v3.25.2
FAIR VALUE MEASUREMENT (Tables)
 6 Months Ended
Jun. 30, 2025
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 June 30, 2025 and December 31, 2024:

 Credit and funding
valuation adjustments
contra-liability (contra-asset)
In millions of dollarsJune 30,
2025		December 31,
2024
Counterparty CVA$(654)$(561)
Asset FVA(608)(539)
Citigroup (own credit) CVA347 346 
Liability FVA218 209 
Total CVA and FVA—derivative instruments$(697)$(545)
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 June 30,Six Months Ended June 30,
In millions of dollars2025202420252024
Counterparty CVA$(37)$(25)$(61)$(17)
Asset FVA(40)2 (3)86 
Own credit CVA(27)6 19 (46)
Liability FVA12 27 17 (30)
Total CVA and FVA—derivative instruments$(92)$10 $(28)$(7)
DVA related to own FVO liabilities(1)
$(391)$343 $609 $(407)
Total CVA, DVA and FVA$(483)$353 $581 $(414)
(1)    See Note 21 to the Consolidated Financial Statements in Citi’s 2024 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, 2025 and December 31, 2024. 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. These hedges are presented gross in the following tables:
Fair Value Levels

In millions of dollars at June 30, 2025Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $494,333 $86 $494,419 $(319,395)$175,024 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 88,527 545 89,072 — 89,072 
Residential— 577 85 662 — 662 
Commercial— 741 62 803 — 803 
Total trading mortgage-backed securities$— $89,845 $692 $90,537 $— $90,537 
U.S. Treasury and federal agency securities$153,324 $3,676 $— $157,000 $— $157,000 
State and municipal— 166 1 167 — 167 
Foreign government70,486 57,875 4 128,365 — 128,365 
Corporate1,873 21,941 282 24,096 — 24,096 
Equity securities70,649 8,271 251 79,171 — 79,171 
Asset-backed securities— 2,034 211 2,245 — 2,245 
Other trading assets1 27,824 566 28,391 — 28,391 
Total trading non-derivative assets$296,333 $211,632 $2,007 $509,972 $— $509,972 
Trading derivatives
Interest rate contracts$49 $195,757 $1,684 $197,490 
Foreign exchange contracts— 176,044 620 176,664 
Equity contracts159 72,007 1,076 73,242 
Commodity contracts— 13,316 1,020 14,336 
Credit derivatives— 9,285 702 9,987 
Total trading derivatives—before netting and collateral$208 $466,409 $5,102 $471,719 
Netting agreements$(385,343)
Netting of cash collateral received(27,790)
Total trading derivatives—after netting and collateral$208 $466,409 $5,102 $471,719 $(413,133)$58,586 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $36,155 $19 $36,174 $— $36,174 
Residential— 817 11 828 — 828 
Commercial— 1 — 1 — 1 
Total investment mortgage-backed securities$— $36,973 $30 $37,003 $— $37,003 
U.S. Treasury and federal agency securities$35,490 $— $— $35,490 $— $35,490 
State and municipal— 1,169 503 1,672 — 1,672 
Foreign government77,400 73,563 27 150,990 — 150,990 
Corporate3,708 1,342 208 5,258 — 5,258 
Marketable equity securities104 5 3 112 — 112 
Asset-backed securities— 987 — 987 — 987 
Other debt securities45 4,357 — 4,402 — 4,402 
Non-marketable equity securities(2)
— — 439 439 — 439 
Total investments$116,747 $118,396 $1,210 $236,353 $— $236,353 

