v3.25.4
FAIR VALUE MEASUREMENT (Tables)
 12 Months Ended
Dec. 31, 2025
Fair Value Disclosures [Abstract]  
Schedule of CVA and FVA applied to fair value of derivative instruments The table below summarizes the CVA and FVA applied to the fair value of derivative instruments (recorded in Trading account assets and Trading account liabilities on the Consolidated Balance Sheet) at December 31, 2025 and 2024:
 Credit and funding
valuation adjustments
contra-liability (contra-asset)
In millions of dollarsDecember 31,
2025		December 31,
2024
Counterparty CVA$(561)$(561)
Asset FVA(573)(539)
Citigroup (own credit) CVA331 346 
Liability FVA185 209 
Total CVA and FVA—derivative instruments$(618)$(545)
Schedule of pretax gains (losses) related to changes in CVA, FVA and DVA
The table below summarizes pretax gains (losses) related to changes in CVA and FVA on derivative instruments, net of hedges (recorded in Principal transactions revenue in the Consolidated Statement of Income), and changes in debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities (recorded in Other comprehensive income in the Consolidated Statement of Comprehensive Income) for the years indicated:

 Credit/funding/debt valuation
adjustments gain (loss)
In millions of dollars202520242023
Counterparty CVA$(90)$(63)$(31)
Asset FVA22 68 64 
Own credit CVA(18)(56)(212)
Liability FVA14 (46)(23)
Total CVA and FVA—derivative instruments$(72)$(97)$(202)
DVA related to own FVO liabilities(1)
$(1,285)$(573)$(2,078)
Total CVA, DVA and FVA$(1,357)$(670)$(2,280)

(1)    See Note 21.
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 December 31, 2025 and 2024. The Company may hedge positions that have
been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2. These hedges are presented gross in the following tables:
Fair Value Levels

In millions of dollars at December 31, 2025Level 1Level 2Level 3Gross
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 government65,966 57,390 35 123,391 — 123,391 
Corporate1,161 20,412 270 21,843 — 21,843 
Equity securities61,986 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 contracts31 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 government80,048 83,034 25 163,107 — 163,107 
Corporate3,193 1,183 315 4,691 — 4,691 
Marketable equity securities342 2 131 475 — 475 
Asset-backed securities— 1,072 1 1,073 — 1,073 
Other debt securities64 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, 2025Level 1Level 2Level 3Gross
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 purchased89,352 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 contracts49 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 net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(3)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
Fair Value Levels

In millions of dollars at December 31, 2024Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $462,542 $128 $462,670 $(321,815)$140,855 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 63,365 301 63,666 — 63,666 
Residential— 528 67 595 — 595 
Commercial— 631 36 667 — 667 
Total trading mortgage-backed securities$— $64,524 $404 $64,928 $— $64,928 
U.S. Treasury and federal agency securities$142,837 $6,517 $1 $149,355 $— $149,355 
State and municipal— 168 11 179 — 179 
Foreign government35,805 39,035 15 74,855 — 74,855 
Corporate1,197 13,474 269 14,940 — 14,940 
Equity securities41,163 7,479 166 48,808 — 48,808 
Asset-backed securities— 2,131 178 2,309 — 2,309 
Other trading assets— 26,441 333 26,774 — 26,774 
Total trading non-derivative assets$221,002 $159,769 $1,377 $382,148 $— $382,148 
Trading derivatives
Interest rate contracts$17 $128,562 $1,699 $130,278 
Foreign exchange contracts— 215,330 715 216,045 
Equity contracts44 53,734 1,366 55,144 
Commodity contracts— 11,546 1,074 12,620 
Credit derivatives— 7,993 722 8,715 
Total trading derivatives—before netting and collateral$61 $417,165 $5,576 $422,802 
Netting agreements$(334,900)
Netting of cash collateral received(27,303)
Total trading derivatives—after netting and collateral$61 $417,165 $5,576 $422,802 $(362,203)$60,599 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $29,270 $36 $29,306 $— $29,306 
Other— 597 28 625 — 625 
Total investment mortgage-backed securities$— $29,867 $64 $29,931 $— $29,931 
U.S. Treasury and federal agency securities$51,501 $878 $— $52,379 $— $52,379 
State and municipal— 1,230 428 1,658 — 1,658 
Foreign government62,106 71,241 12 133,359 — 133,359 
Corporate3,163 1,505 146 4,814 — 4,814 
Marketable equity securities130 7 14 151 — 151 
Asset-backed securities— 846 2 848 — 848 
Other debt securities— 3,881 6 3,887 — 3,887 
Non-marketable equity securities(2)
— — 404 404 — 404 
Total investments$116,900 $109,455 $1,076 $227,431 $— $227,431 

