| FAIR VALUE MEASUREMENT |
FAIR VALUE MEASUREMENT For additional information regarding fair value measurement at Citi, see Notes 1 (“Fair Value”) and 26 to the Consolidated Financial Statements in Citi’s 2025 Form 10-K.
Market Valuation Adjustments The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments (recorded in Trading account assets and Trading account liabilities on the Consolidated Balance Sheet) at June 30, 2026 and December 31, 2025:
| | | | | | | | | | Credit and funding
valuation adjustments
contra-liability (contra-asset) | | In millions of dollars | June 30,
2026 | December 31,
2025 | | Counterparty CVA | $ | (583) | | $ | (561) | | | Asset FVA | (709) | | (573) | | | Citigroup (own credit) CVA | 304 | | 331 | | | Liability FVA | 174 | | 185 | | | Total CVA and FVA—derivative instruments | $ | (814) | | $ | (618) | |
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 dollars | 2026 | 2025 | 2026 | 2025 | | Counterparty CVA | $ | (23) | | $ | (37) | | $ | (88) | | $ | (61) | | | Asset FVA | 77 | | (40) | | 22 | | (3) | | | Own credit CVA | (99) | | (27) | | (2) | | 19 | | | Liability FVA | (20) | | 12 | | 28 | | 17 | | | Total CVA and FVA—derivative instruments | $ | (65) | | $ | (92) | | $ | (40) | | $ | (28) | | DVA related to own FVO liabilities(1) | $ | (1,403) | | $ | (391) | | $ | 429 | | $ | 609 | | | Total CVA, DVA and FVA | $ | (1,468) | | $ | (483) | | $ | 389 | | $ | 581 | |
(1) See Note 21 to the Consolidated Financial Statements in Citi’s 2025 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, 2026 and December 31, 2025. 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, 2026 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | | Assets | | | | | | | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 583,720 | | $ | 47 | | $ | 583,767 | | $ | (369,056) | | $ | 214,711 | | | Trading non-derivative assets | | | | | | | | Trading mortgage-backed securities | | | | | | | | U.S. government-sponsored agency guaranteed | — | | 96,675 | | 483 | | 97,158 | | — | | 97,158 | | | Residential | — | | 1,244 | | 92 | | 1,336 | | — | | 1,336 | | | Commercial | — | | 852 | | 70 | | 922 | | — | | 922 | | | Total trading mortgage-backed securities | $ | — | | $ | 98,771 | | $ | 645 | | $ | 99,416 | | $ | — | | $ | 99,416 | | | U.S. Treasury and federal agency securities | $ | 151,293 | | $ | 7,378 | | $ | — | | $ | 158,671 | | $ | — | | $ | 158,671 | | | State and municipal | — | | 167 | | 1 | | 168 | | — | | 168 | | | Foreign government | 104,816 | | 48,562 | | 19 | | 153,397 | | — | | 153,397 | | | Corporate | 2,737 | | 25,089 | | 126 | | 27,952 | | — | | 27,952 | | | Equity securities | 90,766 | | 6,752 | | 415 | | 97,933 | | — | | 97,933 | | | Asset-backed securities | — | | 1,781 | | 274 | | 2,055 | | — | | 2,055 | | | Other trading assets | — | | 28,373 | | 345 | | 28,718 | | — | | 28,718 | | | Total trading non-derivative assets | $ | 349,612 | | $ | 216,873 | | $ | 1,825 | | $ | 568,310 | | $ | — | | $ | 568,310 | | | Trading derivatives | | | | | | | | Interest rate contracts | $ | 13 | | $ | 200,453 | | $ | 2,619 | | $ | 203,085 | | | | | Foreign exchange contracts | — | | 202,207 | | 596 | | 202,803 | | | | | Equity contracts | 108 | | 96,954 | | 1,172 | | 98,234 | | | | | Commodity contracts | — | | 19,503 | | 1,295 | | 20,798 | | | | | Credit derivatives | — | | 9,204 | | 779 | | 9,983 | | | | | Total trading derivatives—before netting and collateral | $ | 121 | | $ | 528,321 | | $ | 6,461 | | $ | 534,903 | | | | | Netting agreements | | | | | $ | (442,830) | | | | Netting of cash collateral received | | | | | (26,027) | | | | Total trading derivatives—after netting and collateral | $ | 121 | | $ | 528,321 | | $ | 6,461 | | $ | 534,903 | | $ | (468,857) | | $ | 66,046 | | | Investments | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government-sponsored agency guaranteed | $ | — | | $ | 54,745 | | $ | 32 | | $ | 54,777 | | $ | — | | $ | 54,777 | | | Other | — | | 979 | | — | | 979 | | — | | 979 | | | | | | | | | | Total investment mortgage-backed securities | $ | — | | $ | 55,724 | | $ | 32 | | $ | 55,756 | | $ | — | | $ | 55,756 | | | U.S. Treasury and federal agency securities | $ | 53,492 | | $ | — | | $ | — | | $ | 53,492 | | $ | — | | $ | 53,492 | | | State and municipal | — | | 1,025 | | 391 | | 1,416 | | — | | 1,416 | | | Foreign government | 84,002 | | 83,812 | | 3 | | 167,817 | | — | | 167,817 | | | Corporate | 2,379 | | 1,002 | | 237 | | 3,618 | | — | | 3,618 | | | Marketable equity securities | 107 | | 3 | | 3 | | 113 | | — | | 113 | | | Asset-backed securities | — | | 1,063 | | — | | 1,063 | | — | | 1,063 | | | Other debt securities | — | | 3,603 | | — | | 3,603 | | — | | 3,603 | | Non-marketable equity securities(2) | — | | — | | 380 | | 380 | | — | | 380 | | | Total investments | $ | 139,980 | | $ | 146,232 | | $ | 1,046 | | $ | 287,258 | | $ | — | | $ | 287,258 | |
