FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2016

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 at March 31, 2016 and 2015:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2016			December 31, 2015
Counterparty CVA	$	(1,889	)	$	(1,470	)
Asset FVA	(664		)	(584		)
Citigroup (own-credit) CVA	609			471
Liability FVA	135			106
Total CVA—derivative instruments⁽¹⁾	$	(1,809	)	$	(1,477	)


(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 years indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended March 31,
In millions of dollars	2016			2015
Counterparty CVA	$	(108	)	$	(139	)
Asset FVA	(80		)	(42		)
Own-credit CVA	135			(36		)
Liability FVA	29			57
Total CVA—derivative instruments⁽¹⁾	$	(24	)	$	(160	)
DVA related to own FVO liabilities ⁽²⁾	$	307		$	87


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

(2)

Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-01): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability.

Items measured at fair value on a recurring basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2016 and December 31, 2015. 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 March 31, 2016	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	$	—	$	172,582	$	1,909	$	174,491	$	(32,711	)	$	141,780
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		26,987		1,039		28,026		—			28,026
Residential	—		288		1,192		1,480		—			1,480
Commercial	—		1,791		581		2,372		—			2,372
Total trading mortgage-backed securities	$	—	$	29,066	$	2,812	$	31,878	$	—		$	31,878
U.S. Treasury and federal agency securities	$	28,196	$	3,964	$	3	$	32,163	$	—		$	32,163
State and municipal	—		3,433		209		3,642		—			3,642
Foreign government	40,982		21,722		219		62,923		—			62,923
Corporate	357		14,555		477		15,389		—			15,389
Equity securities	42,925		2,428		3,755		49,108		—			49,108
Asset-backed securities	—		753		2,814		3,567		—			3,567
Other trading assets	—		9,459		2,574		12,033		—			12,033
Total trading non-derivative assets	$	112,460	$	85,380	$	12,863	$	210,703	$	—		$	210,703
Trading derivatives
Interest rate contracts	$	52	$	540,555	$	2,321	$	542,928
Foreign exchange contracts	49		157,654		937		158,640
Equity contracts	2,837		19,807		1,536		24,180
Commodity contracts	179		14,964		890		16,033
Credit derivatives	—		29,056		3,467		32,523
Total trading derivatives	$	3,117	$	762,036	$	9,151	$	774,304
Cash collateral paid⁽³⁾							$	6,424
Netting agreements									$	(663,872	)
Netting of cash collateral received									(53,812		)
Total trading derivatives	$	3,117	$	762,036	$	9,151	$	780,728	$	(717,684	)	$	63,044
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	44,118	$	111	$	44,229	$	—		$	44,229
Residential	—		5,553		—		5,553		—			5,553
Commercial	—		381		3		384		—			384
Total investment mortgage-backed securities	$	—	$	50,052	$	114	$	50,166	$	—		$	50,166
U.S. Treasury and federal agency securities	$	109,792	$	11,199	$	3	$	120,994	$	—		$	120,994
State and municipal	—		8,903		2,098		11,001		—			11,001
Foreign government	44,586		54,581		175		99,342		—			99,342
Corporate	4,067		12,476		498		17,041		—			17,041
Equity securities	646		77		126		849		—			849
Asset-backed securities	—		8,086		701		8,787		—			8,787
Other debt securities	—		594		—		594		—			594
Non-marketable equity securities⁽⁴⁾	—		40		1,165		1,205		—			1,205
Total investments	$	159,091	$	146,008	$	4,880	$	309,979	$	—		$	309,979