Table continues on the next page.
In millions of dollars at December 31, 2024Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$— $7,778 $262$8,040 $— $8,040 
Mortgage servicing rights— — 760 760 — 760 
Other financial assets$5,373 $9,424 $15 $14,812 $— $14,812 
Total assets$343,336 $1,166,133 $9,194 $1,518,663 $(684,018)$834,645 
Total as a percentage of gross assets(3)
22.6 %76.8 %0.6 %
Liabilities
Deposits$— $3,569 $39 $3,608 $— $3,608 
Securities loaned and sold under agreements to repurchase— 260,286 390 260,676 (211,522)49,154 
Trading account liabilities
Securities sold, not yet purchased72,324 13,184 28 85,536 — 85,536 
Other trading liabilities— 12 — 12 — 12 
Total trading account liabilities$72,324 $13,196 $28 $85,548 $— $85,548 
Trading derivatives
Interest rate contracts$6 $120,097 $2,029 $122,132 
Foreign exchange contracts— 205,487 530 206,017 
Equity contracts40 58,642 3,054 61,736 
Commodity contracts— 13,960 670 14,630 
Credit derivatives— 6,635 618 7,253 
Total trading derivatives—before netting and collateral$46 $404,821 $6,901 $411,768 
Netting agreements$(334,900)
Netting of cash collateral paid(28,570)
Total trading derivatives—after netting and collateral$46 $404,821 $6,901 $411,768 $(363,470)$48,298 
Short-term borrowings$— $12,187 $297 $12,484 $— $12,484 
Long-term debt— 91,619 21,100 112,719 — 112,719 
Other financial liabilities$4,478 $744 $— $5,222 $— $5,222 
Total liabilities$76,848 $786,422 $28,755 $892,025 $(574,992)$317,033 
Total as a percentage of gross liabilities(3)
8.6 %88.2 %3.2 %

(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Amounts exclude $23 million of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(3)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
Changes in level 3 fair value category The hedged items and related hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward

  
Net realized/unrealized
gains (losses) included in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2025
Assets
Securities borrowed and purchased under agreements to resell$128 $46 $— $— $(181)$637 $— $— $(581)$49 $1 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed301 24 — 347 (426)625 — (489)— 382 (13)
Residential67 (3)— 66 (139)232 — (124)— 99 (4)
Commercial36 (7)— 62 (81)68 — (23)— 55 (2)
Total trading mortgage-backed securities$404 $14 $— $475 $(646)$925 $— $(636)$— $536 $(19)
U.S. Treasury and federal agency securities$1 $— $— $— $(1)$— $— $— $— $— $— 
State and municipal11 1 — — (11)— — — — 1 — 
Foreign government15 5 — 62 (36)19 — (30)— 35 3 
Corporate269 (15)— 105 (184)368 — (273)— 270 (55)
Marketable equity securities166 26 — 74 (53)260 — (186)— 287 12 
Asset-backed securities178 (42)— 74 (139)373 — (219)— 225 (18)
Other trading assets333 93 — 69 (56)468 42 (503)(33)413 10 
Total trading non-derivative assets$1,377 $82 $— $859 $(1,126)$2,413 $42 $(1,847)$(33)$1,767 $(67)
Trading derivatives, net(4)
Interest rate contracts$(330)$306 $— $108 $31 $(150)$10 $(91)$136 $20 $362 
Foreign exchange contracts185 12 — 68 (152)32 — (190)(5)(50)36 
Equity contracts(1,688)(149)— 73 777 (2,780)— (66)869 (2,964)(1,530)
Commodity contracts404 418 — (250)188 (308)— (10)(298)144 219 
Credit derivatives104 (107)— 4 157 (776)— — 199 (419)(114)
Total trading derivatives, net(4)
$(1,325)$480 $— $3 $1,001 $(3,982)$10 $(357)$901 $(3,269)$(1,027)