Table continues on the next page.
In millions of dollars at June 30, 2025Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$9,077$180$9,257 $— $9,257 
Mortgage servicing rights——770770 — 770 
Other financial assets$5,065$10,702$83$15,850 $— $15,850 
Total assets$418,353$1,310,549$9,438$1,738,340 $(732,528)$1,005,812 
Total as a percentage of gross assets(3)
24.1%75.4%0.5%
Liabilities
Deposits$—$4,069$43$4,112 $— $4,112 
Securities loaned and sold under agreements to repurchase—361,567955362,522 (170,124)192,398 
Trading account liabilities
Securities sold, not yet purchased89,67019,78137109,488 — 109,488 
Other trading liabilities—13—13 — 13 
Total trading account liabilities$89,670$19,794$37$109,501 $— $109,501 
Trading derivatives
Interest rate contracts$19$187,240$2,140$189,399 
Foreign exchange contracts—165,633552166,185 
Equity contracts14879,1333,24382,524 
Commodity contracts—15,11389316,006 
Credit derivatives—8,6198909,509 
Total trading derivatives—before netting and collateral$167$455,738$7,718$463,623 
Netting agreements$(385,343)
Netting of cash collateral paid(23,829)
Total trading derivatives—after netting and collateral$167$455,738$7,718$463,623 $(409,172)$54,451 
Short-term borrowings$—$20,251$343$20,594 $— $20,594 
Long-term debt—106,20721,166127,373 — 127,373 
Other financial liabilities$3,431$419$65$3,915 $— $3,915 
Total liabilities$93,268$968,045$30,327$1,091,640 $(579,296)$512,344 
Total as a percentage of gross liabilities(3)
8.5 %88.7 %2.8 %

(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)Amounts exclude $32 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, 2024Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets
Securities borrowed and purchased under agreements to resell$— $462,542 $128 $462,670 $(321,815)$140,855 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 63,365 301 63,666 — 63,666 
Residential— 528 67 595 — 595 
Commercial— 631 36 667 — 667 
Total trading mortgage-backed securities$— $64,524 $404 $64,928 $— $64,928 
U.S. Treasury and federal agency securities$142,837 $6,517 $1 $149,355 $— $149,355 
State and municipal— 168 11 179 — 179 
Foreign government35,805 39,035 15 74,855 — 74,855 
Corporate1,197 13,474 269 14,940 — 14,940 
Equity securities41,163 7,479 166 48,808 — 48,808 
Asset-backed securities— 2,131 178 2,309 — 2,309 
Other trading assets— 26,441 333 26,774 — 26,774 
Total trading non-derivative assets$221,002 $159,769 $1,377 $382,148 $— $382,148 
Trading derivatives
Interest rate contracts$17 $128,562 $1,699 $130,278 
Foreign exchange contracts— 215,330 715 216,045 
Equity contracts44 53,734 1,366 55,144 
Commodity contracts— 11,546 1,074 12,620 
Credit derivatives— 7,993 722 8,715 
Total trading derivatives—before netting and collateral$61 $417,165 $5,576 $422,802 
Netting agreements$(334,900)
Netting of cash collateral received(27,303)
Total trading derivatives—after netting and collateral$61 $417,165 $5,576 $422,802 $(362,203)$60,599 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $29,270 $36 $29,306 $— $29,306 
Residential— 596 28 624 — 624 
Commercial— 1 — 1 — 1 
Total investment mortgage-backed securities$— $29,867 $64 $29,931 $— $29,931 
U.S. Treasury and federal agency securities$51,501 $878 $— $52,379 $— $52,379 
State and municipal— 1,230 428 1,658 — 1,658 
Foreign government62,106 71,241 12 133,359 — 133,359 
Corporate3,163 1,505 146 4,814 — 4,814 
Marketable equity securities130 7 14 151 — 151 
Asset-backed securities— 846 2 848 — 848 
Other debt securities— 3,881 6 3,887 — 3,887 
Non-marketable equity securities(2)
— — 404 404 — 404 
Total investments$116,900 $109,455 $1,076 $227,431 $— $227,431 

