FAIR VALUE MEASUREMENT

6 Months Ended

Jun. 30, 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 June 30, 2024 and December 31, 2023:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2024		December 31, 2023
Counterparty CVA	$	(519)	$	(580)
Asset FVA	(466)		(562)
Citigroup (own credit) CVA	345		381
Liability FVA	226		255
Total CVA and FVA—derivative instruments	$	(414)	$	(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 June 30,				Six Months Ended June 30,
In millions of dollars	2024		2023		2024		2023
Counterparty CVA	$	(25)	$	4	$	(17)	$	(30)
Asset FVA	2		100		86		94
Own credit CVA	6		(114)		(46)		(149)
Liability FVA	27		(17)		(30)		(44)
Total CVA and FVA—derivative instruments	$	10	$	(27)	$	(7)	$	(129)
DVA related to own FVO liabilities(1)	$	343	$	(837)	$	(407)	$	(1,270)
Total CVA, DVA and FVA	$	353	$	(864)	$	(414)	$	(1,399)

(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 June 30, 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 June 30, 2024	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	1,527	$	448,459	$	126	$	450,112	$	(272,050)	$	178,062
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		80,649		691		81,340		—		81,340
Residential	—		560		91		651		—		651
Commercial	—		977		166		1,143		—		1,143
Total trading mortgage-backed securities	$	—	$	82,186	$	948	$	83,134	$	—	$	83,134
U.S. Treasury and federal agency securities	$	109,422	$	1,320	$	—	$	110,742	$	—	$	110,742
State and municipal	—		211		1		212		—		212
Foreign government	54,488		36,023		45		90,556		—		90,556
Corporate	1,467		21,558		315		23,340		—		23,340
Equity securities(2)	56,150		8,380		244		64,774		—		64,774
Asset-backed securities	—		1,511		244		1,755		—		1,755
Other trading assets(3)	602		17,377		783		18,762		—		18,762
Total trading non-derivative assets	$	222,129	$	168,566	$	2,580	$	393,275	$	—	$	393,275
Trading derivatives
Interest rate contracts	$	57	$	141,542	$	2,467	$	144,066
Foreign exchange contracts	—		136,720		1,197		137,917
Equity contracts	66		51,329		983		52,378
Commodity contracts	—		12,190		1,168		13,358
Credit derivatives	—		7,259		884		8,143
Total trading derivatives—before netting and collateral	$	123	$	349,040	$	6,699	$	355,862
Netting agreements									$	(277,223)
Netting of cash collateral received									(25,575)
Total trading derivatives—after netting and collateral	$	123	$	349,040	$	6,699	$	355,862	$	(302,798)	$	53,064
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	31,742	$	28	$	31,770	$	—	$	31,770
Residential	—		563		25		588		—		588
Commercial	—		1		—		1		—		1
Total investment mortgage-backed securities	$	—	$	32,306	$	53	$	32,359	$	—	$	32,359
U.S. Treasury and federal agency securities	$	69,632	$	—	$	—	$	69,632	$	—	$	69,632
State and municipal	—		1,450		439		1,889		—		1,889
Foreign government	62,192		71,893		14		134,099		—		134,099
Corporate	3,208		1,982		112		5,302		—		5,302
Marketable equity securities	142		13		10		165		—		165
Asset-backed securities	—		768		—		768		—		768
Other debt securities	—		5,313		—		5,313		—		5,313
Non-marketable equity securities	—		—		505		505		—		505
Total investments	$	135,174	$	113,725	$	1,133	$	250,032	$	—	$	250,032

Table continues on the next page.

