FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Schedule of CVA and FVA applied to fair value of derivative instruments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments (recorded in Trading account assets and Trading account liabilities on the Consolidated Balance Sheet) at September 30, 2024 and December 31, 2023:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2024		December 31, 2023
Counterparty CVA	$	(531)	$	(580)
Asset FVA	(478)		(562)
Citigroup (own credit) CVA	342		381
Liability FVA	213		255
Total CVA and FVA—derivative instruments	$	(454)	$	(506)

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 and FVA on derivative instruments, net of hedges (recorded in Principal transactions revenue in the Consolidated Statement of Income), and changes in debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities (recorded in Other comprehensive income in the Consolidated Statement of Comprehensive Income) for the periods indicated:

	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2024		2023		2024		2023
Counterparty CVA	$	(38)	$	35	$	(56)	$	5
Asset FVA	1		(17)		87		77
Own credit CVA	(2)		14		(48)		(134)
Liability FVA	(13)		38		(42)		(5)
Total CVA and FVA—derivative instruments	$	(52)	$	70	$	(59)	$	(57)
DVA related to own FVO liabilities(1)	$	(201)	$	395	$	(608)	$	(875)
Total CVA, DVA and FVA	$	(253)	$	465	$	(667)	$	(932)

(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 September 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 September 30, 2024	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	465,704	$	136	$	465,840	$	(317,885)	$	147,955
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		77,641		731		78,372		—		78,372
Residential	—		477		71		548		—		548
Commercial	—		685		86		771		—		771
Total trading mortgage-backed securities	$	—	$	78,803	$	888	$	79,691	$	—	$	79,691
U.S. Treasury and federal agency securities	$	131,604	$	1,463	$	—	$	133,067	$	—	$	133,067
State and municipal	—		178		21		199		—		199
Foreign government	62,485		31,825		31		94,341		—		94,341
Corporate	1,851		18,862		260		20,973		—		20,973
Equity securities	49,421		6,744		286		56,451		—		56,451
Asset-backed securities	—		1,522		215		1,737		—		1,737
Other trading assets	—		20,121		550		20,671		—		20,671
Total trading non-derivative assets	$	245,361	$	159,518	$	2,251	$	407,130	$	—	$	407,130
Trading derivatives
Interest rate contracts	$	31	$	141,896	$	1,743	$	143,670
Foreign exchange contracts	—		158,414		582		158,996
Equity contracts	84		61,711		941		62,736
Commodity contracts	2		12,836		1,016		13,854
Credit derivatives	—		7,357		665		8,022
Total trading derivatives—before netting and collateral	$	117	$	382,214	$	4,947	$	387,278
Netting agreements									$	(316,493)
Netting of cash collateral received									(19,843)
Total trading derivatives—after netting and collateral	$	117	$	382,214	$	4,947	$	387,278	$	(336,336)	$	50,942
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	31,845	$	32	$	31,877	$	—	$	31,877
Residential	—		598		27		625		—		625
Commercial	—		1		—		1		—		1
Total investment mortgage-backed securities	$	—	$	32,444	$	59	$	32,503	$	—	$	32,503
U.S. Treasury and federal agency securities	$	59,544	$	—	$	—	$	59,544	$	—	$	59,544
State and municipal	—		1,451		436		1,887		—		1,887
Foreign government	60,706		68,922		12		129,640		—		129,640
Corporate	3,519		2,013		150		5,682		—		5,682
Marketable equity securities	195		2		10		207		—		207
Asset-backed securities	—		838		—		838		—		838
Other debt securities	—		4,350		—		4,350		—		4,350
Non-marketable equity securities(2)	—		—		623		623		—		623
Total investments	$	123,964	$	110,020	$	1,290	$	235,274	$	—	$	235,274

Table continues on the next page.

