FAIR VALUE MEASUREMENT

9 Months Ended

Sep. 30, 2015

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

ASC 820-10 Fair Value Measurement, defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions as well as the impact of Citigroup’s own credit risk on derivatives and other liabilities measured at fair value.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

• Level 1: Quoted prices for identical instruments in active markets.

• Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.

• Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets.

The Company’s policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period.

Determination of Fair Value

For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election or whether they are required to be measured at fair value.

When available, the Company uses quoted market prices to determine fair value and classifies such items as Level 1. In some cases where a market price is available, the Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.

The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the observability of prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.

If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified as Level 3 even though there may be some significant inputs that are readily observable.

Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.

The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Market valuation adjustments

Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account.

Liquidity adjustments are applied to items in Level 2 or Level 3 of the fair-value hierarchy in an effort to ensure that the fair value reflects the price at which the net open risk position could be liquidated. The liquidity adjustment is based on the bid/offer spread for an instrument. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidity adjustment may be adjusted to take into account the size of the position.

Credit valuation adjustments (CVA) and, effective in the third quarter of 2014, funding valuation adjustments (FVA), are applied to over-the-counter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using the relevant base interest rate curve for the currency of the derivative (e.g., LIBOR for uncollateralized U.S.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessary to incorporate the market view of both counterparty credit risk and Citi’s own credit risk in the valuation. FVA reflects a market funding risk premium inherent in the uncollateralized portion of derivative portfolios, and in collateralized derivatives where the terms of the agreement do not permit the reuse of the collateral received.

Citi’s CVA methodology is composed of two steps. First, the credit exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance risk, rather than using the current recognized net asset or liability as a basis to measure the CVA. Second, market-based views of default probabilities

derived from observed credit spreads in the credit default swap

(CDS) market are applied to the expected future cash flows

determined in step one. Citi’s own-credit CVA is determined

using Citi-specific CDS spreads for the relevant tenor.

Generally, counterparty CVA is determined using CDS spread

indices for each credit rating and tenor. For certain identified

netting sets where individual analysis is practicable

(e.g., exposures to counterparties with liquid CDSs),

counterparty-specific CDS spreads are used.

The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the 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	September 30, 2015			December 31, 2014
Counterparty CVA	$	(1,715	)	$	(1,853	)
Asset FVA	(643		)	(518		)
Citigroup (own-credit) CVA	681			580
Liability FVA	108			19
Total CVA—derivative instruments (1)	$	(1,569	)	$	(1,772	)

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

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 September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Counterparty CVA	$	(32	)	$	(24	)	$	(191	)	$	46
Asset FVA	(177		)	(480		)	(125		)	(480		)
Own-credit CVA	97			15			81			(71		)
Liability FVA	44			6			89			6
Total CVA—derivative instruments	$	(68	)	$	(483	)	$	(146	)	$	(499	)
DVA related to own FVO liabilities	$	264		$	112		$	582		$	102
Total CVA and DVA (1)	$	196		$	(371	)	$	436		$	(397	)

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

Valuation Process for Fair Value Measurements

Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards, which is jointly owned by Finance and Risk Management.

For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports to the Global Head of Product Control. It has authority over the valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models.

Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, price verification procedures are performed that may include reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually, and benchmarking, among others.

Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or to the full Board of Directors. Whenever an adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results.

In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models’ theoretical soundness, calibration techniques where needed, and the appropriateness of the model for a specific product in a defined market. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business.

Securities purchased under agreements to resell and securities sold under agreements to repurchase

No quoted prices exist for these instruments, so fair value is determined using a discounted cash-flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.

Trading account assets and liabilities—trading securities and trading loans

When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities.

For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte Carlo simulation. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero.

When the Company’s principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007, observable securitization prices for certain directly comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as commercial real estate loans, price verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, this loan portfolio is classified as Level 2 of the fair value hierarchy.

Trading account assets and liabilities—derivatives

Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy.

Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending upon the observability of the significant inputs to the model.

The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, including Black-Scholes and Monte Carlo simulation.

The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchange rates, volatilities and correlation. The Company uses overnight indexed swap (OIS) curves as fair value measurement inputs for the valuation of certain collateralized derivatives. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the London Interbank Offered Rate for U.S. dollar derivatives) as the discount rate for uncollateralized derivatives.

As referenced above, during the third quarter of 2014, Citi incorporated FVA into the fair value measurements due to what it believes to be an industry migration toward incorporating the market’s view of funding risk premium in OTC derivatives. The charge incurred in connection with the implementation of FVA was reflected in Principal transactions as a change in accounting estimate. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements where the terms do not permit the firm to reuse the collateral received, including where counterparties post collateral to third-party custodians.

Subprime-related direct exposures in CDOs

The valuation of high-grade and mezzanine asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of each high-grade and mezzanine ABS CDO.

For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques.

Investments

The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source.

Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are generally thinly traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including comparables analysis. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions.

Private equity securities are generally classified as Level 3 of the fair value hierarchy.

In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the Company will see investment at a price other than the NAV. Consistent with the provisions of ASU No. 2015-07 these investments have not been categorized with the fair value hierarchy and included in the tables below. See Note 13 to the Consolidated Financial Statements for additional information.

Short-term borrowings and long-term debt

Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable.

The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading account assets and liabilities—derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

Alt-A mortgage securities

The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.

Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Consensus data providers compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued.

The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and yield analysis. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators.

Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or subordinated tranches in the capital structure are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources.

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 September 30, 2015 and December 31, 2014. The Company’s hedging of positions that have been classified in the Level 3 category is not limited to other financial instruments (hedging instruments) that have been classified as Level 3, but also instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables.