In millions of dollars at June 30, 2024	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	8,225		$	301		$	8,526	$	—	$	8,526
Mortgage servicing rights	—			—			709			709		—		709
Other financial assets	$	5,589		$	10,229		$	21		$	15,839	$	—	$	15,839
Total assets	$	364,542		$	1,098,244		$	11,569		$	1,474,355	$	(574,848)	$	899,507
Total as a percentage of gross assets(4)	24.7%			74.5%			0.8%
Liabilities
Interest-bearing deposits	$	82		$	3,277		$	41		$	3,400	$	—	$	3,400
Securities loaned and sold under agreements to repurchase	254			259,766			286			260,306		(190,538)		69,768
Trading account liabilities
Securities sold, not yet purchased	88,480			15,664			32			104,176		—		104,176
Other trading liabilities	—			11			—			11		—		11
Total trading account liabilities	$	88,480		$	15,675		$	32		$	104,187	$	—	$	104,187
Trading derivatives
Interest rate contracts	$	61		$	132,231		$	3,495		$	135,787
Foreign exchange contracts	—			128,944			646			129,590
Equity contracts	70			61,341			3,033			64,444
Commodity contracts	—			14,624			764			15,388
Credit derivatives	—			6,920			810			7,730
Total trading derivatives—before netting and collateral	$	131		$	344,060		$	8,748		$	352,939
Netting agreements												$	(277,223)
Netting of cash collateral paid												(28,644)
Total trading derivatives—after netting and collateral	$	131		$	344,060		$	8,748		$	352,939	$	(305,867)	$	47,072
Short-term borrowings	$	—		$	11,543		$	201		$	11,744	$	—	$	11,744
Long-term debt	—			89,031			20,375			109,406		—		109,406
Other financial liabilities	$	4,660		$	722		$	3		$	5,385	$	—	$	5,385
Total liabilities	$	93,607		$	724,074		$	29,686		$	847,367	$	(496,405)	$	350,962
Total as a percentage of gross liabilities(4)	11.0		%	85.5		%	3.5		%

(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)Level 2 balance includes $2.2 billion of Visa Class C shares subject to a contractual sale restriction that expires in August 2024.

(3)Amounts exclude $26 million of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(4)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

Fair Value Levels

In millions of dollars at December 31, 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
Other financial assets	$	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
Other financial liabilities	$	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 and six months ended June 30, 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	Mar. 31, 2024		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2024
Assets
Securities borrowed and purchased under agreements to resell	$	132	$	(3)	$	—	$	—	$	—	$	21	$	—	$	—	$	(24)	$	126	$	(3)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	531		—		—		205		(131)		233		—		(147)		—		691		5
Residential	170		(2)		—		17		(23)		23		—		(94)		—		91		—
Commercial	159		3		—		26		(22)		34		—		(34)		—		166		2
Total trading mortgage-backed securities	$	860	$	1	$	—	$	248	$	(176)	$	290	$	—	$	(275)	$	—	$	948	$	7
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	1		—		—		—		—		—		—		—		—		1		—
Foreign government	113		—		—		—		(9)		38		—		(97)		—		45		1
Corporate	464		66		—		62		(180)		105		—		(202)		—		315		65
Marketable equity securities	232		(27)		—		101		(26)		29		—		(65)		—		244		(22)
Asset-backed securities	370		(21)		—		15		(60)		40		—		(100)		—		244		(4)
Other trading assets	752		98		—		95		(98)		120		2		(184)		(2)		783		44
Total trading non-derivative assets	$	2,792	$	117	$	—	$	521	$	(549)	$	622	$	2	$	(923)	$	(2)	$	2,580	$	91
Trading derivatives, net(4)
Interest rate contracts	$	(1,362)	$	(198)	$	—	$	99	$	12	$	107	$	8	$	(20)	$	326	$	(1,028)	$	(293)
Foreign exchange contracts	335		553		—		36		(20)		22		—		(144)		(231)		551		507
Equity contracts	(2,222)		123		—		73		324		(298)		—		(54)		4		(2,050)		141
Commodity contracts	342		79		—		1		(6)		1		—		(6)		(7)		404		84
Credit derivatives	(37)		41		—		5		11		50		—		—		4		74		15
Total trading derivatives, net(4)	$	(2,944)	$	598	$	—	$	214	$	321	$	(118)	$	8	$	(224)	$	96	$	(2,049)	$	454

