v3.26.1
FAIR VALUE MEASUREMENT (Tables)
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Schedule of CVA and FVA applied to fair value of derivative instruments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments (recorded in Trading account assets and Trading account liabilities on the Consolidated Balance Sheet) at March 31, 2026 and December 31, 2025:

 Credit and funding
valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2026		December 31,
2025
Counterparty CVA$(666)$(561)
Asset FVA(704)(573)
Citigroup (own credit) CVA396 331 
Liability FVA204 185 
Total CVA and FVA—derivative instruments$(770)$(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 March 31,
In millions of dollars20262025
Counterparty CVA$(65)$(24)
Asset FVA(55)37 
Own credit CVA97 46 
Liability FVA48 5 
Total CVA and FVA—derivative instruments$25 $64 
DVA related to own FVO liabilities(1)
$1,832 $1,000 
Total CVA, DVA and FVA$1,857 $1,064 

(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 March 31, 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 March 31, 2026Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $590,236 $49 $590,285 $(400,296)$189,989 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 99,527 429 99,956 — 99,956 
Residential— 941 94 1,035 — 1,035 
Commercial— 794 71 865 — 865 
Total trading mortgage-backed securities$— $101,262 $594 $101,856 $— $101,856 
U.S. Treasury and federal agency securities$149,463 $3,863 $— $153,326 $— $153,326 
State and municipal— 169 1 170 — 170 
Foreign government91,774 55,443 241 147,458 — 147,458 
Corporate2,139 22,116 204 24,459 — 24,459 
Equity securities61,620 6,965 349 68,934 — 68,934 
Asset-backed securities— 1,957 179 2,136 — 2,136 
Other trading assets91 27,362 492 27,945 — 27,945 
Total trading non-derivative assets$305,087 $219,137 $2,060 $526,284 $— $526,284 
Trading derivatives
Interest rate contracts$41 $188,352 $2,353 $190,746 
Foreign exchange contracts— 194,501 638 195,139 
Equity contracts87 74,892 1,768 76,747 
Commodity contracts— 26,803 1,433 28,236 
Credit derivatives— 8,866 1,233 10,099 
Total trading derivatives—before netting and collateral$128 $493,414 $7,425 $500,967 
Netting agreements$(406,175)
Netting of cash collateral received(27,603)
Total trading derivatives—after netting and collateral$128 $493,414 $7,425 $500,967 $(433,778)$67,189 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $41,139 $32 $41,171 $— $41,171 
Other— 964 — 964 — 964 
Total investment mortgage-backed securities$— $42,103 $32 $42,135 $— $42,135 
U.S. Treasury and federal agency securities$45,644 $— $— $45,644 $— $45,644 
State and municipal— 992 411 1,403 — 1,403 
Foreign government77,098 83,494 20 160,612 — 160,612 
Corporate2,303 1,023 308 3,634 — 3,634 
Marketable equity securities324 4 2 330 — 330 
Asset-backed securities— 1,163 — 1,163 — 1,163 
Other debt securities38 3,193 — 3,231 — 3,231 
Non-marketable equity securities(2)
— — 388 388 — 388 
Total investments$125,407 $131,972 $1,161 $258,540 $— $258,540 

Table continues on the next page.
In millions of dollars at March 31, 2026Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$8,331$192$8,523 $— $8,523 
Mortgage servicing rights——766766 — 766 
Other financial assets$6,465$11,807$—$18,272 $— $18,272 
Total assets$437,087$1,454,897$11,653$1,903,637 $(834,074)$1,069,563 
Total as a percentage of gross assets(3)
23.0%76.4%0.6%
Liabilities
Deposits$—$4,138$237$4,375 $— $4,375 
Securities loaned and sold under agreements to repurchase—490,962913491,875 (259,827)232,048 
Trading account liabilities
Securities sold, not yet purchased105,48416,516125122,125 — 122,125 
Other trading liabilities—10—10 — 10 
Total trading account liabilities$105,484$16,526$125$122,135 $— $122,135 
Trading derivatives
Interest rate contracts$35$177,346$2,167$179,548 
Foreign exchange contracts—179,154732179,886 
Equity contracts16382,1734,58686,922 
Commodity contracts—28,0411,07829,119 
Credit derivatives—8,9701,0119,981 
Total trading derivatives—before netting and collateral$198$475,684$9,574$485,456 
Netting agreements$(406,175)
Netting of cash collateral paid(16,150)
Total trading derivatives—after netting and collateral$198$475,684$9,574$485,456 $(422,325)$63,131 
Short-term borrowings$—$26,422$297$26,719 $— $26,719 
Long-term debt—110,91524,143135,058 — 135,058 
Other financial liabilities$6,095$124$—$6,219 $— $6,219 
Total liabilities$111,777$1,124,771$35,289$1,271,837 $(682,152)$589,685 
Total as a percentage of gross liabilities(3)
8.8 %88.4 %2.8 %