Table continues on the next page.
  
Net realized/unrealized
gains (losses) included in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2025
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$36 $— $(1)$10 $(15)$4 $— $(3)$— $31 $(3)
Other28 — — — (15)— — (13)— — — 
Total investment mortgage-backed securities$64 $— $(1)$10 $(30)$4 $— $(16)$— $31 $(3)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal428 — 35 91 (16)261 — (295)— 504 10 
Foreign government12 — (5)20 (2)— — — — 25 1 
Corporate146 — (9)262 (112)279 — (251)— 315 (3)
Marketable equity securities14 — (21)— — 218 — (80)— 131 — 
Asset-backed securities2 — — — (2)1 — — — 1 — 
Other debt securities6 — — — — 1 — (7)— — — 
Non-marketable equity securities404 — (20)— (8)53 — (20)— 409 (2)
Total investments$1,076 $— $(21)$383 $(170)$817 $— $(669)$— $1,416 $3 
Loans$262 $— $109 $7 $(171)$— $189 $— $(274)$122 $34 
Mortgage servicing rights760 — (21)— — — 103 — (83)759 (22)
Other financial assets15 — 1 2 — 62 30 (64)(46)— — 
Liabilities
Deposits$39 $— $(34)$10 $— $— $259 $— $(103)$239 $(141)
Securities loaned and sold under agreements to repurchase390 (11)— — (100)1,486 — — (835)952 — 
Trading account liabilities
Securities sold, not yet purchased28 19 — 27 (39)116 — — (68)45 45 
Other trading liabilities— 1 — — (2)25 — — (22)— — 
Short-term borrowings297 51 — 78 (144)13 928 — (829)292 (92)
Long-term debt21,100 (1,156)— 3,120 (4,158)— 5,064 — (2,323)23,959 (866)
Other financial liabilities measured on a recurring basis— — — 15 (1)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 December 31, 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) included in(1)
Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2024
Assets           
Securities borrowed and purchased under agreements to resell$139 $(4)$— $— $— $111 $— $— $(118)$128 $(4)
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed581 (50)— 456 (856)667 — (497)— 301 (18)
Residential116 (8)— 84 (79)159 — (205)— 67 (1)
Commercial202 17 — 56 (189)162 — (212)— 36 (4)
Total trading mortgage-backed securities$899 $(41)$— $596 $(1,124)$988 $— $(914)$— $404 $(23)
U.S. Treasury and federal agency securities$7 $4 $— $1 $(1)$— $— $— $(10)$1 $— 
State and municipal3 2 — 20 (10)— — (4)— 11 1 
Foreign government54 (9)— 21 (49)192 — (194)— 15 — 
Corporate500 155 — 188 (484)587 — (669)(8)269 97 
Marketable equity securities292 5 — 239 (75)169 — (464)— 166 (8)
Asset-backed securities531 (53)— 54 (210)273 — (417)— 178 (21)
Other trading assets833 174 — 200 (440)377 34 (829)(16)333 42 
Total trading non-derivative assets$3,119 $237 $— $1,319 $(2,393)$2,586 $34 $(3,491)$(34)$1,377 $88 
Trading derivatives, net(4)
Interest rate contracts$(1,085)$(875)$— $275 $462 $94 $19 $(35)$815 $(330)$(381)
Foreign exchange contracts295 600 — 100 (485)13 — (197)(141)185 (474)
Equity contracts(1,634)68 — (135)1,022 (954)— (77)22 (1,688)(459)
Commodity contracts279 460 — 46 (210)(104)— (66)(1)404 512 
Credit derivatives(73)155 — (20)29 (4)— — 17 104 81 
Total trading derivatives, net(4)
$(2,218)$408 $— $266 $818 $(955)$19 $(375)$712 $(1,325)$(721)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$75 $— $4 $3 $— $7 $— $(53)$— $36 $5 
Other116 — (3)5 (90)— — — — 28 (3)
Total investment mortgage-backed securities$191 $— $1 $8 $(90)$7 $— $(53)$— $64 $2 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal542 — (31)— (8)14 — (89)— 428 (14)
Foreign government194 — (16)8 (174)36 — (36)— 12 (3)
Corporate362 — (24)78 (348)183 — (105)— 146 (7)
Marketable equity securities27 — (13)— — — — — — 14 — 
Asset-backed securities— — — 2 — 3 — (3)— 2 — 
Other debt securities— — — — — 6 — — — 6 — 
Non-marketable equity securities483 — (3)— — 187 — (263)— 404 (7)
Total investments$1,799 $— $(86)$96 $(620)$436 $— $(549)$— $1,076 $(29)