Table continues on the next page.
In millions of dollars at December 31, 2024Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$7,778$262$8,040 $— $8,040 
Mortgage servicing rights——760760 — 760 
Other financial assets$5,373$9,424$15$14,812 $— $14,812 
Total assets$343,336$1,166,133$9,194$1,518,663 $(684,018)$834,645 
Total as a percentage of gross assets(3)
22.6%76.8%0.6%
Liabilities
Deposits$—$3,569$39$3,608 $— $3,608 
Securities loaned and sold under agreements to repurchase—260,286390260,676 (211,522)49,154 
Trading account liabilities
Securities sold, not yet purchased72,32413,1842885,536 — 85,536 
Other trading liabilities—12—12 — 12 
Total trading account liabilities$72,324$13,196$28$85,548 $— $85,548 
Trading derivatives
Interest rate contracts$6$120,097$2,029$122,132 
Foreign exchange contracts—205,487530206,017 
Equity contracts4058,6423,05461,736 
Commodity contracts—13,96067014,630 
Credit derivatives—6,6356187,253 
Total trading derivatives—before netting and collateral$46$404,821$6,901$411,768 
Netting agreements$(334,900)
Netting of cash collateral paid(28,570)
Total trading derivatives—after netting and collateral$46$404,821$6,901$411,768 $(363,470)$48,298 
Short-term borrowings$—$12,187$297$12,484 $— $12,484 
Long-term debt—91,61921,100112,719 — 112,719 
Other financial liabilities $4,478$744$—$5,222 $— $5,222 
Total liabilities$76,848$786,422$28,755$892,025 $(574,992)$317,033 
Total as a percentage of gross liabilities(3)
8.6 %88.2 %3.2 %

(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 $23 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, 2025 and 2024. 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 dollarsMar. 31, 2025Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2025
Assets
Securities borrowed and purchased under agreements to resell$153 $21 $— $— $— $18 $— $— $(106)$86 $22 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed614 17 — 86 (174)134 — (132)— 545 8 
Residential118 1 — 26 (49)46 — (57)— 85 — 
Commercial87 — — 9 (30)13 — (17)— 62 (1)
Total trading mortgage-backed securities$819 $18 $— $121 $(253)$193 $— $(206)$— $692 $7 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal1 — — — — — — — — 1 — 
Foreign government3 (4)— — (4)9 — — — 4 — 
Corporate250 68 — 53 (50)21 — (60)— 282 164 
Marketable equity securities227 13 — 21 (4)52 — (58)— 251 10 
Asset-backed securities220 (10)— 29 (35)76 — (69)— 211 (3)
Other trading assets468 21 — 9 (24)221 12 (133)(8)566 30 
Total trading non-derivative assets$1,988 $106 $— $233 $(370)$572 $12 $(526)$(8)$2,007 $208 
Trading derivatives, net(4)
Interest rate contracts$(637)$180 $— $(58)$35 $(54)$7 $— $71 $(456)$145 
Foreign exchange contracts181 68 — 18 (125)8 — (90)8 68 (67)
Equity contracts(2,205)251 — (128)334 (399)— (7)(13)(2,167)80 
Commodity contracts325 (57)— (184)19 47 — — (23)127 (38)
Credit derivatives28 (93)— (84)(4)(21)— — (14)(188)(144)
Total trading derivatives, net(4)
$(2,308)$349 $— $(436)$259 $(419)$7 $(97)$29 $(2,616)$(24)