Fair Value Levels

In millions of dollars at September 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	$	—	$	173,674	$	1,415	$	175,089	$	(31,615	)	$	143,474
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	26,101	$	652	$	26,753	$	—		$	26,753
Residential	—		1,374		2,025		3,399		—			3,399
Commercial	—		2,565		222		2,787		—			2,787
Total trading mortgage-backed securities	$	—	$	30,040	$	2,899	$	32,939	$	—		$	32,939
U.S. Treasury and federal agency securities	$	25,096	$	2,664	$	3	$	27,763	$	—		$	27,763
State and municipal	—		3,547		277		3,824		—			3,824
Foreign government	38,226		19,365		85		57,676		—			57,676
Corporate	47		17,574		391		18,012		—			18,012
Equity securities	41,705		3,192		3,284		48,181		—			48,181
Asset-backed securities	—		1,640		3,377		5,017		—			5,017
Other trading assets	1		10,374		2,288		12,663		—			12,663
Total trading non-derivative assets	$	105,075	$	88,396	$	12,604	$	206,075	$	—		$	206,075
Trading derivatives
Interest rate contracts	$	8	$	478,443	$	2,859	$	481,310
Foreign exchange contracts	2		147,457		1,127		148,586
Equity contracts	3,266		22,086		1,856		27,208
Commodity contracts	257		16,479		869		17,605
Credit derivatives	—		34,454		3,071		37,525
Total trading derivatives	$	3,533	$	698,919	$	9,782	$	712,234
Cash collateral paid (3)							$	8,515
Netting agreements									$	(609,402	)
Netting of cash collateral received									(50,476		)
Total trading derivatives	$	3,533	$	698,919	$	9,782	$	720,749	$	(659,878	)	$	60,871
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,080	$	114	$	36,194	$	—		$	36,194
Residential	—		7,227		—		7,227		—			7,227
Commercial	—		526		2		528		—			528
Total investment mortgage-backed securities	$	—	$	43,833	$	116	$	43,949	$	—		$	43,949
U.S. Treasury and federal agency securities	$	111,139	$	11,223	$	10	$	122,372	$	—		$	122,372
State and municipal	$	—	$	9,231	$	2,165	$	11,396	$	—		$	11,396
Foreign government	45,463		49,899		243		95,605		—			95,605
Corporate	3,119		12,264		641		16,024		—			16,024
Equity securities	317		67		445		829		—			829
Asset-backed securities	—		9,312		558		9,870		—			9,870
Other debt securities	—		661		10		671		—			671
Non-marketable equity securities(4)	—		53		1,242		1,295		—			1,295
Total investments	$	160,038	$	136,543	$	5,430	$	302,011	$	—		$	302,011

In millions of dollars at September 30, 2015	Level 1(1)			Level 2(1)			Level 3			Gross inventory		Netting(2)			Net balance
Loans(5)	$	—		$	2,858		$	2,655		$	5,513	$	—		$	5,513
Mortgage servicing rights	—			—			1,766			1,766		—			1,766
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	160		$	9,486		$	192		$	9,838
Cash collateral paid(6)										—
Netting of cash collateral received												$	(1,737	)
Non-trading derivatives and other financial assets measured on a recurring basis(7)	$	160		$	9,486		$	192		$	9,838	$	(1,737	)	$	8,101
Total assets	$	268,806		$	1,109,876		$	33,844		$	1,421,041	$	(693,230	)	$	727,811
Total as a percentage of gross assets(8)	19.0		%	78.6		%	2.4		%
Liabilities
Interest-bearing deposits	$	—		$	1,262		$	458		$	1,720	$	—		$	1,720
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			69,799			1,259			71,058		(31,615		)	39,443
Trading account liabilities
Securities sold, not yet purchased	51,802			11,697			234			63,733					63,733
Trading derivatives
Interest rate contracts	8			458,048			3,499			461,555
Foreign exchange contracts	3			151,412			460			151,875
Equity contracts	3,424			26,037			2,308			31,769
Commodity contracts	319			19,260			2,716			22,295
Credit derivatives	—			33,858			2,982			36,840
Total trading derivatives	$	3,754		$	688,615		$	11,965		$	704,334
Cash collateral received(9)										$	9,751
Netting agreements												$	(609,402	)
Netting of cash collateral paid												(42,435		)
Total trading derivatives	$	3,754		$	688,615		$	11,965		$	714,085	$	(651,837	)	$	62,248
Short-term borrowings	$	—		$	675		$	102		$	777	$	—		$	777
Long-term debt	—			18,043			8,195			26,238		—			26,238
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,925		$	5		$	1,930
Cash collateral received(10)										30
Netting of cash collateral paid												(78		)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,925		$	5		$	1,960	$	(78	)	$	1,882
Total liabilities	$	55,556		$	792,016		$	22,218		$	879,571	$	(683,530	)	$	196,041
Total as a percentage of gross liabilities(8)	6.4		%	91.1		%	2.6		%

(1) For the three and nine months endedSeptember 30, 2015, the Company transferred assets of approximately $0.2 billion and $1.4 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities not traded in active markets. During the three and nine months endedSeptember 30, 2015, the Company transferred assets of approximately $1.0 billion and $4.1 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 three and nine months endedSeptember 30, 2015, the Company transferred liabilities of approximately $0.3 billion and $0.6 billion from Level 2 to Level 1. During the three and nine months endedSeptember 30, 2015, there were no material transfers and transfers of approximately $0.1 billion 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 $50,950 million of gross cash collateral paid, of which $42,435 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 $78 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities.

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

(8) 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.

(9) Reflects the net amount of $60,227 million of gross cash collateral received, of which $50,476 million was used to offset trading derivative assets.

