FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2015

Schedule of CVA and FVA applied to fair value of derivative instruments

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments for the periods indicated:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	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.

Schedule of pretax gains (losses) related to changes in CVA, FVA and DVA

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended 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.

Items measured at fair value on a recurring basis

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 ended September 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 ended September 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 ended September 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 ended September 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

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.

Significant valuation techniques and most significant unobservable inputs used in Level 3 fair value measurements

Valuation Techniques and Inputs for Level 3 Fair Value Measurements



As of 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.

Items measured at fair value of a nonrecurring basis

The following table presents the carrying amounts of all assets that were still held as of 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.

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.

Changes in total nonrecurring fair value measurements

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

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.