In millions of dollars at September 30, 2024	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	7,759		$	347		$	8,106	$	—	$	8,106
Mortgage servicing rights	—			—			683			683		—		683
Other financial assets	$	6,322		$	10,086		$	25		$	16,433	$	—	$	16,433
Total assets	$	375,764		$	1,135,301		$	9,679		$	1,520,744	$	(654,221)	$	866,523
Total as a percentage of gross assets(3)	24.7%			74.7%			0.6%
Liabilities
Interest-bearing deposits	$	—		$	4,070		$	42		$	4,112	$	—	$	4,112
Securities loaned and sold under agreements to repurchase	—			272,832			292			273,124		(210,266)		62,858
Trading account liabilities
Securities sold, not yet purchased	79,939			14,955			36			94,930		—		94,930
Other trading liabilities	—			15			—			15		—		15
Total trading account liabilities	$	79,939		$	14,970		$	36		$	94,945	$	—	$	94,945
Trading derivatives
Interest rate contracts	$	22		$	132,924		$	2,059		$	135,005
Foreign exchange contracts	—			154,525			579			155,104
Equity contracts	138			71,232			3,177			74,547
Commodity contracts	—			15,679			615			16,294
Credit derivatives	—			7,495			719			8,214
Total trading derivatives—before netting and collateral	$	160		$	381,855		$	7,149		$	389,164
Netting agreements												$	(316,493)
Netting of cash collateral paid												(25,082)
Total trading derivatives—after netting and collateral	$	160		$	381,855		$	7,149		$	389,164	$	(341,575)	$	47,589
Short-term borrowings	$	—		$	11,675		$	221		$	11,896	$	—	$	11,896
Long-term debt	—			94,977			22,309			117,286		—		117,286
Other financial liabilities	$	5,562		$	792		$	1		$	6,355	$	—	$	6,355
Total liabilities	$	85,661		$	781,171		$	30,050		$	896,882	$	(551,841)	$	345,041
Total as a percentage of gross liabilities(3)	9.6		%	87.1		%	3.3		%

(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): 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	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(2)	—		—		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 nine months ended September 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	Jun. 30, 2024		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2024
Assets
Securities borrowed and purchased under agreements to resell	$	126	$	12	$	—	$	—	$	—	$	45	$	—	$	—	$	(47)	$	136	$	12
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	691		22		—		139		(160)		124		—		(85)		—		731		15
Residential	91		(6)		—		10		(18)		28		—		(34)		—		71		(1)
Commercial	166		—		—		11		(57)		21		—		(55)		—		86		(1)
Total trading mortgage-backed securities	$	948	$	16	$	—	$	160	$	(235)	$	173	$	—	$	(174)	$	—	$	888	$	13
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	1		—		—		20		—		—		—		—		—		21		—
Foreign government	45		(3)		—		2		—		23		—		(36)		—		31		(1)
Corporate	315		15		—		61		(37)		120		—		(214)		—		260		13
Marketable equity securities	244		7		—		100		(15)		77		—		(127)		—		286		7
Asset-backed securities	244		(6)		—		21		(13)		53		—		(84)		—		215		—
Other trading assets	783		5		—		27		(97)		155		10		(327)		(6)		550		—
Total trading non-derivative assets	$	2,580	$	34	$	—	$	391	$	(397)	$	601	$	10	$	(962)	$	(6)	$	2,251	$	32
Trading derivatives, net(4)
Interest rate contracts	$	(1,028)	$	(73)	$	—	$	39	$	523	$	3	$	5	$	(18)	$	233	$	(316)	$	(248)
Foreign exchange contracts	551		(7)		—		13		(532)		(18)		—		(7)		3		3		(81)
Equity contracts	(2,050)		(119)		—		(59)		149		(102)		—		(13)		(42)		(2,236)		(272)
Commodity contracts	404		174		—		(9)		(126)		(78)		—		(47)		83		401		204
Credit derivatives	74		(119)		—		(6)		44		(47)		—		—		—		(54)		(93)
Total trading derivatives, net(4)	$	(2,049)	$	(144)	$	—	$	(22)	$	58	$	(242)	$	5	$	(85)	$	277	$	(2,202)	$	(490)