(10) Reflects the net amount of $1,767 million of gross cash collateral received, of which $1,737 million was used to offset non-trading derivative assets.

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(4)									(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(5)	—		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(6)	$	—		$	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(7)										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(7)	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(7)												(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(4)	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) 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.

(5) 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.

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

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

(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

The following tables present the changes in the Level 3 fair value category for the three and nine months endedSeptember 30, 2015 and 2014. As discussed above, the Company classifies financial instruments as Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. 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 have been classified by the Company in the Level 1 and 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 effects of these hedges are presented gross in the following tables.

Level 3 Fair Value Rollforward

				Net realized/unrealized gains (losses) incl. in					Transfers																				Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2015			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,070		$	66		$	—	$	279		$	—		$	—		$	—	$	—		$	—		$	1,415		$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	611		$	1		$	—	$	208		$	(212	)	$	166		$	—	$	(131	)	$	9		$	652		$	2
Residential	2,206			37			—		57			(119		)	294			—		(450		)	—			2,025			1
Commercial	368			3			—		20			(60		)	30			—		(139		)	—			222			1
Total trading mortgage-backed securities	$	3,185		$	41		$	—	$	285		$	(391	)	$	490		$	—	$	(720	)	$	9		$	2,899		$	4
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	1		$	—		$	2		$	—	$	—		$	—		$	3		$	—
State and municipal	249			9			—		8			(22		)	39			—		(6		)	—			277			—
Foreign government	82			(1		)	—		25			—			19			—		(40		)	—			85			(1		)
Corporate	708			(19		)	—		53			(177		)	94			—		(268		)	—			391			(6		)
Equity securities	2,741			75			—		148			(52		)	438			—		(66		)	—			3,284			16
Asset-backed securities	4,236			66			—		53			(109		)	827			—		(1,696		)	—			3,377			11
Other trading assets	3,098			(45		)	—		124			(816		)	457			9		(520		)	(19		)	2,288			27
Total trading non-derivative assets	$	14,299		$	126		$	—	$	697		$	(1,567	)	$	2,366		$	9	$	(3,316	)	$	(10	)	$	12,604		$	51
Trading derivatives, net(4)
Interest rate contracts	(423		)	(205		)	—		(1		)	2			(5		)	—		—			(8		)	(640		)	(61		)
Foreign exchange contracts	391			206			—		(4		)	106			102			—		(92		)	(42		)	667			83
Equity contracts	(355		)	272			—		(31		)	(108		)	172			—		(184		)	(218		)	(452		)	187
Commodity contracts	(1,727		)	(166		)	—		31			(21		)	—			—		—			36			(1,847		)	(196		)
Credit derivatives	(574		)	457			—		52			64			—			—		—			90			89			196
Total trading derivatives, net(4)	$	(2,688	)	$	564		$	—	$	47		$	43		$	269		$	—	$	(276	)	$	(142	)	$	(2,183	)	$	209

			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2015		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	96	$	—		$	(4	)	$	29	$	(68	)	$	62		$	—	$	(1	)	$	—		$	114	$	(4	)
Residential	10		—			—			—		—			—			—		(10		)	—			—		—
Commercial	—		—			—			2		—			—			—		—			—			2		—
Total investment mortgage-backed securities	$	106	$	—		$	(4	)	$	31	$	(68	)	$	62		$	—	$	(11	)	$	—		$	116	$	(4	)
U.S. Treasury and federal agency securities	$	5	$	—		$	—		$	—	$	—		$	6		$	—	$	(1	)	$	—		$	10	$	—
State and municipal	2,153		—			11			305		(268		)	253			—		(189		)	(100		)	2,165		(4		)
Foreign government	493		—			(7		)	3		(156		)	74			—		(164		)	—			243		—
Corporate	698		—			(38		)	4		—			53			—		(75		)	(1		)	641		(35		)
Equity securities	483		—			31			5		—			7			—		(81		)	—			445		10
Asset-backed securities	503		—			(8		)	45		—			18			—		—			—			558		(5		)
Other debt securities	—		—			—			—		—			10			—		—			—			10		—
Non-marketable equity securities	1,238		—			14			1		—			1			—		—			(12		)	1,242		18
Total investments	$	5,679	$	—		$	(1	)	$	394	$	(492	)	$	484		$	—	$	(521	)	$	(113	)	$	5,430	$	(20	)
Loans	$	3,840	$	—		$	(125	)	$	—	$	(720	)	$	162		$	69	$	(121	)	$	(450	)	$	2,655	$	(7	)
Mortgage servicing rights	1,924		—			(131		)	—		—			—			55		4			(86		)	1,766		(129		)
Other financial assets measured on a recurring basis	139		—			78			7		(11		)	1			67		(7		)	(82		)	192		(12		)
Liabilities
Interest-bearing deposits	$	347	$	—		$	(108	)	$	—	$	—		$	—		$	12	$	—		$	(9	)	$	458	$	(204	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	965		(1		)	—			—		—			—			—		292			1			1,259		(1		)
Trading account liabilities
Securities sold, not yet purchased	257		63			—			66		(9		)	—			—		103			(120		)	234		(9		)
Short-term borrowings	133		(9		)	—			4		(3		)	—			10		—			(51		)	102		(12		)
Long-term debt	7,665		194			—			995		(736		)	—			679		—			(214		)	8,195		(180		)
Other financial liabilities measured on a recurring basis	4		—			(1		)	2		—			(1		)	1		2			(4		)	5		1