In millions of dollars at March 31, 2016	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans⁽⁵⁾	$	—		$	3,070		$	1,723		$	4,793	$	—		$	4,793
Mortgage servicing rights	—			—			1,524			1,524		—			1,524
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,097		$	57		$	9,154
Cash collateral paid⁽⁶⁾										11
Netting of cash collateral received												$	(2,102	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,097		$	57		$	9,165	$	(2,102	)	$	7,063
Total assets	$	274,668		$	1,178,173		$	32,107		$	1,491,383	$	(752,497	)	$	738,886
Total as a percentage of gross assets⁽⁷⁾	18.5		%	79.3		%	2.2		%
Liabilities
Interest-bearing deposits	$	—		$	1,376		$	191		$	1,567	$	—		$	1,567
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			69,058			1,238			70,296		(32,711		)	37,585
Trading account liabilities
Securities sold, not yet purchased	$	65,618		$	7,505		$	118		$	73,241	$	—		$	73,241
Other trading liabilities	—			136			—			136		—			136
Total trading liabilities	$	65,618		$	7,641		$	118		$	73,377	$	—		$	73,377
Trading derivatives
Interest rate contracts	$	54		$	517,020		$	3,076		$	520,150
Foreign exchange contracts	13			162,350			642			163,005
Equity contracts	2,743			24,243			2,412			29,398
Commodity contracts	242			15,580			2,839			18,661
Credit derivatives	—			28,742			3,788			32,530
Total trading derivatives	$	3,052		$	747,935		$	12,757		$	763,744
Cash collateral received⁽⁸⁾										$	13,891
Netting agreements												$	(663,872	)
Netting of cash collateral paid												(50,994		)
Total trading derivatives	$	3,052		$	747,935		$	12,757		$	777,635	$	(714,866	)	$	62,769
Short-term borrowings	$	—		$	1,330		$	46		$	1,376	$	—		$	1,376
Long-term debt	—			19,425			7,678			27,103		—			27,103
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,147		$	14		$	2,161
Cash collateral received⁽⁹⁾										40
Netting of cash collateral paid												$	(44	)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,147		$	14		$	2,201	$	(44	)	$	2,157
Total liabilities	$	68,670		$	848,912		$	22,042		$	953,555	$	(747,621	)	$	205,934
Total as a percentage of gross liabilities⁽⁷⁾	7.3		%	90.3		%	2.3		%

(1)

For the three months ended March 31, 2016, the Company transferred assets of approximately $0.2 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities not traded in active markets. During the three months ended March 31, 2016, the Company transferred assets of approximately $1.3 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. During the three months ended March 31, 2016, there were no material transfers of liabilities from Level 1 to Level 2 or 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 $57,418 million of gross cash collateral paid, of which $50,994 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.8 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).


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


(6)	Reflects the net amount of $55 million of gross cash collateral paid, of which $44 million was used to offset non-trading derivative liabilities.


(7)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(8)	Reflects the net amount of $67,703 million of gross cash collateral received, of which $53,812 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $2,142 million of gross cash collateral received, of which $2,102 million was used to offset non-trading derivative assets.

Fair Value Levels



In millions of dollars at December 31, 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	$	—	$	177,538	$	1,337	$	178,875	$	(40,911	)	$	137,964
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		24,023		744		24,767		—			24,767
Residential	—		1,059		1,326		2,385		—			2,385
Commercial	—		2,338		517		2,855		—			2,855
Total trading mortgage-backed securities	$	—	$	27,420	$	2,587	$	30,007	$	—		$	30,007
U.S. Treasury and federal agency securities	$	14,208	$	3,587	$	1	$	17,796	$	—		$	17,796
State and municipal	—		2,345		351		2,696		—			2,696
Foreign government	35,715		20,697		197		56,609		—			56,609
Corporate	302		13,759		376		14,437		—			14,437
Equity securities	50,429		2,382		3,684		56,495		—			56,495
Asset-backed securities	—		1,217		2,739		3,956		—			3,956
Other trading assets	—		9,293		2,483		11,776		—			11,776
Total trading non-derivative assets	$	100,654	$	80,700	$	12,418	$	193,772	$	—		$	193,772
Trading derivatives
Interest rate contracts	$	9	$	412,802	$	2,083	$	414,894
Foreign exchange contracts	5		128,189		1,123		129,317
Equity contracts	2,422		17,866		1,597		21,885
Commodity contracts	204		16,706		1,100		18,010
Credit derivatives	—		31,082		3,793		34,875
Total trading derivatives	$	2,640	$	606,645	$	9,696	$	618,981
Cash collateral paid⁽³⁾							$	4,911
Netting agreements									$	(524,481	)
Netting of cash collateral received									(43,227		)
Total trading derivatives	$	2,640	$	606,645	$	9,696	$	623,892	$	(567,708	)	$	56,184
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	39,575	$	139	$	39,714	$	—		$	39,714
Residential	—		5,982		4		5,986		—			5,986
Commercial	—		569		2		571		—			571
Total investment mortgage-backed securities	$	—	$	46,126	$	145	$	46,271	$	—		$	46,271
U.S. Treasury and federal agency securities	$	111,536	$	11,375	$	4	$	122,915	$	—		$	122,915
State and municipal	—		9,267		2,192		11,459		—			11,459
Foreign government	42,073		49,868		260		92,201		—			92,201
Corporate	3,605		11,595		603		15,803		—			15,803
Equity securities	430		71		124		625		—			625
Asset-backed securities	—		8,578		596		9,174		—			9,174
Other debt securities	—		688		—		688		—			688
Non-marketable equity securities⁽⁴⁾	—		58		1,135		1,193		—			1,193
Total investments	$	157,644	$	137,626	$	5,059	$	300,329	$	—		$	300,329



