FAIR VALUE MEASUREMENT

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 26 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Fair Value Hierarchy

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

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

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

•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or 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 on the frequency of observed transactions and the quality of independent market data available on the measurement date.

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

•Otherwise, an instrument is classified as Level 3.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at March 31, 2024 and December 31, 2023:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2024		December 31, 2023
Counterparty CVA	$	(486)	$	(580)
Asset FVA	(463)		(562)
Citigroup (own credit) CVA	327		381
Liability FVA	199		255
Total CVA and FVA—derivative instruments	$	(423)	$	(506)

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

	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended March 31,
In millions of dollars	2024		2023
Counterparty CVA	$	8	$	(34)
Asset FVA	84		(6)
Own credit CVA	(52)		(35)
Liability FVA	(57)		(28)
Total CVA and FVA—derivative instruments	$	(17)	$	(103)
DVA related to own FVO liabilities(1)	$	(750)	$	(433)
Total CVA, DVA and FVA	$	(767)	$	(536)

(1)    See Note 21 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2024 and December 31, 2023. 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 March 31, 2024	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	454,340	$	132	$	454,472	$	(260,926)	$	193,546
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		75,690		531		76,221		—		76,221
Residential	—		716		170		886		—		886
Commercial	—		515		159		674		—		674
Total trading mortgage-backed securities	$	—	$	76,921	$	860	$	77,781	$	—	$	77,781
U.S. Treasury and federal agency securities	$	106,157	$	3,239	$	—	$	109,396	$	—	$	109,396
State and municipal	—		380		1		381		—		381
Foreign government	54,414		37,396		113		91,923		—		91,923
Corporate	1,284		19,668		464		21,416		—		21,416
Equity securities	45,761		13,228		232		59,221		—		59,221
Asset-backed securities	—		1,322		370		1,692		—		1,692
Other trading assets(2)	218		15,091		752		16,061		—		16,061
Total trading non-derivative assets	$	207,834	$	167,245	$	2,792	$	377,871	$	—	$	377,871
Trading derivatives
Interest rate contracts	$	46	$	146,204	$	2,087	$	148,337
Foreign exchange contracts	1		132,044		1,104		133,149
Equity contracts	12		55,656		934		56,602
Commodity contracts	—		14,902		1,174		16,076
Credit derivatives	—		8,064		728		8,792
Total trading derivatives—before netting and collateral	$	59	$	356,870	$	6,027	$	362,956
Netting agreements									$	(285,867)
Netting of cash collateral received									(23,492)
Total trading derivatives—after netting and collateral	$	59	$	356,870	$	6,027	$	362,956	$	(309,359)	$	53,597
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	31,915	$	27	$	31,942	$	—	$	31,942
Residential	—		502		25		527		—		527
Commercial	—		1		—		1		—		1
Total investment mortgage-backed securities	$	—	$	32,418	$	52	$	32,470	$	—	$	32,470
U.S. Treasury and federal agency securities	$	75,033	$	—	$	—	$	75,033	$	—	$	75,033
State and municipal	—		1,509		479		1,988		—		1,988
Foreign government	64,280		69,394		24		133,698		—		133,698
Corporate	2,989		1,644		388		5,021		—		5,021
Marketable equity securities	271		8		8		287		—		287
Asset-backed securities	—		939		—		939		—		939
Other debt securities	—		5,749		—		5,749		—		5,749
Non-marketable equity securities	—		—		488		488		—		488
Total investments	$	142,573	$	111,661	$	1,439	$	255,673	$	—	$	255,673

Table continues on the next page.

