FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2015

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 for the periods indicated:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2015			December 31, 2014
Counterparty CVA	$	(1,666	)	$	(1,853	)
Asset FVA	(466		)	(518		)
Citigroup (own-credit) CVA	569			580
Liability FVA	64			19
Total CVA—derivative instruments ⁽¹⁾	$	(1,499	)	$	(1,772	)


(1)	FVA is included with CVA for presentation purposes.

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 on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities 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	2015			2014			2015			2014
Counterparty CVA	$	(20	)	$	63		$	(159	)	$	70
Asset FVA	94			—			52			—
Own-credit CVA	20			(52		)	(16		)	(86		)
Liability FVA	(12		)	—			45			—
Total CVA—derivative instruments	$	82		$	11		$	(78	)	$	(16	)
DVA related to own FVO liabilities	$	230		$	(44	)	$	318		$	(10	)
Total CVA and DVA ⁽¹⁾	$	312		$	(33	)	$	240		$	(26	)


(1)	FVA is included with CVA for presentation purposes.

Items measured at fair value on a recurring basis

Fair Value Levels



In millions of dollars at June 30, 2015	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	173,553	$	1,070	$	174,623	$	(42,556	)	$	132,067
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	25,436	$	611	$	26,047	$	—		$	26,047
Residential	—		1,609		2,206		3,815		—			3,815
Commercial	—		3,346		368		3,714		—			3,714
Total trading mortgage-backed securities	$	—	$	30,391	$	3,185	$	33,576	$	—		$	33,576
U.S. Treasury and federal agency securities	$	18,577	$	3,415	$	—	$	21,992	$	—		$	21,992
State and municipal	—		3,083		249		3,332		—			3,332
Foreign government	34,201		24,038		82		58,321		—			58,321
Corporate	517		20,314		708		21,539		—			21,539
Equity securities	52,540		2,766		2,741		58,047		—			58,047
Asset-backed securities	—		1,495		4,236		5,731		—			5,731
Other trading assets	—		12,718		3,098		15,816		—			15,816
Total trading non-derivative assets	$	105,835	$	98,220	$	14,299	$	218,354	$	—		$	218,354
Trading derivatives
Interest rate contracts	$	45	$	446,909	$	2,749	$	449,703
Foreign exchange contracts	1		120,920		1,046		121,967
Equity contracts	2,518		19,806		2,115		24,439
Commodity contracts	233		14,896		745		15,874
Credit derivatives	—		36,268		2,790		39,058
Total trading derivatives	$	2,797	$	638,799	$	9,445	$	651,041
Cash collateral paid ⁽³⁾							$	6,059
Netting agreements									$	(558,440	)
Netting of cash collateral received									(37,817		)
Total trading derivatives	$	2,797	$	638,799	$	9,445	$	657,100	$	(596,257	)	$	60,843
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	34,279	$	96	$	34,375	$	—		$	34,375
Residential	—		7,097		10		7,107		—			7,107
Commercial	—		513		—		513		—			513
Total investment mortgage-backed securities	$	—	$	41,889	$	106	$	41,995	$	—		$	41,995
U.S. Treasury and federal agency securities	$	114,561	$	10,104	$	5	$	124,670	$	—		$	124,670
State and municipal	$	—	$	9,560	$	2,153	$	11,713	$	—		$	11,713
Foreign government	37,888		49,215		493		87,596		—			87,596
Corporate	2,592		11,442		698		14,732		—			14,732
Equity securities	411		77		483		971		—			971
Asset-backed securities	—		11,105		503		11,608		—			11,608
Other debt securities	—		841		—		841		—			841
Non-marketable equity securities⁽⁴⁾	—		53		1,238		1,291		—			1,291
Total investments	$	155,452	$	134,286	$	5,679	$	295,417	$	—		$	295,417



In millions of dollars at June 30, 2015	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans⁽⁵⁾	$	—		$	2,698		$	3,840		$	6,538	$	—		$	6,538
Mortgage servicing rights	—			—			1,924			1,924		—			1,924
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	120		$	9,969		$	139		$	10,228
Cash collateral paid⁽⁶⁾										—
Netting of cash collateral received												$	(1,956	)
Non-trading derivatives and other financial assets measured on a recurring basis⁽¹⁰⁾	$	120		$	9,969		$	139		$	10,228	$	(1,956	)	$	8,272
Total assets	$	264,204		$	1,057,525		$	36,396		$	1,364,184	$	(640,769	)	$	723,415
Total as a percentage of gross assets⁽⁷⁾	19.4		%	77.9		%	2.7		%
Liabilities
Interest-bearing deposits	$	—		$	1,042		$	347		$	1,389	$	—		$	1,389
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			80,326			965			81,291		(42,556		)	38,735
Trading account liabilities
Securities sold, not yet purchased	57,012			15,710			257			72,979					72,979
Trading derivatives
Interest rate contracts	30			430,505			3,172			433,707
Foreign exchange contracts	7			125,930			655			126,592
Equity contracts	2,629			26,295			2,470			31,394
Commodity contracts	261			17,085			2,472			19,818
Credit derivatives	—			35,842			3,364			39,206
Total trading derivatives	$	2,927		$	635,657		$	12,133		$	650,717
Cash collateral received⁽⁸⁾										$	12,911
Netting agreements												$	(558,440	)
Netting of cash collateral paid												(41,872		)
Total trading derivatives	$	2,927		$	635,657		$	12,133		$	663,628	$	(600,312	)	$	63,316
Short-term borrowings	$	—		$	737		$	133		$	870	$	—		$	870
Long-term debt	—			19,549			7,665			27,214		—			27,214
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,287		$	4		$	1,291
Cash collateral received⁽⁹⁾										4
Netting of cash collateral paid												(50		)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,287		$	4		$	1,295	$	(50	)	$	1,245
Total liabilities	$	59,939		$	754,308		$	21,504		$	848,666	$	(642,918	)	$	205,748
Total as a percentage of gross liabilities⁽⁷⁾	7.2		%	90.2		%	2.6		%

(1)

For the three and six months ended June 30, 2015, the Company transferred assets of approximately $1.0 billion and $1.6 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities not traded in active markets. During the three and six months ended June 30, 2015, the Company transferred assets of approximately $1.2 billion and $3.1 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. During the six months ended June 30, 2015, the Company transferred liabilities of approximately $0.3 billion from Level 2 to Level 1 and there were no material transfers of liabilities from Level 1 to Level 2.


