FAIR VALUE MEASUREMENT

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 25 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.

Fair Value Hierarchy

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

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

•Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in the market.

•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible.

The fair value hierarchy classification approach typically utilizes rules-based and data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:

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

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

•Otherwise, an instrument is classified as Level 3.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at June 30, 2023 and December 31, 2022:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2023		December 31, 2022
Counterparty CVA	$	(651)	$	(816)
Asset FVA	(502)		(622)
Citigroup (own credit) CVA	456		607
Liability FVA	219		263
Total CVA and FVA—derivative instruments	$	(478)	$	(568)

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

	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2023		2022		2023		2022
Counterparty CVA	$	4	$	(94)	$	(30)	$	(201)
Asset FVA	100		(46)		94		(151)
Own credit CVA	(114)		182		(149)		298
Liability FVA	(17)		68		(44)		90
Total CVA and FVA—derivative instruments	$	(27)	$	110	$	(129)	$	36
DVA related to own FVO liabilities(1)	$	(837)	$	2,592	$	(1,270)	$	3,642
Total CVA, DVA and FVA	$	(864)	$	2,702	$	(1,399)	$	3,678

(1)    See Note 20 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2023 and December 31, 2022. The Company may hedge positions

that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2. The effects of these hedges are presented gross in the following tables:

Fair Value Levels

In millions of dollars at June 30, 2023	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	428,174	$	140	$	428,314	$	(218,188)	$	210,126
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		55,299		659		55,958		—		55,958
Residential	1		2,936		145		3,082		—		3,082
Commercial	—		784		182		966		—		966
Total trading mortgage-backed securities	$	1	$	59,019	$	986	$	60,006	$	—	$	60,006
U.S. Treasury and federal agency securities	$	88,273	$	2,321	$	—	$	90,594	$	—	$	90,594
State and municipal	—		2,092		3		2,095		—		2,095
Foreign government	56,090		36,045		81		92,216		—		92,216
Corporate	1,695		16,623		581		18,899		—		18,899
Equity securities	55,898		11,400		285		67,583		—		67,583
Asset-backed securities	—		1,560		539		2,099		—		2,099
Other trading assets(2)	5		16,613		1,478		18,096		—		18,096
Total trading non-derivative assets	$	201,962	$	145,673	$	3,953	$	351,588	$	—	$	351,588
Trading derivatives
Interest rate contracts	$	21	$	166,402	$	2,271	$	168,694
Foreign exchange contracts	—		158,360		1,496		159,856
Equity contracts	31		45,762		1,292		47,085
Commodity contracts	—		15,418		1,108		16,526
Credit derivatives	—		9,984		855		10,839
Total trading derivatives—before netting and collateral	$	52	$	395,926	$	7,022	$	403,000
Netting agreements									$	(312,754)
Netting of cash collateral received									(18,645)
Total trading derivatives—after netting and collateral	$	52	$	395,926	$	7,022	$	403,000	$	(331,399)	$	71,601
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	14,931	$	32	$	14,963	$	—	$	14,963
Residential	—		312		25		337		—		337
Commercial	—		2		—		2		—		2
Total investment mortgage-backed securities	$	—	$	15,245	$	57	$	15,302	$	—	$	15,302
U.S. Treasury and federal agency securities	$	81,878	$	344	$	21	$	82,243	$	—	$	82,243
State and municipal	—		1,695		507		2,202		—		2,202
Foreign government	50,928		73,928		414		125,270		—		125,270
Corporate	2,590		2,447		290		5,327		—		5,327
Marketable equity securities	164		119		13		296		—		296
Asset-backed securities	—		845		1		846		—		846
Other debt securities	—		6,087		57		6,144		—		6,144
Non-marketable equity securities(3)	—		5		404		409		—		409
Total investments	$	135,560	$	100,715	$	1,764	$	238,039	$	—	$	238,039

Table continues on the next page.