(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Amounts exclude $41 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, 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——759759 — 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—426,084952427,036 (227,614)199,422 
Trading account liabilities
Securities sold, not yet purchased89,35215,17745104,574 — 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—152,202662152,864 
Equity contracts4974,3654,78779,201 
Commodity contracts—23,71386924,582 
Credit derivatives—9,6701,56211,232 
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—106,76723,959130,726 — 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 months ended March 31, 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 dollarsDec. 31, 2025Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2026
Assets
Securities borrowed and purchased under agreements to resell$49 $— $— $— $— $49 $— $— $(49)$49 $— 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed382 (14)— 129 (108)112 — (72)— 429 (6)
Residential99 (3)— 5 (9)42 — (40)— 94 (1)
Commercial55 (3)— 39 (6)1 — (15)— 71 (2)
Total trading mortgage-backed securities$536 $(20)$— $173 $(123)$155 $— $(127)$— $594 $(9)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal1 — — — — — — — — 1 — 
Foreign government35 (3)— 50 (1)162 — (2)— 241 — 
Corporate270 (8)— 2 (32)163 — (191)— 204 (22)
Marketable equity securities287 (16)— 23 (8)140 — (77)— 349 (17)
Asset-backed securities225 (10)— 24 (51)62 — (71)— 179 (9)
Other trading assets413 (2)— 10 (5)138 12 (65)(9)492 (1)
Total trading non-derivative assets$1,767 $(59)$— $282 $(220)$820 $12 $(533)$(9)$2,060 $(58)
Trading derivatives, net(4)
Interest rate contracts$20 $(80)$— $78 $(46)$180 $— $(139)$173 $186 $(40)
Foreign exchange contracts(50)4 — 15 (62)(162)— (143)304 (94)(6)
Equity contracts(2,964)(49)— (5)358 (660)— (125)627 (2,818)(80)
Commodity contracts144 29 — (58)117 303 — (121)(59)355 19 
Credit derivatives(419)61 — 26 (29)270 — (190)503 222 54 
Total trading derivatives, net(4)
$(3,269)$(35)$— $56 $338 $(69)$— $(718)$1,548 $(2,149)$(53)

