FAIR VALUE MEASUREMENT (Tables)

12 Months Ended

Dec. 31, 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 at December 31, 2015 and 2014:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	December 31, 2015			December 31, 2014
Counterparty CVA	$	(1,470	)	$	(1,853	)
Asset FVA	(584		)	(518		)
Citigroup (own-credit) CVA	471			580
Liability FVA	106			19
Total CVA—derivative instruments⁽¹⁾	$	(1,477	)	$	(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 years indicated:



	Credit/funding/debt valuation adjustments gain (loss)
In millions of dollars	2015			2014			2013
Counterparty CVA	$	(115	)	$	(43	)	$	291
Asset FVA	(66		)	(518		)	—
Own-credit CVA	(28		)	(65		)	(223		)
Liability FVA	98			19			—
Total CVA—derivative instruments	$	(111	)	$	(607	)	$	68
DVA related to own FVO liabilities	$	366		$	217		$	(410	)
Total CVA and DVA⁽¹⁾	$	255		$	(390	)	$	(342	)


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

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

Fair Value Levels



In millions of dollars at 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 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	)
Total 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). 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 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.

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⁾⁽⁸⁾									(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
Other trading liabilities	—			—			—			—		—			—
Total trading liabilities	$	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)

In 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. In 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. In 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. In 2014, there were no material liability transfers from Level 2 to Level 1.


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


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


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


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


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


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


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


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

Changes in level 3 fair value category

The 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, 2014			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Dec. 31, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,398		$	(147	)	$	—	$	279		$	(2,856	)	$	784	$	—	$	—		$	(121	)	$	1,337		$	(5	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,085			24			—		872			(1,277		)	796		—		(756		)	—			744			(4		)
Residential	2,680			254			—		370			(480		)	1,574		—		(3,072		)	—			1,326			(101		)
Commercial	440			18			—		252			(157		)	697		—		(733		)	—			517			(7		)
Total trading mortgage-backed securities	$	4,205		$	296		$	—	$	1,494		$	(1,914	)	$	3,067	$	—	$	(4,561	)	$	—		$	2,587		$	(112	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	2		$	(1	)	$	1	$	—	$	(1	)	$	—		$	1		$	—
State and municipal	241			—			—		67			(35		)	183		—		(105		)	—			351			(7		)
Foreign government	206			(10		)	—		53			(100		)	271		—		(169		)	(54		)	197			6
Corporate	820			111			—		186			(288		)	802		—		(1,244		)	(11		)	376			(29		)
Equity securities	2,219			547			—		344			(371		)	1,377		—		(432		)	—			3,684			464
Asset-backed securities	3,294			141			—		663			(282		)	4,426		—		(5,503		)	—			2,739			(174		)
Other trading assets	4,372			180			—		968			(3,290		)	2,504		51		(2,110		)	(192		)	2,483			(45		)
Total trading non-derivative assets	$	15,357		$	1,265		$	—	$	3,777		$	(6,281	)	$	12,631	$	51	$	(14,125	)	$	(257	)	$	12,418		$	103
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(211	)	$	(492	)	$	—	$	(124	)	$	15		$	24	$	—	$	141		$	152		$	(495	)	$	553
Foreign exchange contracts	778			(245		)	—		(11		)	27			393		—		(381		)	59			620			(12		)
Equity contracts	(863		)	148			—		(126		)	66			496		—		(334		)	(187		)	(800		)	41
Commodity contracts	(1,622		)	(753		)	—		214			(28		)	—		—		—			328			(1,861		)	(257		)
Credit derivatives	(743		)	555			—		9			61			1		—		(3		)	427			307			442
Total trading derivatives, net⁽⁴⁾	$	(2,661	)	$	(787	)	$	—	$	(38	)	$	141		$	914	$	—	$	(577	)	$	779		$	(2,229	)	$	767