Table continues on the next page.
  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsMar. 31, 2025Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2025
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$32 $— $(1)$— $(12)$— $— $— $— $19 $(1)
Residential10 — 1 — — — — — — 11 1 
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$42 $— $— $— $(12)$— $— $— $— $30 $— 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal435 — — 67 (1)7 — (5)— 503 — 
Foreign government9 — (2)20 — — — — — 27 — 
Corporate194 — 3 85 (33)38 — (79)— 208 2 
Marketable equity securities6 — (3)— — — — — — 3 — 
Asset-backed securities— — — — — — — — — — 
Other debt securities1 — — — — — — (1)— — — 
Non-marketable equity securities414 — 13 — — 21 — (9)— 439 — 
Total investments$1,101 $— $11 $172 $(46)$66 $— $(94)$— $1,210 $2 
Loans$318 $— $19 $2 $(97)$— $3 $— $(65)$180 $9 
Mortgage servicing rights751 — 12 — — — 27 — (20)770 12 
Other financial assets 13 — — 2 — 61 19 — (12)83 — 
Liabilities
Deposits$47 $— $(4)$1 $— $— $7 $— $(16)$43 $— 
Securities loaned and sold under agreements to repurchase798 (5)— — — 339 — — (187)955 1 
Trading account liabilities
Securities sold, not yet purchased29 (11)— 5 (16)19 — — (11)37 (12)
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings721 37 — 45 (24)— 43 — (405)343 (5)
Long-term debt21,441 (470)— 628 (1,224)— 765 — (914)21,166 (586)
Other financial liabilities measured on a recurring basis1 — — 14 — 50 — — — 65 — 
(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, 2025.
(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 dollarsDec. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2025
Assets
Securities borrowed and purchased under agreements to resell$128 $27 $— $— $(84)$168 $— $— $(153)$86 $24 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed301 40 — 242 (210)454 — (282)— 545 29 
Residential67 2 — 37 (61)106 — (66)— 85 (1)
Commercial36 (4)— 30 (39)56 — (17)— 62 (3)
Total trading mortgage-backed securities$404 $38 $— $309 $(310)$616 $— $(365)$— $692 $25 
U.S. Treasury and federal agency securities$1 $— $— $— $(1)$— $— $— $— $— $— 
State and municipal11 1 — — (11)— — — — 1 — 
Foreign government15 (3)— — (10)9 — (7)— 4 1 
Corporate269 52 — 70 (110)114 — (113)— 282 171 
Marketable equity securities166 18 — 43 (6)123 — (93)— 251 11 
Asset-backed securities178 (19)— 39 (40)173 — (120)— 211 (6)
Other trading assets333 100 — 53 (32)275 24 (171)(16)566 83 
Total trading non-derivative assets$1,377 $187 $— $514 $(520)$1,310 $24 $(869)$(16)$2,007 $285 
Trading derivatives, net(4)
Interest rate contracts$(330)$(52)$— $(72)$(63)$(63)$10 $(9)$123 $(456)$(113)
Foreign exchange contracts185 (6)— 80 (75)49 — (149)(16)68 (207)
Equity contracts(1,688)386 — (276)467 (1,313)— (28)285 (2,167)(557)
Commodity contracts404 40 — (207)135 (79)— (4)(162)127 73 
Credit derivatives104 (171)— (74)78 (117)— — (8)(188)(137)
Total trading derivatives, net(4)
$(1,325)$197 $— $(549)$542 $(1,523)$10 $(190)$222 $(2,616)$(941)