In millions of dollars at June 30, 2023	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	5,525		$	241		$	5,766	$	—	$	5,766
Mortgage servicing rights	—			—			681			681		—		681
Non-trading derivatives and other financial assets measured on a recurring basis	$	5,793		$	7,771		$	73		$	13,637	$	—	$	13,637
Total assets	$	343,367		$	1,083,784		$	13,874		$	1,441,025	$	(549,587)	$	891,438
Total as a percentage of gross assets(4)	23.8%			75.2%			1.0%
Liabilities
Interest-bearing deposits	$	—		$	2,572		$	26		$	2,598	$	—	$	2,598
Securities loaned and sold under agreements to repurchase	—			213,804			627			214,431		(151,631)		62,800
Trading account liabilities
Securities sold, not yet purchased	98,359			16,195			62			114,616		—		114,616
Other trading liabilities	—			4			4			8		—		8
Total trading account liabilities	$	98,359		$	16,199		$	66		$	114,624	$	—	$	114,624
Trading derivatives
Interest rate contracts	$	19		$	159,959		$	4,233		$	164,211
Foreign exchange contracts	—			152,029			796			152,825
Equity contracts	27			48,699			2,855			51,581
Commodity contracts	—			16,892			778			17,670
Credit derivatives	—			9,718			1,010			10,728
Total trading derivatives—before netting and collateral	$	46		$	387,297		$	9,672		$	397,015
Netting agreements												$	(312,754)
Netting of cash collateral paid												(28,221)
Total trading derivatives—after netting and collateral	$	46		$	387,297		$	9,672		$	397,015	$	(340,975)	$	56,040
Short-term borrowings	$	—		$	5,326		$	296		$	5,622	$	—	$	5,622
Long-term debt	—			78,733			37,204			115,937		—		115,937
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	5,793		$	173		$	23		$	5,989	$	—	$	5,989
Total liabilities	$	104,198		$	704,104		$	47,914		$	856,216	$	(492,606)	$	363,610
Total as a percentage of gross liabilities(4)	12.2		%	82.2		%	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 23. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

(3)Amounts exclude $24 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, 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(3)									(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(4)	—		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(5)	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 account 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(3)												(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(5)	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 23. 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 $27 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 three and six months ended June 30, 2023 and 2022. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

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

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

Level 3 Fair Value Rollforward

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2023
Assets
Securities borrowed and purchased under agreements to resell	$	153	$	(10)	$	—	$	—	$	(2)	$	—	$	—	$	—	$	(1)	$	140	$	(8)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	658		(32)		—		93		(124)		147		—		(83)		—		659		(24)
Residential	162		(2)		—		35		(43)		39		—		(46)		—		145		(3)
Commercial	163		(10)		—		48		(18)		31		—		(32)		—		182		(7)
Total trading mortgage-backed securities	$	983	$	(44)	$	—	$	176	$	(185)	$	217	$	—	$	(161)	$	—	$	986	$	(34)
U.S. Treasury and federal agency securities	$	1	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	23		(1)		—		—		—		—		—		(19)		—		3		—
Foreign government	53		(1)		—		8		(2)		49		—		(26)		—		81		(1)
Corporate	296		46		—		196		(51)		256		—		(162)		—		581		88
Marketable equity securities	225		6		—		14		(2)		66		—		(24)		—		285		5
Asset-backed securities	567		(1)		—		74		(18)		197		—		(280)		—		539		(5)
Other trading assets	1,094		373		—		16		(74)		178		—		(109)		—		1,478		378
Total trading non-derivative assets	$	3,242	$	377	$	—	$	484	$	(332)	$	963	$	—	$	(781)	$	—	$	3,953	$	431
Trading derivatives, net(4)
Interest rate contracts	$	260	$	(1,550)	$	—	$	(167)	$	(669)	$	(17)	$	—	$	13	$	168	$	(1,962)	$	(1,486)
Foreign exchange contracts	76		503		—		121		50		27		—		(42)		(35)		700		438
Equity contracts	(1,582)		(486)		—		(16)		572		(7)		—		(21)		(23)		(1,563)		(494)
Commodity contracts	230		188		—		74		(83)		9		—		(9)		(79)		330		18
Credit derivatives	(21)		(154)		—		(20)		36		—		—		—		4		(155)		(215)
Total trading derivatives, net(4)	$	(1,037)	$	(1,499)	$	—	$	(8)	$	(94)	$	12	$	—	$	(59)	$	35	$	(2,650)	$	(1,739)