Table continues on the next page.
  
Net realized/unrealized
gains (losses) included in(1)
Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2024
Loans$427 $— $(85)$664 $(896)$— $250 $— $(98)$262 $(6)
Mortgage servicing rights691 — 37 — — — 104 — (72)760 44 
Other financial assets30 — (1)— — 5 51 (5)(65)15 (1)
Liabilities
Deposits$29 $1 $4 $51 $(40)$— $39 $— $(35)$39 $1 
Securities loaned and sold under agreements to repurchase390 5 — — — 976 — — (971)390 5 
Trading account liabilities
Securities sold, not yet purchased35 (14)— 35 (30)116 — — (142)28 5 
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings481 (94)— 88 (560)1 479 — (286)297 (37)
Long-term debt38,380 1,757 — 4,626 (22,923)— 5,995 — (3,221)21,100 1,731 
Other financial liabilities6 — — — — — 5 — (11)— — 

(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 December 31, 2024.
(4)Total Level 3 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
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 December 31, 2025
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Mortgage-backed securities$352 Price-basedPrice$0.80 $145.12 $37.47 
214 
Yield analysis
Yield4.78 %26.14 %12.86 %
State and municipal, foreign government, corporate and other debt securities$866 Price-basedPrice$20.77 $194.45 $114.31 
389 Model-basedCredit spread167.00 bps508.30 bps399.15 bps
159 Cash flowYield2.30 %9.30 %8.72 %
WAL3.24 years8.14 years6.80 years
Interest rate contracts (gross)$3,608 Model-basedIR normal volatility0.06 %2.98 %0.65 %
Equity volatility12.00 %48.92 %26.43 %
Foreign exchange contracts (gross)$1,217 Model-basedIR normal volatility0.49 %0.86 %0.74 %
IR basis(20.15)%11.17 %(0.05)%
FX volatility0.32 %74.14 %7.91 %
Yield1.05 %14.90 %6.43 %
Equity contracts (gross)(7)
$6,597 Model-basedEquity volatility2.81 %184.01 %42.80 %
Equity forward53.29 %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-basedForward price0.11 %395.49 %98.83 %
Commodity volatility8.40 %316.56 %42.29 %
Credit derivatives (gross)$1,720 Model-basedCredit spread5.20 bps592.93 bps74.28 bps
Recovery rate0.50 %40.00 %34.87 %
985 Price-basedPrice$8.00 $119.13 $85.45 
Upfront points5.05 %106.23 %61.00 %
Mortgage servicing rights$676 Cash flowWAL3.24 years8.14 years6.80 years
82 Model-basedYield(0.40)%12.00 %6.35 %
Liabilities
Securities loaned and sold under agreements to repurchase$952 Model-basedInterest rate 3.47 %5.43 %3.85 %
IR normal volatility0.46 %0.89 %0.78 %
Short-term borrowings and long-term debt$24,126 Model-basedIR normal volatility0.06 %2.98 %0.74 %
FX volatility5.26 %14.01 %9.08 %
Equity volatility5.50 %92.67 %20.95 %
IR-FX correlation(34.00)%60.00 %46.37 %
Equity-IR correlation— %56.64 %36.32 %
IR-IR correlation40.00 %40.00 %40.00 %
Equity-FX correlation(60.00)%70.00 %(16.57)%
