FAIR VALUE MEASUREMENT

9 Months Ended

Sep. 30, 2016

For additional information regarding fair value measurement at Citi, see Note 25 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at September 30, 2016 and December 31, 2015:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2016			December 31, 2015
Counterparty CVA	$	(1,849	)	$	(1,470	)
Asset FVA	(642		)	(584		)
Citigroup (own-credit) CVA	542			471
Liability FVA	94			106
Total CVA—derivative instruments⁽¹⁾	$	(1,855	)	$	(1,477	)


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

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) reflecting the change in Citi’s own credit spreads on 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	2016			2015			2016			2015
Counterparty CVA	$	112		$	(32	)	$	19		$	(191	)
Asset FVA	37			(177		)	(59		)	(125		)
Own-credit CVA	(60		)	97			65			81
Liability FVA	(59		)	44			(11		)	89
Total CVA—derivative instruments⁽¹⁾	$	30		$	(68	)	$	14		$	(146	)
DVA related to own FVO liabilities ⁽²⁾	$	(319	)	$	264		$	8		$	582


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


(2)	See Note 1 to the Consolidated Financial Statements for additional details.

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2016 and December 31, 2015. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:

Fair Value Levels



In millions of dollars at September 30, 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	$	—	$	178,462	$	1,313	$	179,775	$	(36,157	)	$	143,618
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		25,921		228		26,149		—			26,149
Residential	—		335		441		776		—			776
Commercial	—		1,072		444		1,516		—			1,516
Total trading mortgage-backed securities	$	—	$	27,328	$	1,113	$	28,441	$	—		$	28,441
U.S. Treasury and federal agency securities	$	20,537	$	2,929	$	1	$	23,467	$	—		$	23,467
State and municipal	—		3,803		157		3,960		—			3,960
Foreign government	38,147		19,388		63		57,598		—			57,598
Corporate	545		16,585		685		17,815		—			17,815
Equity securities	50,741		1,443		3,560		55,744		—			55,744
Asset-backed securities	—		850		2,749		3,599		—			3,599
Other trading assets⁽⁹⁾	6		9,526		2,580		12,112		—			12,112
Total trading non-derivative assets	$	109,976	$	81,852	$	10,908	$	202,736	$	—		$	202,736
Trading derivatives
Interest rate contracts	$	39	$	516,241	$	3,423	$	519,703
Foreign exchange contracts	57		115,889		760		116,706
Equity contracts	2,932		22,156		1,305		26,393
Commodity contracts	215		10,716		600		11,531
Credit derivatives	—		27,815		1,958		29,773
Total trading derivatives	$	3,243	$	692,817	$	8,046	$	704,106
Cash collateral paid⁽³⁾							$	8,348
Netting agreements									$	(596,599	)
Netting of cash collateral received									(55,239		)
Total trading derivatives	$	3,243	$	692,817	$	8,046	$	712,454	$	(651,838	)	$	60,616
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	43,113	$	89	$	43,202	$	—		$	43,202
Residential	—		4,448		53		4,501		—			4,501
Commercial	—		354		—		354		—			354
Total investment mortgage-backed securities	$	—	$	47,915	$	142	$	48,057	$	—		$	48,057
U.S. Treasury and federal agency securities	$	109,926	$	11,778	$	2	$	121,706	$	—		$	121,706
State and municipal	—		9,535		1,656		11,191		—			11,191
Foreign government	50,131		47,864		145		98,140		—			98,140
Corporate	4,949		13,607		524		19,080		—			19,080
Equity securities	1,274		41		10		1,325		—			1,325
Asset-backed securities	—		6,744		682		7,426		—			7,426
Other debt securities	—		1,181		11		1,192		—			1,192
Non-marketable equity securities⁽⁴⁾	—		49		1,181		1,230		—			1,230
Total investments	$	166,280	$	138,714	$	4,353	$	309,347	$	—		$	309,347