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2024		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	27	$	—	$	2	$	—	$	—	$	—	$	—	$	(1)	$	—	$	28	$	2
Residential	25		—		(1)		1		—		—		—		—		—		25		(1)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	52	$	—	$	1	$	1	$	—	$	—	$	—	$	(1)	$	—	$	53	$	1
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	479		—		(5)		—		(5)		—		—		(30)		—		439		(4)
Foreign government	24		—		(4)		—		(6)		—		—		—		—		14		(3)
Corporate	388		—		(7)		12		(251)		10		—		(40)		—		112		10
Marketable equity securities	8		—		2		—		—		—		—		—		—		10		(1)
Asset-backed securities	—		—		—		—		—		—		—		—		—		—		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	488		—		(3)		—		—		21		—		(1)		—		505		1
Total investments	$	1,439	$	—	$	(16)	$	13	$	(262)	$	31	$	—	$	(72)	$	—	$	1,133	$	4
Loans	$	1,057	$	—	$	(23)	$	—	$	(851)	$	1	$	128	$	—	$	(11)	$	301	$	(1)
Mortgage servicing rights	702		—		5		—		—		—		19		—		(17)		709		5
Other financial assets	31		—		(1)		—		—		2		—		(2)		(9)		21		—
Liabilities
Interest-bearing deposits	$	72	$	—	$	1	$	5	$	(32)	$	—	$	10	$	—	$	(13)	$	41	$	(8)
Securities loaned and sold under agreements to repurchase	326		—		—		—		—		184		—		—		(224)		286		—
Trading account liabilities
Securities sold, not yet purchased	105		(2)		—		13		(8)		9		—		—		(89)		32		—
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	583		12		—		9		(479)		—		177		—		(77)		201		—
Long-term debt	40,364		832		—		1,680		(20,890)		—		1,192		—		(1,139)		20,375		394
Other financial liabilities	3		—		—		—		—		—		2		—		(2)		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 June 30, 2024.

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

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2024
Assets
Securities borrowed and purchased under agreements to resell	$	139	$	(8)	$	—	$	—	$	—	$	66	$	—	$	—	$	(71)	$	126	$	(6)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	581		(39)		—		284		(285)		433		—		(283)		—		691		(13)
Residential	116		(3)		—		53		(58)		111		—		(128)		—		91		3
Commercial	202		17		—		39		(89)		131		—		(134)		—		166		2
Total trading mortgage-backed securities	$	899	$	(25)	$	—	$	376	$	(432)	$	675	$	—	$	(545)	$	—	$	948	$	(8)
U.S. Treasury and federal agency securities	$	7	$	4	$	—	$	—	$	(1)	$	—	$	—	$	—	$	(10)	$	—	$	—
State and municipal	3		—		—		—		—		—		—		(2)		—		1		—
Foreign government	54		—		—		12		(49)		163		—		(135)		—		45		2
Corporate	500		139		—		75		(388)		365		—		(368)		(8)		315		71
Marketable equity securities	292		(9)		—		130		(49)		60		—		(180)		—		244		(20)
Asset-backed securities	531		(18)		—		30		(178)		176		—		(297)		—		244		(12)
Other trading assets	833		165		—		152		(166)		195		6		(399)		(3)		783		55
Total trading non-derivative assets	$	3,119	$	256	$	—	$	775	$	(1,263)	$	1,634	$	6	$	(1,926)	$	(21)	$	2,580	$	88
Trading derivatives, net(4)
Interest rate contracts	$	(1,085)	$	(683)	$	—	$	130	$	(17)	$	80	$	14	$	(17)	$	550	$	(1,028)	$	(810)
Foreign exchange contracts	295		507		—		38		73		(73)		—		(166)		(123)		551		414
Equity contracts	(1,634)		(226)		—		(71)		537		(568)		—		(55)		(33)		(2,050)		35
Commodity contracts	279		161		—		32		(12)		11		—		(17)		(50)		404		288
Credit derivatives	(73)		100		—		2		(20)		58		—		—		7		74		(51)
Total trading derivatives, net(4)	$	(2,218)	$	(141)	$	—	$	131	$	561	$	(492)	$	14	$	(255)	$	351	$	(2,049)	$	(124)