In millions of dollars at December 31, 2015	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans⁽⁵⁾	$	—		$	2,839		$	2,166		$	5,005	$	—		$	5,005
Mortgage servicing rights	—			—			1,781			1,781		—			1,781
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	7,882		$	180		$	8,062
Cash collateral paid⁽⁶⁾										8
Netting of cash collateral received												$	(1,949	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	7,882		$	180		$	8,070	$	(1,949	)	$	6,121
Total assets	$	260,938		$	1,013,230		$	32,637		$	1,311,724	$	(610,568	)	$	701,156
Total as a percentage of gross assets⁽⁷⁾	20.0		%	77.5		%	2.5		%
Liabilities
Interest-bearing deposits	$	—		$	1,156		$	434		$	1,590	$	—		$	1,590
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			76,507			1,247			77,754		(40,911		)	36,843
Trading account liabilities
Securities sold, not yet purchased	48,452			9,176			199			57,827		—			57,827
Other trading liabilities	—			2,093			—			2,093		—			2,093
Total trading liabilities	$	48,452		$	11,269		$	199		$	59,920	$	—		$	59,920
Trading account derivatives
Interest rate contracts	$	5		$	393,321		$	2,578		$	395,904
Foreign exchange contracts	6			133,404			503			133,913
Equity contracts	2,244			21,875			2,397			26,516
Commodity contracts	263			17,329			2,961			20,553
Credit derivatives	—			30,682			3,486			34,168
Total trading derivatives	$	2,518		$	596,611		$	11,925		$	611,054
Cash collateral received⁽⁸⁾										$	13,628
Netting agreements												$	(524,481	)
Netting of cash collateral paid												(42,609		)
Total trading derivatives	$	2,518		$	596,611		$	11,925		$	624,682	$	(567,090	)	$	57,592
Short-term borrowings	$	—		$	1,198		$	9		$	1,207	$	—		$	1,207
Long-term debt	—			18,342			6,951			25,293		—			25,293
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,626		$	14		$	1,640
Cash collateral received⁽⁹⁾										37
Netting of cash collateral paid												$	(53	)
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,626		$	14		$	1,677	$	(53	)	$	1,624
Total liabilities	$	50,970		$	706,709		$	20,779		$	792,123	$	(608,054	)	$	184,069
Total as a percentage of gross liabilities⁽⁷⁾	6.5		%	90.8		%	2.7		%

(1)

In 2015, the Company transferred assets of approximately $3.3 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015, the Company transferred assets of approximately $4.4 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. In 2015, the Company transferred liabilities of approximately $0.6 billion from Level 2 to Level 1. In 2015, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2.


(2)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Reflects the net amount of $47,520 million of gross cash collateral paid, of which $42,609 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.9 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).


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


(6)	Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.


(7)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(8)	Reflects the net amount of $56,855 million of gross cash collateral received, of which $43,227 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million was used to offset non-trading derivative assets.