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, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2025
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$36 $— $(2)$— $(15)$— $— $— $— $19 $(2)
Residential28 — 1 — (5)— — (13)— 11 1 
Total investment mortgage-backed securities$64 $— $(1)$— $(20)$— $— $(13)$— $30 $(1)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal428 — 4 89 (14)255 — (259)— 503 (2)
Foreign government12 — (3)20 (2)— — — — 27 — 
Corporate146 — 12 85 (65)135 — (105)— 208 4 
Marketable equity securities14 — (11)— — — — — — 3 — 
Asset-backed securities2 — — — (2)— — — — — — 
Other debt securities6 — — — — 1 — (7)— — — 
Non-marketable equity securities404 — 18 — — 33 — (16)— 439 — 
Total investments$1,076 $— $19 $194 $(103)$424 $— $(400)$— $1,210 $1 
Loans$262 $— $96 $2 $(99)$— $7 $— $(88)$180 $10 
Mortgage servicing rights760 — (3)— — — 52 — (39)770 (4)
Other financial assets15 — — 2 — 62 30 — (26)83 4 
Liabilities
Deposits$39 $— $(4)$1 $— $— $26 $— $(27)$43 $— 
Securities loaned and sold under agreements to repurchase390 (2)— — — 1,071 — — (508)955 1 
Trading account liabilities
Securities sold, not yet purchased28 18 — 7 (21)76 — — (35)37 (26)
Other trading liabilities— 1 — — (2)25 — — (22)— — 
Short-term borrowings297 46 — 59 (59)— 616 — (524)343 (103)
Long-term debt21,100 (419)— 1,240 (2,065)— 2,049 — (1,577)21,166 (520)
Other financial liabilities— — — 14 — 50 1 — — 65 — 
(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, 2025.
(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 dollarsMar. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 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 guaranteed531 — — 205 (131)233 — (147)— 691 5 
Residential170 (2)— 17 (23)23 — (94)— 91 — 
Commercial159 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 municipal1 — — — — — — — — 1 — 
Foreign government113 — — — (9)38 — (97)— 45 1 
Corporate464 66 — 62 (180)105 — (202)— 315 65 
Marketable equity securities232 (27)— 101 (26)29 — (65)— 244 (22)
Asset-backed securities370 (21)— 15 (60)40 — (100)— 244 (4)
Other trading assets752 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 contracts335 553 — 36 (20)22 — (144)(231)551 507 
Equity contracts(2,222)123 — 73 324 (298)— (54)4 (2,050)141 
Commodity contracts342 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 dollarsMar. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$27 $— $2 $— $— $— $— $(1)$— $28 $2 
Residential25 — (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 municipal479 — (5)— (5)— — (30)— 439 (4)
Foreign government24 — (4)— (6)— — — — 14 (3)
Corporate388 — (7)12 (251)10 — (40)— 112 10 
Marketable equity securities8 — 2 — — — — — — 10 (1)
Asset-backed securities— — — — — — — — — — — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities488 — (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 rights702 — 5 — — — 19 — (17)709 5 
Other financial assets 31 — (1)— — 2 — (2)(9)21 — 
Liabilities
Deposits$72 $— $1 $5 $(32)$— $10 $— $(13)$41 $(8)
Securities loaned and sold under agreements to repurchase326 — — — — 184 — — (224)286 — 
Trading account liabilities
Securities sold, not yet purchased105 (2)— 13 (8)9 — — (89)32 — 
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings583 12 — 9 (479)— 177 — (77)201 — 
Long-term debt40,364 832 — 1,680 (20,890)— 1,192 — (1,139)20,375 394 
Other financial liabilities measured on a recurring basis3 — — — — — 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 dollarsDec. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 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 guaranteed581 (39)— 284 (285)433 — (283)— 691 (13)
Residential116 (3)— 53 (58)111 — (128)— 91 3 
Commercial202 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 municipal3 — — — — — — (2)— 1 — 
Foreign government54 — — 12 (49)163 — (135)— 45 2 
Corporate500 139 — 75 (388)365 — (368)(8)315 71 
Marketable equity securities292 (9)— 130 (49)60 — (180)— 244 (20)
Asset-backed securities531 (18)— 30 (178)176 — (297)— 244 (12)