Table continues on the next page. | | | | | | | | | | | | | | | | | | | | | | In millions of dollars at June 30, 2026 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | | Loans | $ | — | $ | 8,079 | $ | 151 | $ | 8,230 | | $ | — | | $ | 8,230 | | | Mortgage servicing rights | — | — | 788 | 788 | | — | | 788 | | | | | | | | | | | | | | | | | | | | | | | | Other financial assets | $ | 5,657 | $ | 11,187 | $ | — | $ | 16,844 | | $ | — | | $ | 16,844 | | | Total assets | $ | 495,370 | $ | 1,494,412 | $ | 10,318 | $ | 2,000,100 | | $ | (837,913) | | $ | 1,162,187 | | Total as a percentage of gross assets(3) | 24.8% | 74.7% | 0.5% | | | | | Liabilities | | | | | | | | Deposits | $ | — | $ | 4,653 | $ | 220 | $ | 4,873 | | $ | — | | $ | 4,873 | | | Securities loaned and sold under agreements to repurchase | — | 370,197 | 899 | 371,096 | | (220,475) | | 150,621 | | | Trading account liabilities | | | | | | | | Securities sold, not yet purchased | 104,223 | 18,275 | 108 | 122,606 | | — | | 122,606 | | | Other trading liabilities | — | 10 | — | 10 | | — | | 10 | | | Total trading account liabilities | $ | 104,223 | $ | 18,285 | $ | 108 | $ | 122,616 | | $ | — | | $ | 122,616 | | | Trading derivatives | | | | | | | | Interest rate contracts | $ | 48 | $ | 191,736 | $ | 2,279 | $ | 194,063 | | | | | Foreign exchange contracts | — | 184,866 | 661 | 185,527 | | | | | Equity contracts | 114 | 108,309 | 4,573 | 112,996 | | | | | Commodity contracts | — | 23,984 | 1,340 | 25,324 | | | | | Credit derivatives | — | 8,820 | 1,135 | 9,955 | | | | | Total trading derivatives—before netting and collateral | $ | 162 | $ | 517,715 | $ | 9,988 | $ | 527,865 | | | | | Netting agreements | | | | | $ | (442,830) | | | | Netting of cash collateral paid | | | | | (20,458) | | | | Total trading derivatives—after netting and collateral | $ | 162 | $ | 517,715 | $ | 9,988 | $ | 527,865 | | $ | (463,288) | | $ | 64,577 | | | Short-term borrowings | $ | — | $ | 26,770 | $ | 247 | $ | 27,017 | | $ | — | | $ | 27,017 | | | Long-term debt | — | 117,743 | 25,751 | 143,494 | | — | | 143,494 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other financial liabilities | $ | 3,007 | $ | 203 | $ | — | $ | 3,210 | | $ | — | | $ | 3,210 | | | Total liabilities | $ | 107,392 | $ | 1,055,566 | $ | 37,213 | $ | 1,200,171 | | $ | (683,763) | | $ | 516,408 | | Total as a percentage of gross liabilities(3) | 8.9 | % | 88.0 | % | 3.1 | % | | | |
(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 $45 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. | | | | | | | | | | | | | | | | | | | | | | In millions of dollars at December 31, 2025 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | | Assets | | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 485 | | $ | 590,615 | | $ | 49 | | $ | 591,149 | | $ | (385,039) | | $ | 206,110 | | | Trading non-derivative assets | | | | | | | | Trading mortgage-backed securities | | | | | | | | U.S. government-sponsored agency guaranteed | — | | 92,074 | | 382 | | 92,456 | | — | | 92,456 | | | Residential | — | | 798 | | 99 | | 897 | | — | | 897 | | | Commercial | — | | 597 | | 55 | | 652 | | — | | 652 | | | Total trading mortgage-backed securities | $ | — | | $ | 93,469 | | $ | 536 | | $ | 94,005 | | $ | — | | $ | 94,005 | | | U.S. Treasury and federal agency securities | $ | 140,671 | | $ | 3,051 | | $ | — | | $ | 143,722 | | $ | — | | $ | 143,722 | | | State and municipal | — | | 171 | | 1 | | 172 | | — | | 172 | | | Foreign government | 65,966 | | 57,390 | | 35 | | 123,391 | | — | | 123,391 | | | Corporate | 1,161 | | 20,412 | | 270 | | 21,843 | | — | | 21,843 | | | Equity securities | 61,986 | | 8,110 | | 287 | | 70,383 | | — | | 70,383 | | | Asset-backed securities | — | | 2,308 | | 225 | | 2,533 | | — | | 2,533 | | | Other trading assets | — | | 25,243 | | 413 | | 25,656 | | — | | 25,656 | | | Total trading non-derivative assets | $ | 269,784 | | $ | 210,154 | | $ | 1,767 | | $ | 481,705 | | $ | — | | $ | 481,705 | | | Trading derivatives | | | | | | | | Interest rate contracts | $ | 9 | | $ | 224,077 | | $ | 1,825 | | $ | 225,911 | | | | | Foreign exchange contracts | — | | 161,072 | | 612 | | 161,684 | | | | | Equity contracts | 31 | | 67,453 | | 1,823 | | 69,307 | | | | | Commodity contracts | — | | 21,675 | | 1,013 | | 22,688 | | | | | Credit derivatives | — | | 8,580 | | 1,143 | | 9,723 | | | | | Total trading derivatives—before netting and collateral | $ | 40 | | $ | 482,857 | | $ | 6,416 | | $ | 489,313 | | | | | Netting agreements | | | | | $ | (406,408) | | | | Netting of cash collateral received | | | | | (27,471) | | | | Total trading derivatives—after netting and collateral | $ | 40 | | $ | 482,857 | | $ | 6,416 | | $ | 489,313 | | $ | (433,879) | | $ | 55,434 | | | Investments | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government-sponsored agency guaranteed | $ | — | | $ | 36,725 | | $ | 31 | | $ | 36,756 | | $ | — | | $ | 36,756 | | | Other | — | | 976 | | — | | 976 | | — | | 976 | | | | | | | | | | Total investment mortgage-backed securities | $ | — | | $ | 37,701 | | $ | 31 | | $ | 37,732 | | $ | — | | $ | 37,732 | | | U.S. Treasury and federal agency securities | $ | 35,465 | | $ | — | | $ | — | | $ | 35,465 | | $ | — | | $ | 35,465 | | | State and municipal | — | | 1,033 | | 504 | | 1,537 | | — | | 1,537 | | | Foreign government | 80,048 | | 83,034 | | 25 | | 163,107 | | — | | 163,107 | | | Corporate | 3,193 | | 1,183 | | 315 | | 4,691 | | — | | 4,691 | | | Marketable equity securities | 342 | | 2 | | 131 | | 475 | | — | | 475 | | | Asset-backed securities | — | | 1,072 | | 1 | | 1,073 | | — | | 1,073 | | | Other debt securities | 64 | | 3,051 | | — | | 3,115 | | — | | 3,115 | | Non-marketable equity securities(2) | — | | — | | 409 | | 409 | | — | | 409 | | | Total investments | $ | 119,112 | | $ | 127,076 | | $ | 1,416 | | $ | 247,604 | | $ | — | | $ | 247,604 | |