				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			Sept. 30, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,398		$	(69	)	$	—	$	279		$	(2,856	)	$	784	$	—	$	—		$	(121	)	$	1,415		$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,085			30			—		690			(1,062		)	505		—		(619		)	23			652			1
Residential	2,680			243			—		235			(401		)	1,423		—		(2,155		)	—			2,025			(97		)
Commercial	440			16			—		176			(138		)	442		—		(714		)	—			222			(9		)
Total trading mortgage-backed securities	$	4,205		$	289		$	—	$	1,101		$	(1,601	)	$	2,370	$	—	$	(3,488	)	$	23		$	2,899		$	(105	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	1		$	—		$	2	$	—	$	—		$	—		$	3		$	—
State and municipal	241			(1		)	—		35			(29		)	48		—		(17		)	—			277			2
Foreign government	206			(4		)	—		52			(100		)	124		—		(139		)	(54		)	85			2
Corporate	820			185			—		107			(262		)	605		—		(1,053		)	(11		)	391			24
Equity securities	2,219			29			—		310			(240		)	1,180		—		(214		)	—			3,284			93
Asset-backed securities	3,294			299			—		623			(224		)	3,586		—		(4,201		)	—			3,377			74
Other trading assets	4,372			15			—		441			(2,744		)	2,089		41		(1,887		)	(39		)	2,288			34
Total trading non-derivative assets	$	15,357		$	812		$	—	$	2,670		$	(5,200	)	$	10,004	$	41	$	(10,999	)	$	(81	)	$	12,604		$	124
Trading derivatives, net(4)
Interest rate contracts	$	(211	)	$	(633	)	$	—	$	(137	)	$	(37	)	$	13	$	—	$	166		$	199		$	(640	)	$	117
Foreign exchange contracts	778			(218		)	—		(5		)	25			276		—		(270		)	81			667			95
Equity contracts	(863		)	594			—		(54		)	8			322		—		(324		)	(135		)	(452		)	47
Commodity contracts	(1,622		)	(556		)	—		214			(11		)	—		—		—			128			(1,847		)	(361		)
Credit derivatives	(743		)	335			—		83			72			—		—		(3		)	345			89			219
Total trading derivatives, net(4)	$	(2,661	)	$	(478	)	$	—	$	101		$	57		$	611	$	—	$	(431	)	$	618		$	(2,183	)	$	117

			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			Sept. 30, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	38	$	—		$	(4	)	$	133		$	(113	)	$	62		$	—	$	(2	)	$	—		$	114	$	(4	)
Residential	8		—			(1		)	—			—			11			—		(18		)	—			—		—
Commercial	1		—			—			4			(3		)	—			—		—			—			2		—
Total investment mortgage-backed securities	$	47	$	—		$	(5	)	$	137		$	(116	)	$	73		$	—	$	(20	)	$	—		$	116	$	(4	)
U.S. Treasury and federal agency securities	$	6	$	—		$	—		$	—		$	—		$	6		$	—	$	(2	)	$	—		$	10	$	—
State and municipal	2,180		—			4			464			(506		)	652			—		(529		)	(100		)	2,165		(35		)
Foreign government	678		—			41			(5		)	(261		)	558			—		(498		)	(270		)	243		—
Corporate	672		—			8			6			(44		)	122			—		(88		)	(35		)	641		(38		)
Equity securities	681		—			(55		)	12			(10		)	7			—		(190		)	—			445		10
Asset-backed securities	549		—			(28		)	45			(58		)	51			—		(1		)	—			558		(6		)
Other debt securities	—		—			—			—			—			10			—		—			—			10		—
Non-marketable equity securities	1,460		—			4			76			6			5			—		(53		)	(256		)	1,242		74
Total investments	$	6,273	$	—		$	(31	)	$	735		$	(989	)	$	1,484		$	—	$	(1,381	)	$	(661	)	$	5,430	$	1
Loans	$	3,108	$	—		$	(199	)	$	689		$	(805	)	$	736		$	432	$	(496	)	$	(810	)	$	2,655	$	16
Mortgage servicing rights	1,845		—			62			—			—			—			165		(37		)	(269		)	1,766		(390		)
Other financial assets measured on a recurring basis	78		—			94			87			(18		)	4			165		(21		)	(197		)	192		453
Liabilities
Interest-bearing deposits	$	486	$	—		$	(7	)	$	—		$	—		$	—		$	12	$	—		$	(47	)	$	458	$	(250	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,043		(24		)	—			—			—			—			—		285			(93		)	1,259		—
Trading account liabilities
Securities sold, not yet purchased	424		41			—			263			(196		)	—			—		260			(476		)	234		(22		)
Short-term borrowings	344		1			—			21			(18		)	—			59		—			(303		)	102		(15		)
Long-term debt	7,290		562			—			2,081			(2,774		)	—			3,080		—			(920		)	8,195		(230		)
Other financial liabilities measured on a recurring basis	7		—			(8		)	2			(4		)	(3		)	3		2			(10		)	5		—

