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FAIR VALUE MEASUREMENT (Tables)
3 Months Ended
Mar. 31, 2023
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 at March 31, 2023 and December 31, 2022:

 Credit and funding
valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2023
December 31,
2022
Counterparty CVA$(771)$(816)
Asset FVA(593)(622)
Citigroup (own credit) CVA564 607 
Liability FVA235 263 
Total CVA and FVA—derivative instruments$(565)$(568)
Schedule of pretax gains (losses) related to changes in CVA, FVA, and DVA
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:

 Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended March 31,
In millions of dollars20232022
Counterparty CVA$(34)$(107)
Asset FVA(6)(105)
Own credit CVA(35)116 
Liability FVA(28)22 
Total CVA and FVA—derivative instruments$(103)$(74)
DVA related to own FVO liabilities(1)
$(433)$1,050 
Total CVA, DVA and FVA$(536)$976 
(1)    See Note 20 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.
Items measured at fair value on a recurring basis The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2023 and December 31, 2022. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2. The effects of these hedges are presented gross in the following tables:
Fair Value Levels

In millions of dollars at March 31, 2023Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$ $391,214 $153 $391,367 $(135,404)$255,963 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed 45,404 658 46,062  46,062 
Residential1 2,442 162 2,605  2,605 
Commercial 727 163 890  890 
Total trading mortgage-backed securities$1 $48,573 $983 $49,557 $ $49,557 
U.S. Treasury and federal agency securities$96,133 $3,667 $1 $99,801 $ $99,801 
State and municipal 1,851 23 1,874  1,874 
Foreign government51,826 30,459 53 82,338  82,338 
Corporate1,262 14,551 296 16,109  16,109 
Equity securities39,629 10,733 225 50,587  50,587 
Asset-backed securities 1,865 567 2,432  2,432 
Other trading assets(2)
55 13,980 1,094 15,129  15,129 
Total trading non-derivative assets$188,906 $125,679 $3,242 $317,827 $ $317,827 
Trading derivatives
Interest rate contracts$225 $164,020 $3,386 $167,631 
Foreign exchange contracts 130,754 860 131,614 
Equity contracts21 39,069 1,415 40,505 
Commodity contracts36 22,848 1,298 24,182 
Credit derivatives 9,193 849 10,042 
Total trading derivatives—before netting and collateral$282 $365,884 $7,808 $373,974 
Netting agreements$(292,519)
Netting of cash collateral received(15,376)
Total trading derivatives—after netting and collateral$282 $365,884 $7,808 $373,974 $(307,895)$66,079 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$ $14,588 $28 $14,616 $ $14,616 
Residential 315 25 340  340 
Commercial 2  2  2 
Total investment mortgage-backed securities$ $14,905 $53 $14,958 $ $14,958 
U.S. Treasury and federal agency securities$86,525 $101 $51 $86,677 $ $86,677 
State and municipal 1,772 521 2,293  2,293 
Foreign government50,102 74,431 551 125,084  125,084 
Corporate2,431 2,529 291 5,251  5,251 
Marketable equity securities258 173 12 443  443 
Asset-backed securities 1,064 1 1,065  1,065 
Other debt securities 5,155 4 5,159  5,159 
Non-marketable equity securities(3)
 6 409 415  415 
Total investments$139,316 $100,136 $1,893 $241,345 $ $241,345 