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	Jun. 30, 2024		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	28	$	—	$	4	$	—	$	—	$	4	$	—	$	(4)	$	—	$	32	$	4
Residential	25		—		2		—		—		—		—		—		—		27		1
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	53	$	—	$	6	$	—	$	—	$	4	$	—	$	(4)	$	—	$	59	$	5
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	439		—		6		—		(1)		—		—		(8)		—		436		6
Foreign government	14		—		(2)		—		—		—		—		—		—		12		—
Corporate	112		—		(2)		21		(14)		60		—		(27)		—		150		—
Marketable equity securities	10		—		—		—		—		—		—		—		—		10		—
Asset-backed securities	—		—		—		—		—		3		—		(3)		—		—		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	505		—		12		—		—		107		—		(1)		—		623		10
Total investments	$	1,133	$	—	$	20	$	21	$	(15)	$	174	$	—	$	(43)	$	—	$	1,290	$	21
Loans	$	301	$	—	$	36	$	1	$	(3)	$	1	$	12	$	—	$	(1)	$	347	$	39
Mortgage servicing rights	709		—		(40)		—		—		—		32		—		(18)		683		(40)
Other financial assets	21		—		1		—		—		—		24		(2)		(19)		25		—
Liabilities
Interest-bearing deposits	$	41	$	1	$	1	$	—	$	(7)	$	—	$	15	$	—	$	(5)	$	42	$	1
Securities loaned and sold under agreements to repurchase	286		—		—		—		—		230		—		—		(224)		292		—
Trading account liabilities
Securities sold, not yet purchased	32		(9)		—		12		(16)		13		—		—		(14)		36		(3)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	201		(1)		—		49		(10)		—		107		—		(127)		221		(26)
Long-term debt	20,375		(1,720)		—		636		(857)		—		697		—		(262)		22,309		(1,868)
Other financial liabilities	3		—		—		—		—		—		—		—		(2)		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 September 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		Sept. 30, 2024
Assets
Securities borrowed and purchased under agreements to resell	$	139	$	4	$	—	$	—	$	—	$	111	$	—	$	—	$	(118)	$	136	$	4
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	581		(17)		—		423		(445)		557		—		(368)		—		731		(6)
Residential	116		(9)		—		63		(76)		139		—		(162)		—		71		(3)
Commercial	202		17		—		50		(146)		152		—		(189)		—		86		(4)
Total trading mortgage-backed securities	$	899	$	(9)	$	—	$	536	$	(667)	$	848	$	—	$	(719)	$	—	$	888	$	(13)
U.S. Treasury and federal agency securities	$	7	$	4	$	—	$	—	$	(1)	$	—	$	—	$	—	$	(10)	$	—	$	—
State and municipal	3		—		—		20		—		—		—		(2)		—		21		—
Foreign government	54		(3)		—		14		(49)		186		—		(171)		—		31		—
Corporate	500		154		—		136		(425)		485		—		(582)		(8)		260		23
Marketable equity securities	292		(2)		—		230		(64)		137		—		(307)		—		286		(12)
Asset-backed securities	531		(24)		—		51		(191)		229		—		(381)		—		215		(5)
Other trading assets	833		170		—		179		(263)		350		16		(726)		(9)		550		41
Total trading non-derivative assets	$	3,119	$	290	$	—	$	1,166	$	(1,660)	$	2,235	$	16	$	(2,888)	$	(27)	$	2,251	$	34
Trading derivatives, net(4)
Interest rate contracts	$	(1,085)	$	(756)	$	—	$	169	$	506	$	83	$	19	$	(35)	$	783	$	(316)	$	(252)
Foreign exchange contracts	295		500		—		51		(459)		(91)		—		(173)		(120)		3		(49)
Equity contracts	(1,634)		(345)		—		(130)		686		(670)		—		(68)		(75)		(2,236)		(563)
Commodity contracts	279		335		—		23		(138)		(67)		—		(64)		33		401		397
Credit derivatives	(73)		(19)		—		(4)		24		11		—		—		7		(54)		(78)
Total trading derivatives, net(4)	$	(2,218)	$	(285)	$	—	$	109	$	619	$	(734)	$	19	$	(340)	$	628	$	(2,202)	$	(545)