In millions of dollars at September 30, 2016	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	2,888		$	1,082		$	3,970	$	—		$	3,970
Mortgage servicing rights	—			—			1,270			1,270		—			1,270
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	8,070		$	66		$	8,136
Cash collateral paid⁽⁵⁾										6
Netting of cash collateral received												$	(1,682	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	8,070		$	66		$	8,142	$	(1,682	)	$	6,460
Total assets	$	279,499		$	1,102,803		$	27,038		$	1,417,694	$	(689,677	)	$	728,017
Total as a percentage of gross assets⁽⁶⁾	19.8		%	78.2		%	1.9		%
Liabilities
Interest-bearing deposits	$	—		$	1,160		$	260		$	1,420	$	—		$	1,420
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			78,173			923			79,096		(36,157		)	42,939
Trading account liabilities
Securities sold, not yet purchased	67,655			9,712			159			77,526		—			77,526
Other trading liabilities	—			105			1			106		—			106
Total trading liabilities	$	67,655		$	9,817		$	160		$	77,632	$	—		$	77,632
Trading derivatives
Interest rate contracts	$	36		$	493,883		$	3,986		$	497,905
Foreign exchange contracts	1			114,463			671			115,135
Equity contracts	2,764			24,616			2,272			29,652
Commodity contracts	192			11,245			2,899			14,336
Credit derivatives	—			27,612			2,977			30,589
Total trading derivatives	$	2,993		$	671,819		$	12,805		$	687,617
Cash collateral received⁽⁷⁾										$	16,459
Netting agreements												$	(596,599	)
Netting of cash collateral paid												(53,460		)
Total trading derivatives	$	2,993		$	671,819		$	12,805		$	704,076	$	(650,059	)	$	54,017
Short-term borrowings	$	—		$	2,567		$	32		$	2,599	$	—		$	2,599
Long-term debt	—			18,353			9,182			27,535		—			27,535
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,316		$	32		$	2,348
Cash collateral received⁽⁸⁾										50
Netting of cash collateral paid												$	(29	)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,316		$	32		$	2,398	$	(29	)	$	2,369
Total liabilities	$	70,648		$	784,205		$	23,394		$	894,756	$	(686,245	)	$	208,511
Total as a percentage of gross liabilities⁽⁶⁾	8.0		%	89.3		%	2.7		%

(1)

For the three and nine months ended September 30, 2016, the Company transferred assets of approximately $0.1 billion and $1.1 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. During the three and nine months ended September 30, 2016, the Company transferred assets of approximately $1.4 billion and $3.7 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 and nine months ended September 30, 2016, the Company transferred liabilities of approximately $0.2 billion and $0.3 billion from Level 2 to Level 1, respectively. During the three and nine months ended September 30, 2016, there were no material transfers of liabilities from Level 1 to Level 2.


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


(3)	Reflects the net amount of $61,808 million of gross cash collateral paid, of which $53,460 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.7 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)	Reflects the net amount of $35 million of gross cash collateral paid, of which $29 million was used to offset non-trading derivative liabilities.


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


(7)	Reflects the net amount of $71,698 million of gross cash collateral received, of which $55,239 million was used to offset trading derivative assets.


(8)	Reflects the net amount of $1,732 million of gross cash collateral received, of which $1,682 million was used to offset non-trading derivative assets.


(9)	Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

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		20,555		197		56,467		—			56,467
Corporate	302		13,901		376		14,579		—			14,579
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⁾	—		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		46,341		260		88,674		—			88,674
Corporate	3,605		15,122		603		19,330		—			19,330
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	$	—		$	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⁽⁵⁾										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⁽⁶⁾	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⁽⁷⁾										$	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	—			17,750			7,543			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⁽⁸⁾										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		$	706,117		$	21,371		$	792,123	$	(608,054	)	$	184,069
Total as a percentage of gross liabilities⁽⁶⁾	6.5		%	90.7		%	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)	Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.


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


(7)	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.


(8)	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.