(2)	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.


(3)	Reflects the net amount of $47,931 million of gross cash collateral paid, of which $41,872 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $1.0 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). See Note 1 to the Consolidated Financial Statements.


(5)	There is no allowance for loan losses recorded for loans reported at fair value.


(6)	Reflects $50 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities.


(7)	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.


(8)	Reflects the net amount of $50,728 million of gross cash collateral received, of which $37,817 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $1,960 million of gross cash collateral received, of which $1,956 million was used to offset non-trading derivative assets.


(10)	Includes assets transferred as a result of the announced sale of OneMain Financial. For additional information see Note 2 to the Consolidated Financial Statements.

Fair Value Levels



In millions of dollars at December 31, 2014	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	187,922	$	3,398	$	191,320	$	(47,129	)	$	144,191
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		25,968		1,085		27,053		—			27,053
Residential	—		2,158		2,680		4,838		—			4,838
Commercial	—		3,903		440		4,343		—			4,343
Total trading mortgage-backed securities	$	—	$	32,029	$	4,205	$	36,234	$	—		$	36,234
U.S. Treasury and federal agency securities	$	15,991	$	4,483	$	—	$	20,474	$	—		$	20,474
State and municipal	—		3,161		241		3,402		—			3,402
Foreign government	37,995		26,736		206		64,937		—			64,937
Corporate	1,337		25,640		820		27,797		—			27,797
Equity securities	51,346		4,281		2,219		57,846		—			57,846
Asset-backed securities	—		1,252		3,294		4,546		—			4,546
Other trading assets	—		9,221		4,372		13,593		—			13,593
Total trading non-derivative assets	$	106,669	$	106,803	$	15,357	$	228,829	$	—		$	228,829
Trading derivatives
Interest rate contracts	$	74	$	634,318	$	4,061	$	638,453
Foreign exchange contracts	—		154,744		1,250		155,994
Equity contracts	2,748		19,969		2,035		24,752
Commodity contracts	647		21,850		1,023		23,520
Credit derivatives	—		40,618		2,900		43,518
Total trading derivatives	$	3,469	$	871,499	$	11,269	$	886,237
Cash collateral paid⁽³⁾							$	6,523
Netting agreements									$	(777,178	)
Netting of cash collateral received⁽⁶⁾									(47,625		)
Total trading derivatives	$	3,469	$	871,499	$	11,269	$	892,760	$	(824,803	)	$	67,957
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,053	$	38	$	36,091	$	—		$	36,091
Residential	—		8,355		8		8,363		—			8,363
Commercial	—		553		1		554		—			554
Total investment mortgage-backed securities	$	—	$	44,961	$	47	$	45,008	$	—		$	45,008
U.S. Treasury and federal agency securities	$	110,710	$	12,974	$	6	$	123,690	$	—		$	123,690
State and municipal	$	—	$	10,519	$	2,180	$	12,699	$	—		$	12,699
Foreign government	37,280		52,739		678		90,697		—			90,697
Corporate	1,739		9,746		672		12,157		—			12,157
Equity securities	1,770		274		681		2,725		—			2,725
Asset-backed securities	—		11,957		549		12,506		—			12,506
Other debt securities	—		661		—		661		—			661
Non-marketable equity securities⁽⁷⁾	—		233		1,460		1,693		—			1,693
Total investments	$	151,499	$	144,064	$	6,273	$	301,836	$	—		$	301,836



In millions of dollars at December 31, 2014	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans⁽⁴⁾	$	—		$	2,793		$	3,108		$	5,901	$	—		$	5,901
Mortgage servicing rights	—			—			1,845			1,845		—			1,845
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,352		$	78		$	9,430
Cash collateral paid⁽⁵⁾										123
Netting of cash collateral received⁽⁸⁾												$	(1,791	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,352		$	78		$	9,553	$	(1,791	)	$	7,762
Total assets	$	261,637		$	1,322,433		$	41,328		$	1,632,044	$	(873,723	)	$	758,321
Total as a percentage of gross assets⁽⁵⁾	16.1		%	81.4		%	2.5		%
Liabilities
Interest-bearing deposits	$	—		$	1,198		$	486		$	1,684	$	—		$	1,684
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			82,811			1,043			83,854		(47,129		)	36,725
Trading account liabilities
Securities sold, not yet purchased	59,463			11,057			424			70,944		—			70,944
Trading account derivatives
Interest rate contracts	77			617,933			4,272			622,282
Foreign exchange contracts	—			158,354			472			158,826
Equity contracts	2,955			26,616			2,898			32,469
Commodity contracts	669			22,872			2,645			26,186
Credit derivatives	—			39,787			3,643			43,430
Total trading derivatives	$	3,701		$	865,562		$	13,930		$	883,193
Cash collateral received⁽⁸⁾										$	9,846
Netting agreements												$	(777,178	)
Netting of cash collateral paid⁽³⁾												(47,769		)
Total trading derivatives	$	3,701		$	865,562		$	13,930		$	893,039	$	(824,947	)	$	68,092
Short-term borrowings	$	—		$	1,152		$	344		$	1,496	$	—		$	1,496
Long-term debt	—			18,890			7,290			26,180		—			26,180
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,777		$	7		$	1,784
Cash collateral received⁽⁹⁾										$	7
Netting of cash collateral paid⁽⁵⁾												(15		)
Non-trading derivatives and other financial liabilities measured on a recurring basis	—			1,777			7			1,791		(15		)	1,776
Total liabilities	$	63,164		$	982,447		$	23,524		$	1,078,988	$	(872,091	)	$	206,897
Total as a percentage of gross liabilities⁽⁶⁾	5.9		%	91.9		%	2.2		%

(1)

For the year ended December 31, 2014, the Company transferred assets of approximately $4.1 billion from Level 1 to Level 2, primarily related to foreign government securities not traded with sufficient frequency to constitute an active market and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, the Company transferred assets of approximately $4.2 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute a liquid market. During the year ended December 31, 2014, the Company transferred liabilities of approximately $1.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, there were no material liability transfers from Level 2 to Level 1.