Changes in level 3 fair value category

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	Dec. 31, 2015			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2016
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,337		$	70		$	—	$	—		$	—		$	503	$	—	$	—		$	(1	)	$	1,909		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	744			12			—		335			(220		)	356		—		(191		)	3			1,039			1
Residential	1,326			49			—		104			(43		)	211		—		(455		)	—			1,192			—
Commercial	517			9			—		56			(27		)	245		—		(219		)	—			581			—
Total trading mortgage-backed securities	$	2,587		$	70		$	—	$	495		$	(290	)	$	812	$	—	$	(865	)	$	3		$	2,812		$	1
U.S. Treasury and federal agency securities	$	1		$	—		$	—	$	2		$	—		$	—	$	—	$	—		$	—		$	3		$	—
State and municipal	351			7			—		13			(159		)	103		—		(106		)	—			209			—
Foreign government	197			(1		)	—		2			(4		)	41		—		(16		)	—			219			—
Corporate	376			12			—		45			(16		)	169		—		(109		)	—			477			2
Equity securities	3,684			(44		)	—		93			(34		)	79		—		(23		)	—			3,755			—
Asset-backed securities	2,739			128			—		117			(14		)	492		—		(648		)	—			2,814			—
Other trading assets	2,483			(27		)	—		778			(613		)	283		11		(331		)	(10		)	2,574			(5		)
Total trading non-derivative assets	$	12,418		$	145		$	—	$	1,545		$	(1,130	)	$	1,979	$	11	$	(2,098	)	$	(7	)	$	12,863		$	(2	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(495	)	$	(508	)	$	—	$	165		$	90		$	5	$	—	$	(3	)	$	(9	)	$	(755	)	$	(9	)
Foreign exchange contracts	620			(353		)	—		3			30			17		—		(39		)	17			295			2
Equity contracts	(800		)	32			—		75			(144		)	24		—		(59		)	(4		)	(876		)	—
Commodity contracts	(1,861		)	(142		)	—		(52		)	10			—		—		—			96			(1,949		)	(1		)
Credit derivatives	307			(515		)	—		(81		)	29			1		—		—			(62		)	(321		)	(1		)
Total trading derivatives, net⁽⁴⁾	$	(2,229	)	$	(1,486	)	$	—	$	110		$	15		$	47	$	—	$	(101	)	$	38		$	(3,606	)	$	(9	)



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2015		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Mar. 31, 2016
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	139	$	—		$	(31	)	$	7	$	(39	)	$	39		$	—	$	(3	)	$	(1	)	$	111	$	—
Residential	4		—			1			—		—			—			—		(5		)	—			—		—
Commercial	2		—			—			3		(2		)	—			—		—			—			3		—
Total investment mortgage-backed securities	$	145	$	—		$	(30	)	$	10	$	(41	)	$	39		$	—	$	(8	)	$	(1	)	$	114	$	—
U.S. Treasury and federal agency securities	$	4	$	—		$	—		$	—	$	—		$	—		$	—	$	(1	)	$	—		$	3	$	—
State and municipal	2,192		—			35			261		(409		)	151			—		(132		)	—			2,098		—
Foreign government	260		—			2			33		—			62			—		(182		)	—			175		—
Corporate	603		—			14			5		(37		)	1			—		(88		)	—			498		—
Equity securities	124		—			—			2		—			—			—		—			—			126		—
Asset-backed securities	596		—			(26		)	—		(1		)	132			—		—			—			701		—
Other debt securities	—		—			—			—		—			—			—		—			—			—		—
Non-marketable equity securities	1,135		—			(2		)	38		—			12			—		—			(18		)	1,165		—
Total investments	$	5,059	$	—		$	(7	)	$	349	$	(488	)	$	397		$	—	$	(411	)	$	(19	)	$	4,880	$	—
Loans	$	2,166	$	—		$	(77	)	$	89	$	(538	)	$	359		$	161	$	(378	)	$	(59	)	$	1,723	$	7
Mortgage servicing rights	1,781		—			(225		)	—		—			—			33		14			(79		)	1,524		57
Other financial assets measured on a recurring basis	180		—			17			3		(3		)	—			63		(120		)	(83		)	57		(317		)
Liabilities
Interest-bearing deposits	$	434	$	—		$	(4	)	$	4	$	(209	)	$	—		$	4	$	—		$	(46	)	$	191	$	—
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,247		(25		)	—			—		—			—			—		16			(50		)	1,238		—
Trading account liabilities
Securities sold, not yet purchased	199		25			—			59		(25		)	—			—		36			(126		)	118		(2		)
Short-term borrowings	9		(3		)	—			5		(4		)	—			34		—			(1		)	46		(4		)
Long-term debt	6,951		46			—			509		(1,087		)	—			1,440		—			(89		)	7,678		—
Other financial liabilities measured on a recurring basis	14		—			(8		)	—		(4		)	(4		)	1		—			(1		)	14		(5		)

(1)

Changes in fair value for available-for-sale investments are recorded in AOCI, 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. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of Accumulated other comprehensive income (AOCI).


(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 AOCI 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 March 31, 2016.


