FAIR VALUE MEASUREMENT (Tables)

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Schedule of CVA and FVA applied to fair value of 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)

Schedule of pretax gains (losses) related to changes in CVA, FVA and DVA

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

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 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.

Significant valuation techniques and most significant unobservable inputs used in Level 3 fair value measurements

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.

Items measured at fair value of a nonrecurring basis

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

In millions of dollars	Fair value		Level 2		Level 3
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.

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.

Changes in total nonrecurring fair value measurements

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

	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

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.