Other trading assets833 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 contracts295 507 — 38 73 (73)— (166)(123)551 414 
Equity contracts(1,634)(226)— (71)537 (568)— (55)(33)(2,050)35 
Commodity contracts279 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 dollarsDec. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2024
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$75 $— $(1)$— $— $3 $— $(49)$— $28 $(1)
Residential116 — (2)1 (90)— — — — 25 (2)
Total investment mortgage-backed securities$191 $— $(3)$1 $(90)$3 $— $(49)$— $53 $(3)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal542 — (31)— (6)— — (66)— 439 (13)
Foreign government194 — (12)6 (174)36 — (36)— 14 (3)
Corporate362 — (7)42 (279)51 — (57)— 112 10 
Marketable equity securities27 — (17)— — — — — — 10 (1)
Asset-backed securities— — — — — — — — — — — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities483 — (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 $10 
Mortgage servicing rights691 — 17 — — — 36 — (35)709 (4)
Other financial assets30 — (2)— — 5 13 (2)(23)21 4 
Liabilities
Deposits$29 $— $4 $51 $(33)$— $15 $— $(17)$41 $(8)
Securities loaned and sold under agreements to repurchase390 — — — — 438 — — (542)286 — 
Trading account liabilities
Securities sold, not yet purchased35 (8)— 14 (10)96 — — (111)32 — 
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings481 (82)— 20 (517)1 211 — (77)201 (3)
Long-term debt38,380 1,427 — 3,038 (21,730)— 4,782 — (2,668)20,375 819 
Other financial liabilities6 — — — — — 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.
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 June 30, 2025
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets   
Mortgage-backed securities$443 Price-basedPrice$1.06 $148.90 $45.95 
278 Yield analysisYield5.04 %22.56 %7.66 %
State and municipal, foreign government, corporate and other debt securities$845 
Price-based
Price
$—$193.44$98.65
647 Model-basedCredit spread167.00 bps550.00 bps396.34 bps
Equity volatility2.66 %180.16 %39.12 %
IR normal volatility0.40 %1.05 %0.90 %
Recovery rate25.00 %25.00 %25.00 %
Yield2.30 %10.40 %9.54 %
Non-marketable equities(5)
$272 Comparables analysisIlliquidity discount7.70 %33.00 %16.36 %
Revenue multiple3.60x33.56x14.49x
EBITDA multiple16.80x16.80x16.80x
70 Price-basedPrice$2.90 $161.37 $91.32 
56 Model-basedDiscount rate12.60 %17.50 %15.41 %
Derivatives—gross(6)
Interest rate contracts (gross)$3,773 Model-basedIR normal volatility0.04 %3.00 %0.81 %
Equity volatility1.74 %118.70 %16.85 %
Yield0.73 %13.32 %3.51 %
Inflation volatility0.20 %6.32 %2.36 %
Foreign exchange contracts (gross)$1,172 Model-basedIR normal volatility0.40 %1.05 %0.82 %
Yield0.73 %13.32 %5.27 %
IR basis(7.12)%44.50 %5.56 %
FX volatility3.89 %16.76 %9.38 %
Equity contracts (gross)(7)
$4,273 Model-basedEquity volatility2.66 %129.53 %31.97 %
Equity forward71.42 %342.98 %106.73 %
Equity-FX correlation(75.00)%70.00 %(5.95)%
Equity-Equity correlation(36.22)%98.51 %69.47 %
WAL1.90 years1.90 years1.90 years
Recovery rate6.76 %6.76 %6.76 %
Commodity and other contracts (gross)$1,901 Model-basedForward price1.76 %303.57 %101.93 %
Commodity volatility8.67 %278.08 %50.19 %
Credit derivatives (gross)$1,003 Model-basedCredit spread5.66 bps688.17 bps71.11 bps
Credit correlation20.00 %95.00 %49.26 %
586 Price-basedPrice$54.04$114.32$95.80
Upfront points5.04%106.17%60.33%
Mortgage servicing rights$676 Cash flowWAL3.42 years8.62 years7.39 years
86 Model-basedYield(0.20)%12.00 %6.54 %
Liabilities
Securities loaned and sold under agreements to repurchase$955 
Model-based
Interest rate
3.68 %5.67 %4.06 %
IR Normal volatility0.93 %1.09 %1.06 %
As of June 30, 2025
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Short-term borrowings and
long-term debt		$21,466 
Model-based
IR normal volatility0.04 %3.00 %0.88 %
Equity volatility2.66 %118.70 %19.62 %
Equity-IR correlation(35.19)%50.00 %25.92 %
Equity forward71.42 %342.98 %105.87 %
Equity-FX correlation(75.00)%70.00 %(9.74)%