Table continues on the next page.
In millions of dollars at March 31, 2023Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$$4,494$640$5,134 $ $5,134 
Mortgage servicing rights658658  658 
Non-trading derivatives and other financial assets measured on a recurring basis$4,638$7,157$52$11,847 $ $11,847 
Total assets$333,142$994,564$14,446$1,342,152 $(443,299)$898,853 
Total as a percentage of gross assets(4)
24.8%74.1%1.1%
Liabilities
Interest-bearing deposits$$2,927$16$2,943 $ $2,943 
Securities loaned and sold under agreements to repurchase174,947809175,756 (109,524)66,232 
Trading account liabilities
Securities sold, not yet purchased116,24315,22272131,537  131,537 
Other trading liabilities17118  18 
Total trading account liabilities$116,243$15,239$73$131,555 $ $131,555 
Trading derivatives
Interest rate contracts$185$159,732$3,126$163,043 
Foreign exchange contracts127,948784128,732 
Equity contracts3441,5682,99744,599 
Commodity contracts3622,4711,06823,575 
Credit derivatives9,14587010,015 
Total trading derivatives—before netting and collateral$255$360,864$8,845$369,964 
Netting agreements$(292,519)
Netting of cash collateral paid(23,990)
Total trading derivatives—after netting and collateral$255$360,864$8,845$369,964 $(316,509)$53,455 
Short-term borrowings$$6,592$281$6,873 $ $6,873 
Long-term debt78,58736,581115,168  115,168 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$4,739$124$20$4,883 $ $4,883 
Total liabilities$121,237$639,280$46,625$807,142 $(426,033)$381,109 
Total as a percentage of gross liabilities(4)
15.0 %79.2 %5.8 %

(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)Includes positions related to investments in unallocated precious metals, as discussed in Note 22. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Amounts exclude $29 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, 2022Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $350,145 $149 $350,294 $(110,767)$239,527 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 34,878 600 35,478 — 35,478 
Residential1,821 166 1,988 — 1,988 
Commercial— 798 145 943 — 943 
Total trading mortgage-backed securities$$37,497 $911 $38,409 $— $38,409 
U.S. Treasury and federal agency securities$63,067 $4,513 $$67,581 $— $67,581 
State and municipal— 2,256 2,263 — 2,263 
Foreign government38,383 25,850 119 64,352 — 64,352 
Corporate1,593 11,955 394 13,942 — 13,942 
Equity securities43,990 10,179 192 54,361 — 54,361 
Asset-backed securities— 1,597 668 2,265 — 2,265 
Other trading assets(2)
24 14,963 648 15,635 — 15,635 
Total trading non-derivative assets$147,058 $108,810 $2,940 $258,808 $— $258,808 
Trading derivatives
Interest rate contracts$297 $174,156 $3,751 $178,204 
Foreign exchange contracts— 186,897 766 187,663 
Equity contracts20 40,683 1,704 42,407 
Commodity contracts— 26,823 1,501 28,324 
Credit derivatives— 7,484 905 8,389 
Total trading derivatives—before netting and collateral$317 $436,043 $8,627 $444,987 
Netting agreements$(346,545)
Netting of cash collateral received(3)
(23,136)
Total trading derivatives—after netting and collateral$317 $436,043 $8,627 $444,987 $(369,681)$75,306 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $11,232 $30 $11,262 $— $11,262 
Residential— 444 41 485 — 485 
Commercial— — — 
Total investment mortgage-backed securities$— $11,678 $71 $11,749 $— $11,749 
U.S. Treasury and federal agency securities$91,851 $439 $— $92,290 $— $92,290 
State and municipal— 1,637 586 2,223 — 2,223 
Foreign government58,419 74,250 608 133,277 — 133,277 
Corporate2,230 2,343 343 4,916 — 4,916 
Marketable equity securities254 165 10 429 — 429 
Asset-backed securities— 1,029 1,030 — 1,030 
Other debt securities— 4,194 — 4,194 — 4,194 
Non-marketable equity securities(4)
— 430 439 — 439 
Total investments$152,754 $95,744 $2,049 $250,547 $— $250,547 