In millions of dollars at March 31, 2024	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	7,797		$	1,057		$	8,854	$	—	$	8,854
Mortgage servicing rights	—			—			702			702		—		702
Non-trading derivatives and other financial assets measured on a recurring basis	$	4,198		$	9,203		$	31		$	13,432	$	—	$	13,432
Total assets	$	354,664		$	1,107,116		$	12,180		$	1,473,960	$	(570,285)	$	903,675
Total as a percentage of gross assets(3)	24.1%			75.1%			0.8%
Liabilities
Interest-bearing deposits	$	13		$	2,820		$	72		$	2,905	$	—	$	2,905
Securities loaned and sold under agreements to repurchase	—			256,658			326			256,984		(183,203)		73,781
Trading account liabilities
Securities sold, not yet purchased	96,215			13,816			105			110,136		—		110,136
Other trading liabilities	—			10			—			10		—		10
Total trading account liabilities	$	96,215		$	13,826		$	105		$	110,146	$	—	$	110,146
Trading derivatives
Interest rate contracts	$	39		$	137,720		$	3,449		$	141,208
Foreign exchange contracts	—			123,578			769			124,347
Equity contracts	31			65,221			3,156			68,408
Commodity contracts	—			16,726			832			17,558
Credit derivatives	—			7,807			765			8,572
Total trading derivatives—before netting and collateral	$	70		$	351,052		$	8,971		$	360,093
Netting agreements												$	(285,867)
Netting of cash collateral paid												(27,720)
Total trading derivatives—after netting and collateral	$	70		$	351,052		$	8,971		$	360,093	$	(313,587)	$	46,506
Short-term borrowings	$	—		$	7,548		$	583		$	8,131	$	—	$	8,131
Long-term debt	—			74,953			40,364			115,317		—		115,317
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	3,697		$	297		$	3		$	3,997	$	—	$	3,997
Total liabilities	$	99,995		$	707,154		$	50,424		$	857,573	$	(496,790)	$	360,783
Total as a percentage of gross liabilities(3)	11.6		%	82.5		%	5.9		%

(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 net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(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, 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(3)	—		—		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 NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(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 three months ended March 31, 2024 and 2023. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

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

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

Level 3 Fair Value Rollforward

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2024
Assets
Securities borrowed and purchased under agreements to resell	$	139	$	(5)	$	—	$	—	$	—	$	45	$	—	$	—	$	(47)	$	132	$	(4)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	581		(39)		—		79		(154)		200		—		(136)		—		531		(33)
Residential	116		2		—		36		(35)		313		—		(262)		—		170		2
Commercial	202		14		—		13		(67)		97		—		(100)		—		159		4
Total trading mortgage-backed securities	$	899	$	(23)	$	—	$	128	$	(256)	$	610	$	—	$	(498)	$	—	$	860	$	(27)
U.S. Treasury and federal agency securities	$	7	$	4	$	—	$	—	$	(1)	$	—	$	—	$	—	$	(10)	$	—	$	—
State and municipal	3		—		—		—		—		—		—		(2)		—		1		—
Foreign government	54		—		—		12		(40)		125		—		(38)		—		113		2
Corporate	500		73		—		13		(208)		260		—		(166)		(8)		464		68
Marketable equity securities	292		18		—		29		(23)		31		—		(115)		—		232		10
Asset-backed securities	531		3		—		15		(118)		136		—		(197)		—		370		(39)
Other trading assets	833		67		—		57		(68)		75		4		(215)		(1)		752		46
Total trading non-derivative assets	$	3,119	$	142	$	—	$	254	$	(714)	$	1,237	$	4	$	(1,231)	$	(19)	$	2,792	$	60
Trading derivatives, net(4)
Interest rate contracts	$	(1,085)	$	(485)	$	—	$	31	$	(29)	$	(27)	$	6	$	3	$	224	$	(1,362)	$	(580)
Foreign exchange contracts	295		(46)		—		2		93		694		—		(22)		(681)		335		(147)
Equity contracts	(1,634)		(349)		—		(144)		213		(270)		—		(1)		(37)		(2,222)		383
Commodity contracts	279		82		—		31		(6)		10		—		(11)		(43)		342		143
Credit derivatives	(73)		59		—		(3)		(31)		8		—		—		3		(37)		(63)
Total trading derivatives, net(4)	$	(2,218)	$	(739)	$	—	$	(83)	$	240	$	415	$	6	$	(31)	$	(534)	$	(2,944)	$	(264)