(9)	Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three and nine months ended September 30, 2016 and 2015. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) incl. in					Transfers																				Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2016			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2016
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,819		$	(6	)	$	—	$	—		$	—		$	5		$	—	$	—		$	(505	)	$	1,313		$	(3	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	730			1			—		67			(387		)	96			—		(286		)	7			228			—
Residential	801			116			—		5			(66		)	18			—		(433		)	—			441			(58		)
Commercial	390			2			—		1			(107		)	309			—		(151		)	—			444			6
Total trading mortgage-backed securities	$	1,921		$	119		$	—	$	73		$	(560	)	$	423		$	—	$	(870	)	$	7		$	1,113		$	(52	)
U.S. Treasury and federal agency securities	$	3		$	—		$	—	$	—		$	—		$	—		$	—	$	(2	)	$	—		$	1		$	—
State and municipal	117			18			—		118			(37		)	56			—		(115		)	—			157			(1		)
Foreign government	81			(19		)	—		—			—			24			—		(23		)	—			63			1
Corporate	405			39			—		49			(26		)	414			—		(208		)	12			685			(31		)
Equity securities	3,970			348			—		12			(811		)	102			—		(61		)	—			3,560			(371		)
Asset-backed securities	2,670			47			—		38			(42		)	783			—		(747		)	—			2,749			(58		)
Other trading assets	2,839			12			—		296			(897		)	966			9		(628		)	(17		)	2,580			(63		)
Total trading non-derivative assets	$	12,006		$	564		$	—	$	586		$	(2,373	)	$	2,768		$	9	$	(2,654	)	$	2		$	10,908		$	(575	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(374	)	$	(82	)	$	—	$	(59	)	$	77		$	5		$	—	$	(37	)	$	(93	)	$	(563	)	$	(143	)
Foreign exchange contracts	(29		)	10			—		69			(13		)	52			—		(50		)	50			89			149
Equity contracts	(1,071		)	29			—		14			123			17			—		(28		)	(51		)	(967		)	(189		)
Commodity contracts	(2,017		)	(76		)	—		(379		)	74			3			—		5			91			(2,299		)	(285		)
Credit derivatives	(754		)	(651		)	—		32			26			(4		)	—		(35		)	367			(1,019		)	450
Total trading derivatives, net⁽⁴⁾	$	(4,245	)	$	(770	)	$	—	$	(323	)	$	287		$	73		$	—	$	(145	)	$	364		$	(4,759	)	$	(18	)



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2016		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2016
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	94	$	—		$	(4	)	$	3	$	(10	)	$	6		$	—	$	—		$	—		$	89	$	(1	)
Residential	25		—			1			49		—			1			—		(23		)	—			53		—
Commercial	5		—			(1		)	—		(4		)	—			—		—			—			—		—
Total investment mortgage-backed securities	$	124	$	—		$	(4	)	$	52	$	(14	)	$	7		$	—	$	(23	)	$	—		$	142	$	(1	)
U.S. Treasury and federal agency securities	$	3	$	—		$	—		$	—	$	—		$	—		$	—	$	(1	)	$	—		$	2	$	—
State and municipal	2,016		—			(54		)	5		(338		)	60			—		(33		)	—			1,656		40
Foreign government	141		—			(14		)	5		—			42			—		(29		)	—			145		(5		)
Corporate	460		—			42			1		(18		)	412			—		(8		)	(365		)	524		(1		)
Equity securities	128		—			11			—		—			—			—		(129		)	—			10		—
Asset-backed securities	597		—			(88		)	3		(25		)	121			—		(7		)	81			682		88
Other debt securities	5		—			—			10		—			1			—		(5		)	—			11		—
Non-marketable equity securities	1,139		—			54			53		(23		)	1			—		(14		)	(29		)	1,181		(9		)
Total investments	$	4,613	$	—		$	(53	)	$	129	$	(418	)	$	644		$	—	$	(249	)	$	(313	)	$	4,353	$	112
Loans	$	1,234	$	—		$	89		$	24	$	(196	)	$	93		$	—	$	(137	)	$	(25	)	$	1,082	$	(179	)
Mortgage servicing rights	1,324		—			13			—		—			—			43		(32		)	(78		)	1,270		15
Other financial assets measured on a recurring basis	111		—			31			1		(41		)	1			72		(4		)	(105		)	66		(69		)
Liabilities
Interest-bearing deposits	$	433	$	—		$	41		$	—	$	(100	)	$	—		$	—	$	—		$	(32	)	$	260	$	42
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,107		10			—			—		(150		)	—			—		11			(35		)	923		8
Trading account liabilities
Securities sold, not yet purchased	12		(30		)	—			21		(42		)	(9		)	—		142			5			159		(30		)
Other trading liabilities	—		—			—			1		—			—			—		—			—			1		—
Short-term borrowings	53		(9		)	—			1		(32		)	—			15		—			(14		)	32		2
Long-term debt	9,138		(191		)	—			947		(1,550		)	—			1,719		—			(1,263		)	9,182		(191		)
Other financial liabilities measured on a recurring basis	5		—			(26		)	2		—			(1		)	—		—			—			32		(2		)