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		Sept. 30, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	75	$	—	$	3	$	—	$	—	$	7	$	—	$	(53)	$	—	$	32	$	4
Residential	116		—		—		1		(90)		—		—		—		—		27		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	191	$	—	$	3	$	1	$	(90)	$	7	$	—	$	(53)	$	—	$	59	$	4
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	542		—		(25)		—		(7)		—		—		(74)		—		436		(7)
Foreign government	194		—		(14)		6		(174)		36		—		(36)		—		12		—
Corporate	362		—		(9)		63		(293)		111		—		(84)		—		150		(2)
Marketable equity securities	27		—		(17)		—		—		—		—		—		—		10		—
Asset-backed securities	—		—		—		—		—		3		—		(3)		—		—		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	483		—		4		—		—		167		—		(31)		—		623		10
Total investments	$	1,799	$	—	$	(58)	$	70	$	(564)	$	324	$	—	$	(281)	$	—	$	1,290	$	5
Loans	$	427	$	—	$	(16)	$	664	$	(894)	$	2	$	244	$	—	$	(80)	$	347	$	175
Mortgage servicing rights	691		—		(23)		—		—		—		68		—		(53)		683		(16)
Other financial assets	30		—		(1)		—		—		5		37		(4)		(42)		25		(1)
Liabilities
Interest-bearing deposits	$	29	$	1	$	5	$	51	$	(40)	$	—	$	30	$	—	$	(22)	$	42	$	4
Securities loaned and sold under agreements to repurchase	390		—		—		—		—		668		—		—		(766)		292		—
Trading account liabilities
Securities sold, not yet purchased	35		(17)		—		26		(26)		109		—		—		(125)		36		(1)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	481		(83)		—		69		(527)		1		318		—		(204)		221		(78)
Long-term debt	38,380		(293)		—		3,674		(22,587)		—		5,479		—		(2,930)		22,309		(1,021)
Other financial liabilities	6		—		—		—		—		—		5		—		(10)		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 September 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	Jun. 30, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2023
Assets
Securities borrowed and purchased under agreements to resell	$	140	$	1	$	—	$	—	$	—	$	126	$	—	$	—	$	(132)	$	135	$	9
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	659		(21)		—		93		(155)		92		—		(130)		—		538		(14)
Residential	145		(1)		—		31		(3)		52		—		(59)		—		165		(3)
Commercial	182		(8)		—		59		(25)		26		—		(29)		—		205		(8)
Total trading mortgage-backed securities	$	986	$	(30)	$	—	$	183	$	(183)	$	170	$	—	$	(218)	$	—	$	908	$	(25)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	3		—		—		—		—		—		—		—		—		3		—
Foreign government	81		(23)		—		—		(31)		70		—		(28)		—		69		19
Corporate	581		224		—		38		(303)		624		—		(400)		—		764		(232)
Marketable equity securities	285		2		—		16		(10)		28		—		(58)		—		263		1
Asset-backed securities	539		6		—		15		(39)		297		—		(243)		—		575		2
Other trading assets	1,478		(332)		—		279		(198)		260		—		(514)		—		973		(114)
Total trading non-derivative assets	$	3,953	$	(153)	$	—	$	531	$	(764)	$	1,449	$	—	$	(1,461)	$	—	$	3,555	$	(349)
Trading derivatives, net(4)
Interest rate contracts	$	(1,962)	$	(474)	$	—	$	(18)	$	298	$	51	$	—	$	49	$	253	$	(1,803)	$	(637)
Foreign exchange contracts	700		158		—		1		(24)		50		—		(8)		(264)		613		159
Equity contracts	(1,563)		641		—		128		(145)		(346)		—		(21)		171		(1,135)		212
Commodity contracts	330		222		—		96		(149)		(389)		—		(2)		(59)		49		120
Credit derivatives	(155)		54		—		22		81		80		—		—		(9)		73		(16)
Total trading derivatives, net(4)	$	(2,650)	$	601	$	—	$	229	$	61	$	(554)	$	—	$	18	$	92	$	(2,203)	$	(162)