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Mar. 31, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	75	$	—	$	(3)	$	—	$	—	$	3	$	—	$	(48)	$	—	$	27	$	(3)
Residential	116		—		(1)		—		(90)		—		—		—		—		25		(1)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	191	$	—	$	(4)	$	—	$	(90)	$	3	$	—	$	(48)	$	—	$	52	$	(4)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	542		—		(26)		—		(1)		—		—		(36)		—		479		(28)
Foreign government	194		—		(8)		6		(168)		36		—		(36)		—		24		—
Corporate	362		—		—		30		(28)		41		—		(17)		—		388		6
Marketable equity securities	27		—		(19)		—		—		—		—		—		—		8		—
Asset-backed securities	—		—		—		—		—		—		—		—		—		—		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	483		—		(5)		—		—		39		—		(29)		—		488		(11)
Total investments	$	1,799	$	—	$	(62)	$	36	$	(287)	$	119	$	—	$	(166)	$	—	$	1,439	$	(37)
Loans	$	427	$	—	$	(29)	$	663	$	(40)	$	—	$	104	$	—	$	(68)	$	1,057	$	(6)
Mortgage servicing rights	691		—		12		—		—		—		17		—		(18)		702		18
Other financial assets measured at fair value on a recurring basis	30		—		(1)		—		—		3		13		—		(14)		31		(1)
Liabilities
Interest-bearing deposits	$	29	$	—	$	3	$	46	$	(1)	$	—	$	5	$	—	$	(4)	$	72	$	3
Securities loaned and sold under agreements to repurchase	390		—		—		—		—		254		—		—		(318)		326		—
Trading account liabilities
Securities sold, not yet purchased	35		(6)		—		1		(2)		87		—		—		(22)		105		(5)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—
Short-term borrowings	481		(94)		—		11		(38)		1		34		—		—		583		(64)
Long-term debt	38,380		595		—		1,358		(840)		—		3,590		—		(1,529)		40,364		619
Other financial liabilities measured on a recurring basis	6		—		—		—		—		—		3		—		(6)		3		—

(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 March 31, 2024.

(4)Total Level 3 trading 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, 2023 to March 31, 2024:

•Transfers of Long-term debt were $1.4 billion from Level 2 to Level 3. Of the $1.4 billion transfer, approximately $0.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.4 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 $0.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three months ended March 31, 2024.

The following were the significant Level 3 transfers for the period December 31, 2022 to March 31, 2023:

•Transfers of Long-term debt were $1.1 billion from Level 2 to Level 3. Of the $1.1 billion transfer, approximately $1.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.1 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 $4.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three months ended March 31, 2023

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

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

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

As of March 31, 2024	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	$	132	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	4.34		%	4.34		%	4.34		%
Mortgage-backed securities	$	648	Price-based	Price	$	1.11		$	136.06		$	40.18
	245		Yield analysis	Yield	5.34		%	23.45		%	8.99		%
State and municipal, foreign government, corporate and other debt securities	$	1,500	Price-based	Price	$	—		$	101.08		$	91.08
	678		Model-based	Credit spread	35 bps			550 bps			242 bps
Marketable equity securities(5)	$	193	Price-based	Price	$	—		$	13,600.22		$	536.39
	40		Model-based	Appraised value (in millions)	$	0.99		$	20.41		$	15.98
				WAL	2 years			2 years			2 years
				Recovery (in millions)	$	7,723		$	7,723		$	7,723
Asset-backed securities	$	287	Price-based	Price	$	3.50		$	139.18		$	64.87
	84		Yield analysis	Yield	5.77		%	10.79		%	8.07		%
Non-marketable equities	$	308	Comparables analysis	Illiquidity discount	4.30		%	18.20		%	10.14		%
				Revenue multiple	4.20x			19.08x			12.51x
				PE ratio	9.70x			9.70x			9.70x
				EBITDA multiples	19.20x			19.20x			19.20x
	109		Price-based	Price	$	0.55		$	160.42		$	74.12
	57		Cash flow	Discount rate	9.25		%	9.25		%	9.25		%
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,390	Model-based	IR normal volatility	0.32		%	20.00		%	1.83		%
				Interest rate	2.99		%	5.32		%	3.51		%
Foreign exchange contracts (gross)	$	1,763	Model-based	IR normal volatility	0.39		%	1.27		%	0.78		%
				IR basis	(39.03)		%	96.15		%	4.14		%
				FX volatility	0.03		%	111.73		%	11.78		%
Equity contracts (gross)(7)	$	4,056	Model-based	Equity volatility	—		%	220.66		%	30.31		%
				Equity forward	62.33		%	206.42		%	106.57		%
				Equity-Equity correlation	(36.22)		%	99.25		%	70.73		%
				WAL	1.99 years			1.99 years			1.99 years
				Recovery (in millions)	$	7,723		$	7,723		$	7,723
				FX volatility	0.03		%	111.73		%	9.01		%
Commodity and other contracts (gross)	$	1,890	Model-based	Forward price	29.19		%	569.30		%	193.11		%
				Commodity volatility	9.40		%	122.96		%	31.21		%
Credit derivatives (gross)	$	1,081	Model-based	Credit spread	7 bps			2000 bps			204 bps
				Recovery rate	25.00		%	40.00		%	39.24		%
				Upfront points	2.47		%	115.16		%	50.39		%
				Credit correlation	$	25.00		$	75.00		$	52.70
	403		Price-based	Price	$	40.00		$	99.00		$	84.45