				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			Sept. 30, 2016
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,337		$	2		$	—	$	—		$	(28	)	$	508	$	—		$	—		$	(506	)	$	1,313		$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	744			13			—		485			(969		)	857		—			(920		)	18			228			4
Residential	1,326			104			—		134			(153		)	275		—			(1,239		)	(6		)	441			23
Commercial	517			15			—		180			(209		)	661		—			(720		)	—			444			(23		)
Total trading mortgage-backed securities	$	2,587		$	132		$	—	$	799		$	(1,331	)	$	1,793	$	—		$	(2,879	)	$	12		$	1,113		$	4
U.S. Treasury and federal agency securities	$	1		$	—		$	—	$	2		$	—		$	—	$	—		$	(2	)	$	—		$	1		$	—
State and municipal	351			26			—		136			(253		)	224		—			(327		)	—			157			—
Foreign government	197			(27		)	—		2			(17		)	99		—			(191		)	—			63			(2		)
Corporate	376			323			—		129			(102		)	748		—			(796		)	7			685			58
Equity securities	3,684			(187		)	—		279			(871		)	851		—			(196		)	—			3,560			(125		)
Asset-backed securities	2,739			181			—		195			(237		)	1,969		—			(2,098		)	—			2,749			87
Other trading assets	2,483			(104		)	—		1,754			(2,379		)	2,323		7			(1,468		)	(36		)	2,580			136
Total trading non-derivative assets	$	12,418		$	344		$	—	$	3,296		$	(5,190	)	$	8,007	$	7		$	(7,957	)	$	(17	)	$	10,908		$	158
Trading derivatives, net⁽⁴⁾
Interest rate contracts	(495		)	(408		)	—		250			116			147		(18		)	(140		)	(15		)	(563		)	84
Foreign exchange contracts	620			(667		)	—		73			(73		)	158		—			(141		)	119			89			(428		)
Equity contracts	(800		)	137			—		78			(305		)	63		38			(99		)	(79		)	(967		)	191
Commodity contracts	(1,861		)	(357		)	—		(428		)	48			359		—			(347		)	287			(2,299		)	11
Credit derivatives	307			(1,803		)	—		(82		)	3			38		—			(35		)	553			(1,019		)	(1,272		)
Total trading derivatives, net⁽⁴⁾	$	(2,229	)	$	(3,098	)	$	—	$	(109	)	$	(211	)	$	765	$	20		$	(762	)	$	865		$	(4,759	)	$	(1,414	)



			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			Sept. 30, 2016
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	139	$	—		$	(29	)	$	15	$	(72	)	$	46		$	—		$	(9	)	$	(1	)	$	89	$	49
Residential	4		—			2			49		—			26			—			(28		)	—			53		1
Commercial	2		—			(1		)	6		(7		)	—			—			—			—			—		—
Total investment mortgage-backed securities	$	145	$	—		$	(28	)	$	70	$	(79	)	$	72		$	—		$	(37	)	$	(1	)	$	142	$	50
U.S. Treasury and federal agency securities	$	4	$	—		$	—		$	—	$	—		$	—		$	—		$	(2	)	$	—		$	2	$	—
State and municipal	2,192		—			108			396		(1,121		)	300			—			(219		)	—			1,656		45
Foreign government	260		—			5			38		—			145			—			(300		)	(3		)	145		1
Corporate	603		—			87			6		(63		)	506			—			(250		)	(365		)	524		1
Equity securities	124		—			11			4		—			—			—			(129		)	—			10		—
Asset-backed securities	596		—			(53		)	3		(48		)	325			—			(222		)	81			682		(35		)
Other debt securities	—		—			—			10		—			6			—			(5		)	—			11		—
Non-marketable equity securities	1,135		—			78			104		(23		)	19			—			(14		)	(118		)	1,181		29
Total investments	$	5,059	$	—		$	208		$	631	$	(1,334	)	$	1,373		$	—		$	(1,178	)	$	(406	)	$	4,353	$	91
Loans	$	2,166	$	—		$	31		$	113	$	(734	)	$	663		$	219		$	(812	)	$	(564	)	$	1,082	$	383
Mortgage servicing rights	$	1,781	$	—		$	(349	)	$	—	$	—		$	—		$	111		$	(18	)	$	(255	)	$	1,270	$	(154	)
Other financial assets measured on a recurring basis	$	180	$	—		$	64		$	41	$	(46	)	$	1		$	202		$	(128	)	$	(248	)	$	66	$	(260	)
Liabilities
Interest-bearing deposits	$	434	$	—		$	76		$	322	$	(309	)	$	—		$	5		$	—		$	(116	)	$	260	$	42
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,247		(11		)	—			—		(150		)	—			—			27			(212		)	923		(24		)
Trading account liabilities
Securities sold, not yet purchased	199		(16		)	—			118		(85		)	(70		)	(41		)	212			(190		)	159		(61		)
Other trading liabilities	—		—			—			1		—			—			—			—			—			1		—
Short-term borrowings	9		(36		)	—			18		(36		)	—			56			—			(51		)	32		2
Long-term debt	7,543		(217		)	—			2,168		(3,393		)	—			4,591			61			(2,005		)	9,182		(277		)
Other financial liabilities measured on a recurring basis	14		—			(33		)	2		(10		)	(7		)	2			—			(2		)	32		(7		)