(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 September 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	Jun. 30, 2014			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,363		$	116		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	3,479		$	130
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	697		$	22		$	—	$	217		$	(145	)	$	97	$	6	$	(89	)	$	(16	)	$	789		$	18
Residential	2,610			63			—		86			(77		)	197		—		(389		)	—			2,490			(4		)
Commercial	409			7			—		84			(58		)	288		—		(176		)	—			554			(4		)
Total trading mortgage-backed securities	$	3,716		$	92		$	—	$	387		$	(280	)	$	582	$	6	$	(654	)	$	(16	)	$	3,833		$	10
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	7	$	—	$	—		$	—		$	7		$	—
State and municipal	242			7			—		4			(1		)	15		—		(16		)	—			251			6
Foreign government	465			(40		)	—		31			(64		)	212		—		(241		)	22			385			(13		)
Corporate	1,262			83			—		141			(104		)	471		—		(685		)	46			1,214			(42		)
Equity securities	1,863			(2		)	—		123			(35		)	119		—		(113		)	—			1,955			34
Asset-backed securities	3,376			394			—		37			(56		)	1,219		—		(1,619		)	—			3,351			33
Other trading assets	4,016			56			—		809			(607		)	1,693		—		(917		)	(311		)	4,739			(34		)
Total trading non-derivative assets	$	14,940		$	590		$	—	$	1,532		$	(1,147	)	$	4,318	$	6	$	(4,245	)	$	(259	)	$	15,735		$	(6	)
Trading derivatives, net(4)
Interest rate contracts	17			76			—		(194		)	7			52		—		(52		)	32			(62		)	94
Foreign exchange contracts	847			8			—		7			(73		)	3		—		(1		)	(14		)	777			43
Equity contracts	(893		)	8			—		(171		)	143			124		—		(55		)	(215		)	(1,059		)	(235		)
Commodity contracts	(1,229		)	(388		)	—		—			(27		)	—		—		—			97			(1,547		)	(228		)
Credit derivatives	(199		)	(222		)	—		(16		)	(89		)	—		—		—			(7		)	(533		)	(264		)
Total trading derivatives, net(4)	$	(1,457	)	$	(518	)	$	—	$	(374	)	$	(39	)	$	179	$	—	$	(108	)	$	(107	)	$	(2,424	)	$	(590	)

			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2014		Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	163	$	—		$	2		$	18		$	(83	)	$	—	$	—	$	(7	)	$	(1	)	$	92	$	—
Residential	17		—			—			1			—			—		—		(5		)	—			13		—
Commercial	7		—			—			—			(4		)	7		—		—			—			10		2
Total investment mortgage-backed securities	$	187	$	—		$	2		$	19		$	(87	)	$	7	$	—	$	(12	)	$	(1	)	$	115	$	2
U.S. Treasury and federal agency securities	$	7	$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	6	$	—
State and municipal	2,102		—			37			67			(69		)	540		—		(393		)	—			2,284		6
Foreign government	615		—			(8		)	—			(63		)	294		—		(198		)	(20		)	620		(9		)
Corporate	512		—			(18		)	4			(136		)	23		—		(147		)	124			362		(4		)
Equity securities	826		—			18			6			(7		)	2		—		(84		)	—			761		(23		)
Asset-backed securities	1,739		—			4			—			(2		)	—		—		—			(1,157		)	584		(39		)
Other debt securities	48		—			—			—			—			66		—		(49		)	—			65		—
Non-marketable equity securities	2,495		—			(1		)	—			—			53		—		(32		)	(430		)	2,085		42
Total investments	$	8,531	$	—		$	34		$	96		$	(364	)	$	985	$	—	$	(916	)	$	(1,484	)	$	6,882	$	(25	)
Loans	$	3,310	$	—		$	(31	)	$	8		$	—		$	287	$	19	$	(513	)	$	(132	)	$	2,948	$	2
Mortgage servicing rights	2,282		—			(18		)	—			—			—		53		(125		)	(99		)	2,093		(18		)
Other financial assets measured on a recurring basis	201		—			14			(83		)	—			—		35		(1		)	(58		)	108		(2		)
Liabilities
Interest-bearing deposits	$	909	$	—		$	184		$	—		$	(12	)	$	—	$	117	$	—		$	(25	)	$	805	$	20
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,032		13			—			—			—			—		—		117			(102		)	1,034		5
Trading account liabilities
Securities sold, not yet purchased	472		(1		)	—			19			(40		)	—		—		149			(233		)	368		(11		)
Short-term borrowings	129		—			—			1			—			—		23		—			(52		)	101		(8		)
Long-term debt	7,847		520			—			476			(760		)	—		1,419		—			(904		)	7,558		215
Other financial liabilities measured on a recurring basis	6		—			(2		)	—			—			—		—		—			(1		)	7		(1		)