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2023
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	28	$	—	$	1	$	—	$	—	$	4	$	—	$	(1)	$	—	$	32	$	(1)
Residential	25		—		—		—		—		—		—		—		—		25		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	53	$	—	$	1	$	—	$	—	$	4	$	—	$	(1)	$	—	$	57	$	(1)
U.S. Treasury and federal agency securities	$	51	$	—	$	—	$	—	$	—	$	—	$	—	$	(30)	$	—	$	21	$	—
State and municipal	521		—		(8)		—		(2)		—		—		(4)		—		507		(8)
Foreign government	551		—		7		15		(17)		363		—		(505)		—		414		7
Corporate	291		—		(4)		—		—		23		—		(20)		—		290		(4)
Marketable equity securities	12		—		1		—		—		—		—		—		—		13		(7)
Asset-backed securities	1		—		—		—		—		—		—		—		—		1		—
Other debt securities	4		—		1		—		(5)		57		—		—		—		57		—
Non-marketable equity securities	409		—		(14)		—		—		10		—		(1)		—		404		5
Total investments	$	1,893	$	—	$	(16)	$	15	$	(24)	$	457	$	—	$	(561)	$	—	$	1,764	$	(8)
Loans	$	640	$	—	$	(281)	$	2	$	(119)	$	—	$	—	$	—	$	(1)	$	241	$	(146)
Mortgage servicing rights	658		—		21		—		—		—		19		—		(17)		681		22
Other financial assets measured at fair value on a recurring basis	52		—		1		—		(1)		21		—		—		—		73		—
Liabilities
Interest-bearing deposits	$	16	$	(7)	$	—	$	—	$	—	$	—	$	13	$	—	$	(10)	$	26	$	(7)
Securities loaned and sold under agreements to repurchase	809		1		—		—		(24)		511		—		—		(668)		627		1
Trading account liabilities
Securities sold, not yet purchased	72		2		—		5		(15)		33		—		—		(31)		62		4
Other trading liabilities	1		—		—		3		—		—		—		—		—		4		(1)
Short-term borrowings	281		13		—		19		(11)		—		21		—		(1)		296		(4)
Long-term debt	36,581		893		—		2,130		(1,263)		—		808		—		(159)		37,204		591
Other financial liabilities measured on a recurring basis	20		—		(1)		—		(1)		—		3		—		—		23		(1)

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

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

(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2023.

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

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2023
Assets
Securities borrowed and purchased under agreements to resell	$	149	$	3	$	—	$	—	$	(2)	$	137	$	—	$	—	$	(147)	$	140	$	5
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	600		(10)		—		185		(266)		370		—		(220)		—		659		(35)
Residential	166		(1)		—		61		(62)		100		—		(119)		—		145		(13)
Commercial	145		(15)		—		104		(31)		50		—		(71)		—		182		(13)
Total trading mortgage-backed securities	$	911	$	(26)	$	—	$	350	$	(359)	$	520	$	—	$	(410)	$	—	$	986	$	(61)
U.S. Treasury and federal agency securities	$	1	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	7		(3)		—		19		—		—		—		(20)		—		3		—
Foreign government	119		6		—		8		(27)		61		—		(86)		—		81		5
Corporate	394		76		—		210		(178)		352		—		(273)		—		581		153
Marketable equity securities	192		9		—		26		(8)		97		—		(31)		—		285		10
Asset-backed securities	668		14		—		79		(81)		318		—		(459)		—		539		—
Other trading assets	648		401		—		261		(76)		468		—		(224)		—		1,478		411
Total trading non-derivative assets	$	2,940	$	476	$	—	$	953	$	(729)	$	1,816	$	—	$	(1,503)	$	—	$	3,953	$	518
Trading derivatives, net(4)
Interest rate contracts	$	355	$	(1,689)	$	—	$	(202)	$	(659)	$	(13)	$	—	$	13	$	233	$	(1,962)	$	(1,713)
Foreign exchange contracts	50		546		—		104		48		102		—		(81)		(69)		700		497
Equity contracts	(1,104)		(878)		—		(67)		806		(253)		—		(44)		(23)		(1,563)		(624)
Commodity contracts	278		(137)		—		174		240		(58)		—		(12)		(155)		330		(148)
Credit derivatives	(157)		(146)		—		(3)		136		2		—		—		13		(155)		(203)
Total trading derivatives, net(4)	$	(578)	$	(2,304)	$	—	$	6	$	571	$	(220)	$	—	$	(124)	$	(1)	$	(2,650)	$	(2,191)