(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.


(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 September 30, 2016.


(4)	Total Level 3 trading 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, 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
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	)



			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
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		)
Other trading liabilities	—		—			—			—		—			—			—		—			—			—		—
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
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



			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
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		)
Other trading liabilities	—		—			—			—		—			—			—		—			—			—		—
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 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 September 30, 2015.


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

Level 3 Fair Value Rollforward

The following were the significant Level 3 transfers for the period June 30, 2016 to September 30, 2016:


•	Transfers of Other trading assets of $0.3 billion from Level 2 to Level 3, and of $0.9 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.


•	Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The following were the significant Level 3 transfers for the period December 31, 2015 to September 30, 2016:


•	Transfers of Trading mortgage-backed securities of $0.5 billion from Level 2 to Level 3, and of $1.0 billion from Level 3 to Level 2, related to Agency Guaranteed MBS securities, reflecting changes in the volume of market quotations.


•	Transfers of Other trading assets of $1.8 billion from Level 2 to Level 3, and of $2.4 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.


•	Transfers of Long-term debt of $2.2 billion from Level 2 to Level 3, and of $3.4 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.


•	Transfers of State and municipal of $1.1 billion from Level 3 to Level 2, mainly related to changes in the volume of market quotations.

There were no significant Level 3 transfers for the period from June 30, 2015 to September 30, 2015.

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

•

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


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


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


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

Valuation Techniques and Inputs for 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.



As of September 30, 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	$	1,313	Model-based	Interest rate	(0.47		)%	1.40		%	(0.39		)%
				IR normal volatility	32.32		%	80.41		%	68.61		%
Mortgage-backed securities	$	659	Price-based	Price	$	6.65		$	118.45		$	75.90
	547		Yield analysis	Yield	0.11		%	16.08		%	4.19		%
State and municipal, foreign government, corporate and other debt securities	$	3,595	Price-based	Price	$	7.00		$	106.00		$	93.73
	1,699		Cash flow	Credit spread	35 bps			600 bps			228 bps
Equity securities⁽⁵⁾	$	3,404	Model-based	WAL	4 years			4 years			4 years
Asset-backed securities	$	3,285	Price-based	Price	$	6.25		$	100.00		$	73.98
Non-marketable equity	$	603	Comparables analysis	EBITDA multiples	7.00		x	10.40		x	8.66		x
	539		Price-based	Discount to price	—		%	73.80		%	11.23		%
				Price-to-book ratio	0.32		%	2.10		%	1.11		%
				Price	$	—		$	113.23		$	39.02
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	7,228	Model-based	IR normal volatility	15.10		%	75.30		%	56.39		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	1,237	Model-based	Foreign exchange (FX) volatility	3.61		%	25.47		%	9.84		%
	174		Cash flow	IR-IR correlation	40.00		%	40.00		%	40.00		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				Credit spread	15 bps			537 bps			179 bps
Equity contracts (gross)⁽⁷⁾	$	3,562	Model-based	Equity volatility	0.37		%	59.43		%	18.82		%
				Equity forward	66.94		%	111.91		%	90.91		%
				Forward price	22.38		%	104.46		%	98.37		%
				WAL	4 years			4 years			4 years
				Equity-IR correlation	(35.00		)%	71.00		%	(11.50		)%
Commodity contracts (gross)	$	3,499	Model-based	Forward price	42.00		%	387.95		%	133.57		%
				Commodity volatility	2.00		%	49.32		%	21.38		%
				Commodity correlation	(43.68		)%	92.17		%	20.00		%
Credit derivatives (gross)	$	3,482	Model-based	Recovery rate	15.27		%	75.00		%	37.56		%
	1,449		Price-based	Credit correlation	5.00		%	65.00		%	35.53		%
				Upfront points	10.11		%	99.95		%	67.49		%
				Price	$	1.00		$	621.00		$	86.26
				Credit spread	5 bps			1,613 bps			285 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	99	Model-based	Redemption rate	5.05		%	99.50		%	73.31		%
				Interest rate	0.36		%	0.38		%	0.37		%
Loans	$	455	Model-based	Price	$	—		$	111.68		$	11.12
	395		Price-based	Credit spread	4 bps			500 bps			76 bps
	222		Yield Analysis	Yield	1.75		%	4.40		%	2.92		%
Mortgage servicing rights	$	1,178	Cash flow	Yield	1.62		%	18.52		%	8.64		%
				WAL	3.17 years			6.07 years			4.77 years