				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			Sept. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	37		$	—		$	67		$	(8	)	$	75	$	—	$	—		$	(258	)	$	3,479		$	153
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,094			120			—			594			(743		)	358		13		(606		)	(41		)	789			27
Residential	2,854			380			—			239			(359		)	1,877		—		(2,501		)	—			2,490			108
Commercial	256			18			—			160			(120		)	524		—		(284		)	—			554			1
Total trading mortgage-backed securities	$	4,204		$	518		$	—		$	993		$	(1,222	)	$	2,759	$	13	$	(3,391	)	$	(41	)	$	3,833		$	136
U.S. Treasury and federal agency securities	$	—		$	3		$	—		$	—		$	—		$	7	$	—	$	(3	)	$	—		$	7		$	—
State and municipal	222			11			—			149			(105		)	33		—		(59		)	—			251			(17		)
Foreign government	416			(56		)	—			117			(166		)	571		—		(519		)	22			385			18
Corporate	1,835			1			—			394			(444		)	1,742		—		(2,353		)	39			1,214			19
Equity securities	1,057			(215		)	—			159			(95		)	1,305		—		(256		)	—			1,955			22
Asset-backed securities	4,342			1,002			—			120			(284		)	2,921		—		(4,750		)	—			3,351			246
Other trading assets	3,184			137			—			1,840			(1,786		)	4,568		—		(2,827		)	(377		)	4,739			(14		)
Total trading non-derivative assets	$	15,260		$	1,401		$	—		$	3,772		$	(4,102	)	$	13,906	$	13	$	(14,158	)	$	(357	)	$	15,735		$	410
Trading derivatives, net(4)
Interest rate contracts	$	839		$	(508	)	$	—		$	(42	)	$	(117	)	$	94	$	—	$	(150	)	$	(178	)	$	(62	)	$	(11	)
Foreign exchange contracts	695			105			—			28			(43		)	4		—		(2		)	(10		)	777			67
Equity contracts	(858		)	250			—			(762		)	473			386		—		(192		)	(356		)	(1,059		)	(402		)
Commodity contracts	(1,393		)	(140		)	—			25			(35		)	—		—		—			(4		)	(1,547		)	(9		)
Credit derivatives	(274		)	(449		)	—			(100		)	(134		)	103		—		(3		)	324			(533		)	(196		)
Total trading derivatives, net(4)	$	(991	)	$	(742	)	$	—		$	(851	)	$	144		$	587	$	—	$	(347	)	$	(224	)	$	(2,424	)	$	(551	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187		$	—		$	47		$	53		$	(137	)	$	17	$	—	$	(73	)	$	(2	)	$	92		$	(3	)
Residential	102			—			33			31			(1		)	17		—		(169		)	—			13			—
Commercial	—			—			—			4			(4		)	10		—		—			—			10			2
Total investment mortgage-backed securities	$	289		$	—		$	80		$	88		$	(142	)	$	44	$	—	$	(242	)	$	(2	)	$	115		$	(1	)
U.S. Treasury and federal agency securities	$	8		$	—		$	—		$	—		$	—		$	—	$	—	$	(2	)	$	—		$	6		$	—
State and municipal	1,643			—			102			784			(534		)	1,038		—		(749		)	—			2,284			72
Foreign government	344			—			(13		)	182			(105		)	623		—		(305		)	(106		)	620			(2		)
Corporate	285			—			(5		)	22			(137		)	289		—		(196		)	104			362			(8		)
Equity securities	815			—			30			18			(19		)	8		—		(91		)	—			761			(1		)
Asset-backed securities	1,960			—			15			—			(44		)	55		—		(97		)	(1,305		)	584			—
Other debt securities	50			—			(1		)	—			—			116		—		(50		)	(50		)	65			—
Non-marketable equity securities	2,508			—			127			67			—			416		—		(291		)	(742		)	2,085			120
Total investments	$	7,902		$	—		$	335		$	1,161		$	(981	)	$	2,589	$	—	$	(2,023	)	$	(2,101	)	$	6,882		$	180

			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			Sept. 30, 2014
Loans	$	4,143	$	—		$	(183	)	$	92		$	6		$	553		$	84	$	(630	)	$	(1,117	)	$	2,948	$	17
Mortgage servicing rights	2,718		—			(233		)	—			—			—			165		(260		)	(297		)	2,093		(216		)
Other financial assets measured on a recurring basis	181		—			39			(83		)	—			1			122		(10		)	(142		)	108		(20		)
Liabilities
Interest-bearing deposits	$	890	$	—		$	94		$	—		$	(12	)	$	—		$	117	$	—		$	(96	)	$	805	$	(31	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		4			—			54			—			78			—		106			(102		)	1,034		(18		)
Trading account liabilities
Securities sold, not yet purchased	590		14			—			68			(91		)	—			—		443			(628		)	368		(19		)
Short-term borrowings	29		(31		)	—			81			—			8			24		—			(72		)	101		(15		)
Long-term debt	7,621		139			49			2,089			(2,998		)	—			3,365		—			(2,331		)	7,558		(205		)
Other financial liabilities measured on a recurring basis	10		—			(3		)	4			—			(1		)	1		(3		)	(7		)	7		(1		)

(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 September 30, 2014.

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

Level 3 Fair Value Rollforward

For the period June 30, 2015 to September 30, 2015, there were no significant Level 3 transfers.

The following were the significant Level 3 transfers for the period December 31, 2014 to September 30, 2015:

• Transfers of Federal Funds sold and securities borrowed or purchased under agreements to resell of $2.9 billion from Level 3 to Level 2 related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years; thus, these positions are generally classified as Level 2.

• Transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assets of $1 billion from Level 3 to Level 2 primarily related to increased observability due to an increase in market trading activity.

• Transfers of other trading assets of $2.7 billion from Level 3 to Level 2 primarily related to trading loans for which there was increased volume of and transparency into market quotations.

• Transfers of Long-term debt of $2.1 billion from Level 2 to Level 3, and of $2.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting certain unobservable inputs becoming less significant and certain underlying market inputs being more observable.

For the period June 30, 2014 to September 30, 2014, there were no significant Level 3 transfers.

The following were the significant Level 3 transfers for the period December 31, 2013 to September 30, 2014:

• Transfers of Long-term debt of $2.1 billion from Level 2 to Level 3, and of $3.0 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

• Transfers of other trading assets of $1.8 billion from Level 2 to Level 3, and of $1.8 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

The Company’s Level 3 inventory consists of both cash securities and derivatives of varying complexitity. The valuation methodologies used to measure the fair value of these positions include discounted cash flow analyses, internal models and comparative analysis. A position is classified within Level 3 of the fair value hierarchy when at least one input is unobservable and is considered significant to its valuation. The specific reason an input is deemed unobservable varies. For example, at least one significant input to the pricing model is not observable in the market, at least one significant input has been adjusted to make it more representative of the position being valued, or the price quote available does not reflect sufficient trading activities.