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	Jun. 30, 2023		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2023
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	—	$	—	$	(3)	$	—	$	—	$	—	$	—	$	29	$	—
Residential	25		—		(1)		—		—		—		—		—		—		24		(1)
Total investment mortgage-backed securities	$	57	$	—	$	(1)	$	—	$	(3)	$	—	$	—	$	—	$	—	$	53	$	(1)
U.S. Treasury and federal agency securities	$	21	$	—	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	20	$	—
State and municipal	507		—		(29)		1		—		45		—		(31)		—		493		(29)
Foreign government	414		—		(12)		2		(179)		124		—		(153)		—		196		1
Corporate	290		—		—		—		—		15		—		(16)		—		289		—
Marketable equity securities	13		—		(2)		—		—		—		—		—		—		11		—
Asset-backed securities	1		—		(1)		30		—		—		—		—		—		30		—
Other debt securities	57		—		1		—		(58)		—		—		—		—		—		—
Non-marketable equity securities	404		—		21		6		—		—		—		—		—		431		(5)
Total investments	$	1,764	$	—	$	(24)	$	39	$	(240)	$	184	$	—	$	(200)	$	—	$	1,523	$	(34)
Loans	$	241	$	—	$	15	$	—	$	—	$	—	$	10	$	—	$	(1)	$	265	$	(82)
Mortgage servicing rights	681		—		42		—		—		—		23		—		(17)		729		41
Other financial assets	73		—		(22)		—		—		28		—		(2)		—		77		—
Liabilities
Interest-bearing deposits	$	26	$	—	$	(10)	$	49	$	—	$	—	$	70	$	—	$	—	$	155	$	(11)
Securities loaned and sold under agreements to repurchase	627		(2)		—		—		—		—		—		—		(148)		481		1
Trading account liabilities
Securities sold, not yet purchased	62		—		—		11		(3)		61		—		—		(43)		88		(2)
Other trading liabilities	4		—		—		1		(2)		2		—		—		(4)		1		—
Short-term borrowings	296		—		—		16		(7)		1		181		—		(31)		456		(21)
Long-term debt	37,204		2,816		—		1,010		(1,336)		—		3,027		—		(1,439)		35,650		2,112
Other financial liabilities	23		—		—		—		—		—		26		(21)		—		28		—

(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 September 30, 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) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2023
Assets
Securities borrowed and purchased under agreements to resell	$	149	$	4	$	—	$	—	$	(2)	$	263	$	—	$	—	$	(279)	$	135	$	9
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	600		(31)		—		278		(421)		462		—		(350)		—		538		(34)
Residential	166		(2)		—		92		(65)		152		—		(178)		—		165		(17)
Commercial	145		(23)		—		163		(56)		76		—		(100)		—		205		(19)
Total trading mortgage-backed securities	$	911	$	(56)	$	—	$	533	$	(542)	$	690	$	—	$	(628)	$	—	$	908	$	(70)
U.S. Treasury and federal agency securities	$	1	$	(1)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	7		(3)		—		19		—		—		—		(20)		—		3		(1)
Foreign government	119		(17)		—		8		(58)		131		—		(114)		—		69		22
Corporate	394		300		—		248		(481)		976		—		(673)		—		764		(185)
Marketable equity securities	192		11		—		42		(18)		125		—		(89)		—		263		10
Asset-backed securities	668		20		—		94		(120)		615		—		(702)		—		575		4
Other trading assets	648		69		—		540		(274)		728		—		(738)		—		973		(123)
Total trading non-derivative assets	$	2,940	$	323	$	—	$	1,484	$	(1,493)	$	3,265	$	—	$	(2,964)	$	—	$	3,555	$	(343)
Trading derivatives, net(4)
Interest rate contracts	$	355	$	(2,163)	$	—	$	(220)	$	(361)	$	38	$	—	$	62	$	486	$	(1,803)	$	(2,060)
Foreign exchange contracts	50		704		—		105		24		152		—		(89)		(333)		613		408
Equity contracts	(1,104)		(237)		—		61		661		(599)		—		(65)		148		(1,135)		(596)
Commodity contracts	278		85		—		270		91		(447)		—		(14)		(214)		49		12
Credit derivatives	(157)		(92)		—		19		217		82		—		—		4		73		(84)
Total trading derivatives, net(4)	$	(578)	$	(1,703)	$	—	$	235	$	632	$	(774)	$	—	$	(106)	$	91	$	(2,203)	$	(2,320)