Table continues on the next page. | | | | | | | | | | | | | | | | | | | | | | In millions of dollars at December 31, 2025 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | | Loans | $ | — | $ | 6,733 | $ | 122 | $ | 6,855 | | $ | — | | $ | 6,855 | | | Mortgage servicing rights | — | — | 759 | 759 | | — | | 759 | | | | | | | | | | | | | | | | | | | | | | | | Other financial assets | $ | 6,130 | $ | 10,551 | $ | — | $ | 16,681 | | $ | — | | $ | 16,681 | | | Total assets | $ | 395,551 | $ | 1,427,986 | $ | 10,529 | $ | 1,834,066 | | $ | (818,918) | | $ | 1,015,148 | | Total as a percentage of gross assets(3) | 21.5% | 77.9% | 0.6% | | | | | Liabilities | | | | | | | | Deposits | $ | — | $ | 3,983 | $ | 239 | $ | 4,222 | | $ | — | | $ | 4,222 | | | Securities loaned and sold under agreements to repurchase | — | 426,084 | 952 | 427,036 | | (227,614) | | 199,422 | | | Trading account liabilities | | | | | | | | Securities sold, not yet purchased | 89,352 | 15,177 | 45 | 104,574 | | — | | 104,574 | | | Other trading liabilities | — | 10 | — | 10 | | — | | 10 | | | Total trading account liabilities | $ | 89,352 | $ | 15,187 | $ | 45 | $ | 104,584 | | $ | — | | $ | 104,584 | | | Trading derivatives | | | | | | | | Interest rate contracts | $ | 5 | $ | 215,562 | $ | 1,805 | $ | 217,372 | | | | | Foreign exchange contracts | — | 152,202 | 662 | 152,864 | | | | | Equity contracts | 49 | 74,365 | 4,787 | 79,201 | | | | | Commodity contracts | — | 23,713 | 869 | 24,582 | | | | | Credit derivatives | — | 9,670 | 1,562 | 11,232 | | | | | Total trading derivatives—before netting and collateral | $ | 54 | $ | 475,512 | $ | 9,685 | $ | 485,251 | | | | | Netting agreements | | | | | $ | (406,408) | | | | Netting of cash collateral paid | | | | | (20,629) | | | | Total trading derivatives—after netting and collateral | $ | 54 | $ | 475,512 | $ | 9,685 | $ | 485,251 | | $ | (427,037) | | $ | 58,214 | | | Short-term borrowings | $ | — | $ | 21,275 | $ | 292 | $ | 21,567 | | $ | — | | $ | 21,567 | | | Long-term debt | — | 106,767 | 23,959 | 130,726 | | — | | 130,726 | | | | | | | | | | | | | | | | | | | | | | | | Other financial liabilities | $ | 5,437 | $ | 55 | $ | — | $ | 5,492 | | $ | — | | $ | 5,492 | | | Total liabilities | $ | 94,843 | $ | 1,048,863 | $ | 35,172 | $ | 1,178,878 | | $ | (654,651) | | $ | 524,227 | | Total as a percentage of gross liabilities(3) | 8.0 | % | 89.0 | % | 3.0 | % | | | |
(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 $37 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, 2026 and 2025. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs. The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) | | In millions of dollars | Mar. 31, 2026 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2026 | | Assets | | | | | | | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 49 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 2 | | $ | — | | $ | — | | $ | (4) | | $ | 47 | | $ | — | | | Trading non-derivative assets | | | | | | | | | | | | | Trading mortgage-backed securities | | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | 429 | | (26) | | — | | 72 | | (105) | | 228 | | — | | (115) | | — | | 483 | | (16) | | | Residential | 94 | | (3) | | — | | 21 | | (33) | | 53 | | — | | (40) | | — | | 92 | | (3) | | | Commercial | 71 | | — | | — | | 2 | | (3) | | 6 | | — | | (6) | | — | | 70 | | — | | | Total trading mortgage-backed securities | $ | 594 | | $ | (29) | | $ | — | | $ | 95 | | $ | (141) | | $ | 287 | | $ | — | | $ | (161) | | $ | — | | $ | 645 | | $ | (19) | | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | State and municipal | 1 | | — | | — | | — | | — | | — | | — | | — | | — | | 1 | | — | | | Foreign government | 241 | | — | | — | | — | | (155) | | 12 | | — | | (79) | | — | | 19 | | — | | | Corporate | 204 | | 10 | | — | | 7 | | (33) | | 10 | | — | | (72) | | — | | 126 | | 79 | | | Marketable equity securities | 349 | | 2 | | — | | 18 | | (36) | | 165 | | — | | (83) | | — | | 415 | | (3) | | | Asset-backed securities | 179 | | (9) | | — | | 52 | | (13) | | 90 | | — | | (25) | | — | | 274 | | (9) | | | Other trading assets | 492 | | (10) | | — | | 12 | | (20) | | 47 | | 5 | | (172) | | (9) | | 345 | | (6) | | | Total trading non-derivative assets | $ | 2,060 | | $ | (36) | | $ | — | | $ | 184 | | $ | (398) | | $ | 611 | | $ | 5 | | $ | (592) | | $ | (9) | | $ | 1,825 | | $ | 42 | | Trading derivatives, net(4) | | | | | | | | | | | | | Interest rate contracts | $ | 186 | | $ | 99 | | $ | — | | $ | 178 | | $ | (31) | | $ | (109) | | $ | — | | $ | — | | $ | 17 | | $ | 340 | | $ | 97 | | | Foreign exchange contracts | (94) | | (49) | | — | | 6 | | (52) | | 76 | | — | | (78) | | 126 | | (65) | | (7) | | | Equity contracts | (2,818) | | (22) | | — | | (224) | | 221 | | (1,138) | | — | | (139) | | 719 | | (3,401) | | (202) | | | Commodity contracts | 355 | | (62) | | — | | (181) | | 28 | | (219) | | — | | (2) | | 36 | | (45) | | 36 | | | Credit derivatives | 222 | | (126) | | — | | (155) | | (285) | | (92) | | — | | — | | 80 | | (356) | | (118) | | Total trading derivatives, net(4) | $ | (2,149) | | $ | (160) | | $ | — | | $ | (376) | | $ | (119) | | $ | (1,482) | | $ | — | | $ | (219) | | $ | 978 | | $ | (3,527) | | $ | (194) | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) | | In millions of dollars | Mar. 31, 2026 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2026 | | Investments | | | | | | | | | | | | | Mortgage-backed securities | | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | $ | 32 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 32 | | $ | — | | | Other | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | | | | | | | | | | | | | Total investment mortgage-backed securities | $ | 32 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 32 | | $ | — | | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | State and municipal | 411 | | — | | 7 | | — | | (4) | | 1 | | — | | (24) | | — | | 391 | | 8 | | | Foreign government | 20 | | — | | — | | — | | (78) | | 61 | | — | | — | | — | | 3 | | (1) | | | Corporate | 308 | | — | | (4) | | 63 | | (99) | | 37 | | — | | (68) | | — | | 237 | | (19) | | | Marketable equity securities | 2 | | — | | 2 | | — | | — | | — | | — | | (1) | | — | | 3 | | 2 | | | Asset-backed securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Non-marketable equity securities | 388 | | — | | — | | — | | — | | 18 | | — | | (26) | | — | | 380 | | — | | | Total investments | $ | 1,161 | | $ | — | | $ | 5 | | $ | 63 | | $ | (181) | | $ | 117 | | $ | — | | $ | (119) | | $ | — | | $ | 1,046 | | $ | (10) | | | Loans | $ | 192 | | $ | — | | $ | (12) | | $ | — | | $ | (27) | | $ | — | | $ | 15 | | $ | — | | $ | (17) | | $ | 151 | | $ | (14) | | | Mortgage servicing rights | 766 | | — | | 9 | | — | | — | | — | | 34 | | — | | (21) | | 788 | | 10 | | | Other financial assets | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Liabilities | | | | | | | | | | | | | Deposits | $ | 237 | | $ | — | | $ | 3 | | $ | 1 | | $ | (3) | | $ | — | | $ | 1 | | $ | — | | $ | (13) | | $ | 220 | | $ | (27) | | | Securities loaned and sold under agreements to repurchase | 913 | | 2 | | — | | — | | — | | 301 | | — | | — | | (313) | | 899 | | 6 | | | Trading account liabilities | | | | | | | | | | | | | Securities sold, not yet purchased | 125 | | 4 | | — | | 34 | | (32) | | 58 | | — | | — | | (73) | | 108 | | 2 | | | Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Short-term borrowings | 297 | | (9) | | — | | 2 | | (8) | | — | | 82 | | — | | (135) | | 247 | | (2) | | | Long-term debt | 24,143 | | (385) | | — | | 764 | | (1,178) | | — | | 1,715 | | — | | (78) | | 25,751 | | (221) | | | 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 June 30, 2026. (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, 2025 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2026 | | Assets | | | | | | | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 49 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 51 | | $ | — | | $ | — | | $ | (53) | | $ | 47 | | $ | — | | | Trading non-derivative assets | | | | | | | | | | | | | Trading mortgage-backed securities | | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | 382 | | (40) | | — | | 201 | | (213) | | 340 | | — | | (187) | | — | | 483 | | (21) | | | Residential | 99 | | (6) | | — | | 26 | | (42) | | 95 | | — | | (80) | | — | | 92 | | (4) | | | Commercial | 55 | | (3) | | — | | 41 | | (9) | | 7 | | — | | (21) | | — | | 70 | | (1) | | | Total trading mortgage-backed securities | $ | 536 | | $ | (49) | | $ | — | | $ | 268 | | $ | (264) | | $ | 442 | | $ | — | | $ | (288) | | $ | — | | $ | 645 | | $ | (26) | | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | State and municipal | 1 | | — | | — | | — | | — | | — | | — | | — | | — | | 1 | | — | | | Foreign government | 35 | | (3) | | — | | 50 | | (156) | | 174 | | — | | (81) | | — | | 19 | | — | | | Corporate | 270 | | 2 | | — | | 9 | | (65) | | 173 | | — | | (263) | | — | | 126 | | 80 | | | Marketable equity securities | 287 | | (14) | | — | | 41 | | (44) | | 305 | | — | | (160) | | — | | 415 | | (13) | | | Asset-backed securities | 225 | | (19) | | — | | 76 | | (64) | | 152 | | — | | (96) | | — | | 274 | | (15) | | | Other trading assets | 413 | | (12) | | — | | 22 | | (25) | | 185 | | 17 | | (237) | | (18) | | 345 | | (8) | | | Total trading non-derivative assets | $ | 1,767 | | $ | (95) | | $ | — | | $ | 466 | | $ | (618) | | $ | 1,431 | | $ | 17 | | $ | (1,125) | | $ | (18) | | $ | 1,825 | | $ | 18 | | Trading derivatives, net(4) | | | | | | | | | | | | | Interest rate contracts | $ | 20 | | $ | 19 | | $ | — | | $ | 256 | | $ | (77) | | $ | 71 | | $ | — | | $ | (139) | | $ | 190 | | $ | 340 | | $ | 240 | | | Foreign exchange contracts | (50) | | (45) | | — | | 21 | | (114) | | (86) | | — | | (221) | | 430 | | (65) | | (67) | | | Equity contracts | (2,964) | | (71) | | — | | (229) | | 579 | | (1,798) | | — | | (264) | | 1,346 | | (3,401) | | (451) | | | Commodity contracts | 144 | | (33) | | — | | (239) | | 145 | | 84 | | — | | (123) | | (23) | | (45) | | 195 | | | Credit derivatives | (419) | | (65) | | — | | (129) | | (314) | | 178 | | — | | (190) | | 583 | | (356) | | (43) | | Total trading derivatives, net(4) | $ | (3,269) | | $ | (195) | | $ | — | | $ | (320) | | $ | 219 | | $ | (1,551) | | $ | — | | $ | (937) | | $ | 2,526 | | $ | (3,527) | | $ | (126) | |
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, 2025 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2026 | | Investments | | | | | | | | | | | | | Mortgage-backed securities | | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | $ | 31 | | $ | — | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 32 | | $ | 1 | | | Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Total investment mortgage-backed securities | $ | 31 | | $ | — | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 32 | | $ | 1 | | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | State and municipal | 504 | | — | | 8 | | 17 | | (12) | | 1 | | — | | (127) | | — | | 391 | | 7 | | | Foreign government | 25 | | — | | — | | 7 | | (98) | | 69 | | — | | — | | — | | 3 | | (1) | | | Corporate | 315 | | — | | (4) | | 117 | | (195) | | 134 | | — | | (130) | | — | | 237 | | (19) | | | Marketable equity securities | 131 | | — | | 2 | | — | | (131) | | 2 | | — | | (1) | | — | | 3 | | 2 | | | Asset-backed securities | 1 | | — | | — | | — | | — | | — | | — | | (1) | | — | | — | | — | | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Non-marketable equity securities | 409 | | — | | (8) | | — | | — | | 29 | | — | | (50) | | — | | 380 | | — | | | Total investments | $ | 1,416 | | $ | — | | $ | (1) | | $ | 141 | | $ | (436) | | $ | 235 | | $ | — | | $ | (309) | | $ | — | | $ | 1,046 | | $ | (10) | | | Loans | $ | 122 | | $ | — | | $ | (2) | | $ | 100 | | $ | (52) | | $ | — | | $ | 36 | | $ | — | | $ | (53) | | $ | 151 | | $ | (31) | | | Mortgage servicing rights | 759 | | — | | 13 | | — | | — | | — | | 62 | | — | | (46) | | 788 | | 14 | | | Other financial assets | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Liabilities | | | | | | | | | | | | | Deposits | $ | 239 | | $ | — | | $ | 4 | | $ | 1 | | $ | (3) | | $ | — | | $ | 10 | | $ | — | | $ | (23) | | $ | 220 | | $ | (29) | | | Securities loaned and sold under agreements to repurchase | 952 | | 4 | | — | | — | | — | | 602 | | — | | — | | (651) | | 899 | | 6 | | | Trading account liabilities | | | | | | | | | | | | | Securities sold, not yet purchased | 45 | | 4 | | — | | 106 | | (56) | | 90 | | — | | — | | (73) | | 108 | | 6 | | | Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Short-term borrowings | 292 | | (10) | | — | | 6 | | (44) | | — | | 225 | | — | | (242) | | 247 | | (30) | | | Long-term debt | 23,959 | | 589 | | — | | 1,696 | | (1,896) | | — | | 3,588 | | — | | (1,007) | | 25,751 | | 274 | | | 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 June 30, 2026. (4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) | | In millions of dollars | Mar. 31, 2025 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 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 guaranteed | 614 | | 17 | | — | | 86 | | (174) | | 134 | | — | | (132) | | — | | 545 | | 8 | | | Residential | 118 | | 1 | | — | | 26 | | (49) | | 46 | | — | | (57) | | — | | 85 | | — | | | Commercial | 87 | | — | | — | | 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 municipal | 1 | | — | | — | | — | | — | | — | | — | | — | | — | | 1 | | — | | | Foreign government | 3 | | (4) | | — | | — | | (4) | | 9 | | — | | — | | — | | 4 | | — | | | Corporate | 250 | | 68 | | — | | 53 | | (50) | | 21 | | — | | (60) | | — | | 282 | | 164 | | | Marketable equity securities | 227 | | 13 | | — | | 21 | | (4) | | 52 | | — | | (58) | | — | | 251 | | 10 | | | Asset-backed securities | 220 | | (10) | | — | | 29 | | (35) | | 76 | | — | | (69) | | — | | 211 | | (3) | | | Other trading assets | 468 | | 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 contracts | 181 | | 68 | | — | | 18 | | (125) | | 8 | | — | | (90) | | 8 | | 68 | | (67) | | | Equity contracts | (2,205) | | 251 | | — | | (128) | | 334 | | (399) | | — | | (7) | | (13) | | (2,167) | | 80 | | | Commodity contracts | 325 | | (57) | | — | | (184) | | 19 | | 47 | | — | | — | | (23) | | 127 | | (38) | | | Credit derivatives | 28 | | (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 dollars | Mar. 31, 2025 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2025 | | Investments | | | | | | | | | | | | | Mortgage-backed securities | | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | $ | 32 | | $ | — | | $ | (1) | | $ | — | | $ | (12) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 19 | | $ | (1) | | | Other | 10 | | — | | 1 | | — | | — | | — | | — | | — | | — | | 11 | | 1 | | | | | | | | | | | | | | | Total investment mortgage-backed securities | $ | 42 | | $ | — | | $ | — | | $ | — | | $ | (12) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | — | | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | State and municipal | 435 | | — | | — | | 67 | | (1) | | 7 | | — | | (5) | | — | | 503 | | — | | | Foreign government | 9 | | — | | (2) | | 20 | | — | | — | | — | | — | | — | | 27 | | — | | | Corporate | 194 | | — | | 3 | | 85 | | (33) | | 38 | | — | | (79) | | — | | 208 | | 2 | | | Marketable equity securities | 6 | | — | | (3) | | — | | — | | — | | — | | — | | — | | 3 | | — | | | Asset-backed securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Other debt securities | 1 | | — | | — | | — | | — | | — | | — | | (1) | | — | | — | | — | | | Non-marketable equity securities | 414 | | — | | 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 rights | 751 | | — | | 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 repurchase | 798 | | (5) | | — | | — | | — | | 339 | | — | | — | | (187) | | 955 | | 1 | | | Trading account liabilities | | | | | | | | | | | | | Securities sold, not yet purchased | 29 | | (11) | | — | | 5 | | (16) | | 19 | | — | | — | | (11) | | 37 | | (12) | | | Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | | Short-term borrowings | 721 | | 37 | | — | | 45 | | (24) | | — | | 43 | | — | | (405) | | 343 | | (5) | | | Long-term debt | 21,441 | | (470) | | — | | 628 | | (1,224) | | — | | 765 | | — | | (914) | | 21,166 | | (586) | | | Other financial liabilities | 1 | | — | | — | | 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 dollars | Dec. 31, 2024 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 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 guaranteed | 301 | | 40 | | — | | 242 | | (210) | | 454 | | — | | (282) | | — | | 545 | | 29 | | | Residential | 67 | | 2 | | — | | 37 | | (61) | | 106 | | — | | (66) | | — | | 85 | | (1) | | | Commercial | 36 | | (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 municipal | 11 | | 1 | | — | | — | | (11) | | — | | — | | — | | — | | 1 | | — | | | Foreign