As of December 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$128 Model-basedCredit spread10 bps10 bps10 bps
Interest rate3.81 %3.81 %3.81 %
Mortgage-backed securities$230 Yield analysisYield5.24 %18.43 %9.25 %
214 Price-basedPrice$0.01 $99.81 $35.24 
State and municipal, foreign government, corporate and other debt securities$560 Price-basedPrice$— $173.20 $98.52 
489 Model-basedCredit spread35 bps550 bps277 bps
Yield4.20 %10.60 %9.88 %
140 Cash flowWAL3.59 years8.82 years7.57 years
Marketable equity securities(5)
$131 Price-basedPrice$— $14,382.07 $442.64 
22 Model-basedWAL2.40 years2.40 years2.40 years
Recovery (in millions)
$8,628 $8,628 $8,628 
Asset-backed securities$132 Price-basedPrice$3.46 $132.54 $74.86 
47 Yield analysisYield5.85 %12.76 %8.07 %
Non-marketable equities$222 Comparable analysisIlliquidity discount 7.40 %33.00 %16.47 %
Revenue multiple4.50x16.31x11.97x
EBITDA multiples16.20x16.20x16.20x
81 Price-basedPrice$0.54 $2,960.96 $432.84 
50 Cash flowDiscount rate9.75 %17.50 %13.38 %
50 Model-based
Derivatives—gross(6)
Interest rate contracts (gross)$3,574 Model-basedIR normal volatility0.16 %20.00 %2.18 %
Yield1.69 %46.32 %5.64 %
Equity forward71.78 %334.29 %106.48 %
Foreign exchange contracts (gross)$1,247 Model-basedIR normal volatility0.67 %1.13 %0.93 %
IR basis(7.50)%64.75 %5.01 %
FX volatility3.33 %27.64 %12.55 %
Yield1.69 %46.32 %9.26 %
Equity contracts (gross)(7)
$4,345 Model-basedEquity volatility— %145.41 %32.89 %
Equity forward71.78 %334.29 %105.90 %
Equity-FX correlation(93.33)%70.00 %(14.52)%
Equity-Equity correlation(36.22)%99.00 %72.43 %
Commodity and other contracts (gross)$1,716 Model-basedForward price1.84 %244.41 %115.84 %
Commodity volatility7.14 %285.61 %35.86 %
Credit derivatives (gross)$869 Model-basedRecovery rate20.00 %72.00 %41.54 %
Credit spread5.00 bps747.27 bps100.50 bps
Credit spread volatility29.85 %81.44 %67.58 %
468 Price-basedPrice$43.71 $103.53 $85.76 
Upfront points(6.25)%110.52 %43.93 %
Other financial assets and liabilities (gross)$14 Price-basedPrice$91.12 $104.49 $100.04 
Loans and leases$177 Model-basedEquity volatility35.42 %41.94 %37.21 %
Forward price1.84 %244.41 %102.92 %
82 Price-basedPrice$73.88 $99.25 $85.09 
Mortgage servicing rights$671 Cash flowWAL3.59 years8.82 years7.57 years
84 Model-basedYield0.30 %12.00 %6.82 %
Liabilities
Interest-bearing deposits$39 Model-basedForward price100.00 %100.00 %100.00 %
Securities loaned and sold under agreements to repurchase$390 Model-basedInterest rate 4.25 %4.85 %4.28 %
IR normal volatility0.67 %1.13 %0.93 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$27 Price-basedPrice$— $14,382.07 $91.47 
Short-term borrowings and long-term debt$20,883 Model-basedIR normal volatility0.04 %20.00 %1.54 %
Equity volatility— %145.41 %19.81 %
Equity-IR correlation(34.00)%60.00 %27.29 %