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in(1)				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2022		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Sept. 30, 2023
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30	$	—	$	(1)	$	—	$	(3)	$	4	$	—	$	(1)	$	—	$	29	$	(3)
Residential	41		—		(1)		—		—		—		—		(16)		—		24		(1)
Total investment mortgage-backed securities	$	71	$	—	$	(2)	$	—	$	(3)	$	4	$	—	$	(17)	$	—	$	53	$	(4)
U.S. Treasury and federal agency securities	$	—	$	—	$	(1)	$	—	$	—	$	51	$	—	$	(30)	$	—	$	20	$	—
State and municipal	586		—		(20)		2		(77)		46		—		(44)		—		493		(23)
Foreign government	608		—		(7)		27		(197)		647		—		(882)		—		196		1
Corporate	343		—		(1)		—		(61)		96		—		(88)		—		289		(4)
Marketable equity securities	10		—		1		—		—		—		—		—		—		11		—
Asset-backed securities	1		—		(1)		30		—		—		—		—		—		30		—
Other debt securities	—		—		1		—		(63)		62		—		—		—		—		—
Non-marketable equity securities	430		—		3		8		—		16		—		(26)		—		431		(5)
Total investments	$	2,049	$	—	$	(27)	$	67	$	(401)	$	922	$	—	$	(1,087)	$	—	$	1,523	$	(35)
Loans	$	1,361	$	—	$	(249)	$	2	$	(309)	$	—	$	116	$	—	$	(656)	$	265	$	(104)
Mortgage servicing rights	665		—		61		—		—		—		54		—		(51)		729		62
Other financial assets	57		—		(24)		—		(2)		50		—		(4)		—		77		—
Liabilities
Interest-bearing deposits	$	15	$	(7)	$	(12)	$	49	$	(1)	$	—	$	83	$	—	$	(10)	$	155	$	(11)
Securities loaned and sold under agreements to repurchase	1,031		(8)		—		—		(24)		1,335		—		—		(1,869)		481		1
Trading account liabilities
Securities sold, not yet purchased	50		(13)		—		22		(34)		125		—		—		(88)		88		(2)
Other trading liabilities	3		2		—		4		(2)		2		—		—		(4)		1		—
Short-term borrowings	38		40		—		35		(23)		1		478		—		(33)		456		(31)
Long-term debt	36,117		2,589		—		4,238		(7,442)		—		7,371		—		(2,045)		35,650		841
Other financial liabilities	2		—		1		—		(1)		—		49		(21)		—		28		—

(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 September 30, 2023.

(4)Total Level 3 trading 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

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

As of September 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	$	136	Model-based	Credit spread	10 bps			10 bps			10 bps
				Interest rate	3.65		%	3.65		%	3.65		%
Mortgage-backed securities	$	543	Price-based	Price	$	0.56		$	149.50		$	33.43
	381		Yield analysis	Yield	4.41		%	21.93		%	7.69		%
State and municipal, foreign government, corporate and other debt securities	$	1,007	Price-based	Price	$	—		$	189.68		$	94.98
	428		Model-based	Credit spread	35 bps			550 bps			337 bps
Marketable equity securities(5)	$	250	Price-based	Price	$	—		$	14,350.67		$	106.47
Asset-backed securities	$	151	Price-based	Price	$	0.69		$	142.85		$	76.18
	64		Yield analysis	Yield	6.31		%	27.44		%	8.74		%
Non-marketable equities	$	228	Comparables analysis	Illiquidity discount	7.40		%	33.00		%	14.35		%
				Revenue multiple	4.30x			16.26x			11.95x
	222		Price-based	Price	$	0.55		$	3,190.93		$	1,756.38
				Discount rate	9.25		%	17.50		%	13.15		%
Derivatives—gross(6)
Interest rate contracts (gross)	$	3,678	Model-based	IR normal volatility	0.28		%	20.00		%	2.32		%
				Yield	(0.16)		%	51.68		%	4.51		%
				Equity volatility	0.11		%	266.80		%	58.33		%
				Inflation volatility	0.25		%	6.34		%	1.35		%
Foreign exchange contracts (gross)	$	1,128	Model-based	IR normal volatility	0.40		%	1.32		%	0.78		%
				IR basis	(24.26)		%	56.13		%	3.32		%
Equity contracts (gross)(7)	$	4,059	Model-based	Equity volatility	0.11		%	266.80		%	54.32		%
				Equity forward	66.73		%	268.63		%	105.70		%
				Equity-FX correlation	(90.00)		%	70.00		%	(13.62)		%
				Equity-Equity correlation	(36.22)		%	99.00		%	71.33		%
				Recovery (in millions)	$	8,628		$	8,628		$	8,628
				WAL	2.65 years			2.65 years			2.65 years
Commodity and other contracts (gross)	$	1,602	Model-based	Forward price	3.24		%	249.00		%	113.46		%
				Commodity volatility	13.77		%	257.77		%	42.83		%
				Commodity correlation	7.30		%	93.30		%	48.25		%
Credit derivatives (gross)	$	940	Model-based	Credit spread	7 bps			574 bps			88 bps
				Recovery rate	20.00		%	40.00		%	37.43		%
				Upfront points	0.94		%	119.12		%	55.28		%
				Credit spread volatility	31.34		%	112.70		%	71.91		%
	443		Price-based	Price	$	41.00		$	102.78		$	83.78