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		Jun. 30, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	75	$	—	$	(1)	$	—	$	—	$	3	$	—	$	(49)	$	—	$	28	$	(1)
Residential	116		—		(2)		1		(90)		—		—		—		—		25		(2)
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	191	$	—	$	(3)	$	1	$	(90)	$	3	$	—	$	(49)	$	—	$	53	$	(3)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	542		—		(31)		—		(6)		—		—		(66)		—		439		(13)
Foreign government	194		—		(12)		6		(174)		36		—		(36)		—		14		(3)
Corporate	362		—		(7)		42		(279)		51		—		(57)		—		112		10
Marketable equity securities	27		—		(17)		—		—		—		—		—		—		10		(1)
Asset-backed securities	—		—		—		—		—		—		—		—		—		—		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	483		—		(8)		—		—		60		—		(30)		—		505		1
Total investments	$	1,799	$	—	$	(78)	$	49	$	(549)	$	150	$	—	$	(238)	$	—	$	1,133	$	(9)
Loans	$	427	$	—	$	(52)	$	663	$	(891)	$	1	$	232	$	—	$	(79)	$	301	$	16
Mortgage servicing rights	691		—		17		—		—		—		36		—		(35)		709		23
Other financial assets	30		—		(2)		—		—		5		13		(2)		(23)		21		(1)
Liabilities
Interest-bearing deposits	$	29	$	—	$	4	$	51	$	(33)	$	—	$	15	$	—	$	(17)	$	41	$	(8)
Securities loaned and sold under agreements to repurchase	390		—		—		—		—		438		—		—		(542)		286		—
Trading account liabilities
Securities sold, not yet purchased	35		(8)		—		14		(10)		96		—		—		(111)		32		—
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	481		(82)		—		20		(517)		1		211		—		(77)		201		(3)
Long-term debt	38,380		1,427		—		3,038		(21,730)		—		4,782		—		(2,668)		20,375		819
Other financial liabilities	6		—		—		—		—		—		5		—		(8)		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 June 30, 2024.

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

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

Table continues on the next page.

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

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

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

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

(4)Total Level 3 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 June 30, 2024:

•During the three and six months ended June 30, 2024, transfers of Long-term debt were $20.9 billion and $21.7 billion from Level 3 to Level 2, and $1.7 billion and $3.0 billion from Level 2 to Level 3, respectively. The Level 3 to Level 2 transfers were primarily the result of enhanced significance testing of unobservable input for certain structured debt instruments. The Level 2 to Level 3 transfers were primarily the result of certain unobservable inputs becoming more significant to the overall valuation of these instruments.

The following were the significant Level 3 transfers for the period December 31, 2022 to June 30, 2023:

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

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

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

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

As of June 30, 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	$	126	Model-based	Credit spread	11 bps			630 bps			108 bps
				Interest rate	4.85		%	4.85		%	4.85		%
Mortgage-backed securities	$	423	Price-based	Price	$	0.18		$	133.77		$	34.29
	559		Yield analysis	Yield	4.91		%	16.18		%	7.94		%
State and municipal, foreign government, corporate and other debt securities	$	999	Price-based	Price	$	—		$	185.42		$	88.69
	679		Model-based	Credit spread	35 bps			550 bps			273 bps
Marketable equity securities(5)	$	230	Price-based	Price	$	—		$	14,233.69		$	430.77
Asset-backed securities	$	184	Price-based	Price	$	1.30		$	629.46		$	96.20
	61		Yield analysis	Yield	6.19		%	12.26		%	8.44		%
Non-marketable equities	$	310	Comparables analysis	Illiquidity discount	7.40		%	33.00		%	13.96		%
				Revenue multiple	3.26x			15.46x			10.68x
				PE ratio	8.30x			8.30x			8.30x
	90		Price-based	Price	$	0.55		$	164.44		$	65.60
	57		Cash flow	Discount rate	9.25		%	17.50		%	12.55		%
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,221	Model-based	IR normal volatility	0.34		%	20.00		%	2.21		%
				Interest rate	3.06		%	5.34		%	3.59		%
	$	734	Price-based	Price	$	79.11		$	98.20		$	97.60
Foreign exchange contracts (gross)	$	1,766	Model-based	IR normal volatility	0.43		%	1.20		%	0.82		%
				IR basis	(1.45)		%	111.48		%	4.24		%
Equity contracts (gross)(7)	$	3,957	Model-based	Equity volatility	0.05		%	288.65		%	39.28		%
				Equity forward	67.75		%	213.94		%	106.83		%
				Equity-Equity correlation	(36.22)		%	99.25		%	71.29		%
				WAL	2.91 years			2.91 years			2.91 years
				Recovery (in millions)	$	7,723		$	7,723		$	7,723
				Equity-FX correlation	(95.00)		%	70.00		%	(6.37)		%
Commodity and other contracts (gross)	$	1,904	Model-based	Forward price	11.40		%	380.73		%	117.20		%
				Commodity volatility	8.53		%	199.55		%	30.60		%
Credit derivatives (gross)	$	973	Model-based	Credit spread	11 bps			630 bps			89 bps
				Recovery rate	10.00		%	40.00		%	36.82		%
				Upfront points	0.99		%	114.39		%	50.52		%
	713		Price-based	Price	$	46.28		$	97.01		$	83.66
Other financial assets and liabilities (gross)	$	24	Price-based	Price	$	0.11		$	413.66		$	130.88
Loans and leases	$	213	Model-based	Equity volatility	36.06		%	40.99		%	37.46		%