			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			Dec. 31, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	38	$	—		$	29		$	171		$	(118	)	$	62		$	—	$	(43	)	$	—		$	139	$	(2	)
Residential	8		—			(1		)	4			—			11			—		(18		)	—			4		—
Commercial	1		—			—			4			(3		)	—			—		—			—			2		—
Total investment mortgage-backed securities	$	47	$	—		$	28		$	179		$	(121	)	$	73		$	—	$	(61	)	$	—		$	145	$	(2	)
U.S. Treasury and federal agency securities	$	6	$	—		$	—		$	—		$	—		$	6		$	—	$	(8	)	$	—		$	4	$	—
State and municipal	2,180		—			(23		)	834			(721		)	842			—		(671		)	(249		)	2,192		9
Foreign government	678		—			45			(5		)	(270		)	601			—		(519		)	(270		)	260		(1		)
Corporate	672		—			(7		)	15			(52		)	144			—		(134		)	(35		)	603		(4		)
Equity securities	681		—			(22		)	12			(14		)	7			—		(540		)	—			124		(120		)
Asset-backed securities	549		—			(17		)	45			(58		)	202			—		(125		)	—			596		14
Other debt securities	—		—			—			—			—			10			—		(10		)	—			—		—
Non-marketable equity securities	1,460		—			(50		)	76			6			5			—		(58		)	(304		)	1,135		26
Total investments	$	6,273	$	—		$	(46	)	$	1,156		$	(1,230	)	$	1,890		$	—	$	(2,126	)	$	(858	)	$	5,059	$	(78	)
Loans	$	3,108	$	—		$	(303	)	$	689		$	(805	)	$	1,190		$	461	$	(807	)	$	(1,367	)	$	2,166	$	24
Mortgage servicing rights	1,845		—			110			—			—			—			214		(38		)	(350		)	1,781		(390		)
Other financial assets measured on a recurring basis	78		—			100			201			(66		)	6			208		(85		)	(262		)	180		582
Liabilities
Interest-bearing deposits	$	486	$	—		$	10		$	1		$	(1	)	$	—		$	36	$	—		$	(78	)	$	434	$	(154	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,043		(23		)	—			—			—			—			—		302			(121		)	1,247		134
Trading account liabilities
Securities sold, not yet purchased	424		88			—			311			(231		)	—			—		385			(602		)	199		(25		)
Short-term borrowings	344		11			—			23			(30		)	—			1		—			(318		)	9		(4		)
Long-term debt	7,290		539			—			2,311			(3,958		)	—			3,407		—			(1,560		)	6,951		(347		)
Other financial liabilities measured on a recurring basis	7		—			(11		)	10			(4		)	(5		)	5		2			(12		)	14		(4		)


(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 December 31, 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	Dec. 31, 2013			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Dec. 31, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	(61	)	$	—		$	84		$	(8	)	$	75	$	—	$	—		$	(258	)	$	3,398		$	133
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,094			117			—			854			(966		)	714		26		(695		)	(59		)	1,085			8
Residential	2,854			457			—			442			(514		)	2,582		—		(3,141		)	—			2,680			132
Commercial	256			17			—			187			(376		)	758		—		(402		)	—			440			(4		)
Total trading mortgage-backed securities	$	4,204		$	591		$	—		$	1,483		$	(1,856	)	$	4,054	$	26	$	(4,238	)	$	(59	)	$	4,205		$	136
U.S. Treasury and federal agency securities	$	—		$	3		$	—		$	—		$	—		$	7	$	—	$	(10	)	$	—		$	—		$	—
State and municipal	222			10			—			150			(105		)	34		—		(70		)	—			241			1
Foreign government	416			(56		)	—			130			(253		)	676		—		(707		)	—			206			5
Corporate	1,835			(127		)	—			465			(502		)	1,988		—		(2,839		)	—			820			(139		)
Equity securities	1,057			87			—			142			(209		)	1,437		—		(295		)	—			2,219			337
Asset-backed securities	4,342			876			—			158			(332		)	3,893		—		(5,643		)	—			3,294			3
Other trading assets	3,184			269			—			2,637			(2,278		)	5,427		—		(4,490		)	(377		)	4,372			31
Total trading non-derivative assets	$	15,260		$	1,653		$	—		$	5,165		$	(5,535	)	$	17,516	$	26	$	(18,292	)	$	(436	)	$	15,357		$	374
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	839		$	(818	)	$	—		$	24		$	(98	)	$	113	$	—	$	(162	)	$	(109	)	$	(211	)	$	(414	)
Foreign exchange contracts	695			92			—			47			(39		)	59		—		(59		)	(17		)	778			56
Equity contracts	(858		)	482			—			(916		)	766			435		—		(279		)	(493		)	(863		)	(274		)
Commodity contracts	(1,393		)	(338		)	—			92			(12		)	—		—		—			29			(1,622		)	(174		)
Credit derivatives	(274		)	(567		)	—			4			(156		)	103		—		(3		)	150			(743		)	(369		)
Total trading derivatives, net⁽⁴⁾	$	(991	)	$	(1,149	)	$	—		$	(749	)	$	461		$	710	$	—	$	(503	)	$	(440	)	$	(2,661	)	$	(1,175	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187		$	—		$	52		$	60		$	(203	)	$	17	$	—	$	(73	)	$	(2	)	$	38		$	(8	)
Residential	102			—			33			31			(2		)	17		—		(173		)	—			8			—
Commercial	—			—			(6		)	4			(7		)	10		—		—			—			1			—
Total investment mortgage-backed securities	$	289		$	—		$	79		$	95		$	(212	)	$	44	$	—	$	(246	)	$	(2	)	$	47		$	(8	)
U.S. Treasury and federal agency securities	$	8		$	—		$	—		$	—		$	—		$	—	$	—	$	(2	)	$	—		$	6		$	—
State and municipal	1,643			—			(64		)	811			(584		)	923		—		(549		)	—			2,180			49
Foreign government	344			—			(27		)	286			(105		)	851		—		(490		)	(181		)	678			(17		)
Corporate	285			—			(6		)	26			(143		)	728		—		(218		)	—			672			(4		)
Equity securities	815			—			111			19			(19		)	10		—		(255		)	—			681			(78		)
Asset-backed securities	1,960			—			41			—			(47		)	95		—		(195		)	(1,305		)	549			(18		)
Other debt securities	50			—			(1		)	—			—			116		—		(115		)	(50		)	—			—
Non-marketable equity securities	2,508			—			211			67			—			416		—		(768		)	(974		)	1,460			81
Total investments	$	7,902		$	—		$	344		$	1,304		$	(1,110	)	$	3,183	$	—	$	(2,838	)	$	(2,512	)	$	6,273		$	5