As of September 30, 2024	Fair value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Other financial assets and liabilities (gross)	$	26	Price-based	Price	$	0.11		$	111.48		$	96.42
Loans and leases	$	244	Model-based	Forward price	4.47		%	228.95		%	101.94		%
				Equity volatility	34.90		%	42.51		%	37.30		%
	103		Price-based	Price	$	78.12		$	99.56		$	88.76
Mortgage servicing rights	$	595	Cash flow	Yield	(1.20)		%	12.00		%	6.00		%
	88		Model-based	WAL	3.5 years			8.33 years			7.03 years
Liabilities
Interest-bearing deposits	$	42	Model-based	Forward price	100.00		%	100.00		%	100.00		%
Securities loaned and sold under agreements to repurchase	$	292	Model-based	Interest rate	3.57		%	4.82		%	3.61		%
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities	$	33	Price-based	Price	$	—		$	14,350.67		$	22.71
Short-term borrowings and long-term debt	$	22,305	Model-based	IR normal volatility	0.40		%	20.00		%	1.55		%
				Equity volatility	0.11		%	266.80		%	69.41		%
				Equity forward	66.73		%	268.63		%	104.63		%
				Equity-IR correlation	(38.00)		%	60.00		%	27.87		%

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 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
September 30, 2024
Loans HFS(1)	$	596	$	352	$	244
Other real estate owned	9		—		9
Loans(2)	212		—		212
Non-marketable equity securities measured using the measurement alternative	102		—		102
Total assets at fair value on a nonrecurring basis	$	919	$	352	$	567

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 collateral-dependent loans held for investment for which the fair value of collateral is used to estimate expected credit losses, and whose carrying amount is based on the fair value of the underlying collateral less costs to sell, as applicable (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 September 30, 2024	Fair value(1) (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans HFS	$	211	Price-based	Price	$	95.73		$	100.00		$	97.91
Loans(5)	$	149	Cash flow	Appraised value(4)	$	12,000		$	78,595,495		$	40,009,156
	62		Recovery analysis
Non-marketable equity securities measured using the measurement alternative	$	70	Price-based	Price	$	1.23		$	519.72		$	110.65
	33		Comparable analysis	Revenue multiple	6.10x			9.19x			6.89x
				Illiquidity discount	18.40		%	19.50		%	18.95		%
Other real estate owned	$	7	Price-based	Appraised value(4)	$	21,600		$	342,000		$	194,563
				Price	$	—		$	8,427.00		$	123.38

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 collateral-dependent loans held for investment for which the fair value of collateral is used to estimate expected credit losses, and whose carrying amount is based on the fair value of the underlying collateral less costs to sell, as applicable (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:

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2024		2023		2024		2023
Loans HFS	$	(1)	$	—	$	(46)	$	6
Other real estate owned	—		—		—		—
Loans(1)	(16)		(82)		(16)		(110)
Non-marketable equity securities measured using the measurement alternative	(8)		(12)		20		(69)
Total nonrecurring fair value gains (losses)	$	(25)	$	(94)	$	(42)	$	(173)

(1)Represents collateral-dependent loans held for investment for which the fair value of collateral is used to estimate expected credit losses, and whose carrying amount is based on the fair value of the underlying collateral less costs to sell, as applicable (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.

	September 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)	$	253.6	$	239.8	$	126.5	$	110.9	$	2.4
Securities borrowed and purchased under agreements to resell	138.0		138.0		—		138.0		—
Loans(2)(3)	662.2		669.0		—		—		669.0
Other financial assets(3)(4)	403.8		403.8		284.9		18.2		100.7
Liabilities
Deposits(5)	$	1,305.9	$	1,305.7	$	—	$	1,305.7	$	—
Securities loaned and sold under agreements to repurchase	215.5		215.5		—		215.5		—
Long-term debt(6)	181.7		186.8		—		175.8		11.0
Other financial liabilities(7)	146.4		146.4		—		27.9		118.5

	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(6)	170.3		173.4		—		168.0		5.4
Other financial liabilities(7)	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 September 30, 2024 and December 31, 2023, respectively.

(2)The carrying value of loans is net of the allowance for credit losses on loans of $18.4 billion for September 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 September 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.