As of June 30, 2024	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				Forward price	18.46		%	321.35		%	108.61		%
	88		Price-based	Price	$	77.24		$	98.66		$	86.08
Mortgage servicing rights	$	615	Cash flow	Yield	(0.50)		%	12.00		%	6.22		%
	63		Model-based	WAL	3.68 years			8.62 years			7.52 years
Liabilities
Interest-bearing deposits	$	41	Model-based	Forward price	100.00		%	100.00		%	100.00		%
				Equity forward	107.44		%	114.28		%	111.70		%
Securities loaned and sold under agreements to repurchase	$	286	Model-based	Interest rate	4.34		%	5.26		%	4.52		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	4	Model-based	Price	$	—		$	14,233.69		$	200.05
	25		Price-based
Short-term borrowings and long-term debt	$	20,111	Model-based	IR normal volatility	0.05		%	20.00		%	1.53		%
				Equity forward	67.75		%	213.94		%	106.71		%
				Equity volatility	0.05		%	288.65		%	35.69		%
				Equity-IR correlation	(40.00)		%	50.00		%	28.04		%

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		%

As of December 31, 2023	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				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
Other financial assets and liabilities (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
June 30, 2024
Loans HFS(1)	$	1,555	$	1,223	$	332
Other real estate owned	1		—		1
Loans(2)	176		—		176
Non-marketable equity securities measured using the measurement alternative	31		—		31
Total assets at fair value on a nonrecurring basis	$	1,763	$	1,223	$	540

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 June 30, 2024	Fair value(1) (in millions)		Methodology	Input	Low(2)		High		Weighted average(3)
Loans HFS	$	306	Price-based	Price	$	49.00	$	100.00	$	90.17
Loans(5)	$	98	Recovery analysis	Discounted cash flow	$	19,994,171	$	77,680,848	$	58,074,015
	78			Appraised value(4)	$	12,000	$	27,279,987	$	13,015,794
Non-marketable equity securities measured using the measurement alternative	$	27	Price-based	Price	$	1.27	$	1,091.71	$	115.52
	4		Recovery analysis	Appraised value(4)	$	750,000	$	1,749,000	$	1,529,043

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 June 30,				Six Months Ended June 30,
In millions of dollars	2024		2023		2024		2023
Loans HFS	$	(82)	$	(15)	$	(123)	$	(26)
Other real estate owned	—		—		—		—
Loans(1)	4		(16)		10		(18)
Non-marketable equity securities measured using the measurement alternative	(5)		(27)		28		(54)
Total nonrecurring fair value gains (losses)	$	(83)	$	(58)	$	(85)	$	(98)

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

Estimated Fair Value of Financial Instruments Not Carried at Fair Value

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

	June 30, 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)	$	256.5	$	235.8	$	124.6	$	108.7	$	2.5
Securities borrowed and purchased under agreements to resell	139.9		139.9		—		139.9		—
Loans(2)(3)	660.7		663.8		—		—		663.8
Other financial assets(3)(4)	342.5		342.5		228.4		17.8		96.3
Liabilities
Deposits(5)	$	1,274.7	$	1,274.6	$	—	$	1,274.6	$	—
Securities loaned and sold under agreements to repurchase	235.4		235.4		—		235.4		—
Long-term debt(6)	170.8		174.0		—		169.8		4.2
Other financial liabilities(7)	139.9		139.9		—		25.1		114.8

	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(6)	170.3		173.4		—		168.0		5.4
Other financial liabilities(7)	132.8		132.8		—		29.2		103.6

(1)Includes $5.4 billion and $5.5 billion of non-marketable equity securities carried at cost at June 30, 2024 and December 31, 2023, respectively.

(2)The carrying value of loans is net of the allowance for credit losses on loans of $18.2 billion for June 30, 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 June 30, 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)As a result of Citi refining its application of fair value hierarchy methodologies, certain deposit liabilities that were previously classified as Level 3 are now classified as Level 2.

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

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

The estimated fair values of the Company’s corporate unfunded lending commitments at June 30, 2024 and December 31, 2023 were off-balance sheet liabilities of $13.0 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.