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, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2023
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	(1)	$	—	$	—	$	4	$	—	$	(1)	$	—	$	32	$	(4)
Residential	41		—		—		—		—		—		—		(16)		—		25		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	71	$	—	$	(1)	$	—	$	—	$	4	$	—	$	(17)	$	—	$	57	$	(4)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	51	$	—	$	(30)	$	—	$	21	$	—
State and municipal	586		—		9		1		(77)		1		—		(13)		—		507		5
Foreign government	608		—		5		25		(18)		523		—		(729)		—		414		8
Corporate	343		—		(1)		—		(61)		81		—		(72)		—		290		(4)
Marketable equity securities	10		—		3		—		—		—		—		—		—		13		—
Asset-backed securities	1		—		—		—		—		—		—		—		—		1		—
Other debt securities	—		—		—		—		(5)		62		—		—		—		57		—
Non-marketable equity securities	430		—		(18)		2		—		16		—		(26)		—		404		5
Total investments	$	2,049	$	—	$	(3)	$	28	$	(161)	$	738	$	—	$	(887)	$	—	$	1,764	$	10
Loans	$	1,361	$	—	$	(264)	$	2	$	(309)	$	—	$	106	$	—	$	(655)	$	241	$	(133)
Mortgage servicing rights	665		—		18		—		—		—		31		—		(33)		681		20
Other financial assets measured at fair value on a recurring basis	57		—		(2)		—		(2)		22		—		(2)		—		73		—
Liabilities
Interest-bearing deposits	$	15	$	(7)	$	(2)	$	—	$	(1)	$	—	$	13	$	—	$	(10)	$	26	$	(7)
Securities loaned and sold under agreements to repurchase	1,031		(6)		—		—		(24)		1,335		—		—		(1,721)		627		—
Trading account liabilities
Securities sold, not yet purchased	50		(13)		—		11		(31)		64		—		—		(45)		62		6
Other trading liabilities	3		2		—		3		—		—		—		—		—		4		—
Short-term borrowings	38		40		—		19		(16)		—		297		—		(2)		296		(9)
Long-term debt	36,117		(227)		—		3,228		(6,106)		—		4,344		—		(606)		37,204		964
Other financial liabilities measured on a recurring basis	2		—		1		—		(1)		—		23		—		—		23		(1)

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

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

(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2023.

(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, 2022 to June 30, 2023:

•During the three and six months ended June 30, 2023, transfers of Long-term debt were $2.1 billion and $3.2 billion from Level 2 to Level 3, respectively. Of the $3.2 billion transfer, approximately $2.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.3 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $1.3 billion and $6.1 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2023, respectively.

The following were the significant Level 3 transfers for the period December 31, 2021 to June 30, 2022:

•During the three and six months ended June 30, 2022, transfers of Long-term debt were $3.3 billion and $6.7 billion, respectively, from Level 2 to Level 3. Of the $6.7 billion transfer in the six months ended June 30, 2022, approximately $4.5 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.2 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $2.6 billion and $3.5 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2022, respectively.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

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

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

As of June 30, 2023	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	$	140	Model-based	Interest rate	1.23		%	1.23		%	1.23		%
				Credit spread	15 bps			15 bps			15 bps
Mortgage-backed securities	$	726	Yield analysis	Yield	4.46		%	19.42		%	9.45		%
	310		Price-based	Price	$	1.11		$	102.74		$	53.57
State and municipal, foreign government, corporate and other debt securities	$	2,349	Price-based	Price	$	0.01		$	114.74		$	83.15
	973		Model-based	Credit spread	35 bps			508 bps			275 bps
				Forward price	17.46		%	218.96		%	102.59		%
				Commodity volatility	8.79		%	166.93		%	27.52		%
				Commodity correlation	(21.00)		%	95.73		%	43.10		%
Marketable equity securities(5)	$	241	Price-based	Price	$	—		$	10,165.30		$	171.81
	34		Model-based	WAL	3 years			3 years			3 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148
Asset-backed securities	$	463	Price-based	Price	$	5.45		$	140.00		$	70.87
	77		Yield analysis	Yield	6.12		%	11.91		%	8.58		%
Non-marketable equities	$	298	Comparables analysis	Illiquidity discount	10.00		%	12.00		%	10.08		%
	57		Cash flow	PE ratio	13.80x			15.40x			14.23x
				Discount to price	8.50		%	33.00		%	17.28		%
				Revenue multiple	3.70x			13.77x			10.94x
Derivatives—gross(6)
Interest rate contracts (gross)	$	6,435	Model-based	IR normal volatility	0.28		%	15.00		%	1.20		%
				Interest rate	2.57		%	5.24		%	3.13		%
Foreign exchange contracts (gross)	$	1,916	Model-based	IR normal volatility	0.28		%	44.99		%	1.71		%
Equity contracts (gross)(7)	$	4,062	Model-based	Equity volatility	—		%	279.49		%	33.30		%
				Equity forward	72.62		%	265.04		%	105.44		%
				Equity-FX correlation	(90.00)		%	70.00		%	(11.24)		%
				WAL	3 years			3 years			3 years
				Recovery (in millions)	$	7,148		$	7,148		$	7,148
				Equity-IR correlation	(22.00)		%	60.00		%	30.04		%
Commodity and other contracts (gross)	$	1,772	Model-based	Commodity correlation	(21.00)		%	95.73		%	43.10		%
				Commodity volatility	8.79		%	166.93		%	27.52		%
				Forward price	17.46		%	463.41		%	104.70		%
Credit derivatives (gross)	$	1,307	Model-based	Credit spread	7 bps			520 bps			95 bps
	510		Price-based	Recovery rate	6.00		%	75.00		%	37.52		%
				Credit correlation	30.00		%	90.00		%	50.34		%
				Price	$	3.66		$	99.49		$	36.20
				Upfront points	(0.64)		%	99.00		%	54.49		%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	95	Price-based	Price	$	0.01		$	106.50		$	87.76