As of September 30, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Liabilities
Interest-bearing deposits	$	260	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	923	Model-based	Interest rate	0.15		%	1.40		%	1.11		%
Trading account liabilities
Securities sold, not yet purchased	$	195	Price-based	Price	$	—		$	621.00		$	86.97
				Forward price	42.00		%	387.95		%	131.84		%
				Commodity correlation	(43.68		)%	92.17		%	20.00		%
				Commodity volatility	2.00		%	49.32		%	21.30		%
Short-term borrowings and long-term debt	$	9,241	Model-based	Equity volatility	7.55		%	41.94		%	19.85		%
				Mean Reversion	1.00		%	20.00		%	10.49		%
				Forward price	88.11		%	198.89		%	113.04		%
				Commodity correlation	(43.68		)%	92.17		%	20.00		%
				Commodity volatility	2.00		%	49.32		%	21.38		%



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		%
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		%



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

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

The following table presents the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded during the three months ended:



In millions of dollars	Fair value		Level 2		Level 3
September 30, 2016
Loans held-for-sale	$	8,665	$	6,677	$	1,988
Other real estate owned	80		17		63
Loans⁽¹⁾	983		519		464
Total assets at fair value on a nonrecurring basis	$	9,728	$	7,213	$	2,515



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


(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 September 30, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽⁵⁾			High			Weighted average⁽²⁾
Loans held-for-sale	$	1,988	Price-based	Price	$	—		$	100.00		$	93.47
Other real estate owned	$	62	Price-based	Discount to price⁽⁴⁾	0.34		%	13.00		%	2.96		%
				Price	58.91			68.50			59.42
Loans⁽³⁾	$	347	Cashflow	Price	$	3.00		$	105.00		$	55.67
	278		Price-based	Discount to price⁽⁴⁾	13.00		%	13.00		%	13.00		%


(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.

Nonrecurring Fair Value Changes

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



	Three Months Ended September 30,
In millions of dollars	2016			2015
Loans held-for-sale	$	(17	)	$	(7	)
Other real estate owned	(4		)	(5		)
Loans⁽¹⁾	(42		)	(72		)
Total nonrecurring fair value gains (losses)	$	(63	)	$	(84	)


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



	Nine Months Ended September 30,
In millions of dollars	2016			2015
Loans held-for-sale	$	(15	)	$	(7	)
Other real estate owned	(6		)	(12		)
Loans⁽¹⁾	(110		)	(220		)
Total nonrecurring fair value gains (losses)	$	(131	)	$	(239	)


(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 net impairment losses related to an equity investment.

Estimated Fair Value of Financial Instruments Not Carried at Fair Value

The table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.



	September 30, 2016				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	44.8	$	46.1	$	1.6	$	42.6	$	1.9
Federal funds sold and securities borrowed or purchased under agreements to resell	92.4		92.4		—		86.2		6.2
Loans⁽¹⁾⁽²⁾	620.1		617.9		—		8.4		609.5
Other financial assets⁽²⁾⁽³⁾	214.6		214.6		7.2		148.8		58.6
Liabilities
Deposits	$	938.8	$	937.3	$	—	$	781.9	$	155.4
Federal funds purchased and securities loaned or sold under agreements to repurchase	110.2		110.2		—		109.6		0.6
Long-term debt⁽⁴⁾	181.5		186.3		—		156.1		30.2
Other financial liabilities⁽⁵⁾	115.3		115.3		—		15.7		99.6



	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 $12.4 billion for September 30, 2016 and $12.6 billion for December 31, 2015. In addition, the carrying values exclude $1.9 billion and $2.4 billion of lease finance receivables at September 30, 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.

The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 2016 and December 31, 2015 were liabilities of $4.4 billion and $7.0 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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