $13.7 billion and $8.1 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.