(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	Dec. 31, 2014			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,398		$	(40	)	$	—		$	—		$	(100	)	$	764	$	—	$	—		$	—		$	4,022		$	71
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,085			3			—			294			(510		)	167		—		(221		)	—			818			(2		)
Residential	2,680			77			—			45			(216		)	498		—		(954		)	—			2,130			(106		)
Commercial	440			15			—			88			(13		)	320		—		(251		)	—			599			(4		)
Total trading mortgage-backed securities	$	4,205		$	95		$	—		$	427		$	(739	)	$	985	$	—	$	(1,426	)	$	—		$	3,547		$	(112	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	241			(8		)	—			14			(7		)	9		—		(2		)	—			247			(7		)
Foreign government	206			(3		)	—			27			(92		)	66		—		(40		)	(49		)	115			1
Corporate	820			76			—			13			(59		)	347		—		(430		)	—			767			32
Equity securities	2,219			(21		)	—			124			(15		)	382		—		(91		)	—			2,598			5
Asset-backed securities	3,294			127			—			65			(34		)	1,063		—		(962		)	—			3,553			194
Other trading assets	4,372			(141		)	—			210			(392		)	1,002		13		(663		)	(8		)	4,393			(15		)
Total trading non-derivative assets	$	15,357		$	125		$	—		$	880		$	(1,338	)	$	3,854	$	13	$	(3,614	)	$	(57	)	$	15,220		$	98
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(211	)	$	(70	)	$	—		$	(134	)	$	7		$	6	$	—	$	(3	)	$	71		$	(334	)	$	(282	)
Foreign exchange contracts	778			(301		)	—			41			4			91		—		(95		)	128			646			174
Equity contracts	(863		)	(29		)	—			(23		)	101			89		—		(65		)	16			(774		)	110
Commodity contracts	(1,622		)	(334		)	—			182			16			—		—		—			29			(1,729		)	(263		)
Credit derivatives	(743		)	(98		)	—			82			53			—		—		—			43			(663		)	(187		)
Total trading derivatives, net⁽⁴⁾	$	(2,661	)	$	(832	)	$	—		$	148		$	181		$	186	$	—	$	(163	)	$	287		$	(2,854	)	$	(448	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	38		$	—		$	(1	)	$	45		$	(12	)	$	—	$	—	$	—		$	—		$	70		$	(2	)
Residential	8			—			2			—			—			—		—		—			—			10			2
Commercial	1			—			—			2			(1		)	—		—		—			—			2			—
Total investment mortgage-backed securities	$	47		$	—		$	1		$	47		$	(13	)	$	—	$	—	$	—		$	—		$	82		$	—
U.S. Treasury and federal agency securities	$	6		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	5		$	—
State and municipal	2,180			—			32			105			(139		)	233		—		(164		)	—			2,247			13
Foreign government	678			—			51			—			(105		)	174		—		(111		)	(112		)	575			(22		)
Corporate	672			—			(26		)	2			(41		)	14		—		(4		)	(33		)	584			(20		)
Equity securities	681			—			(88		)	7			(3		)	—		—		(78		)	—			519			(3		)
Asset-backed securities	549			—			(40		)	—			(10		)	19		—		(1		)	—			517			(39		)
Other debt securities	—			—			—			—			—			—		—		—			—			—			—
Non-marketable equity securities	2,525			—			22			—			(1		)	1		—		—			(262		)	2,285			25
Total investments	$	7,338		$	—		$	(48	)	$	161		$	(312	)	$	441	$	—	$	(359	)	$	(407	)	$	6,814		$	(46	)



			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			Mar. 31, 2015
Loans	$	3,108	$	—		$	(54	)	$	689	$	—		$	209		$	321	$	(97	)	$	(270	)	$	3,906	$	(4	)
Mortgage servicing rights	1,845		—			(77		)	—		—			—			43		(32		)	(94		)	1,685		(77		)
Other financial assets measured on a recurring basis	78		—			6			66		(2		)	3			60		(5		)	(58		)	148		(33		)
Liabilities
Interest-bearing deposits	$	486	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	(21	)	$	465	$	2
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,043		(52		)	—			—		—			—			—		1			(36		)	1,060		(11		)
Trading account liabilities
Securities sold, not yet purchased	424		(10		)	—			92		(43		)	—			—		70			(330		)	223		(29		)
Short-term borrowings	344		(7		)	—			1		(12		)	—			16		—			(236		)	120		(21		)
Long-term debt	7,290		286			—			712		(947		)	—			949		—			(522		)	7,196		(193		)
Other financial liabilities measured on a recurring basis	7		—			(3		)	—		—			(1		)	—		—			(1		)	8		(1		)


(1)	Changes in fair value of available-for-sale investments are recorded in AOCI, 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 AOCI 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 March 31, 2015.