Table continues on the next page.
In millions of dollars at December 31, 2022Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$$3,999$1,361$5,360 $— $5,360 
Mortgage servicing rights665665 — 665 
Non-trading derivatives and other financial assets measured on a recurring basis$4,310$6,291$57$10,658 $— $10,658 
Total assets$304,439$1,001,032$15,848$1,321,319 $(480,448)$840,871 
Total as a percentage of gross assets(5)
23.0%75.8%1.2%
Liabilities
Interest-bearing deposits$$1,860$15$1,875 $— $1,875 
Securities loaned and sold under agreements to repurchase155,8221,031156,853 (85,967)70,886 
Trading account liabilities
Securities sold, not yet purchased97,55913,11150110,720 — 110,720 
Other trading liabilities8311 — 11 
Total trading account liabilities$97,559$13,119$53$110,731 $— $110,731 
Trading derivatives
Interest rate contracts$175$169,049$3,396$172,620 
Foreign exchange contracts185,279716185,995 
Equity contracts7040,9052,80843,783 
Commodity contracts225,0931,22326,318 
Credit derivatives6,7151,0627,777 
Total trading derivatives—before netting and collateral$247$427,041$9,205$436,493 
Netting agreements$(346,545)
Netting of cash collateral paid(3)
(30,032)
Total trading derivatives—after netting and collateral$247$427,041$9,205$436,493 $(376,577)$59,916 
Short-term borrowings$$6,184$38$6,222 $— $6,222 
Long-term debt69,87836,117105,995 — 105,995 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$4,197$240$2$4,439 $— $4,439 
Total liabilities$102,003$674,144$46,461$822,608 $(462,544)$360,064 
Total as a percentage of gross liabilities(5)
12.4 %82.0 %5.6 %

(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 22. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(4)Amounts exclude $27 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).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
Changes in level 3 fair value category The hedged items and related hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers    
Unrealized
gains (losses)
still held
(3)
In millions of dollarsDec. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
PurchasesIssuancesSalesSettlementsMar. 31, 2023
Assets
Securities borrowed and purchased under agreements to resell$149 $13 $ $ $ $137 $ $ $(146)$153 $14 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed600 22  92 (142)223  (137) 658 19 
Residential166 1  26 (19)61  (73) 162 (4)
Commercial145 (5) 56 (13)19  (39) 163 (4)
Total trading mortgage-backed securities$911 $18 $ $174 $(174)$303 $ $(249)$ $983 $11 
U.S. Treasury and federal agency securities$$ $ $ $ $ $ $ $ $1 $ 
State and municipal(2) 19    (1) 23  
Foreign government119 7   (25)12  (60) 53 6 
Corporate394 30  14 (127)96  (111) 296 90 
Marketable equity securities192 3  12 (6)31  (7) 225 4 
Asset-backed securities668 15  5 (63)121  (179) 567 5 
Other trading assets648 28  245 (2)290  (115) 1,094 36 
Total trading non-derivative assets$2,940 $99 $ $469 $(397)$853 $ $(722)$ $3,242 $152 
Trading derivatives, net(4)
Interest rate contracts$355 $(139)$ $(35)$10 $4 $ $ $65 $260 $(72)
Foreign exchange contracts50 43  (17)(2)75  (39)(34)76 50 
Equity contracts(1,104)(392) (51)234 (246) (23) (1,582)(1,271)
Commodity contracts278 (325) 100 323 (67) (3)(76)230 (145)
Credit derivatives(157)8  17 100 2   9 (21)(151)
Total trading derivatives, net(4)
$(578)$(805)$ $14 $665 $(232)$ $(65)$(36)$(1,037)$(1,589)