As of December 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$128 Model-basedCredit spread10 bps10 bps10 bps
Interest rate3.81 %3.81 %3.81 %
Mortgage-backed securities$230 Yield analysisYield5.24 %18.43 %9.25 %
214 Price-basedPrice$0.01 $99.81 $35.24 
State and municipal, foreign government, corporate and other debt securities$560 Price-basedPrice$— $173.20 $98.52 
489 Model-basedCredit spread35 bps550 bps277 bps
Yield4.20 %10.60 %9.88 %
140 Cash flowWAL3.59 years8.82 years7.57 years
Marketable equities securities(5)
$131 Price-basedPrice$— $14,382.07 $442.64 
22 Model-basedWAL2.40 years2.40 years2.40 years
Recovery (in millions)
$8,628 $8,628 $8,628 
Asset-backed securities$132 Price-basedPrice$3.46 $132.54 $74.86 
47 Yield analysisYield5.85 %12.76 %8.07 %
Non-marketable equities$222 Comparables analysisIlliquidity discount 7.40 %33.00 %16.47 %
Revenue multiple4.50x16.31x11.97x
EBITDA multiples16.20x16.20x16.20x
81 Price-basedPrice$0.54 $2,960.96 $432.84 
50 Cash flowDiscount rate9.75 %17.50 %13.28 %
50 Model-based
Derivatives—gross(6)
Interest rate contracts (gross)$3,574 Model-basedIR normal volatility0.16 %20.00 %2.18 %
Yield1.69 %46.32 %5.64 %
Equity forward71.78 %334.29 %106.48 %
Foreign exchange contracts (gross)$1,247 Model-basedIR normal volatility0.67 %1.13 %0.93 %
IR basis(7.50)%64.75 %5.01 %
FX volatility3.33 %27.64 %12.55 %
Yield1.69 %46.32 %9.26 %
Equity contracts (gross)(7)
$4,345 Model-basedEquity volatility— %145.41 %32.89 %
Equity forward71.78 %334.29 %105.90 %
Equity-FX correlation(93.33)%70.00 %(14.52)%
Equity-Equity correlation(36.22)%99.00 %72.43 %
Commodity and other contracts (gross)$1,716 Model-basedForward price1.84 %244.41 %115.84 %
Commodity volatility7.14 %285.61 %35.86 %
As of December 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Credit derivatives (gross)$869 Model-basedRecovery rate20.00 %72.00 %41.54 %
Credit spread5.00 bps747.27 bps100.50 bps
Credit spread volatility29.85 %81.44 %67.58 %
468 Price-basedPrice$43.71 $103.53 $85.76 
Upfront points(6.25)%110.52 %43.93 %
Other financial assets and liabilities (gross)$14 Price-basedPrice$91.12 $104.49 $100.04 
Loans and leases$177 Model-basedEquity volatility35.42 %41.94 %37.21 %
Forward price1.84 %244.41 %102.92 %
82 Price-basedPrice$73.88 $99.25 $85.09 
Mortgage servicing rights$671 Cash flowWAL3.59 years8.82 years7.57 years
84 Model-basedYield0.30 %12.00 %6.82 %
Liabilities
Interest-bearing deposits$39 Model-basedForward price100.00 %100.00 %100.00 %
Securities loaned and sold under agreements to repurchase$390 Model-basedInterest rate 4.25 %4.85 %4.28 %
IR normal volatility0.67 %1.13 %0.93 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$27 Price-basedPrice$— $14,382.07 $91.47 
Short-term borrowings and long-term debt$20,883 Model-basedIR normal volatility0.04 %20.00 %1.54 %
Equity volatility— %145.41 %19.81 %
Equity-IR correlation(34.00)%60.00 %27.29 %