(2)	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.


(3)	Reflects the net amount of $54,292 million of gross cash collateral paid, of which $47,769 million was used to offset trading derivative liabilities.


(4)	There is no allowance for loan losses recorded for loans reported at fair value.


(5)	Reflects the net amount of $138 million of gross cash collateral paid, of which $15 million was used to offset non-trading derivative liabilities.


(6)	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.


(7)	Amounts exclude $1.1 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). See Note 1 to the Consolidated Financial Statements.


(8)	Reflects the net amount of $57,471 million of gross cash collateral received, of which $47,625 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $1,798 million of gross cash collateral received, of which $1,791 million was used to offset non-trading derivative assets.

Changes in level 3 fair value category

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Mar. 31, 2015			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,022		$	(95	)	$	—	$	—		$	(2,756	)	$	20	$	—	$	—		$	(121	)	$	1,070		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	818		$	26		$	—	$	188		$	(340	)	$	172	$	—	$	(267	)	$	14		$	611		$	7
Residential	2,130			129			—		133			(66		)	631		—		(751		)	—			2,206			14
Commercial	599			(2		)	—		68			(65		)	92		—		(324		)	—			368			(1		)
Total trading mortgage-backed securities	$	3,547		$	153		$	—	$	389		$	(471	)	$	895	$	—	$	(1,342	)	$	14		$	3,185		$	20
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	247			(2		)	—		13			—			—		—		(9		)	—			249			1
Foreign government	115			—			—		—			(8		)	39		—		(59		)	(5		)	82			(2		)
Corporate	767			128			—		41			(26		)	164		—		(355		)	(11		)	708			(45		)
Equity securities	2,598			(25		)	—		38			(173		)	360		—		(57		)	—			2,741			66
Asset-backed securities	3,553			106			—		505			(81		)	1,696		—		(1,543		)	—			4,236			181
Other trading assets	4,393			201			—		107			(1,536		)	630		19		(704		)	(12		)	3,098			29
Total trading non-derivative assets	$	15,220		$	561		$	—	$	1,093		$	(2,295	)	$	3,784	$	19	$	(4,069	)	$	(14	)	$	14,299		$	250
Trading derivatives, net⁽⁴⁾
Interest rate contracts	(334		)	(358		)	—		(2		)	(46		)	12		—		169			136			(423		)	(152		)
Foreign exchange contracts	646			(123		)	—		(42		)	(85		)	83		—		(83		)	(5		)	391			(153		)
Equity contracts	(774		)	351			—		—			15			61		—		(75		)	67			(355		)	(70		)
Commodity contracts	(1,729		)	(56		)	—		1			(6		)	—		—		—			63			(1,727		)	89
Credit derivatives	(663		)	(24		)	—		(51		)	(45		)	—		—		(3		)	212			(574		)	(228		)
Total trading derivatives, net⁽⁴⁾	$	(2,854	)	$	(210	)	$	—	$	(94	)	$	(167	)	$	156	$	—	$	8		$	473		$	(2,688	)	$	(514	)



			Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Mar. 31, 2015		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	70	$	—		$	1		$	59		$	(33	)	$	—		$	—	$	(1	)	$	—		$	96	$	1
Residential	10		—			(3		)	—			—			11			—		(8		)	—			10		—
Commercial	2		—			—			—			(2		)	—			—		—			—			—		—
Total investment mortgage-backed securities	$	82	$	—		$	(2	)	$	59		$	(35	)	$	11		$	—	$	(9	)	$	—		$	106	$	1
U.S. Treasury and federal agency securities	$	5	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	5	$	—
State and municipal	2,247		—			(39		)	54			(99		)	166			—		(176		)	—			2,153		(43		)
Foreign government	575		—			(3		)	(8		)	—			310			—		(223		)	(158		)	493		4
Corporate	584		—			72			—			(3		)	55			—		(9		)	(1		)	698		—
Equity securities	519		—			2			—			(7		)	—			—		(31		)	—			483		(1		)
Asset-backed securities	517		—			20			—			(48		)	14			—		—			—			503		22
Other debt securities	—		—			—			—			—			—			—		—			—			—		—
Non-marketable equity securities	1,289		—			(53		)	75			(6		)	4			—		(53		)	(18		)	1,238		11
Total investments	$	5,818	$	—		$	(3	)	$	180		$	(198	)	$	560		$	—	$	(501	)	$	(177	)	$	5,679	$	(6	)
Loans	$	3,906	$	—		$	(20	)	$	—		$	(85	)	$	365		$	42	$	(278	)	$	(90	)	$	3,840	$	26
Mortgage servicing rights	1,685		—			270			—			—			—			68		(9		)	(90		)	1,924		(77		)
Other financial assets measured on a recurring basis	148		—			10			14			(5		)	—			38		(9		)	(57		)	139		348
Liabilities
Interest-bearing deposits	$	465	$	—		$	101		$	—		$	—		$	—		$	—	$	—		$	(17	)	$	347	$	(164	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,060		29			—			—			—			—			—		(8		)	(58		)	965		25
Trading account liabilities
Securities sold, not yet purchased	223		(12		)	—			105			(144		)	—			—		87			(26		)	257		(38		)
Short-term borrowings	120		17			—			16			(3		)	—			33		—			(16		)	133		(1		)
Long-term debt	7,196		82			—			374			(1,091		)	—			1,452		—			(184		)	7,665		213
Other financial liabilities measured on a recurring basis	8		—			(4		)	—			(4		)	(1		)	2		—			(5		)	4		(4		)