(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

The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between 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 March 31, 2016	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	$	1,909	Model-based	IR log-normal volatility	29.02		%	137.02		%	37.90		%
				Interest rate	(0.36		)%	5.23		%	3.11		%
Mortgage-backed securities	$	1,550	Price-based	Price	$	4.50		$	118.31		$	77.20
	1,318		Yield analysis	Yield	0.91		%	11.91		%	3.35		%
State and municipal, foreign government, corporate and other debt securities	$	4,279	Price-based	Price	$	—		$	139.29		$	83.52
	1,062		Cash flow	Credit spread	20 bps			600 bps			224 bps
Equity securities⁽⁵⁾	$	3,539	Model-based	WAL	1.25 years			29 years			1.76 years
				Redemption rate	60.67		%	60.67		%	60.67		%
Asset-backed securities	$	3,276	Price-based	Price	$	6.00		$	101.00		$	62.80
Non-marketable equity	$	656	Comparables analysis	Discount to price	—		%	90.00		%	22.07		%
	468		Price-based	EBITDA multiples	6.70		x	10.70		x	8.68		x
				Price-to-book ratio	0.10		x	2.25		x	1.07		x
				Price	$	—		$	127.57		$	58.26
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	5,187	Model-based	IR log-normal volatility	29.02		%	137.02		%	53.89		%
				Mean reversion	(5.60		)%	20.00		%	0.13		%
Foreign exchange contracts (gross)	$	1,294	Model-based	Foreign exchange (FX) volatility	4.08		%	31.85		%	13.21		%
	239		Cash flow	Interest rate	6.96		%	7.50		%	7.50		%
				Forward price	9.90		%	138.09		%	59.90		%
				IR-IR correlation	(51.00		)%	72.49		%	35.14		%
				Credit spread	9 bps			515 bps			238 bps
Equity contracts (gross)⁽⁷⁾	$	3,930	Model-based	Equity volatility	4.83		%	60.23		%	25.99		%
				Equity forward	64.59		%	116.77		%	91.62		%
Commodity contracts (gross)	$	3,729	Model-based	Forward price	35.44		%	274.18		%	128.34		%
Credit derivatives (gross)	$	6,361	Model-based	Recovery rate	5.00		%	75.00		%	30.06		%
	890		Price-based	Credit correlation	5.00		%	95.00		%	47.32		%
				Upfront points	6.89		%	100.00		%	65.11		%
				Price	$	0.09		$	101.72		$	76.34
				Credit spread	4 bps			1,470 bps			221 bps



As of March 31, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	72	Model-based	Redemption rate	5.05		%	99.50		%	73.25		%
				Recovery rate	40.00		%	40.00		%	40.00		%
				Credit spread	11 bps			194 bps			101 bps
				Interest rate	3.26		%	3.28		%	3.27		%
Loans	$	930	Model-based	Price	$	—		$	108.53		$	30.81
	$	669	Price-based	Yield	1.50		%	4.50		%	2.46		%
Mortgage servicing rights	$	1,433	Cash flow	Yield	—		%	23.74		%	6.95		%
				WAL	3.15 years			7.56 years			4.94 years
Liabilities
Interest-bearing deposits	$	191	Model-based	Forward price	35.44		%	274.18		%	129.66		%
				Commodity correlation	(43.68		)%	92.17		%	31.00		%
				Commodity volatility	2.00		%	61.00		%	17.40		%
				Equity-IR correlation	26.00		%	41.00		%	35.73		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,238	Model-based	Interest rate	1.01		%	1.42		%	1.35		%
Trading account liabilities
Securities sold, not yet purchased	$	104	Price-based	Price	$	—		$	100.63		$	52.44
Short-term borrowings and long-term debt	$	7,780	Model-based	Equity volatility	4.83		%	51.52		%	23.68		%
				Equity forward	64.59		%	116.77		%	93.61		%
				Equity-equity correlation	(5.00		)%	97.00		%	60.61		%
				Equity-FX correlation	(88.00		)%	58.00		%	(19.12		)%
				Mean Reversion	(5.60		)%	20.00		%	9.82		%
				Forward price	35.44		%	274.18		%	126.75		%



