FAIR VALUE MEASUREMENT

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

ASC 820-10, Fair Value Measurement, defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, and therefore represents an exit price. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

Under ASC 820-10, the probability of counterparty default is factored into the valuation of derivatives and other positions, and the impact of Citigroup’s own credit risk is factored into the valuation of derivatives and other liabilities that are measured at fair value.

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 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 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.

Determination of Fair Value

For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election, a non-recurring lower-of-cost-or-market (LOCOM) adjustment, or because they are required to be measured at fair value.

When available, the Company uses quoted market prices from active markets to determine fair value and classifies such items as Level 1. In some specific cases where a market price is available, the Company will apply practical expedients (such as matrix pricing) to calculate fair value, in which case the items may be classified as Level 2.

The Company may also apply a price-based methodology that utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. If relevant and observable prices are available, those valuations may be classified as Level 2. However, when there are one or more significant unobservable “price” inputs, those valuations will be classified as Level 3. Furthermore, when a quoted price is considered stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security being valued, or alternatively, when prices from independent sources are insufficient to corroborate a valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.

If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified as Level 3 even though there may be some significant inputs that are readily observable.

Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendor and broker valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models, and the Company assesses the quality and relevance of this information in determining the estimate of fair value. The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Market Valuation Adjustments

Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which do not include adjustments due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure

certain portfolios of financial instruments that meet those criteria, such as derivatives, on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions.

Valuation adjustments are applied to items classified as Level 2 or Level 3 in the fair value hierarchy to ensure that the fair value reflects the price at which the net open risk position could be exited. These valuation adjustments are based on the bid/offer spread for an instrument in the market. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the valuation adjustment may take into account the size of the position.

Credit valuation adjustments (CVA) and funding valuation adjustments (FVA) are applied to certain over-the-counter (OTC) derivative instruments where adjustments to reflect counterparty credit risk, own credit risk and term funding risk are required to estimate fair value. This principally includes derivatives with a base valuation (e.g., discounted using overnight indexed swap (OIS)) requiring adjustment for these effects, such as uncollateralized interest rate swaps. The CVA represents a portfolio-level adjustment to reflect the risk premium associated with the counterparty’s (assets) or Citi’s (liabilities) non-performance risk.

The FVA represents a market funding risk premium inherent in the uncollateralized portion of a derivative portfolio and in certain collateralized derivative portfolios that do not include standard credit support annexes (CSAs), such as where the CSA does not permit the reuse of collateral received. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements in which the terms do not permit the Company to reuse the collateral received, including where counterparties post collateral to third-party custodians. Citi’s CVA and FVA methodologies consist of two steps:

•First, the exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants and sources of funding, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance and term funding risk, rather than using the current recognized net asset or liability as a basis to measure the CVA and FVA.

•Second, for CVA, market-based views of default probabilities derived from observed credit spreads in the credit default swap (CDS) market are applied to the 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 parties. 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, 2023 and 2022:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	December 31, 2023		December 31, 2022
Counterparty CVA	$	(580)	$	(816)
Asset FVA	(562)		(622)
Citigroup (own credit) CVA	381		607
Liability FVA	255		263
Total CVA and FVA—derivative instruments	$	(506)	$	(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 years indicated:

	Credit/funding/debt valuation adjustments gain (loss)
In millions of dollars	2023		2022		2021
Counterparty CVA	$	(31)	$	(227)	$	79
Asset FVA	64		(102)		96
Own credit CVA	(212)		157		(33)
Liability FVA	(23)		155		(22)
Total CVA and FVA—derivative instruments	$	(202)	$	(17)	$	120
DVA related to own FVO liabilities(1)	$	(2,078)	$	2,685	$	296
Total CVA, DVA and FVA	$	(2,280)	$	2,668	$	416

(1)    See Note 21.

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 within 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 instruments 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 within Level 2 of 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 within 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 valuation.

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 within Level 3 of the fair value hierarchy.

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 within 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 within Level 2 or Level 3 depending on the observability of significant inputs to the valuation.