				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2014			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,398		$	(135	)	$	—	$	—		$	(2,856	)	$	784	$	—	$	—		$	(121	)	$	1,070		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,085			29			—		482			(850		)	339		—		(488		)	14			611			5
Residential	2,680			206			—		178			(282		)	1,129		—		(1,705		)	—			2,206			(91		)
Commercial	440			13			—		156			(78		)	412		—		(575		)	—			368			(8		)
Total trading mortgage-backed securities	$	4,205		$	248		$	—	$	816		$	(1,210	)	$	1,880	$	—	$	(2,768	)	$	14		$	3,185		$	(94	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	241			(10		)	—		27			(7		)	9		—		(11		)	—			249			2
Foreign government	206			(3		)	—		27			(100		)	105		—		(99		)	(54		)	82			4
Corporate	820			204			—		54			(85		)	511		—		(785		)	(11		)	708			48
Equity securities	2,219			(46		)	—		162			(188		)	742		—		(148		)	—			2,741			55
Asset-backed securities	3,294			233			—		570			(115		)	2,759		—		(2,505		)	—			4,236			179
Other trading assets	4,372			60			—		317			(1,928		)	1,632		32		(1,367		)	(20		)	3,098			15
Total trading non-derivative assets	$	15,357		$	686		$	—	$	1,973		$	(3,633	)	$	7,638	$	32	$	(7,683	)	$	(71	)	$	14,299		$	209
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(211	)	$	(428	)	$	—	$	(136	)	$	(39	)	$	18	$	—	$	166		$	207		$	(423	)	$	(58	)
Foreign exchange contracts	778			(424		)	—		(1		)	(81		)	174		—		(178		)	123			391			(63		)
Equity contracts	(863		)	322			—		(23		)	116			150		—		(140		)	83			(355		)	(166		)
Commodity contracts	(1,622		)	(390		)	—		183			10			—		—		—			92			(1,727		)	(158		)
Credit derivatives	(743		)	(122		)	—		31			8			—		—		(3		)	255			(574		)	(191		)
Total trading derivatives, net⁽⁴⁾	$	(2,661	)	$	(1,042	)	$	—	$	54		$	14		$	342	$	—	$	(155	)	$	760		$	(2,688	)	$	(636	)



			Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2014		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	38	$	—		$	—		$	104		$	(45	)	$	—		$	—	$	(1	)	$	—		$	96	$	(1	)
Residential	8		—			(1		)	—			—			11			—		(8		)	—			10		1
Commercial	1		—			—			2			(3		)	—			—		—			—			—		—
Total investment mortgage-backed securities	$	47	$	—		$	(1	)	$	106		$	(48	)	$	11		$	—	$	(9	)	$	—		$	106	$	—
U.S. Treasury and federal agency securities	$	6	$	—		$	—		$	—		$	—		$	—		$	—	$	(1	)	$	—		$	5	$	—
State and municipal	2,180		—			(7		)	159			(238		)	399			—		(340		)	—			2,153		(31		)
Foreign government	678		—			48			(8		)	(105		)	484			—		(334		)	(270		)	493		5
Corporate	672		—			46			2			(44		)	69			—		(13		)	(34		)	698		—
Equity securities	681		—			(86		)	7			(10		)	—			—		(109		)	—			483		—
Asset-backed securities	549		—			(20		)	—			(58		)	33			—		(1		)	—			503		22
Other debt securities	—		—			—			—			—			—			—		—			—			—		—
Non-marketable equity securities	1,460		—			(10		)	75			6			4			—		(53		)	(244		)	1,238		74
Total investments	$	6,273	$	—		$	(30	)	$	341		$	(497	)	$	1,000		$	—	$	(860	)	$	(548	)	$	5,679	$	70
Loans	$	3,108	$	—		$	(74	)	$	689		$	(85	)	$	574		$	363	$	(375	)	$	(360	)	$	3,840	$	29
Mortgage servicing rights	1,845		—			193			—			—			—			111		(41		)	(184		)	1,924		(390		)
Other financial assets measured on a recurring basis	78		—			16			80			(7		)	3			98		(14		)	(115		)	139		596
Liabilities
Interest-bearing deposits	$	486	$	—		$	101		$	—		$	—		$	—		$	—	$	—		$	(38	)	$	347	$	(265	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,043		(23		)	—			—			—			—			—		(7		)	(94		)	965		15
Trading account liabilities
Securities sold, not yet purchased	424		(22		)	—			197			(187		)	—			—		157			(356		)	257		(50		)
Short-term borrowings	344		10			—			17			(15		)	—			49		—			(252		)	133		(3		)
Long-term debt	7,290		368			—			1,086			(2,038		)	—			2,401		—			(706		)	7,665		(17		)
Other financial liabilities measured on a recurring basis	7		—			(7		)	—			(4		)	(2		)	2		—			(6		)	4		(3		)


(1)	Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss), unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


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


(3)	Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2015.


(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.