government | 15 | | (3) | | — | | — | | (10) | | 9 | | — | | (7) | | — | | 4 | | 1 | | | Corporate | 269 | | 52 | | — | | 70 | | (110) | | 114 | | — | | (113) | | — | | 282 | | 171 | | | Marketable equity securities | 166 | | 18 | | — | | 43 | | (6) | | 123 | | — | | (93) | | — | | 251 | | 11 | | | Asset-backed securities | 178 | | (19) | | — | | 39 | | (40) | | 173 | | — | | (120) | | — | | 211 | | (6) | | | Other trading assets | 333 | | 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 contracts | 185 | | (6) | | — | | 80 | | (75) | | 49 | | — | | (149) | | (16) | | 68 | | (207) | | | Equity contracts | (1,688) | | 386 | | — | | (276) | | 467 | | (1,313) | | — | | (28) | | 285 | | (2,167) | | (557) | | | Commodity contracts | 404 | | 40 | | — | | (207) | | 135 | | (79) | | — | | (4) | | (162) | | 127 | | 73 | | | Credit derivatives | 104 | | (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 dollars | Dec. 31, 2024 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2025 | | Investments | | | | | | | | | | | | | Mortgage-backed securities | | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | $ | 36 | | $ | — | | $ | (2) | | $ | — | | $ | (15) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 19 | | $ | (2) | | | Residential | 28 | | — | | 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 municipal | 428 | | — | | 4 | | 89 | | (14) | | 255 | | — | | (259) | | — | | 503 | | (2) | | | Foreign government | 12 | | — | | (3) | | 20 | | (2) | | — | | — | | — | | — | | 27 | | — | | | Corporate | 146 | | — | | 12 | | 85 | | (65) | | 135 | | — | | (105) | | — | | 208 | | 4 | | | Marketable equity securities | 14 | | — | | (11) | | — | | — | | — | | — | | — | | — | | 3 | | — | | | Asset-backed securities | 2 | | — | | — | | — | | (2) | | — | | — | | — | | — | | — | | — | | | | | | | | | | | | | | | Other debt securities | 6 | | — | | — | | — | | — | | 1 | | — | | (7) | | — | | — | | — | | | Non-marketable equity securities | 404 | | — | | 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 rights | 760 | | — | | (3) | | — | | — | | — | | 52 | | — | | (39) | | 770 | | (4) | | | Other financial assets | 15 | | — | | — | | 2 | | — | | 62 | | 30 | | — | | (26) | | 83 | | 4 | | | Liabilities | | | | | | | | | | | | | Deposits | $ | 39 | | $ | — | | $ | (4) | | $ | 1 | | $ | — | | $ | — | | $ | 26 | | $ | — | | $ | (27) | | $ | 43 | | $ | — | | | Securities loaned and sold under agreements to repurchase | 390 | | (2) | | — | | — | | — | | 1,071 | | — | | — | | (508) | | 955 | | 1 | | | Trading account liabilities | | | | | | | | | | | | | Securities sold, not yet purchased | 28 | | 18 | | — | | 7 | | (21) | | 76 | | — | | — | | (35) | | 37 | | (26) | | | Other trading liabilities | — | | 1 | | — | | — | | (2) | | 25 | | — | | — | | (22) | | — | | — | | | Short-term borrowings | 297 | | 46 | | — | | 59 | | (59) | | — | | 616 | | — | | (524) | | 343 | | (103) | | | Long-term debt | 21,100 | | (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. Level 3 Fair Value Transfers The following were the significant Level 3 transfers for the period from December 31, 2025 to June 30, 2026:
•During the three and six months ended June 30, 2026, transfers of Long-term debt were $1.2 billion and $1.9 billion from Level 3 to Level 2, and $0.8 billion and $1.7 billion from Level 2 to Level 3, respectively. The transfers were primarily related to certain unobservable inputs becoming less significant to the overall valuation of the instruments in the case of Level 3 to 2 transfers, and more significant in the case of Level 2 to 3.
The following were the significant Level 3 transfers for the period from December 31, 2024 to June 30, 2025:
•During the three and six months ended June 30, 2025, transfers of Long-term debt were $1.2 billion and $2.1 billion from Level 3 to Level 2, and $0.6 billion and $1.2 billion from Level 2 to Level 3, respectively. The transfers were primarily related to certain unobservable inputs becoming less significant to the overall valuation of the instruments in the case of Level 3 to 2 transfers, and more significant in the case of Level 2 to 3. Valuation Techniques and Inputs for Level 3 Fair Value Measurements The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between 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, 2026 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | | Assets | | | | | | | | Mortgage-backed securities | $ | 342 | | Yield analysis | Yield | 4.91 | % | 23.18 | % | 11.03 | % | | 333 | | Price-based | Price | $ | 0.67 | $ | 105.20 | $ | 35.33 | | State and municipal, foreign government, corporate and other debt securities | $ | 594 | | Price-based | Price | $ | 0.00 | | $ | 228.62 | | $ | 92.67 | | | 346 | | Model-based | Credit spread | 216.50 bps | 500.00 bps | 253.79 bps | | 166 | | Cash flow | Yield | 3.10 | % | 9.50 | % | 9.10 | % | | | | WAL | 3.21 years | 8.04 years | 6.82 years | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate contracts (gross) | $ | 4,898 | | Model-based | IR normal volatility | 0.07 | % | 2.91 | % | 0.67 | % | | | | Equity volatility | 7.00 | % | 87.07 | % | 22.94 | % | | | | | | | | | Foreign exchange contracts (gross) | $ | 1,113 | | Model-based | IR normal volatility | 0.54 | % | 0.97 | % | 0.74 | % | | | | IR basis | (2.03) | % | 9.23 | % | (0.11) | % | | | | FX volatility | 2.02 | % | 59.89 | % | 9.58 | % | | | | | | | | | | | | | | | Equity contracts (gross)(5) | $ | 5,680 | | Model-based | Equity volatility | 0.55 | % | 181.81 | % | 46.44 | % | | | | Equity forward | 51.19 | % | 375.28 | % | 108.94 | % | | | | Equity-Equity correlation | (36.22) | % | 99.12 | % | 47.51 | % | | | | Equity-FX correlation | (75.00) | % | 70.00 | % | (9.65) | % | | Commodity and other contracts (gross) | $ | 2,592 | | Model-based | Power forward (/ MWH) | $ | 6.91 | | $ | 574.27 | | $ | 55.25 | | | | | Commodity volatility | 1.40 | % | 396.25 | % | 76.55 | % | | | | Natural gas forward