As of December 31, 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	$	1,337	Model-based	IR log-normal volatility	29.02		%	137.02		%	37.90		%
				Interest rate	—		%	2.03		%	0.27		%
Mortgage-backed securities	$	1,287	Price-based	Price	$	3.45		$	109.21		$	78.25
	1,377		Yield analysis	Yield	0.50		%	14.07		%	4.83		%
State and municipal, foreign government, corporate and other debt securities	$	3,761	Price-based	Price	$	—		$	217.00		$	79.41
	1,719		Cash flow	Credit spread	20 bps			600 bps			251 bps
Equity securities⁽⁵⁾	$	3,499	Model-based	WAL	1.5 years			1.5 years			1.5 years
				Redemption rate	41.21		%	41.21		%	41.21		%
Asset-backed securities	$	3,075	Price-based	Price	$	5.55		$	100.21		$	71.57
Non-marketable equity	$	633	Comparables analysis	EBITDA multiples	6.80		x	10.80		x	9.05		x
	473		Price-based	Discount to price	—		%	90.00		%	10.89		%
				Price-to-book ratio	0.19		x	1.09		x	0.60		x
				Price	$	—		$	132.78		$	46.66
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	4,553	Model-based	IR log-normal volatility	17.41		%	137.02		%	37.60		%
				Mean reversion	(5.52		)%	20.00		%	0.71		%



As of December 31, 2015	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Foreign exchange contracts (gross)	$	1,326	Model-based	Foreign exchange (FX) volatility	0.38		%	25.73		%	11.63		%
	275		Cash flow	Interest rate	7.50		%	7.50		%	7.50		%
				Forward price	1.48		%	138.09		%	56.80		%
				Credit spread	3 bps			515 bps			235 bps
				IR-IR correlation	(51.00		)%	77.94		%	32.91		%
				IR-FX correlation	(20.30		)%	60.00		%	48.85		%
Equity contracts (gross)⁽⁷⁾	$	3,976	Model-based	Equity volatility	11.87		%	49.57		%	27.33		%
				Equity-FX correlation	(88.17		)%	65.00		%	(21.09		)%
				Equity forward	82.72		%	100.53		%	95.20		%
				Equity-equity correlation	(80.54		)%	100.00		%	49.54		%
Commodity contracts (gross)	$	4,061	Model-based	Forward price	35.09		%	299.32		%	112.98		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
Credit derivatives (gross)	$	5,849	Model-based	Recovery rate	1.00		%	75.00		%	32.49		%
	1,424		Price-based	Credit correlation	5.00		%	90.00		%	43.48		%
				Price	$	0.33		$	101.00		$	61.52
				Credit spread	1 bps			967 bps			133 bps
				Upfront points	7.00		%	99.92		%	66.75		%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	194	Model-based	Recovery rate	7.00		%	40.00		%	10.72		%
				Redemption rate	27.00		%	99.50		%	74.80		%
				Interest rate	5.26		%	5.28		%	5.27		%
Loans	$	750	Price-based	Yield	1.50		%	4.50		%	2.52		%
	892		Model-based	Price	$	—		$	106.98		$	40.69
	524		Cash flow	Credit spread	29 bps			500 bps			105 bps
Mortgage servicing rights	$	1,690	Cash flow	Yield	—		%	23.32		%	6.83		%
				WAL	3.38 years			7.48 years			5.5 years
Liabilities
Interest-bearing deposits	$	434	Model-based	Equity-IR correlation	23.00		%	39.00		%	34.51		%
				Forward price	35.09		%	299.32		%	112.72		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,245	Model-based	Interest rate	1.27		%	2.02		%	1.92		%
Trading account liabilities
Securities sold, not yet purchased	$	152	Price-based	Price	$	—		$	217.00		$	87.78
Short-term borrowings and long-term debt	$	7,004	Model-based	Mean reversion	(5.52		)%	20.00		%	7.80		%
				Equity volatility	9.55		%	42.56		%	22.26		%
				Equity forward	82.72		%	100.80		%	94.48		%
				Equity-equity correlation	(80.54		)%	100.00		%	49.16		%
				Forward price	35.09		%	299.32		%	106.32		%
				Equity-FX correlation	(88.20		)%	56.85		%	(31.76		)%


(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 for which a nonrecurring fair value measurement was recorded during the three months ended:



In millions of dollars	Fair value		Level 2		Level 3
March 31, 2016
Loans held-for-sale	$	8,799	$	5,935	$	2,864
Other real estate owned	103		16		87
Loans⁽¹⁾	987		275		712
Other Assets⁽²⁾	3,087		3,087		—
Total assets at fair value on a nonrecurring basis	$	12,976	$	9,313	$	3,663



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2015
Loans held-for-sale	$	10,326	$	6,752	$	3,574
Other real estate owned	107		15		92
Loans⁽¹⁾	1,173		836		337
Other Assets	—		—		—
Total assets at fair value on a nonrecurring basis	$	11,606	$	7,603	$	4,003


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


(2)	Represents the carrying value of an equity investment which was impaired during the first quarter of 2016.