Table continues on the next page.
  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held
(3)
In millions of dollarsDec. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
PurchasesIssuancesSalesSettlementsMar. 31, 2023
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$30 $ $(2)$ $ $ $ $ $ $28 $(1)
Residential41       (16) 25  
Commercial—           
Total investment mortgage-backed securities$71 $ $(2)$ $ $ $ $(16)$ $53 $(1)
U.S. Treasury and federal agency securities$— $ $ $ $ $51 $ $ $ $51 $ 
State and municipal586  17 1 (75)1  (9) 521 12 
Foreign government608  (2)10 (1)160  (224) 551 2 
Corporate343  3  (61)58  (52) 291  
Marketable equity securities10  2       12  
Asset-backed securities        1  
Other debt securities—  (1)  5    4  
Non-marketable equity securities430  (4)2  6  (25) 409 (6)
Total investments$2,049 $ $13 $13 $(137)$281 $ $(326)$ $1,893 $7 
Loans$1,361 $ $17 $ $(190)$ $106 $ $(654)$640 $(14)
Mortgage servicing rights665  (3)   12  (16)658 (3)
Other financial assets measured on a recurring basis57  (3) (1)1  (2) 52 4 
Liabilities
Interest-bearing deposits$15 $ $(2)$ $(1)$ $ $ $ $16 $ 
Securities loaned and sold under agreements to repurchase1,031 (7)   824   (1,053)809  
Trading account liabilities
Securities sold, not yet purchased50 (15) 6 (16)31   (14)72 (1)
Other trading liabilities2        1  
Short-term borrowings38 27   (5) 276  (1)281  
Long-term debt36,117 (1,120) 1,098 (4,843) 3,536  (447)36,581 (1,061)
Other financial liabilities measured on a recurring basis 2    20   20  

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2023.
(4)Total Level 3 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 dollarsDec. 31, 2021Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
PurchasesIssuancesSalesSettlementsMar. 31, 2022
Assets
Securities borrowed and purchased under agreements to resell$231 $11 $— $— $— $88 $— $— $(128)$202 $
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed496 — 47 (69)166 — (144)— 498 
Residential104 — — 33 (21)38 — (36)— 118 (2)
Commercial81 (2)— (26)— (7)— 52 (3)
Total trading mortgage-backed securities$681 $— $— $81 $(116)$209 $— $(187)$— $668 $(4)
U.S. Treasury and federal agency securities$$(4)$— $$— $— $— $— $— $$— 
State and municipal37 — — (20)— (13)— — 
Foreign government23 — 50 — 30 — (10)— 94 (12)
Corporate412 — 142 (34)647 — (163)— 1,013 (46)
Marketable equity securities174 (5)— 49 (26)50 — (43)— 199 
Asset-backed securities613 — 58 (67)131 — (274)— 466 (20)
Other trading assets576 47 — 28 (62)249 10 (352)(4)492 (97)
Total trading non-derivative assets$2,520 $54 $— $410 $(325)$1,317 $10 $(1,042)$(4)$2,940 $(170)
Trading derivatives, net(4)
Interest rate contracts$1,726 $166 $— $(68)$(531)$$— $— $(516)$779 $366 
Foreign exchange contracts(89)395 — (509)44 102 — (64)(10)(131)87 
Equity contracts(2,140)808 — (13)(25)185 — (225)(154)(1,564)983 
Commodity contracts422 414 — 29 (493)53 — (44)(164)217 542 
Credit derivatives(31)(63)— 32 13 — — (1)46 (4)(67)
Total trading derivatives, net(4)
$(112)$1,720 $— $(529)$(992)$342 $— $(334)$(798)$(703)$1,911 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$51 $— $(7)$$— $$— $(3)$— $46 $(10)
Residential94 — (2)— (39)— — (9)— 44 (2)
Total investment mortgage-backed securities$145 $— $(9)$$(39)$$— $(12)$— $90 $(12)
U.S. Treasury and federal agency securities$$— $— $— $— $— $— $— $— $$— 
State and municipal772 — (44)— (11)— — (12)— 705 (43)
Foreign government786 — (24)250 (59)183 — (107)— 1,029 (25)
Corporate188 — (4)53 — — — — — 237 — 
Marketable equity securities16 — — — — — — — — 16 — 
Asset-backed securities— 12 — — — — (13)— (2)
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities316 — (14)11 — — — (15)— 298 (14)
Total investments$2,227 $— $(83)$315 $(109)$187 $— $(159)$— $2,378 $(96)
Table continues on the next page.
Net realized/unrealized
gains (losses) incl. in(1)
Transfers
Unrealized
gains (losses)
still held
(3)
In millions of dollarsDec. 31, 2021Principal
transactions
Other(1)(2)
into
Level 3
out of
Level 3
PurchasesIssuancesSalesSettlementsMar. 31, 2022
Loans$711 $— $(85)$— $(2)$— $— $— $(2)$622 $
Mortgage servicing rights404 — 99 — — — 34 — (17)520 98 
Other financial assets measured on a recurring basis73 — — (4)25 (1)(28)68 10 
Liabilities
Interest-bearing deposits$183 $— $(4)$$— $— $$— $(4)$191 $11 
Securities loaned and sold under agreements to repurchase643 26 — — — — — — (5)612 23 
Trading account liabilities
Securities sold, not yet purchased65 29 — 25 (15)53 — — (61)38 (26)
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings105 88 — 28 (9)— — (7)36 
Long-term debt25,509 3,526 — 3,408 (873)— 3,172 — (258)27,432 3,436 
Other financial liabilities measured on a recurring basis— — — — — — — — — 