Table continues on the next page.
  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2025Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2026
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$31 $— $1 $— $— $— $— $— $— $32 $1 
Other— — — — — — — — — — — 
Total investment mortgage-backed securities$31 $— $1 $— $— $— $— $— $— $32 $1 
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal504 — 1 17 (8)— — (103)— 411 1 
Foreign government25 — — 7 (20)8 — — — 20 (1)
Corporate315 — — 54 (96)97 — (62)— 308 (5)
Marketable equity securities131 — — — (131)2 — — — 2 — 
Asset-backed securities1 — — — — — — (1)— — — 
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities409 — (8)— — 11 — (24)— 388 (8)
Total investments$1,416 $— $(6)$78 $(255)$118 $— $(190)$— $1,161 $(12)
Loans$122 $— $10 $100 $(25)$— $21 $— $(36)$192 $6 
Mortgage servicing rights759 — 4 — — — 28 — (25)766 5 
Other financial assets — — — — — — — — — — — 
Liabilities
Deposits$239 $— $1 $— $— $— $9 $— $(10)$237 $1 
Securities loaned and sold under agreements to repurchase952 2 — — — 301 — — (338)913 2 
Trading account liabilities
Securities sold, not yet purchased45 — — 72 (24)32 — — — 125 — 
Other trading liabilities— — — — — — — — — — — 
Short-term borrowings292 (1)— 4 (36)— 143 — (107)297 (1)
Long-term debt23,959 974 — 932 (718)— 1,873 — (929)24,143 669 
Other financial liabilities measured on a recurring basis— — — — — — — — — — — 
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 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 dollarsDec. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2025
Assets
Securities borrowed and purchased under agreements to resell$128 $6 $— $— $(84)$150 $— $— $(47)$153 $3 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed301 23 — 156 (36)320 — (150)— 614 25 
Residential67 1 — 11 (12)60 — (9)— 118 — 
Commercial36 (4)— 21 (9)43 — — — 87 (3)
Total trading mortgage-backed securities$404 $20 $— $188 $(57)$423 $— $(159)$— $819 $22 
U.S. Treasury and federal agency securities$1 $— $— $— $(1)$— $— $— $— $— $— 
State and municipal11 1 — — (11)— — — — 1 — 
Foreign government15 1 — — (6)— — (7)— 3 1 
Corporate269 (16)— 17 (60)93 — (53)— 250 (6)
Marketable equity securities166 5 — 22 (2)71 — (35)— 227 29 
Asset-backed securities178 (9)— 10 (5)97 — (51)— 220 (6)
Other trading assets333 79 — 44 (8)54 12 (38)(8)468 92 
Total trading non-derivative assets$1,377 $81 $— $281 $(150)$738 $12 $(343)$(8)$1,988 $132 
Trading derivatives, net(4)
Interest rate contracts$(330)$(232)$— $(14)$(98)$(9)$3 $(9)$52 $(637)$(321)
Foreign exchange contracts185 (74)— 62 50 41 — (59)(24)181 (137)
Equity contracts(1,688)135 — (148)133 (914)— (21)298 (2,205)44 
Commodity contracts404 97 — (23)116 (126)— (4)(139)325 104 
Credit derivatives104 (78)— 10 82 (96)— — 6 28 60 
Total trading derivatives, net(4)
$(1,325)$(152)$— $(113)$283 $(1,104)$3 $(93)$193 $(2,308)$(250)

Table continues on the next page.
  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2024Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2025
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$36 $— $(1)$— $(3)$— $— $— $— $32 $(1)
Other28 — — — (5)— — (13)— 10 — 
Total investment mortgage-backed securities$64 $— $(1)$— $(8)$— $— $(13)$— $42 $(1)
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal428 — 4 22 (13)248 — (254)— 435 5 
Foreign government12 — (1)— (2)— — — — 9 (1)
Corporate146 — 9 — (32)97 — (26)— 194 8 
Marketable equity securities14 — (8)— — — — — — 6 (2)
Asset-backed securities2 — — — (2)— — — — — — 
Other debt securities6 — — — — 1 — (6)— 1 — 
Non-marketable equity securities404 — 5 — — 12 — (7)— 414 5 
Total investments$1,076 $— $8 $22 $(57)$358 $— $(306)$— $1,101 $14 
Loans$262 $— $77 $— $(2)$— $4 $— $(23)$318 $82 
Mortgage servicing rights760 — (15)— — — 25 — (19)751 (16)
Other financial assets 15 — — — — 1 11 — (14)13 — 
Liabilities
Deposits$39 $— $— $— $— $— $19 $— $(11)$47 $(6)
Securities loaned and sold under agreements to repurchase390 3 — — — 732 — — (321)798 2 
Trading account liabilities
Securities sold, not yet purchased28 29 — 2 (5)57 — — (24)29 10 
Other trading liabilities— 1 — — (2)25 — — (22)— — 
Short-term borrowings297 9 — 14 (35)— 573 — (119)721 8 
Long-term debt21,100 51 — 612 (841)— 1,284 — (663)21,441 71 
Other financial liabilities— — — — — — 1 — — 1 — 