(1)The tables above include the fair values for the items listed and may not represent the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For marketable equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.
Items measured at fair value of a nonrecurring basis
The following tables present the carrying amounts of all assets that were still held as of the balance sheet date for which a nonrecurring fair value measurement was recorded during the 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 27), and consumer loans and other assets held by businesses held-for-sale (see “Significant Disposals” in Note 2):

In millions of dollarsFair valueLevel 2Level 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 alternative350 — 350 
Total assets at fair value on a nonrecurring basis$1,263 $188 $1,075 
In millions of dollarsFair valueLevel 2Level 3
December 31, 2024   
Loans HFS(1)
$684 $413 $271 
Other real estate owned1 — 1 
Loans(2)
353 — 353 
Non-marketable equity securities measured using the measurement alternative184 — 184 
Total assets at fair value on a nonrecurring basis$1,222 $413 $809 

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

As of December 31, 2025
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$453 Price-basedPrice$83.00 $100.00 $98.66 
Loans(4)
$271 Recovery analysis
Appraised value(5)
$10,000 $75,424,500 $30,328,429 
Recovery rate35.10 %85.20 %60.55 %
Non-marketable equity securities measured using the measurement alternative$254 Price-basedPrice$4.57 $205.01 $70.91 
96 Comparable analysisRevenue multiple2.07x27.20x15.51x

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

(1)The tables above include the fair values for the items listed and may not represent the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)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:

Year ended December 31,
In millions of dollars20252024
Loans HFS$(38)$(10)
Other real estate owned— — 
Loans(1)
(10)(44)
Non-marketable equity securities measured using the measurement alternative(60)(29)
Total nonrecurring fair value gains (losses)$(108)$(83)

(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.
The disclosure also excludes leases, affiliate investments, pension and benefit obligations, certain insurance contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value
associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the tables exclude the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.
Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into.


 December 31, 2025Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 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 resell150.1 150.1 — 150.1 — 
Loans(2)(3)
726.0 742.1 — — 742.1 
Other financial assets(3)(4)(5)
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 repurchase148.7 148.7 — 148.7 — 
Long-term debt(6)
185.0 189.9 — 183.8 6.1 
Other financial liabilities(5)(7)
141.8 141.8 — 141.8 — 

 December 31, 2024Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
HTM debt securities, net of allowance(1)
$247.6 $229.8 $120.2 $107.4 $2.2 
Securities borrowed and purchased under agreements to resell133.2 133.2 — 133.2 — 
Loans(2)(3)
667.6 673.5 — — 673.5 
Other financial assets(3)(4)
362.2 362.2 260.6 15.9 85.7 
Liabilities     
Deposits$1,280.9 $1,280.9 $— $1,280.9 $— 
Securities loaned and sold under agreements to repurchase205.6 205.6 — 205.6 — 
Long-term debt(6)
174.5 178.0 — 162.1 15.9 
Other financial liabilities(7)
137.7 137.7 — 34.7 103.0 

(1)Includes $5.1 billion and $5.2 billion of non-marketable equity securities carried at cost at December 31, 2025 and 2024, respectively.
(2)The carrying value of loans is net of the allowance for credit losses on loans of $19.2 billion for December 31, 2025 and $18.6 billion for December 31, 2024. In addition, the carrying values exclude $0.1 billion and $0.3 billion of lease finance receivables at December 31, 2025 and 2024, respectively.
(3)Includes items measured at fair value on a nonrecurring basis.
(4)Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(5)As a result of Citi’s refining its application of fair value hierarchy methodologies, certain other financial assets and other financial liabilities that were previously classified as Level 2 or 3 are now classified as Level 1 or 2.
(6)The carrying value includes long-term debt balances under qualifying fair value hedges.
(7)Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.