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2022.
(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 this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
As of March 31, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets   
Securities borrowed and purchased under agreements to resell$152 Model-basedInterest rate 1.68 %4.90 %1.75 %
Credit spread15 bps15 bps15 bps
Mortgage-backed securities$674 Yield analysisYield4.73 %21.61 %9.44 %
342 Price-basedPrice$0.50 $129.67 $52.80 
State and municipal, foreign government, corporate and other debt securities$2,832 
Price-based
Price
$0.01$921.88$202.70
Marketable equity securities(5)
$183 Price-basedPrice$$10,165.30$87.64
33 Model-basedWAL2 years2 years2 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Asset-backed securities$282 Price-basedPrice$$100.00$64.79
268 Yield analysisYield6.00 %23.00 %10.00 %
Non-marketable equities$273 Comparables analysisIlliquidity discount8.00 %11.00 %8.79 %
87 Cash flow PE ratio14.00x16.40x14.90x
Discount to price 8.50 %33.00 %15.00 %
Revenue multiple3.50x16.60x14.79x
Derivatives—gross(6)
Interest rate contracts (gross)$6,123 Model-basedIR normal volatility0.30 %20.00 %1.18 %
Foreign exchange contracts (gross)$1,544 Model-basedIR basis 0.31 %2.07 %0.60 %
Equity volatility30.33 %34.99 %31.69 %
FX volatility1.10 %44.50 %11.63 %
Equity contracts (gross)(7)
$4,291 Model-basedEquity volatility %302.07 %33.15 %
Equity forward72.09 %254.63 %102.73 %
Equity-FX correlation(95.00)%70.00 %(14.89)%
WAL 2 years2 years2 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Equity-IR correlation(20.00)%60.00 %29.34 %
Commodity and other contracts (gross)$2,366 Model-basedCommodity correlation(30.00)%93.73 %45.39 %
Commodity volatility13.29 %107.92 %31.69 %
Forward price19.79 %683.12 %145.42 %
Credit derivatives (gross)$1,175 Model-basedCredit spread7 bps972 bps131 bps
538 Price-basedRecovery rate15.00 %75.00 %39.77 %
Credit correlation25.00 %70.00 %47.00 %
Price$1.58$99.26$35.96
Upfront points(0.27)%99.00 %44.71 %
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$72 Price-basedPrice$0.01$106.00$90.75
Loans and leases$397 Model-basedPrice$71.00$100.00$83.60
As of March 31, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
$243 Price-basedEquity volatility %302.07 %30.90 %
Equity forward72.09 %254.63 %102.76 %
Forward price19.79 %683.12 %129.62 %
Commodity volatility13.29 %107.92 %31.69 %
Commodity correlation(30.00)%93.73 %45.39 %
Mortgage servicing rights$575 Cash flowYield(0.40)%12.00 %4.60 %
82 Model-basedWAL3.83 years9.11 years7.59 years
Liabilities
Interest-bearing deposits$16 Forward priceEquity forward100.00 %100.00 %100.00 %
Securities loaned and sold under agreements to repurchase$804 
Model-based
Interest rate
2.36 %4.90 %3.72 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$63 Price-basedPrice$$2,720$42
Short-term borrowings and long-term debt$35,492 
Model-based
IR normal volatility0.30 %2.07 %0.82 %