(/ MMBTU) | $ | 0.60 | | $ | 17.35 | | $ | 3.50 | | | | | Oil forward (/ BBL) | $ | 51.92 | | $ | 123.63 | | $ | 75.00 | | | | | | | | | | | | | | | | | Credit derivatives (gross) | $ | 1,128 | | Model-based | Credit spread | 1.00 bps | 592.93 bps | 91.90 bps | | | | Recovery rate | 20.00 | % | 75.00 | % | 37.93 | % | | 736 | | Price-based | Price | $ | 1.47 | | $ | 132.16 | | $ | 79.14 | | | | | | | | | | | | | | | | | Mortgage servicing rights | $ | 788 | | Cash flow | Yield | 0.00 | % | 12.00 | % | 6.61 | % | | | | WAL | 3.21 years | 8.04 years | 6.82 years | | Liabilities | | | | | | | | | | | | | | | | | | | | | | Securities loaned and sold under agreements to repurchase | $ | 899 | | Model-based | Interest rate | 2.30 | % | 5.57 | % | 3.90 | % | | | | | | | | Short-term borrowings and
long-term debt | $ | 24,417 | | Model-based | IR normal volatility | 0.07 | % | 2.91 | % | 0.73 | % | | | | FX volatility | 2.74 | % | 14.45 | % | 8.25 | % | | | | Equity volatility | 5.50 | % | 91.12 | % | 23.04 | % | | | | Equity-IR correlation | 0.00 | % | 56.85 | % | 34.53 | % | | | | IR-FX correlation | (34.00) | % | 60.00 | % | 46.17 | % | | | | Equity forward | 64.58 | % | 375.28 | % | 144.64 | % |
| | | | | | | | | | | | | | | | | | | | | | As of December 31, 2025 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | | Assets | | | | | | | | | | | | | | | | | | | | | | Mortgage-backed securities | $ | 352 | | Price-based | Price | $ | 0.80 | | $ | 145.12 | | $ | 37.47 | | | 214 | | Yield analysis | Yield | 4.78 | % | 26.14 | % | 12.86 | % | | State and municipal, foreign government, corporate and other debt securities | $ | 866 | | Price-based | Price | $ | 20.77 | | $ | 194.45 | | $ | 114.31 | | | 389 | | Model-based | Credit spread | 167.00 bps | 508.30 bps | 399.15 bps | | 159 | | Cash flow | Yield | 2.30 | % | 9.30 | % | 8.72 | % | | | | WAL | 3.24 years | 8.14 years | 6.80 years | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate contracts (gross) | $ | 3,608 | | Model-based | IR normal volatility | 0.06 | % | 2.98 | % | 0.65 | % | | | | Equity volatility | 12.00 | % | 48.92 | % | 26.43 | % | | | | | | | | | Foreign exchange contracts (gross) | $ | 1,217 | | Model-based | IR normal volatility | 0.49 | % | 0.86 | % | 0.74 | % | | | | IR basis | (20.15) | % | 11.17 | % | (0.05) | % | | | | FX volatility | 0.32 | % | 74.14 | % | 7.91 | % | | | | Yield | 1.05 | % | 14.90 | % | 6.43 | % | Equity contracts (gross)(5) | $ | 6,597 | | Model-based | Equity volatility | 2.81 | % | 184.01 | % | 42.80 | % | | | | Equity forward | 53.29 | % | 373.46 | % | 111.14 | % | | | | Equity-FX correlation | (75.75) | % | 70.00 | % | (13.61) | % | | | | Equity-Equity correlation | (36.22) | % | 99.00 | % | 52.48 | % | | | | | | | | | Commodity and other contracts (gross) | $ | 1,881 | | Model-based | Forward price | 0.11 | % | 395.49 | % | 98.83 | % | | | | Commodity volatility | 8.40 | % | 316.56 | % | 42.29 | % | | Credit derivatives (gross) | $ | 1,720 | | Model-based | Credit spread | 5.20 bps | 592.93 bps | 74.28 bps | | | | Recovery rate | 0.50 | % | 40.00 | % | 34.87 | % | | | | | | | | | | | | | | | | 985 | | Price-based | Price | $ | 8.00 | | $ | 119.13 | | $ | 85.45 | | | | | Upfront points | 5.05 | % | 106.23 | % | 61.00 | % | | Mortgage servicing rights | $ | 676 | | Cash flow | WAL | 3.24 years | 8.14 years | 6.80 years | | 82 | | Model-based | Yield | (0.40) | % | 12.00 | % | 6.35 | % | | Liabilities | | | | | | | | Securities loaned and sold under agreements to repurchase | $ | 952 | | Model-based | Interest rate | 3.47 | % | 5.43 | % | 3.85 | % | | | | IR normal volatility | 0.46 | % | 0.89 | % | 0.78 | % | | Short-term borrowings and long-term debt | $ | 24,126 | | Model-based | IR normal volatility | 0.06 | % | 2.98 | % | 0.74 | % | | | | FX volatility | 5.26 | % | 14.01 | % | 9.08 | % | | | | Equity volatility | 5.50 | % | 92.67 | % | 20.95 | % | | | | IR-FX correlation | (34.00) | % | 60.00 | % | 46.37 | % | | | | Equity-IR correlation | 0.00 | % | 56.64 | % | 36.32 | % | | | | IR-IR correlation | 40.00 | % | 40.00 | % | 40.00 | % | | | | Equity-FX correlation | (60.00) | % | 70.00 | % | (16.57) | % |
(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)Includes hybrid products. Items Measured at Fair Value on a Nonrecurring Basis Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. For additional information on these items, see Note 26 to the Consolidated Financial Statements in Citi’s 2025 Form 10-K. 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 period. 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 22), and consumer loans and other assets held by businesses held-for-sale (see “Significant Disposals” in Note 2):
| | | | | | | | | | | | | In millions of dollars | Fair value | Level 2 | Level 3 | | June 30, 2026 | | | | Loans HFS(1) | $ | 1,402 | | $ | 822 | | $ | 580 | | | Other real estate owned | — | | — | | — | | Loans(2) | 135 | | — | | 135 | | | | | | | Non-marketable equity securities measured using the measurement alternative | 217 | | — | | 217 | | | Total assets at fair value on a nonrecurring basis | $ | 1,754 | | $ | 822 | | $ | 932 | |