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 as of September 30, 2015 and December 31, 2014. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

As of September 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	$	1,330	Model-based	Credit - IR correlation	(24.00		)%	(1.00		)%	(9.71		)%
				Interest rate	1.65		%	5.00		%	4.55		%
Mortgage-backed securities	$	1,915	Price-based	Price	$	4.25		$	108.10		$	85.93
	1,048		Yield analysis	Yield	1.26		%	22.62		%	5.57		%
State and municipal, foreign government, corporate and other debt securities	$	3,742	Price-based	Price	$	—		$	128.66		$	77.31
	1,639		Cash flow	Credit spread	20 bps			600 bps			217 bps
Equity securities(5)	$	3,227	Price-based	Price (5)	$	—		$	106.42		$	99.82
	433		Cash flow	Yield	5.00		%	7.00		%	5.99		%
				WAL	0.60 years			4.57 years			2.59 years
Asset-backed securities	$	3,481	Price-based	Price	$	5.50		$	100.18		$	70.37
Non-marketable equity	$	693	Comparables analysis	EBITDA multiples	4.80x			11.40x			9.78x
	440		Price-based	PE ratio	9.10x			9.10x			9.10x
				Discount to price	—		%	90.00		%	12.36		%
				Price-to-book ratio	1.0x			1.69x			1.56x
				Price	$	—		$	3,433.00		$	185.93
Derivatives—Gross(6)
Interest rate contracts (gross)	$	6,247	Model-based	IR lognormal volatility	35.04		%	60.28		%	38.19		%
				Mean reversion	(9.29		)%	20.00		%	1.85		%
				IR-IR correlation	(51.00		)%	90.00		%	74.92		%
Foreign exchange contracts (gross)	$	1,272	Model-based	Foreign exchange (FX) volatility	0.75		%	28.04		%	16.73		%
	276		Cash flow	Interest rate	0.88		%	7.00		%	6.90		%
				Forward price	39.60		%	219.40		%	103.81		%
				IR-IR correlation	(51.00		)%	80.87		%	34.75		%
				Credit spread	10 bps			577 bps			297 bps
				IR-FX correlation	(18.62		)%	60.00		%	49.01		%

As of September 30, 2015	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
Equity contracts (gross)(7)	$	3,646	Model-based	Equity volatility	10.00		%	78.68		%	25.71		%
	511		Price-based	Equity forward	82.25		%	119.02		%	95.95		%
				Forward price	85.43		%	113.54		%	100.81		%
Commodity contracts (gross)	$	3,579	Model-based	Forward price	42.92		%	265.80		%	114.29		%
				Commodity volatility	3.00		%	53.36		%	20.51		%
				Commodity correlation	(50.17		)%	91.26		%	33.54		%
Credit derivatives (gross)	$	4,999	Model-based	Recovery rate	24.24		%	75.00		%	37.96		%
	1,044		Price-based	Credit correlation	5.00		%	75.00		%	40.55		%
				Price	$	—		$	110.00		$	70.41
				Credit spread	5 bps			1,575 bps			189 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)	$	129	Model-based	Yield	1.48		%	9.66		%	5.18		%
	56		Yield Analysis	Recovery rate	25.00		%	40.00		%	39.00		%
				Credit spread	146 bps			1,434 bps			1,152 bps
				Redemption rate	13.00		%	99.50		%	71.61		%
				Interest rate	6.34		%	6.38		%	6.36		%
Loans	$	900	Cash flow	Yield	0.32		%	4.50		%	1.79		%
	817		Model-based	Price	$	—		$	109.99		$	41.00
	617		Price-based	Credit spread	36 bps			584 bps			109 bps
	321		Yield analysis
Mortgage servicing rights	$	1,673	Cash flow	Yield	3.60		%	88.38		%	7.84		%
				WAL	3.33 years			7.83 years			5.37 years
Liabilities
Interest-bearing deposits	$	458	Model-based	Equity-IR correlation	30.50		%	38.00		%	34.25		%
				Forward price	42.92		%	265.80		%	115.46		%
				Commodity correlation	(50.17		)%	91.26		%	33.54		%
				Commodity volatility	3.00		%	53.36		%	20.51		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,259	Model-based	Interest rate	0.90		%	1.92		%	1.79		%
Trading account liabilities
Securities sold, not yet purchased	$	190	Price-based	Price	$	0.01		$	120.05		$	60.64
Short-term borrowings and long-term debt	$	8,279	Model-based	Mean reversion	(9.29		)%	(1.03		)%	(2.82		)%
				IR lognormal activity	35.04		%	60.28		%	38.19		%
				Equity volatility	10.00		%	80.00		%	19.04		%
				Equity forward	82.25		%	119.02		%	95.87		%

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
Mortgage servicing rights	$	1,750	Cash flow	Yield	5.19		%	21.40		%	10.25		%

As of December 31, 2014	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
				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 these tables 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 values of the instruments.

(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.

Sensitivity to Unobservable Inputs and Interrelationships between Unobservable Inputs

The impact of key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the impact on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.

The following section describes the sensitivities and interrelationships of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation

Correlation is a measure of the extent to which two or more variables change in relation to each other. A variety of correlation-related assumptions are required for a wide range of instruments, including equity and credit baskets, foreign-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be calculated using historical information. Estimating correlation can be especially difficult where it may vary over time. Calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example, swaption markets). Changes in correlation levels can have a major impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce larger losses in the event of default and a part of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure.

Volatility

Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Typically, instruments can become more expensive if volatility increases. For example, as an index becomes more volatile, the cost to Citi of maintaining a given level of exposure increases because more frequent rebalancing of the portfolio is required. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable. The general relationship between changes in the value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an at-the-money option would experience a larger percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (for example, an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.

Yield

Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.

In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. In other situations, the estimated yield may not represent sufficient market liquidity and must be adjusted as well. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.

Prepayment

Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayments—in speed or magnitude—generally creates losses for the holder of these securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayment and high delinquencies amplify each input’s negative impact on mortgage securities’ valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.