As of December 31, 2022
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$146 Model-basedCredit spread15 bps15 bps15 bps
Interest rate2.61 %2.61 %2.61 %
Mortgage-backed securities$228 Price-basedPrice$1.04 $99.71 $51.51 
732 Yield analysisYield4.41 %20.30 %9.74 %
State and municipal, foreign government, corporate and other debt securities$2,360 Price-basedPrice$0.01 $994.68 $245.85 
Marketable equity securities(5)
$147 Price-basedPrice$— $9,087.76 $114.29 
31 Model-basedWAL2.24 years2.24 years2.24 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Asset-backed securities$304 Price-basedPrice$10.50 $145.00 $74.97 
308 Yield analysisYield5.76 %18.58 %9.34 %
Non-marketable equities$287 Comparables analysisIlliquidity discount 8.60 %17.00 %10.16 %
101 Price-basedPE ratio14.00x15.70x15.16x
Cost of capital 8.10 %17.50 %10.44 %
Revenue multiple3.60x13.90x12.40x
Derivatives—gross(6)
Interest rate contracts (gross)$7,108 Model-basedIR normal volatility0.33 %1.82 %0.96 %
Foreign exchange contracts (gross)$1,437 Model-basedIR normal volatility0.33 %1.47 %0.67 %
IR basis(4.23)%9.68 %(0.03)%
Equity volatility0.05 %300.72 %33.91 %
Credit spread116 bps626 bps594 bps
Equity contracts (gross)(7)
$4,430 Model-basedEquity volatility0.05 %300.72 %41.47 %
Equity forward68.34 %271.61 %103.50 %
Equity-FX correlation(95.00)%50.00 %(16.33)%
Equity-Equity correlation(3.98)%98.68 %85.63 %
WAL2.24 years2.24 years2.24 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Equity-IR correlation(18.83)%60.00 %32.37 %
Commodity and other contracts (gross)$2,724 Model-basedForward price14.27 %385.50 %106.08 %
Commodity volatility10.43 %151.50 %33.55 %
Commodity correlation(32.00)%91.94 %36.70 %
Credit derivatives (gross)$1,520 Model-basedCredit spread2.50 bps955.10 bps101.27 bps
439 Price-basedRecovery rate25.00 %75.00 %42.27 %
Credit correlation25.00 %80.00 %42.38 %
Price$31.71 $99.00 $78.75 
Credit spread volatility35.58 %64.79 %40.47 %
Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$57 Price-basedPrice$80.16 $105.32 $92.65 
Loans and leases$1,059 Model-basedEquity volatility0.05 %300.72 %42.62 %
304 Price-basedForward price14.27 %324.85 %105.07 %
Price$0.01 $100.53 $84.77 
Equity forward68.34 %271.61 %103.49 %
Mortgage servicing rights$580 Cash flowYield(0.40)%13.20 %5.36 %
84 Model-basedWAL3.92 years9.33 years7.71 years
Liabilities
Interest-bearing deposits$15 Model-basedForward price100.00 %101.30 %100.07 %
Securities loaned and sold under agreements to repurchase$970 Model-basedInterest rate 4.01 %4.97 %4.07 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$47 Price-basedPrice$— $9,087.76 $41.22 
6Model-basedFX volatility2.00 %40.00 %12.85 %
Short-term borrowings and long-term debt$36,155 Model-basedIR normal volatility0.33 %1.82 %0.89 %

(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.
Items measured at fair value of a nonrecurring basis
The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:

In millions of dollarsFair valueLevel 2Level 3
March 31, 2023   
Loans HFS(1)
$3,926 $2,544 $1,382 
Other real estate owned5  5 
Loans(2)
56  56 
Non-marketable equity securities measured using the measurement alternative158  158 
Total assets at fair value on a nonrecurring basis$4,145 $2,544 $1,601 

In millions of dollarsFair valueLevel 2Level 3
December 31, 2022   
Loans HFS(1)
$2,336 $457 $1,879 
Other real estate owned— 
Loans(2)
69 — 69 
Non-marketable equity securities measured using the measurement alternative597 — 597 
Total assets at fair value on a nonrecurring basis$3,003 $457 $2,546 

(1)Net of mark-to-market amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Valuation techniques and inputs for Level 3 nonrecurring fair value measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:

As of March 31, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,382 Price-basedPrice$75.00 $104.48 $91.79 
Other real estate owned$4 Price-based
Appraised value(4)
$18,899 $729,000 $367,017 
Price$100 $100 $100 
Loans(5)
$32 Recovery analysis
Appraised value(4)
$12,000 $24,592,081 $10,920,430 
25 Price-based
Non-marketable equity securities measured using the measurement alternative$122 Price-basedPrice$4.02 $1,912.00 $1,183.00 
35 Comparable analysisRevenue multiple5.20x21.90x13.00x

As of December 31, 2022
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,830 Price-basedPrice$0.88 $100.23 $65.91 
Other real estate owned$Price-based
Appraised value(4)
$30,000 $441,750 $310,552 
Loans(5)
$45 Recovery analysis
Appraised value(4)
$12,000 $14,022,820 $3,714,342 
$24 Appraised value
Non-marketable equity securities measured using the measurement alternative$234 Comparable analysisRevenue multiple 4.95x73.10x19.68x
363 Price-basedPrice$0.46 $2,416.43 $557.86 

(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Changes in total nonrecurring fair value measurements
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:

Three Months Ended March 31,
In millions of dollars20232022
Loans HFS$(56)$(152)
Other real estate owned — 
Loans(1)
(2)
Non-marketable equity securities measured using the measurement alternative(25)85 
Total nonrecurring fair value gains (losses)$(83)$(63)

(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Estimated fair value of financial instruments The following tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tables below therefore exclude items measured at fair value on a recurring basis presented in the tables above.
 March 31, 2023Estimated fair value
 Carrying
value
Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets 
Investments, net of allowance$269.6 $248.2 $125.6 $120.2 $2.4 
Securities borrowed and purchased under agreements to resell128.2 128.3  128.3  
Loans(1)(2)
629.3 635.9   635.9 
Other financial assets(2)(3)
415.5 415.5 310.7 18.2 86.6 
Liabilities
Deposits$1,327.5 $1,327.6 $ $1,139.4 $188.2 
Securities loaned and sold under agreements to repurchase191.4 191.4  191.4  
Long-term debt(4)
164.5 161.7  146.6 15.1 
Other financial liabilities(5)
141.7 141.7  22.6 119.1 
 December 31, 2022Estimated fair value
 Carrying
value
Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments, net of allowance$274.3 $249.2 $123.2 $123.1 $2.9 
Securities borrowed and purchased under agreements to resell125.9 125.9 — 125.9 — 
Loans(1)(2)
634.5 634.9 — — 634.9 
Other financial assets(2)(3)
427.1 427.1 320.0 22.0 85.1 
Liabilities     
Deposits$1,364.1 $1,345.4 $— $1,159.4 $186.0 
Securities loaned and sold under agreements to repurchase131.6 131.6 — 131.6 — 
Long-term debt(4)
165.6 160.5 — 151.1 9.4 
Other financial liabilities(5)
142.4 142.4 — 26.5 115.9 

(1)The carrying value of loans is net of the allowance for credit losses on loans of $17.2 billion for March 31, 2023 and $17.0 billion for December 31, 2022. In addition, the carrying values exclude $0.3 billion and $0.4 billion of lease finance receivables at March 31, 2023 and December 31, 2022, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)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.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)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.