				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Mar. 31, 2014			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,451		$	(78	)	$	—	$	16		$	(8	)	$	75	$	—	$	—		$	(93	)	$	3,363		$	129
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	788		$	17		$	—	$	198		$	(213	)	$	107	$	4	$	(196	)	$	(8	)	$	697		$	8
Residential	2,744			160			—		79			(129		)	704		—		(948		)	—			2,610			98
Commercial	241			6			—		41			(38		)	204		—		(45		)	—			409			2
Total trading mortgage-backed securities	$	3,773		$	183		$	—	$	318		$	(380	)	$	1,015	$	4	$	(1,189	)	$	(8	)	$	3,716		$	108
U.S. Treasury and federal agency securities	$	—		$	3		$	—	$	—		$	—		$	—	$	—	$	(3	)	$	—		$	—		$	—
State and municipal	121			2			—		134			—			9		—		(24		)	—			242			(17		)
Foreign government	373			(10		)	—		37			(17		)	221		—		(139		)	—			465			(1		)
Corporate	1,665			(109		)	—		66			(195		)	679		—		(840		)	(4		)	1,262			(28		)
Equity securities	1,385			(42		)	—		1			(55		)	654		—		(80		)	—			1,863			(160		)
Asset-backed securities	3,441			339			—		50			(53		)	759		—		(1,160		)	—			3,376			296
Other trading assets	3,452			58			—		456			(715		)	1,811		—		(1,046		)	—			4,016			21
Total trading non-derivative assets	$	14,210		$	424		$	—	$	1,062		$	(1,415	)	$	5,148	$	4	$	(4,481	)	$	(12	)	$	14,940		$	219
Trading derivatives, net⁽⁴⁾
Interest rate contracts	233			(236		)	—		116			(133		)	24		—		(52		)	65			17			(293		)
Foreign exchange contracts	829			(41		)	—		32			11			—		—		(1		)	17			847			3
Equity contracts	(1,236		)	90			—		(73		)	278			112		—		(43		)	(21		)	(893		)	(415		)
Commodity contracts	(1,329		)	173			—		(5		)	(39		)	—		—		—			(29		)	(1,229		)	128
Credit derivatives	(257		)	(164		)	—		(23		)	(15		)	102		—		—			158			(199		)	(20		)
Total trading derivatives, net⁽⁴⁾	$	(1,760	)	$	(178	)	$	—	$	47		$	102		$	238	$	—	$	(96	)	$	190		$	(1,457	)	$	(597	)



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Mar. 31, 2014		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	199	$	—		$	(3	)	$	11	$	(17	)	$	—		$	—	$	(27	)	$	—		$	163	$	(3	)
Residential	30		—			10			17		(1		)	—			—		(39		)	—			17		—
Commercial	1		—			—			3		—			3			—		—			—			7		—
Total investment mortgage-backed securities	$	230	$	—		$	7		$	31	$	(18	)	$	3		$	—	$	(66	)	$	—		$	187	$	(3	)
U.S. Treasury and federal agency securities	$	7	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	—		$	7	$	—
State and municipal	1,903		—			29			463		(180		)	125			—		(238		)	—			2,102		37
Foreign government	274		—			(7		)	160		—			280			—		(29		)	(63		)	615		—
Corporate	531		—			14			16		—			19			—		(48		)	(20		)	512		(2		)
Equity securities	831		—			(4		)	6		(12		)	5			—		—			—			826		(9		)
Asset-backed securities	1,877		—			3			—		—			7			—		—			(148		)	1,739		10
Other debt securities	99		—			—			—		—			—			—		(1		)	(50		)	48		—
Non-marketable equity securities	2,615		—			(20		)	—		—			201			—		(176		)	(125		)	2,495		107
Total investments	$	8,367	$	—		$	22		$	676	$	(210	)	$	640		$	—	$	(558	)	$	(406	)	$	8,531	$	140
Loans	$	4,142	$	—		$	(124	)	$	84	$	6		$	113		$	15	$	(38	)	$	(888	)	$	3,310	$	17
Mortgage servicing rights	2,586		—			(101		)	—		—			—			62		(163		)	(102		)	2,282		(101		)
Other financial assets measured on a recurring basis	179		—			27			—		—			1			51		(5		)	(52		)	201		23
Liabilities
Interest-bearing deposits	$	935	$	—		$	(20	)	$	—	$	—		$	—		$	—	$	—		$	(46	)	$	909	$	12
Federal funds purchased and securities loaned or sold under agreements to repurchase	940		(2		)	—			54		—			47			—		(11		)	—			1,032		(8		)
Trading account liabilities
Securities sold, not yet purchased	482		5			—			31		(22		)	—			—		144			(158		)	472		(9		)
Short-term borrowings	27		(14		)	—			80		—			8			—		—			—			129		(1		)
Long-term debt	8,646		(97		)	24			654		(1,384		)	—			1,006		—			(1,148		)	7,847		(311		)
Other financial liabilities measured on a recurring basis	3		—			(1		)	4		—			(1		)	—		—			(1		)	6		—



				Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2013			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	(79	)	$	—		$	67		$	(8	)	$	75	$	—	$	—		$	(258	)	$	3,363		$	153
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,094			98			—			377			(598		)	261		7		(517		)	(25		)	697			14
Residential	2,854			317			—			153			(282		)	1,680		—		(2,112		)	—			2,610			124
Commercial	256			11			—			76			(62		)	236		—		(108		)	—			409			5
Total trading mortgage-backed securities	$	4,204		$	426		$	—		$	606		$	(942	)	$	2,177	$	7	$	(2,737	)	$	(25	)	$	3,716		$	143
U.S. Treasury and federal agency securities	$	—		$	3		$	—		$	—		$	—		$	—	$	—	$	(3	)	$	—		$	—		$	—
State and municipal	222			4			—			145			(104		)	18		—		(43		)	—			242			(20		)
Foreign government	416			(16		)	—			86			(102		)	359		—		(278		)	—			465			39
Corporate	1,835			(82		)	—			253			(340		)	1,271		—		(1,668		)	(7		)	1,262			(56		)
Equity securities	1,057			(213		)	—			36			(60		)	1,186		—		(143		)	—			1,863			(58		)
Asset-backed securities	4,342			608			—			83			(228		)	1,702		—		(3,131		)	—			3,376			448
Other trading assets	3,184			81			—			1,031			(1,179		)	2,875		—		(1,910		)	(66		)	4,016			22
Total trading non-derivative assets	$	15,260		$	811		$	—		$	2,240		$	(2,955	)	$	9,588	$	7	$	(9,913	)	$	(98	)	$	14,940		$	518
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	839		$	(584	)	$	—		$	152		$	(124	)	$	42	$	—	$	(98	)	$	(210	)	$	17		$	(225	)
Foreign exchange contracts	695			97			—			21			30			1		—		(1		)	4			847			145
Equity contracts	(858		)	242			—			(591		)	330			262		—		(137		)	(141		)	(893		)	(431		)
Commodity contracts	(1,393		)	248			—			25			(8		)	—		—		—			(101		)	(1,229		)	197
Credit derivatives	(274		)	(227		)	—			(84		)	(45		)	103		—		(3		)	331			(199		)	(325		)
Total trading derivatives, net⁽⁴⁾	$	(991	)	$	(224	)	$	—		$	(477	)	$	183		$	408	$	—	$	(239	)	$	(117	)	$	(1,457	)	$	(639	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187		$	—		$	45		$	35		$	(54	)	$	17	$	—	$	(66	)	$	(1	)	$	163		$	(3	)
Residential	102			—			33			30			(1		)	17		—		(164		)	—			17			—
Commercial	—			—			—			4			—			3		—		—			—			7			—
Total investment mortgage-backed securities	$	289		$	—		$	78		$	69		$	(55	)	$	37	$	—	$	(230	)	$	(1	)	$	187		$	(3	)
U.S. Treasury and federal agency securities	$	8		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	7		$	—
State and municipal	1,643			—			65			717			(465		)	498		—		(356		)	—			2,102			72
Foreign government	344			—			(5		)	182			(42		)	329		—		(107		)	(86		)	615			—
Corporate	285			—			13			18			(1		)	266		—		(49		)	(20		)	512			(4		)
Equity securities	815			—			12			12			(12		)	6		—		(7		)	—			826			7
Asset-backed securities	1,960			—			11			—			(42		)	55		—		(97		)	(148		)	1,739			5
Other debt securities	50			—			(1		)	—			—			50		—		(1		)	(50		)	48			—
Non-marketable equity securities	2,508			—			128			67			—			363		—		(259		)	(312		)	2,495			15
Total investments	$	7,902		$	—		$	301		$	1,065		$	(617	)	$	1,604	$	—	$	(1,107	)	$	(617	)	$	8,531		$	92



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2013		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2014
Loans	$	4,143	$	—		$	(152	)	$	84	$	6		$	266		$	65	$	(117	)	$	(985	)	$	3,310	$	17
Mortgage servicing rights	2,718		—			(215		)	—		—			—			112		(135		)	(198		)	2,282		(216		)
Other financial assets measured on a recurring basis	181		—			25			—		—			1			87		(9		)	(84		)	201		17
Liabilities
Interest-bearing deposits	$	890	$	—		$	(90	)	$	—	$	—		$	—		$	—	$	—		$	(71	)	$	909	$	3
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		(9		)	—			54		—			78			—		(11		)	—			1,032		(21		)
Trading account liabilities
Securities sold, not yet purchased	590		15			—			49		(51		)	—			—		294			(395		)	472		(6		)
Short-term borrowings	29		(31		)	—			80		—			8			1		—			(20		)	129		(6		)
Long-term debt	7,621		(381		)	49			1,613		(2,238		)	—			1,946		—			(1,427		)	7,847		(521		)
Other financial liabilities measured on a recurring basis	10		—			(1		)	4		—			(1		)	1		(3		)	(6		)	6		—


(1)	Changes in fair value of available-for-sale investments are recorded in Accumulated other comprehensive income (loss), unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


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


(3)	Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2014.


(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



As of June 30, 2015	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,070	Model-based	Credit - IR correlation	(24.00		)%	(1.00		)%	(9.71		)%
Mortgage-backed securities	$	2,203	Price-based	Price	$	6.38		$	107.82		$	85.39
	1,038		Yield analysis	Yield	0.68		%	16.92		%	4.51		%
State and municipal, foreign government, corporate and other debt securities	$	4,602	Price-based	Price	$	—		$	120.00		$	73.36
	1,681		Cash flow	Credit spread	20 bps			1,056 bps			316 bps
				Yield	0.47		%	28.50		%	4.88		%
Equity securities⁽⁵⁾	$	2,695	Price-based	Price ⁽⁵⁾	$	—		$	34.02		$	6.45
	477		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.72 years			1.07 years
Asset-backed securities	$	4,453	Price-based	Price	$	5.00		$	100.04		$	76.00
Non-marketable equity	$	836	Comparables analysis	Discount to price	—		%	90.00		%	37.75		%
	372		Price-based	EBITDA multiples	4.70		x	12.50		x	10.17		x
				PE ratio	9.10		x	9.10		x	9.10		x
				Price-to-book ratio	1.17		x	2.03		x	1.56		x
				Price	$	—		$	3,687		$	759
Derivatives—Gross⁽⁶⁾
Interest rate contracts (gross)	$	5,775	Model-based	Mean reversion	(7.02		)%	20.00		%	2.02		%
				IR Normal Volatility	0.40		%	226.00		%	98.86		%
				IR-IR Correlation	(79.00		)%	86.90		%	(24.20		)%
Foreign exchange contracts (gross)	$	1,416	Model-based	Foreign exchange (FX) volatility	1.75		%	32.34		%	10.50		%
	256		Cash flow	Forward price	39.60		%	219.40		%	106.05		%
				Interest rate	6.50		%	6.50		%	6.50		%
				IR-IR correlation	(51.00		)%	86.90		%	34.87		%
				IR-FX correlation	(28.08		)%	60.00		%	48.50		%
Equity contracts (gross)⁽⁷⁾	$	4,332	Model-based	Equity volatility	13.58		%	67.70		%	31.69		%
				Forward price	89.70		%	113.54		%	93.17		%