(1)The tables above include the fair values for the items listed and may not represent 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 as of the balance sheet date for which a nonrecurring fair value measurement was recorded during the year. The amounts reflect the fair values of the assets as of their respective remeasurement dates, which are generally prior to the balance sheet date. The following tables exclude certain consumer mortgage loans for which Citi has elected the fair value option (see Note 24), and consumer loans and other assets held by businesses held-for-sale (see Note 2):

In millions of dollarsFair valueLevel 2Level 3
June 30, 2025   
Loans HFS(1)
$1,898 $734 $1,164 
Other real estate owned— — — 
Loans(2)
504 — 504 
Non-marketable equity securities measured using the measurement alternative246 — 246 
Total assets at fair value on a nonrecurring basis$2,648 $734 $1,914 

In millions of dollarsFair valueLevel 2Level 3
December 31, 2024   
Loans HFS(1)
$684 $413 $271 
Other real estate owned1 — 1 
Loans(2)
353 — 353 
Non-marketable equity securities measured using the measurement alternative184 — 184 
Total assets at fair value on a nonrecurring basis$1,222 $413 $809 

(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 June 30, 2025
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,164 Price-basedPrice$86.01 $100.00 $99.62 
Loans(5)
$504 Recovery analysis
Appraised value(4)
$10,000 $128,904,278 $70,025,894 
Non-marketable equity securities measured using the measurement alternative$123 Price-basedPrice$9.94 $203.98 $98.78 
122 Comparables analysisRevenue multiple3.28x53.75x32.50x

As of December 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$271 Price-basedPrice$— $101.00 $96.61 
Loans(5)
$353 Recovery analysis
Appraised value(4)
$10,000 $104,049,422 $58,636,070 
Non-marketable equity securities measured using the measurement alternative$136 Price-basedPrice$1.50 $2,961.00 $258.00 
29 Comparable analysisRevenue multiple3.80x9.19x6.67x
19 Recovery analysis
Appraised value(4)
$503,332 $7,220,000 $4,309,976 

(1)The tables above include the fair values for the items listed and may not represent 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
June 30,		Six Months Ended
June 30,
In millions of dollars2025202420252024
Loans HFS$(38)$(82)$(51)$(123)
Other real estate owned— — — — 
Loans(1)
21 4 3 10 
Non-marketable equity securities measured using the measurement alternative1 (5)(43)28 
Total nonrecurring fair value gains (losses)$(16)$(83)$(91)$(85)

(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.
 June 30, 2025Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets 
HTM debt securities, net of allowance(1)
$211.4 $197.6 $91.2 $104.1 $2.3 
Securities borrowed and purchased under agreements to resell148.9 148.9 — 148.9 — 
Loans(2)(3)
696.7 712.4 — — 712.4 
Other financial assets(3)(4)(5)
439.0 439.0 337.5 101.5 — 
Liabilities
Deposits$1,353.6 $1,353.6 $— $1,353.6 $— 
Securities loaned and sold under agreements to repurchase155.5 155.5 — 155.5 — 
Long-term debt(6)
190.3 193.5 — 188.4 5.1 
Other financial liabilities(5)(7)
163.5 163.5 — 163.5 — 
 December 31, 2024Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
HTM debt securities, net of allowance(1)
$247.6 $229.8 $120.2 $107.4 $2.2 
Securities borrowed and purchased under agreements to resell133.2 133.2 — 133.2 — 
Loans(2)(3)
667.6 673.5 — — 673.5 
Other financial assets(3)(4)
362.2 362.2 260.6 15.9 85.7 
Liabilities     
Deposits$1,280.9 $1,280.9 $— $1,280.9 $— 
Securities loaned and sold under agreements to repurchase205.6 205.6 — 205.6 — 
Long-term debt(6)
174.5 178.0 — 162.1 15.9 
Other financial liabilities(7)
137.7 137.7 — 34.7 103.0 

(1)Includes $5.3 billion and $5.2 billion of non-marketable equity securities carried at cost at June 30, 2025 and December 31, 2024, respectively.
(2)The carrying value of loans is net of the allowance for credit losses on loans of $19.1 billion for June 30, 2025 and $18.6 billion for December 31, 2024. In addition, the carrying values exclude $0.2 billion and $0.3 billion of lease finance receivables at June 30, 2025 and December 31, 2024, 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 other financial assets and other financial liabilities that were previously classified as Level 2 or 3 are now classified as Level 1 or 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.