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2025.
(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 March 31, 2026
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets   
Mortgage-backed securities$349 Yield analysisYield4.53 %28.97 %13.76 %
277 Price-basedPrice$0.95$107.79$44.27
State and municipal, foreign government, corporate and other debt securities$1,014 
Price-based
Price
$1.00$205.85$105.13
555 Model-basedCredit spread216.50 bps550.00 bps400.13 bps
Interest rate contracts (gross)$4,314 Model-basedIR normal volatility0.06 %2.98 %0.81 %
Foreign exchange contracts (gross)$1,272 Model-basedIR normal volatility0.63 %1.21 %0.83 %
FX volatility0.39 %91.49 %11.60 %
IR basis(1.77)%5.76 %(0.06)%
Yield0.99 %13.95 %3.00 %
Equity contracts (gross)(5)
$5,800 Model-basedEquity volatility2.48 %163.09 %43.29 %
Equity forward48.45 %370.04 %110.86 %
Equity-Equity correlation(36.22)%99.12 %49.49 %
Commodity and other contracts (gross)$2,509 Model-basedForward price0.10 %306.55 %100.61 %
Commodity volatility13.41 %271.96 %50.76 %
Credit derivatives (gross)$1,352 Price-basedPrice$8.00$116.23$79.84
840 Model-basedCredit spread1.00 bps760.02 bps153.48 bps
Mortgage servicing rights$764 Cash flowYield(0.30)%12.00 %6.51 %
WAL3.24 years8.09 years6.82 years
Liabilities
Securities loaned and sold under agreements to repurchase$913 
Model-based
Interest rate
3.72 %5.79 %4.27 %
IR normal volatility0.62 %1.20 %1.03 %
Short-term borrowings and
long-term debt		$23,556 
Model-based
IR normal volatility0.06 %2.98 %0.83 %
FX volatility2.29 %15.65 %9.75 %
Equity volatility5.50 %80.29 %22.27 %
IR-FX correlation(34.00)%60.00 %46.43 %
Equity-IR correlation0.00 %56.33 %35.38 %
Equity forward67.07 %361.78 %143.93 %
IR-IR correlation40.00 %40.00 %40.00 %
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 analysisYield4.78 %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)(5)
$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 rate3.47 %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 correlation0.00 %56.64 %36.32 %
IR-IR correlation40.00 %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 dollarsFair valueLevel 2Level 3
March 31, 2026   
Loans HFS(1)
$1,042 $689 $353 
Other real estate owned1 1 — 
Loans(2)
97 — 97 
Non-marketable equity securities measured using the measurement alternative107 — 107 
Total assets at fair value on a nonrecurring basis$1,247 $690 $557 

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 

(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 March 31, 2026
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$353 Price-basedPrice$80.50 $100.00 $97.98 
Loans(4)
$97 Recovery analysis
Appraised value(5)
$10,000 $23,657,415 $9,267,682 
Recovery rate31.30 %68.60 %46.97 %
Non-marketable equity securities measured using the measurement alternative$100 Price-basedPrice$1.49 $159.59 $50.06 

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

(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 March 31,
In millions of dollars20262025
Loans HFS$(43)$(21)
Other real estate owned— — 
Loans(1)
(8)(37)
Non-marketable equity securities measured using the measurement alternative14 (44)
Total nonrecurring fair value gains (losses)$(37)$(102)

(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.
 March 31, 2026Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets 
HTM debt securities, net of allowance(1)
$183.8 $173.3 $79.3 $91.7 $2.3 
Securities borrowed and purchased under agreements to resell163.1 163.1 — 163.1 — 
Loans(2)(3)
733.3 752.8 — — 752.8 
Other financial assets(3)(4)
514.7 514.7 385.8 128.9 — 
Liabilities
Deposits$1,441.9 $1,441.8 $— $1,441.8 $— 
Securities loaned and sold under agreements to repurchase137.5 137.5 — 137.5 — 
Long-term debt(5)
172.4 175.7 — 169.6 6.1 
Other financial liabilities(6)
195.1 195.1 — 195.1 — 
 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)
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(5)
185.0 189.9 — 183.8 6.1 
Other financial liabilities(6)
141.8 141.8 — 141.8 — 

(1)Includes $5.3 billion and $5.1 billion of non-marketable equity securities carried at cost at March 31, 2026 and December 31, 2025, respectively.
(2)The carrying value of loans is net of the allowance for credit losses on loans of $19.6 billion for March 31, 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 March 31, 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.