As of June 30, 2015	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
				Equity-FX correlation	(88.20		)%	56.90		%	(26.38		)%
				Equity-equity correlation	(66.30		)%	95.00		%	39.96		%
				Equity-IR correlation	(38.00		)%	71.00		%	32.73		%
Commodity contracts (gross)	$	3,214	Model-based	Commodity volatility	5.00		%	83.00		%	24.00		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Forward price	53.58		%	263.20		%	105.14		%
Credit derivatives (gross)	$	4,802	Model-based	Recovery rate	20.00		%	75.00		%	39.88		%
	1,346		Price-based	Credit correlation	5.00		%	95.00		%	47.54		%
				Price	$	—		$	111.19		$	58.76
				Credit spread	5 bps			1,300 bps			189 bps
				Upfront points	(0.37		)%	99.16		%	61.01		%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	76	Model-based	Redemption rate	12.99		%	99.50		%	76.18		%
				Recovery rate	19.50		%	40.00		%	36.63		%
				Credit spread	76 bps			452 bps			414 bps
				Interest rate	7.14		%	7.18		%	7.16		%
Loans	$	1,856	Cash flow	Yield	1.50		%	4.50		%	2.35		%
	887		Model-based	Credit spread	39 bps			905 bps			162 bps
	659		Price-based	Appraised value	$56,342,575			$418,054,694			$375,095,357
	438		Yield analysis
Mortgage servicing rights	$	1,829	Cash flow	Yield	5.45		%	50.19		%	11.22		%
				WAL	3.43 years			8.06 years			5.74 years
Liabilities
Interest-bearing deposits	$	347	Model-based	Equity-IR correlation	30.00		%	33.00		%	32.50		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	965	Model-based	Interest rate	0.91		%	2.48		%	2.13		%
Trading account liabilities
Securities sold, not yet purchased	$	181	Price-based	Price	$	0.19		$	277.07		$	56.03
	$	74	Model-based	Equity volatility	15.00		%	67.70		%	32.60		%
				Equity forward	89.70		%	106.90		%	92.10		%
Short-term borrowings and long-term debt	$	7,777	Model-based	Equity-equity correlation	(66.30		)%	95.00		%	39.34		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity volatility	15.00		%	67.70		%	32.60		%
				Credit correlation	87.50		%	87.50		%	87.50		%
				FX volatility	8.60		%	13.50		%	12.52		%
				Equity-FX correlation	(88.20		)%	56.90		%	(27.18		)%
				Forward price	53.58		%	263.20		%	103.51		%
				Equity forward	89.50		%	106.90		%	92.20		%



As of December 31, 2014	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,156	Model-based	Interest rate	1.27		%	1.97		%	1.80		%
Mortgage-backed securities	$	2,874	Price-based	Price	$	—		$	127.87		$	81.43
	1,117		Yield analysis	Yield	0.01		%	19.91		%	5.89		%
State and municipal, foreign government, corporate and other debt securities	$	5,937	Price-based	Price	$	—		$	124.00		$	90.62
	1,860		Cash flow	Credit spread	25 bps			600 bps			233 bps
Equity securities⁽⁵⁾	$	2,163	Price-based	Price ⁽⁵⁾	$	—		$	141.00		$	91.00
	679		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.14 years			1.07 years
Asset-backed securities	$	3,607	Price-based	Price	$	—		$	105.50		$	67.01
Non-marketable equity	$	1,224	Price-based	Discount to price	—		%	90.00		%	4.04		%
	1,055		Comparables analysis	EBITDA multiples	2.90		x	13.10		x	9.77		x
				PE ratio	8.10		x	13.10		x	8.43		x
				Price-to-book ratio	0.99		x	1.56		x	1.15		x
Derivatives—Gross⁽⁶⁾
Interest rate contracts (gross)	$	8,309	Model-based	Interest rate (IR) lognormal volatility	18.05		%	90.65		%	30.21		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	1,428	Model-based	Foreign exchange (FX) volatility	0.37		%	58.40		%	8.57		%
	294		Cash flow	Interest rate	3.72		%	8.27		%	5.02		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
Equity contracts (gross)⁽⁷⁾	$	4,431	Model-based	Equity volatility	9.56		%	82.44		%	24.61		%
	502		Price-based	Equity forward	84.10		%	100.80		%	94.10		%
				Equity-FX correlation	(88.20		)%	48.70		%	(25.17		)%
				Equity-equity correlation	(66.30		)%	94.80		%	36.87		%
				Price	$	0.01		$	144.50		$	93.05
Commodity contracts (gross)	$	3,606	Model-based	Commodity volatility	5.00		%	83.00		%	24.00		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Credit derivatives (gross)	$	4,944	Model-based	Recovery rate	13.97		%	75.00		%	37.62		%
	1,584		Price-based	Credit correlation	—		%	95.00		%	58.76		%
				Price	$	1.00		$	144.50		$	53.86
				Credit spread	1 bps			3,380 bps			180 bps
				Upfront points	0.39			100.00			52.26
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	74	Model-based	Redemption rate	13.00		%	99.50		%	68.73		%
				Forward Price	107.00		%	107.10		%	107.05		%
Loans	$	1,095	Cash flow	Yield	1.60		%	4.50		%	2.23		%
	832		Model-based	Price	$	4.72		$	106.55		$	98.56
	740		Price-based	Credit spread	35 bps			500 bps			199 bps
	441		Yield analysis



As of December 31, 2014	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Mortgage servicing rights	$	1,750	Cash flow	Yield	5.19		%	21.40		%	10.25		%
				WAL	3.31 years			7.89 years			5.17 years
Liabilities
Interest-bearing deposits	$	486	Model-based	Equity-IR correlation	34.00		%	37.00		%	35.43		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,043	Model-based	Interest rate	0.74		%	2.26		%	1.90		%
Trading account liabilities
Securities sold, not yet purchased	$	251	Model-based	Credit-IR correlation	(70.49		)%	8.81		%	47.17		%
	$	142	Price-based	Price	$	—		$	117.00		$	70.33
Short-term borrowings and long-term debt	$	7,204	Model-based	IR lognormal volatility	18.05		%	90.65		%	30.21		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity volatility	10.18		%	69.65		%	23.72		%
				Credit correlation	87.50		%	87.50		%	87.50		%
				Equity forward	89.50		%	100.80		%	95.80		%
				Forward price	35.34		%	268.77		%	101.80		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(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 value of the instrument.