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:



As of March 31, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽⁵⁾			High			Weighted average⁽²⁾
Loans held-for-sale	$	2,735	Price-based	Price	$	—		$	100.00		$	77.32
				Credit spread	90 bps			436 bps			356 bps
Other real estate owned	$	85	Price-based	Discount to price⁽⁴⁾	0.34		%	13.00		%	2.93		%
				Appraised value	$	—		$	8,894,122		$	4,437,154
Loans⁽³⁾	$	151	Price-based	Discount to price⁽⁴⁾	13.00		%	35.00		%	8.04		%
	55		Cash flow	Price	$	2.25		$	58.00		$	24.00


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


(2)	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.


(5)	Some inputs are shown as zero due to rounding.



As of December 31, 2015	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽⁵⁾			High			Weighted average⁽²⁾
Loans held-for-sale	$	3,486	Price-based	Price	$	—		$	100.00		$	81.05
Other real estate owned	$	90	Price-based	Discount to price⁽⁴⁾	0.34		%	13.00		%	2.86		%
	2			Appraised value	$	—		$	8,518,230		$	3,813,045
Loans⁽³⁾	$	157	Recovery analysis	Recovery rate	11.79		%	60.00		%	23.49		%
	87		Price-based	Discount to price⁽⁴⁾	13.00		%	34.00		%	7.99		%


(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.


(5)	Some inputs are shown as zero due to rounding.

Changes in total nonrecurring fair value measurements

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



	Three Months Ended March 31,
In millions of dollars	2016
Loans held-for-sale	$	3
Other real estate owned	(2		)
Loans⁽¹⁾	(63		)
Other Assets⁽²⁾	(262		)
Total nonrecurring fair value gains (losses)	$	(324	)


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


(2)	Represents an impairment charge related to the carrying value of an equity investment. See Note 13 to the Consolidated Financial Statements.



	Three Months Ended March 31,
In millions of dollars	2015
Loans held-for-sale	$	(6	)
Other real estate owned	(6		)
Loans⁽¹⁾	(87		)
Other Assets	—
Total nonrecurring fair value gains (losses)	$	(99	)


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



	March 31, 2016				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	42.4	$	43.6	$	3.5	$	37.9	$	2.2
Federal funds sold and securities borrowed or purchased under agreements to resell	83.3		83.3		—		79.0		4.3
Loans⁽¹⁾⁽²⁾	599.3		603.4		—		6.4		597.0
Other financial assets⁽²⁾⁽³⁾	217.2		217.2		6.9		151.4		58.9
Liabilities
Deposits	$	933.0	$	925.0	$	—	$	774.2	$	150.8
Federal funds purchased and securities loaned or sold under agreements to repurchase	119.6		119.6		—		119.3		0.3
Long-term debt⁽⁴⁾	180.7		182.7		—		155.4		27.3
Other financial liabilities⁽⁵⁾	103.3		103.3		—		18.1		85.2



	December 31, 2015				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	41.7	$	42.7	$	3.5	$	36.4	$	2.8
Federal funds sold and securities borrowed or purchased under agreements to resell	81.7		81.7		—		77.4		4.3
Loans⁽¹⁾⁽²⁾	597.5		599.4		—		6.0		593.4
Other financial assets⁽²⁾⁽³⁾	186.5		186.5		6.9		126.2		53.4
Liabilities
Deposits	$	906.3	$	896.7	$	—	$	749.4	$	147.3
Federal funds purchased and securities loaned or sold under agreements to repurchase	109.7		109.7		—		109.4		0.3
Long-term debt⁽⁴⁾	176.0		180.8		—		153.8		27.0
Other financial liabilities⁽⁵⁾	97.6		97.6		—		18.0		79.6


(1)	The carrying value of loans is net of the Allowance for loan losses of $12.7 billion for March 31, 2016 and $12.6 billion for December 31, 2015. In addition, the carrying values exclude $2.0 billion and $2.4 billion of lease finance receivables at March 31, 2016 and December 31, 2015, 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.