| | | | | | | | | | | | | In millions of dollars | Fair value | Level 2 | Level 3 | | December 31, 2025 | | | | Loans HFS(1) | $ | 641 | | $ | 188 | | $ | 453 | | | Other real estate owned | — | | — | | — | | Loans(2) | 272 | | — | | 272 | | | Non-marketable equity securities measured using the measurement alternative | 350 | | — | | 350 | | | Total assets at fair value on a nonrecurring basis | $ | 1,263 | | $ | 188 | | $ | 1,075 | |
(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, 2026 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | | | | Loans HFS | $ | 579 | | Price-based | Price | $ | 84.96 | | $ | 100.11 | | $ | 92.07 | | | | | | | | | | | | | Loans(4) | $ | 135 | | Recovery analysis | Appraised value(5) | $ | 14,750 | | $ | 23,243,563 | | $ | 6,266,972 | | | | | | | Discount to price | 54.40 | % | 62.50 | % | 55.87 | % | | | | | | Recovery rate | 31.10 | % | 68.60 | % | 52.62 | % | | | | | | | | | | | | | Non-marketable equity securities measured using the measurement alternative | $ | 152 | | Price-based | Price | $ | 1.71 | | $ | 347.33 | | $ | 87.90 | | | | | 66 | | Comparable analysis | Revenue multiple | 1.30x | 19.70x | 11.07x | | | | | | Illiquidity discount | 10.00 | % | 22.10 | % | 14.21 | % | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | As of December 31, 2025 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | | Loans HFS | $ | 453 | | Price-based | Price | $ | 83.00 | | $ | 100.00 | | $ | 98.66 | | Loans(4) | $ | 271 | | Recovery analysis | Appraised value(5) | $ | 10,000 | | $ | 75,424,500 | | $ | 30,328,429 | | | | | Recovery rate | 35.10 | % | 85.20 | % | 60.55 | % | | Non-marketable equity securities measured using the measurement alternative | $ | 254 | | Price-based | Price | $ | 4.57 | | $ | 205.01 | | $ | 70.91 | | | 96 | | Comparable analysis | Revenue multiple | 2.07x | 27.20x | 15.51x | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(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)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). (5)Appraised values are disclosed in whole dollars.
Nonrecurring Fair Value Changes The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held: | | | | | | | | | | | | | | | | Three Months Ended June 30, | Six Months Ended
June 30, | | In millions of dollars | 2026 | 2025 | 2026 | 2025 | | Loans HFS | $ | (76) | | $ | (38) | | $ | (110) | | $ | (51) | | | Other real estate owned | — | | — | | — | | — | | Loans(1) | (9) | | 21 | | (16) | | 3 | | | Non-marketable equity securities measured using the measurement alternative | (8) | | 1 | | 7 | | (43) | | | | | | | | Total nonrecurring fair value gains (losses) | $ | (93) | | $ | (16) | | $ | (119) | | $ | (91) | |
(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 Not Carried at Fair Value The following tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tables below therefore exclude items measured at fair value on a recurring basis presented in the tables above.
| | | | | | | | | | | | | | | | | | | June 30, 2026 | 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) | $ | 173.9 | | $ | 157.7 | | $ | 73.9 | | $ | 81.6 | | $ | 2.2 | | | Securities borrowed and purchased under agreements to resell | 189.9 | | 189.9 | | — | | 189.9 | | — | | Loans(2)(3) | 765.3 | | 787.5 | | — | | — | | 787.5 | | Other financial assets(3)(4) | 494.0 | | 494.0 | | 366.4 | | 127.6 | | — | | | Liabilities | | | | | | | Deposits | $ | 1,487.7 | | $ | 1,487.7 | | $ | — | | $ | 1,487.7 | | $ | — | | | Securities loaned and sold under agreements to repurchase | 260.5 | | 260.5 | | — | | 260.5 | | — | | Long-term debt(5) | 190.2 | | 192.9 | | — | | 187.4 | | 5.5 | | Other financial liabilities(6) | 197.7 | | 197.7 | | — | | 197.7 | | — | |
| | | | | | | | | | | | | | | | | | | December 31, 2025 | 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) | $ | 194.9 | | $ | 184.7 | | $ | 87.3 | | $ | 95.2 | | $ | 2.2 | | | Securities borrowed and purchased under agreements to resell | 150.1 | | 150.1 | | — | | 150.1 | | — | | Loans(2)(3) | 726.0 | | 742.1 | | — | | — | | 742.1 | | Other financial assets(3)(4) | 448.0 | | 448.0 | | 349.6 | | 98.4 | | — | | | Liabilities | | | | | | | Deposits | $ | 1,399.4 | | $ | 1,399.3 | | $ | — | | $ | 1,399.3 | | $ | — | | | Securities loaned and sold under agreements to repurchase | 148.7 | | 148.7 | | — | | 148.7 | | — | | Long-term debt(5) | 185.0 | | 189.9 | | — | | 183.8 | | 6.1 | | Other financial liabilities(6) | 141.8 | | 141.8 | | — | | 141.8 | | — | |
(1)Includes $6.0 billion and $5.1 billion of non-marketable equity securities carried at cost at June 30, 2026 and December 31, 2025, respectively. (2)The carrying value of loans is net of the allowance for credit losses on loans of $20.0 billion for June 30, 2026 and $19.2 billion for December 31, 2025. In addition, the carrying values exclude $0.1 billion and $0.1 billion of lease finance receivables at June 30, 2026 and December 31, 2025, respectively. (3)Includes items measured at fair value on a nonrecurring basis. (4)Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value. (5)The carrying value includes long-term debt balances under qualifying fair value hedges. (6)Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
The estimated fair values of the Company’s corporate unfunded lending commitments at June 30, 2026 and December 31, 2025 were off-balance sheet liabilities of $11.4 billion and $10.8 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.
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