Recovery

Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (such as asset-backed securities), there is no directly observable market input for recovery, but indications of recovery levels are available from pricing services. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. The recovery rate impacts the valuation of credit securities. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security.

Credit Spread

Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of

securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high yield bond as compared to an investment grade bond. Generally, the credit spread for an investment grade bond is also more observable and less volatile than its high yield counterpart.

Qualitative Discussion of the Ranges of Significant Unobservable Inputs

The following section describes the ranges of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. The level of aggregation and the diversity of instruments held by the Company lead to a wide range of unobservable inputs that may not be evenly distributed across the Level 3 inventory.

Correlation

There are many different types of correlation inputs, including credit correlation, cross-asset correlation (such as equity-interest rate correlation), and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Generally, same-asset correlation inputs have a narrower range than cross-asset correlation inputs. However, due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Volatility

Similar to correlation, asset-specific volatility inputs vary widely by asset type. For example, ranges for foreign exchange volatility are generally lower and narrower than equity volatility. Equity volatilities are wider due to the nature of the equities market and the terms of certain exotic instruments. For most instruments, the interest rate volatility input is on the lower end of the range; however, for certain structured or exotic instruments (such as market-linked deposits or exotic interest rate derivatives), the range is much wider.

Yield

Ranges for the yield inputs vary significantly depending upon the type of security. For example, securities that typically have lower yields, such as municipal bonds, will fall on the lower end of the range, while more illiquid securities or securities with lower credit quality, such as certain residual tranche asset-backed securities, will have much higher yield inputs.

Credit Spread

Credit spread is relevant primarily for fixed income and credit instruments; however, the ranges for the credit spread input can vary across instruments. For example, certain fixed income instruments, such as certificates of deposit, typically have lower credit spreads, whereas certain derivative instruments with high-risk counterparties are typically subject to higher credit spreads when they are uncollateralized or have a longer tenor. Other instruments, such as credit default swaps, also have credit spreads that vary with the attributes of the underlying obligor. Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads.

Price

The price input is a significant unobservable input for certain fixed income instruments. For these instruments, the price input is expressed as a percentage of the notional amount, with a price of $100 meaning that the instrument is valued at par. For most of these instruments, the price varies between zero to $100, or slightly above $100. Relatively illiquid assets that have experienced significant losses since issuance, such as certain asset-backed securities, are at the lower end of the range, whereas most investment grade corporate bonds will fall in the middle to the higher end of the range. For certain structured debt instruments with embedded derivatives, the price input may be above $100 to reflect the embedded features of the instrument (for example, a step-up coupon or a conversion option).

The price input is also a significant unobservable input for certain equity securities; however, the range of price inputs varies depending on the nature of the position, the number of shares outstanding and other factors.

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.

The following table presents the carrying amounts of all assets that were still held as of September 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
September 30, 2015
Loans held-for-sale	$	5,970	$	713	$	5,257
Other real estate owned	105		15		90
Loans(1)	1,234		789		445
Total assets at fair value on a nonrecurring basis	$	7,309	$	1,517	$	5,792

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.

The fair value of loans-held-for-sale is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.

Where the fair value of the related collateral is based on an unadjusted appraised value, the loan is generally classified as Level 2. Where significant adjustments are made to the appraised value, the loan is classified as Level 3. Additionally, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.

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 September 30, 2015 and December 31, 2014:

As of September 30, 2015	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	5,224	Price-based	Price	$	—		$	100.00		$	92.01
Other real estate owned	$	75	Price-based	Discount to price	34.00		%	34.00		%	34.00		%
				Appraised value	$	—		$	8,518,229		$	3,000,800
				Price	$	1.00		$	68.50		$	53.64
Loans(3)	$	312	Price-based	Discount to price	13.00		%	34.00		%	7.99		%
	$	74	Recovery Analysis	Appraisal value	$	3,434,818		$	77,355,765		$	64,227,129
				Recovery rate	11.79		%	60.00		%	23.49		%

(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 values of the instruments.

(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 values of the instruments.

(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.

Nonrecurring Fair Value Changes

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2015 and September 30, 2014:

	Three months ended September 30,
In millions of dollars	2015			2014
Loans held-for-sale	$	(7	)	$	(11	)
Other real estate owned	(5		)	(7		)
Loans(1)	(72		)	(158		)
Total nonrecurring fair value gains (losses)	$	(84	)	$	(176	)

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

	Nine months ended September 30,
In millions of dollars	2015			2014
Loans held-for-sale	$	(7	)	$	58
Other real estate owned	(12		)	(15		)
Loans(1)	(220		)	(462		)
Total nonrecurring fair value gains (losses)	$	(239	)	$	(419	)

(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 Not Carried at Fair Value

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.

	September 30, 2015				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	39.5	$	40.7	$	3.7	$	34.3	$	2.7
Federal funds sold and securities borrowed or purchased under agreements to resell	88.2		88.2		—		81.4		6.8
Loans(1)(2)	600.9		598.8		—		7.0		591.8
Other financial assets(2)(3)	222.5		222.5		7.8		151.9		62.8
Liabilities
Deposits	$	902.5	$	926.6	$	—	$	781.4	$	145.2
Federal funds purchased and securities loaned or sold under agreements to repurchase	129.2		129.2		—		128.8		0.4
Long-term debt(4)	187.3		191.7		—		166.8		24.9
Other financial liabilities(5)	108.1		108.1		—		19.1		89.0

	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 $13.6 billion for September 30, 2015 and $16.0 billion for December 31, 2014. In addition, the carrying values exclude $2.4 billion and $2.7 billion of lease finance receivables at September 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.

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. The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans, and premium values at origination of certain loans.

The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 2015 and December 31, 2014 were liabilities of $4.7 billion and $5.5 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.