FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2026

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, 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)

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 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		%

(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).

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.

(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		—

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

(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		—

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

(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, 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 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 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.

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 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

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.