As of June 30, 2023	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Loans and leases	$	234	Price-based	Price	$	69.49		$	106.96		$	72.06
				Forward price	17.46		%	383.18		%	109.86		%
				Commodity volatility	8.79		%	166.93		%	27.52		%
				Commodity correlation	(21.00)		%	95.73		%	43.10		%
Mortgage servicing rights	$	597	Cash flow	Yield	—		%	12.00		%	5.12		%
	85		Model-based	WAL	3.84 years			9.17 years			7.71 years
Liabilities
Interest-bearing deposits	$	26	Model-based	Forward price	100.00		%	100.00		%	100.00		%
Securities loaned and sold under agreements to repurchase	$	627	Model-based	Interest rate	3.96		%	5.53		%	4.24		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	60	Price-based	Price	$	—		$	10,616		$	72
Short-term borrowings and long-term debt	$	37,378	Model-based	IR normal volatility	0.28		%	13.00		%	1.07		%

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
				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		%

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

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

(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.

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

(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.

(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(7)Includes hybrid products.

Items Measured at Fair Value on a Nonrecurring Basis

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

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

In millions of dollars	Fair value		Level 2		Level 3
June 30, 2023
Loans HFS(1)	$	2,325	$	761	$	1,564
Other real estate owned	3		—		3
Loans(2)	170		—		170
Non-marketable equity securities measured using the measurement alternative	48		—		48
Total assets at fair value on a nonrecurring basis	$	2,546	$	761	$	1,785

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

(1)Net of mark-to-market amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.

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

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

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

As of June 30, 2023	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans HFS	$	1,558	Price-based	Price	$	75.00	$	100.00	$	89.85
Other real estate owned	$	2	Price-based	Appraised value(4)	$	24,300	$	666,000	$	404,791
Loans(5)	$	86	Recovery analysis	Appraised value(4)	$	12,000	$	77,400,786	$	42,187,539
	83		Price-based
Non-marketable equity securities measured using the measurement alternative	$	35	Price-based	Price	$	0.10	$	3.30	$	2.25
	13		Comparable analysis	Revenue multiple	1.20x		10.20x		9.19x

As of December 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans HFS	$	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	Comparable analysis	Revenue multiple	4.95x		73.10x		19.68x
	363		Price-based	Price	$	0.46	$	2,416.43	$	557.86

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

(4)Appraised values are disclosed in whole dollars.

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

Nonrecurring Fair Value Changes

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:

	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2023		2022		2023		2022
Loans HFS	$	(15)	$	(86)	$	(26)	$	(223)
Other real estate owned	—		—		—		—
Loans(1)	(16)		4		(18)		9
Non-marketable equity securities measured using the measurement alternative	(27)		43		(54)		128
Total nonrecurring fair value gains (losses)	$	(58)	$	(39)	$	(98)	$	(86)

(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.

	June 30, 2023				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments, net of allowance	$	267.5	$	243.6	$	124.1	$	117.2	$	2.3
Securities borrowed and purchased under agreements to resell	127.0		127.0		—		127.0		—
Loans(1)(2)	637.1		646.9		—		—		646.9
Other financial assets(2)(3)	389.0		389.0		279.2		17.7		92.1
Liabilities
Deposits	$	1,317.3	$	1,316.3	$	—	$	1,124.6	$	191.7
Securities loaned and sold under agreements to repurchase	197.2		197.2		—		197.2		—
Long-term debt(4)	158.6		160.7		—		148.9		11.8
Other financial liabilities(5)	136.7		136.7		—		31.6		105.1

	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

(1)The carrying value of loans is net of the allowance for credit losses on loans of $17.5 billion for June 30, 2023 and $17.0 billion for December 31, 2022. In addition, the carrying values exclude $0.3 billion and $0.4 billion of lease finance receivables at June 30, 2023 and December 31, 2022, 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 June 30, 2023 and December 31, 2022 were off-balance sheet liabilities of $8.1 billion and $13.7 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 cancelable by providing notice to the borrower.