			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			Dec. 31, 2014
Loans	$	4,143	$	—		$	(233	)	$	92		$	6		$	951		$	197	$	(895	)	$	(1,153	)	$	3,108	$	37
Mortgage servicing rights	2,718		—			(390		)	—			—			—			217		(317		)	(383		)	1,845		(390		)
Other financial assets measured on a recurring basis	181		—			100			(83		)	—			3			178		(18		)	(283		)	78		14
Liabilities
Interest-bearing deposits	$	890	$	—		$	357		$	5		$	(12	)	$	—		$	127	$	—		$	(167	)	$	486	$	(69	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		(6		)	—			54			—			78			—		220			(217		)	1,043		(34		)
Trading account liabilities
Securities sold, not yet purchased	590		(81		)	—			79			(111		)	—			—		534			(749		)	424		(58		)
Short-term borrowings	29		(31		)	—			323			(12		)	—			49		—			(76		)	344		(8		)
Long-term debt	7,621		109			49			2,701			(4,206		)	—			3,893		—			(2,561		)	7,290		(446		)
Other financial liabilities measured on a recurring basis	10		—			(5		)	7			(3		)	(2		)	1		(3		)	(8		)	7		(4		)


(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 December 31, 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

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 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	0.19x			1.09x			0.60x
				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		%
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		%



As of December 31, 2015	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
	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		)%



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) log-normal 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
Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	74	Model-based	Redemption rate	13.00		%	99.50		%	68.73		%
				Forward Price	107.00		%	107.10		%	107.05		%
Loans	$	1,095	Cash flow	Yield	1.60		%	4.50		%	2.23		%
	832		Model-based	Price	$	4.72		$	106.55		$	98.56
	740		Price-based	Credit spread	35 bps			500 bps			199 bps
	441		Yield analysis



As of December 31, 2014	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Mortgage servicing rights	$	1,750	Cash flow	Yield	5.19		%	21.40		%	10.25		%
				WAL	3.31 years			7.89 years			5.17 years
Liabilities
Interest-bearing deposits	$	486	Model-based	Equity-IR correlation	34.00		%	37.00		%	35.43		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,043	Model-based	Interest rate	0.74		%	2.26		%	1.90		%
Trading account liabilities
Securities sold, not yet purchased	$	251	Model-based	Credit-IR correlation	(70.49		)%	8.81		%	47.17		%
	$	142	Price-based	Price	$	—		$	117.00		$	70.33
Short-term borrowings and long-term debt	$	7,204	Model-based	IR log-normal 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 for which a nonrecurring fair value measurement was recorded:



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
Total assets at fair value on a nonrecurring basis	$	11,606	$	7,603	$	4,003



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, 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 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.



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 were still held:



	Year ended December 31,
In millions of dollars	2015
Loans held-for-sale	$	(79	)
Other real estate owned	(17		)
Loans⁽¹⁾	(142		)
Total nonrecurring fair value gains (losses)	$	(238	)


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



	Year ended December 31,
In millions of dollars	2014
Loans held-for-sale	$	34
Other real estate owned	(16		)
Loans⁽¹⁾	(533		)
Total nonrecurring fair value gains (losses)	$	(515	)


(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.



	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



	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 $12.6 billion for December 31, 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 December 31, 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.