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, 2023 and 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 December 31, 2023	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	453,715	$	139	$	453,854	$	(247,795)	$	206,059
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		79,795		581		80,376		—		80,376
Residential	1		597		116		714		—		714
Commercial	—		464		202		666		—		666
Total trading mortgage-backed securities	$	1	$	80,856	$	899	$	81,756	$	—	$	81,756
U.S. Treasury and federal agency securities	$	112,851	$	2,398	$	7	$	115,256	$	—	$	115,256
State and municipal	—		594		3		597		—		597
Foreign government	44,203		28,238		54		72,495		—		72,495
Corporate	1,858		16,716		500		19,074		—		19,074
Equity securities	32,966		12,135		292		45,393		—		45,393
Asset-backed securities	—		1,223		531		1,754		—		1,754
Other trading assets(2)	97		16,784		833		17,714		—		17,714
Total trading non-derivative assets	$	191,976	$	158,944	$	3,119	$	354,039	$	—	$	354,039
Trading derivatives
Interest rate contracts	$	49	$	156,307	$	2,138	$	158,494
Foreign exchange contracts	—		158,672		1,022		159,694
Equity contracts	8		41,870		1,400		43,278
Commodity contracts	2		16,456		1,111		17,569
Credit derivatives	—		7,564		775		8,339
Total trading derivatives—before netting and collateral	$	59	$	380,869	$	6,446	$	387,374
Netting agreements									$	(308,431)
Netting of cash collateral received									(21,226)
Total trading derivatives—after netting and collateral	$	59	$	380,869	$	6,446	$	387,374	$	(329,657)	$	57,717
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	29,640	$	75	$	29,715	$	—	$	29,715
Residential	—		307		116		423		—		423
Commercial	—		1		—		1		—		1
Total investment mortgage-backed securities	$	—	$	29,948	$	191	$	30,139	$	—	$	30,139
U.S. Treasury and federal agency securities	$	80,062	$	299	$	—	$	80,361	$	—	$	80,361
State and municipal	—		1,589		542		2,131		—		2,131
Foreign government	60,133		70,871		194		131,198		—		131,198
Corporate	2,680		2,370		362		5,412		—		5,412
Marketable equity securities	159		72		27		258		—		258
Asset-backed securities	—		938		—		938		—		938
Other debt securities	—		6,757		—		6,757		—		6,757
Non-marketable equity securities	—		—		483		483		—		483
Total investments	$	143,034	$	112,844	$	1,799	$	257,677	$	—	$	257,677

Table continues on the next page.

In millions of dollars at December 31, 2023	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	7,167		$	427		$	7,594	$	—	$	7,594
Mortgage servicing rights	—			—			691			691		—		691
Non-trading derivatives and other financial assets measured on a recurring basis	$	4,677		$	8,321		$	30		$	13,028	$	—	$	13,028
Total assets	$	339,746		$	1,121,860		$	12,651		$	1,474,257	$	(577,452)	$	896,805
Total as a percentage of gross assets(3)	23.0		%	76.1		%	0.9		%
Liabilities
Interest-bearing deposits	$	—		$	2,411		$	29		$	2,440	$	—	$	2,440
Securities loaned and sold under agreements to repurchase	—			228,048			390			228,438		(165,953)		62,485
Trading account liabilities
Securities sold, not yet purchased	91,163			13,460			35			104,658		—		104,658
Other trading liabilities	—			8			—			8		—		8
Total trading account liabilities	$	91,163		$	13,468		$	35		$	104,666	$	—	$	104,666
Trading derivatives
Interest rate contracts	$	49		$	149,914		$	3,223		$	153,186
Foreign exchange contracts	—			156,474			727			157,201
Equity contracts	18			44,894			3,034			47,946
Commodity contracts	—			17,964			832			18,796
Credit derivatives	—			7,234			848			8,082
Total trading derivatives—before netting and collateral	$	67		$	376,480		$	8,664		$	385,211
Netting agreements												$	(308,431)
Netting of cash collateral paid												(26,101)
Total trading derivatives—after netting and collateral	$	67		$	376,480		$	8,664		$	385,211	$	(334,532)	$	50,679
Short-term borrowings	$	—		$	6,064		$	481		$	6,545	$	—	$	6,545
Long-term debt	—			77,958			38,380			116,338		—		116,338
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	4,298		$	130		$	6		$	4,434	$	—	$	4,434
Total liabilities	$	95,528		$	704,559		$	47,985		$	848,072	$	(500,485)	$	347,587
Total as a percentage of gross liabilities(3)	11.3		%	83.0		%	5.7		%