(5)	For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.


(6)	Both trading and nontrading 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 table presents the carrying amounts of all assets that were still held as of June 30, 2015 and December 31, 2014, for which a nonrecurring fair value measurement was recorded:



In millions of dollars	Fair value		Level 2		Level 3
June 30, 2015
Loans held-for-sale	$	6,075	$	1,906	$	4,169
Other real estate owned	117		22		95
Loans⁽¹⁾	1,053		677		376
Total assets at fair value on a nonrecurring basis	$	7,245	$	2,605	$	4,640



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2014
Loans held-for-sale	$	4,152	$	1,084	$	3,068
Other real estate owned	102		21		81
Loans⁽¹⁾	3,367		2,881		486
Total assets at fair value on a nonrecurring basis	$	7,621	$	3,986	$	3,635


(1)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate secured loans.

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, 2015 and December 31, 2014:



As of June 30, 2015	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low			High			Weighted average⁽²⁾
Loans held-for-sale	$	4,108	Price-based	Price	$	98.80		$	100.00		$	99.93
Other real estate owned	$	71	Price-based	Discount to price⁽⁴⁾	34.00		%	34.00		%	34.00		%
	16		Comparables analysis	Appraised Value	$	—		$	18,888,568		$	10,082,929
Loans⁽³⁾	$	245	Price-based	Discount to price⁽⁴⁾	13.00		%	34.00		%	15.62		%
	$	88	Cash Flow	Appraised Value	$	3,610,109		$	34,523,614		$	27,322,705
				Yield	8.50		%	15.00		%	12.97		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Weighted averages are calculated based on the fair value of the instrument.


(3)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(4)	Includes estimated costs to sell.



As of December 31, 2014	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low			High			Weighted average⁽²⁾
Loans held-for-sale	$	2,740	Price-based	Price	$	92.00		$	100.00		$	99.54
				Credit Spread	5 bps			358 bps			175 bps
Other real estate owned	$	76	Price-based	Appraised Value	$11,000			$11,124,137			$4,730,129
				Discount to price⁽⁴⁾	13.00		%	64.00		%	28.80		%
Loans⁽³⁾	$	437	Price-based	Discount to price⁽⁴⁾	13.00		%	34.00		%	28.92		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Weighted averages are based on the fair value of the instrument.


(3)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(4)	Includes estimated costs to sell.

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 are still held at June 30, 2015 and June 30, 2014:



	Three months ended June 30,
In millions of dollars	2015			2014
Loans held-for-sale	$	(20	)	$	(3	)
Other real estate owned	(3		)	1
Loans⁽¹⁾	(61		)	(147		)
Total nonrecurring fair value gains (losses)	$	(84	)	$	(149	)


(1)	Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate loans.



	Six months ended June 30,
In millions of dollars	2015			2014
Loans held-for-sale	$	(20	)	$	71
Other real estate owned	(4		)	(5		)
Loans⁽¹⁾	(107		)	(367		)
Total nonrecurring fair value gains (losses)	$	(131	)	$	(301	)


(1)	Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate loans.

Estimated Fair Value of Financial Instruments

The table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes 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 and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. 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 table excludes 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.

The fair value represents management’s best estimates based on a range of methodologies and assumptions. The carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.



	June 30, 2015				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	35.7	$	36.8	$	3.7	$	30.5	$	2.6
Federal funds sold and securities borrowed or purchased under agreements to resell	105.0		105.0		—		97.1		7.9
Loans⁽¹⁾⁽²⁾	609.0		607.4		—		6.9		600.5
Other financial assets⁽²⁾⁽³⁾	225.3		225.3		8.2		145.9		71.2
Liabilities
Deposits	$	906.6	$	926.4	$	—	$	769.2	$	157.2
Federal funds purchased and securities loaned or sold under agreements to repurchase	138.3		138.3		—		137.8		0.5
Long-term debt⁽⁴⁾	184.6		190.4		—		169.5		20.9
Other financial liabilities⁽⁵⁾	110.5		110.5		—		20.8		89.7



	December 31, 2014				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	30.5	$	32.2	$	4.5	$	25.2	$	2.5
Federal funds sold and securities borrowed or purchased under agreements to resell	98.4		98.4		—		89.7		8.7
Loans⁽¹⁾⁽²⁾	620.0		617.6		—		5.6		612.0
Other financial assets⁽²⁾⁽³⁾	213.8		213.8		8.3		151.9		53.6
Liabilities
Deposits	$	897.6	$	894.4	$	—	$	766.7	$	127.7
Federal funds purchased and securities loaned or sold under agreements to repurchase	136.7		136.7		—		136.5		0.2
Long-term debt⁽⁴⁾	196.9		202.5		—		172.7		29.8
Other financial liabilities⁽⁵⁾	136.2		136.2		—		41.4		94.8


(1)	The carrying value of loans is net of the Allowance for loan losses of $14.1 billion for June 30, 2015 and $16.0 billion for December 31, 2014. In addition, the carrying values exclude $2.5 billion and $2.7 billion of lease finance receivables at June 30, 2015 and December 31, 2014, respectively.


(2)	Includes items measured at fair value on a nonrecurring basis.


(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable 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.


(4)	The carrying value includes long-term debt balances under qualifying fair value hedges.


(5)	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.