As of March 31, 2024	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)	$	31	Price-based	Price	$	0.11		$	104.19		$	88.92
Loans and leases	$	752	Model-based	Equity forward	62.33		%	206.42		%	106.92		%
				Equity volatility	—		%	220.66		%	19.04		%
				Equity-FX correlation	(95.00)		%	70.00		%	(15.44)		%
				FX volatility	0.03		%	111.73		%	9.03		%
	307		Price-based	Price	$	74.86		$	106.43		$	101.81
Mortgage servicing rights	$	605	Cash flow	Yield	(0.50)		%	12.00		%	5.87		%
	64		Model-based	WAL	3.71 years			8.64 years			7.49 years
Liabilities
Interest-bearing deposits	$	72	Model-based	Equity volatility	5.65		%	17.15		%	7.53		%
				Forward price	100		%	100		%	100		%
Securities loaned and sold under agreements to repurchase	$	326	Model-based	Interest rate	4.24		%	5.30		%	4.33		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	104	Price-based	Price	$	—		$	8,962.00		$	83.27
Short-term borrowings and long-term debt	$	40,974	Model-based	IR normal volatility	0.32		%	20.00		%	1.12		%

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		%

As of December 31, 2023	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				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		%
				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		%

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

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

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

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

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

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

(7)Includes hybrid products.

Items Measured at Fair Value on a Nonrecurring Basis

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

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

In millions of dollars	Fair value		Level 2		Level 3
March 31, 2024
Loans HFS(1)	$	1,274	$	604	$	670
Other real estate owned	4		—		4
Loans(2)	385		—		385
Non-marketable equity securities measured using the measurement alternative	102		—		102
Total assets at fair value on a nonrecurring basis	$	1,765	$	604	$	1,161

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

(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 March 31, 2024	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans HFS	$	670	Price-based	Price	$	61.00	$	100.00	$	94.94
Loans(5)	$	385	Recovery analysis	Appraised value(4)	$	12,000	$	78,267,249	$	46,218,075
Non-marketable equity securities measured using the measurement alternative	$	90	Price-based	Price	$	2.22	$	77.41	$	73.49
	11		Comparable analysis	Revenue multiple	—x		46.30x		18.66x
Other real estate owned	$	3	Price-based	Appraised value(4)	$	398,928	$	2,061,700	$	1,553,934

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	2.30x		35.70x		11.69x
Other real estate owned	$	3	Price-based	Appraised value(4)	$	401,042	$	2,061,700	$	155,696

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

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

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

(4)Appraised values are disclosed in whole dollars.

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

Nonrecurring Fair Value Changes

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

	Three Months Ended March 31,
In millions of dollars	2024		2023
Loans HFS	$	(82)	$	(56)
Other real estate owned	—		—
Loans(1)	(34)		(2)
Non-marketable equity securities measured using the measurement alternative	32		(25)
Total nonrecurring fair value gains (losses)	$	(84)	$	(83)

(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.

	March 31, 2024				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)	$	257.8	$	236.8	$	123.7	$	110.7	$	2.4
Securities borrowed and purchased under agreements to resell	150.7		150.7		—		150.7		—
Loans(2)(3)	647.2		649.7		—		—		649.7
Other financial assets(3)(4)	366.7		366.7		255.7		17.0		94.0
Liabilities
Deposits	$	1,304.3	$	1,304.1	$	—	$	1,106.7	$	197.4
Securities loaned and sold under agreements to repurchase	225.6		225.6		—		225.6		—
Long-term debt(5)	170.1		173.6		—		170.0		3.6
Other financial liabilities(6)	137.8		137.8		—		22.3		115.5

	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

(1)Includes $5.3 billion and $5.5 billion of non-marketable equity securities carried at cost at March 31, 2024 and December 31, 2023, respectively.

(2)The carrying value of loans is net of the allowance for credit losses on loans of $18.3 billion for March 31, 2024 and $18.1 billion for December 31, 2023. In addition, the carrying values exclude $0.3 billion and $0.3 billion of lease finance receivables at March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023 were off-balance sheet liabilities of $12.9 billion and $14.2 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.