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

(2)Amounts exclude $25 million of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(3)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									(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	—		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(3)	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												(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
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(3)	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)Amounts exclude $27 million of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(3)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, 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 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, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Dec. 31, 2023
Assets
Securities borrowed and purchased under agreements to resell	$	149	$	8	$	—	$	—	$	(2)	$	308	$	—	$	—	$	(324)	$	139	$	13
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	600		7		—		396		(543)		616		—		(495)		—		581		14
Residential	166		2		—		103		(110)		197		—		(242)		—		116		(20)
Commercial	145		(25)		—		202		(88)		118		—		(150)		—		202		(15)
Total trading mortgage-backed securities	$	911	$	(16)	$	—	$	701	$	(741)	$	931	$	—	$	(887)	$	—	$	899	$	(21)
U.S. Treasury and federal agency securities	$	1	$	(4)	$	—	$	10	$	—	$	—	$	—	$	—	$	—	$	7	$	—
State and municipal	7		(3)		—		21		(2)		—		—		(20)		—		3		—
Foreign government	119		(18)		—		8		(66)		174		—		(163)		—		54		(1)
Corporate	394		289		—		285		(691)		1,163		—		(940)		—		500		(6)
Marketable equity securities	192		68		—		99		(39)		146		—		(174)		—		292		62
Asset-backed securities	668		25		—		105		(138)		801		—		(930)		—		531		12
Other trading assets	648		184		—		609		(437)		919		2		(1,086)		(6)		833		28
Total trading non-derivative assets	$	2,940	$	525	$	—	$	1,838	$	(2,114)	$	4,134	$	2	$	(4,200)	$	(6)	$	3,119	$	74
Trading derivatives, net(4)
Interest rate contracts	$	355	$	(1,588)	$	—	$	(172)	$	(314)	$	21	$	6	$	58	$	549	$	(1,085)	$	(1,481)
Foreign exchange contracts	50		412		—		91		46		135		—		(107)		(332)		295		(144)
Equity contracts	(1,104)		(672)		—		32		858		(819)		—		(114)		185		(1,634)		(927)
Commodity contracts	278		324		—		235		77		(389)		—		(34)		(212)		279		(284)
Credit derivatives	(157)		(220)		—		(1)		307		(8)		—		—		6		(73)		(54)
Total trading derivatives, net(4)	$	(578)	$	(1,744)	$	—	$	185	$	974	$	(1,060)	$	6	$	(197)	$	196	$	(2,218)	$	(2,890)

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, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Dec. 31, 2023
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	4	$	—	$	(3)	$	47	$	—	$	(3)	$	—	$	75	$	2
Residential	41		—		1		—		—		90		—		(16)		—		116		1
Total investment mortgage-backed securities	$	71	$	—	$	5	$	—	$	(3)	$	137	$	—	$	(19)	$	—	$	191	$	3
U.S. Treasury and federal agency securities	$	—	$	—	$	(1)	$	—	$	(20)	$	51	$	—	$	(30)	$	—	$	—	$	—
State and municipal	586		—		27		2		(86)		64		—		(51)		—		542		31
Foreign government	608		—		(13)		27		(327)		850		—		(951)		—		194		(3)
Corporate	343		—		(2)		49		(61)		131		—		(98)		—		362		(4)
Marketable equity securities	10		—		17		—		—		—		—		—		—		27		—
Asset-backed securities	1		—		(1)		30		—		—		—		(30)		—		—		—
Other debt securities	—		—		1		—		(63)		62		—		—		—		—		—
Non-marketable equity securities	430		—		31		8		—		42		—		(28)		—		483		82
Total investments	$	2,049	$	—	$	64	$	116	$	(560)	$	1,337	$	—	$	(1,207)	$	—	$	1,799	$	109
Loans	$	1,361	$	—	$	(236)	$	32	$	(309)	$	—	$	241	$	—	$	(662)	$	427	$	(16)
Mortgage servicing rights	665		—		28		—		—		—		66		—		(68)		691		20
Other financial assets measured at fair value on a recurring basis	57		—		(24)		—		(2)		50		22		(32)		(41)		30		—
Liabilities
Interest-bearing deposits	$	15	$	(7)	$	(4)	$	50	$	(118)	$	—	$	84	$	—	$	(13)	$	29	$	9
Securities loaned and sold under agreements to repurchase	1,031		(5)		—		—		(24)		1,335		61		—		(2,018)		390		—
Trading account liabilities
Securities sold, not yet purchased	50		(30)		—		22		(49)		123		—		—		(141)		35		(13)
Other trading liabilities	3		1		—		4		(2)		3		—		—		(7)		—		—
Short-term borrowings	38		44		—		62		(31)		2		488		—		(34)		481		(27)
Long-term debt	36,117		(1,039)		—		4,913		(10,215)		—		9,811		—		(3,285)		38,380		(2,644)
Other financial liabilities measured on a recurring basis	2		—		6		—		(1)		6		49		(20)		(24)		6		—

(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, 2023.

(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, 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
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)

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
Loans	$	711	$	—	$	15	$	426	$	(208)	$	—	$	569	$	—	$	(152)	$	1,361	$	145
Mortgage servicing rights	404		—		201		—		—		—		120		—		(60)		665		199
Other financial assets measured at fair value 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 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 December 31, 2023:

•During the 12 months ended December 31, 2023, transfers of Long-term debt were $4.9 billion from Level 2 to Level 3. Of the $4.9 billion transfer, approximately $4.2 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.6 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 $10.2 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the 12 months ended December 31, 2023.

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, 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 primarily 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.

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 represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

As of December 31, 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	$	139	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	4.00		%	4.00		%	4.00		%
Mortgage-backed securities	$	679	Price-based	Price	$	1.67		$	124.63		$	55.39
	401		Yield analysis	Yield	4.63		%	19.08		%	8.93		%
State and municipal, foreign government, corporate and other debt securities	$	1,582	Price-based	Price	$	0.01		$	123.74		$	79.71
	778		Model-based	Credit spread	35 bps			550 bps			304 bps
Marketable equity securities(5)	$	259	Price-based	Price	$	—		$	12,189.17		$	168.09
	38		Model-based	WAL	2.24 years			2.24 years			2.24 years
				Recovery (in millions)	$	7,398		$	7,398		$	7,398
Asset-backed securities	$	475	Price-based	Price	$	3.50		$	129.00		$	65.87
	57		Yield analysis	Yield	5.93		%	18.86		%	8.57		%
Non-marketable equities	$	366	Comparables analysis	Illiquidity discount	8.00		%	10.00		%	8.82		%
				PE ratio	9.30x			16.50x			11.37x
				Revenue multiple	2.80x			13.40x			12.28x
				EBITDA multiples	15.80x			15.80x			15.80x
	56		Cash flow	Discount to price	8.50		%	8.50		%	8.50		%
	50		Price-based	Price	$	0.40		$	158.92		$	56.78
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,237	Model-based	IR normal volatility	(0.07)		%	15.00		%	1.44		%
				Interest rate	2.70		%	5.40		%	3.20		%
Foreign exchange contracts (gross)	$	1,652	Model-based	IR normal volatility	(0.07)		%	12.05		%	1.50		%
				IR basis	(1.45)		%	147.79		%	7.11		%
Equity contracts (gross)(7)	$	4,239	Model-based	Equity volatility	0.10		%	334.35		%	38.35		%
				Equity forward	54.14		%	273.54		%	101.44		%
				Equity-FX correlation	(79.00)		%	70.00		%	(7.66)		%
				Equity-Equity correlation	(6.49)		%	97.44		%	80.42		%
				WAL	2.24 years			2.24 years			2.24 years
				Recovery (in millions)	$	7,398		$	7,398		$	7,398
Commodity and other contracts (gross)	$	1,943	Model-based	Forward price	31.70		%	425.51		%	134.65		%
				Commodity volatility	14.72		%	149.99		%	37.03		%
				Commodity correlation	(45.33)		%	93.02		%	45.03		%
Credit derivatives (gross)	$	1,135	Model-based	Credit spread	11.43 bps			1,519 bps			140.34 bps
				Credit spread volatility	23.94		%	115.66		%	42.76		%

As of December 31, 2023	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				Recovery rate	15.00		%	75.00		%	36.56		%
	378		Price-based	Upfront points	1.25		%	117.31		%	58.10		%
				Price	$	37.67		$	97.00		$	79.54
Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	36	Price-based	Price	$	0.01		$	104.79		$	90.87
Loans and leases	$	316	Price-based	Price	$	98.80		$	98.80		$	98.80
	111		Model-based	Forward price	33.48		%	348.43		%	115.47		%
				Commodity volatility	26.51		%	66.80		%	31.79		%
				Commodity correlation	(45.33)		%	93.02		%	(7.28)		%
				Equity volatility	41.61		%	45.40		%	43.17		%
Mortgage servicing rights	$	595	Cash flow	WAL	1.00 years			8.76 years			1.29 years
	66		Model-based	Yield	—		%	12.00		%	8.06		%
Liabilities
Interest-bearing deposits	$	29	Model-based	Forward price	100.00		%	100.00		%	100.00		%
Securities loaned and sold under agreements to repurchase	$	390	Model-based	Interest rate	3.92		%	5.27		%	3.96		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	23	Price-based	Price	$	—		$	12,189.17		$	28.70
	7		Yield analysis	Yield	7.46		%	7.46		%	7.46		%
	5		Model-based	FX volatility	3.56		%	28.13		%	13.17		%
Short-term borrowings and long-term debt	$	38,794	Model-based	IR normal volatility	0.32		%	20.00		%	1.25		%

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	$	732	Yield analysis	Yield	4.41		%	20.30		%	9.74		%
	228		Price-based	Price	$	1.04		$	99.71		$	51.51
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	Revenue multiple	3.60x			13.90x			12.40x
				PE ratio	14.00x			15.70x			15.16x
				Illiquidity discount	8.60		%	17.00		%	10.16		%
	101		Price-based	Cost of capital	8.10		%	17.50		%	10.44		%
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		%

As of December 31, 2022	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				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)	$	7,148.00		$	7,148.00		$	7,148.00
				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
				Credit correlation	25.00		%	80.00		%	42.38		%
				Recovery rate	25.00		%	75.00		%	42.27		%
				Credit spread volatility	35.58		%	64.79		%	40.47		%
	439		Price-based	Price	$	31.71		$	99.00		$	78.75
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		%
				Forward price	14.27		%	324.85		%	105.07		%
				Equity forward	68.34		%	271.61		%	103.49		%
	304		Price-based	Price	$	0.01		$	100.53		$	84.77
Mortgage servicing rights	$	580	Cash flow	WAL	3.92 years			9.33 years			7.71 years
	84		Model-based	Yield	(0.40)		%	13.20		%	5.36		%
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.

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, 2023
Loans HFS(1)	$	1,171	$	495	$	676
Other real estate owned	4		—		4
Loans(2)	328		—		328
Non-marketable equity securities measured using the measurement alternative	359		—		359
Total assets at fair value on a nonrecurring basis	$	1,862	$	495	$	1,367

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.

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, 2023	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans HFS	$	674	Price-based	Price	$	67.50	$	100.00	$	93.39
Loans(5)	$	296	Recovery analysis	Appraised value(4)	$	12,000	$	75,997,078	$	46,121,923
Non-marketable equity securities measured using the measurement alternative	$	250	Price-based	Price	$	1.57	$	2,637.00	$	1,114.06
	109		Comparable analysis	Revenue multiple	2.3x		35.7x		11.69x
Other real estate owned	$	3	Price-based	Appraised value(4)	$	401,042	$	2,061,700	$	155,696

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	$	363	Price-based	Price	$	0.46	$	2,416.43	$	557.86
	234		Comparable analysis	Revenue multiple	4.95x		73.10x		19.68x

(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:

	Year ended December 31,
In millions of dollars	2023		2022
Loans HFS	$	(119)	$	(58)
Other real estate owned	—		—
Loans(1)	(148)		13
Non-marketable equity securities measured using the measurement alternative	(72)		315
Total nonrecurring fair value gains (losses)	$	(339)	$	270

(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, 2023				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
HTM debt securities, net of allowance(1)	$	259.7	$	240.6	$	124.0	$	114.1	$	2.5
Securities borrowed and purchased under agreements to resell	139.6		139.7		—		139.7		—
Loans(2)(3)	663.3		673.2		—		—		673.2
Other financial assets(3)(4)	347.5		347.5		243.1		17.8		86.6
Liabilities
Deposits	$	1,306.2	$	1,305.9	$	—	$	1,116.5	$	189.4
Securities loaned and sold under agreements to repurchase	215.6		215.6		—		215.6		—
Long-term debt(5)	170.3		173.4		—		168.0		5.4
Other financial liabilities(6)	132.8		132.8		—		29.2		103.6

	December 31, 2022				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
HTM debt securities, net of allowance(1)	$	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(2)(3)	634.5		634.9		—		—		634.9
Other financial assets(3)(4)	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(5)	165.6		160.5		—		151.1		9.4
Other financial liabilities(6)	142.4		142.4		—		26.5		115.9

(1)Includes $5.5 billion and $5.5 billion of non-marketable equity securities carried at cost at December 31, 2023 and 2022, respectively.

(2)The carrying value of loans is net of the allowance for credit losses on loans of $18.1 billion for December 31, 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 December 31, 2023 and 2022, respectively.

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

(4)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.

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

(6)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, 2023 and 2022 were off-balance sheet liabilities of $14.2 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.