FAIR VALUE MEASUREMENT (Tables)

12 Months Ended

Dec. 31, 2016

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

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at December 31, 2016 and 2015:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	December 31, 2016			December 31, 2015
Counterparty CVA	$	(1,488	)	$	(1,470	)
Asset FVA	(536		)	(584		)
Citigroup (own-credit) CVA	459			471
Liability FVA	62			106
Total CVA—derivative instruments⁽¹⁾	$	(1,503	)	$	(1,477	)


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

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

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



	Credit/funding/debt valuation adjustments gain (loss)
In millions of dollars	2016			2015			2014
Counterparty CVA	$	157		$	(115	)	$	(43	)
Asset FVA	47			(66		)	(518		)
Own-credit CVA	17			(28		)	(65		)
Liability FVA	(44		)	97			19
Total CVA—derivative instruments	$	177		$	(112	)	$	(607	)
DVA related to own FVO liabilities⁽¹⁾	$	(538	)	$	367		$	217
Total CVA and DVA⁽²⁾	$	(361	)	$	255		$	(390	)

(1)

Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability


(2)	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, 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 December 31, 2016	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	172,394	$	1,496	$	173,890	$	(40,686	)	$	133,204
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		22,718		176		22,894		—			22,894
Residential	—		291		399		690		—			690
Commercial	—		1,000		206		1,206		—			1,206
Total trading mortgage-backed securities	$	—	$	24,009	$	781	$	24,790	$	—		$	24,790
U.S. Treasury and federal agency securities	$	17,756	$	3,423	$	1	$	21,180	$	—		$	21,180
State and municipal	—		3,780		296		4,076		—			4,076
Foreign government	36,852		12,804		40		49,696		—			49,696
Corporate	424		14,199		324		14,947		—			14,947
Equity securities	45,331		4,985		127		50,443		—			50,443
Asset-backed securities	—		892		1,868		2,760		—			2,760
Other trading assets⁽³⁾	2		9,464		2,814		12,280		—			12,280
Total trading non-derivative assets	$	100,365	$	73,556	$	6,251	$	180,172	$	—		$	180,172
Trading derivatives
Interest rate contracts	$	105	$	366,995	$	2,225	$	369,325
Foreign exchange contracts	53		184,776		833		185,662
Equity contracts	2,306		21,209		595		24,110
Commodity contracts	261		12,999		505		13,765
Credit derivatives	—		23,021		1,594		24,615
Total trading derivatives	$	2,725	$	609,000	$	5,752	$	617,477
Cash collateral paid⁽⁴⁾							$	11,188
Netting agreements									$	(519,000	)
Netting of cash collateral received									(45,912		)
Total trading derivatives	$	2,725	$	609,000	$	5,752	$	628,665	$	(564,912	)	$	63,753
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	38,304	$	101	$	38,405	$	—		$	38,405
Residential	—		3,860		50		3,910		—			3,910
Commercial	—		358		—		358		—			358
Total investment mortgage-backed securities	$	—	$	42,522	$	151	$	42,673	$	—		$	42,673
U.S. Treasury and federal agency securities	$	112,916	$	10,753	$	2	$	123,671	$	—		$	123,671
State and municipal	—		8,909		1,211		10,120		—			10,120
Foreign government	54,028		43,934		186		98,148		—			98,148
Corporate	3,215		13,598		311		17,124		—			17,124
Equity securities	336		46		9		391		—			391
Asset-backed securities	—		6,134		660		6,794		—			6,794
Other debt securities	—		503		—		503		—			503
Non-marketable equity securities⁽⁵⁾	—		35		1,331		1,366		—			1,366
Total investments	$	170,495	$	126,434	$	3,861	$	300,790	$	—		$	300,790



In millions of dollars at December 31, 2016	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	2,918		$	568		$	3,486	$	—		$	3,486
Mortgage servicing rights	—			—			1,564			1,564		—			1,564
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	9,300		$	7,732		$	34		$	17,066
Cash collateral paid⁽⁶⁾										8
Netting of cash collateral received												$	(1,345	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	9,300		$	7,732		$	34		$	17,074	$	(1,345	)	$	15,729
Total assets	$	282,885		$	992,034		$	19,526		$	1,305,641	$	(606,943	)	$	698,698
Total as a percentage of gross assets⁽⁷⁾	21.9		%	76.6		%	1.5		%
Liabilities
Interest-bearing deposits	$	—		$	919		$	293		$	1,212	$	—		$	1,212
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			73,500			849			74,349		(40,686		)	33,663
Trading account liabilities
Securities sold, not yet purchased	$	73,782		$	5,831		$	1,177		$	80,790	$	—		$	80,790
Other trading liabilities	—			1,827			1			1,828		—			1,828
Total trading liabilities	$	73,782		$	7,658		$	1,178		$	82,618	$	—		$	82,618
Trading derivatives
Interest rate contracts	$	107		$	351,766		$	2,888		$	354,761
Foreign exchange contracts	13			187,328			420			187,761
Equity contracts	2,245			22,119			2,152			26,516
Commodity contracts	196			12,386			2,450			15,032
Credit derivatives	—			22,842			2,595			25,437
Total trading derivatives	$	2,561		$	596,441		$	10,505		$	609,507
Cash collateral received⁽⁸⁾										$	15,731
Netting agreements												$	(519,000	)
Netting of cash collateral paid												(49,811		)
Total trading derivatives	$	2,561		$	596,441		$	10,505		$	625,238	$	(568,811	)	$	56,427
Short-term borrowings	$	—		$	2,658		$	42		$	2,700	$	—		$	2,700
Long-term debt	—			16,510			9,744			26,254		—			26,254
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,544		$	8		$	1,552
Cash collateral received⁽⁹⁾										1
Netting of cash collateral paid												$	(53	)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,544		$	8		$	1,553	$	(53	)	$	1,500
Total liabilities	$	76,343		$	699,230		$	22,619		$	813,924	$	(609,550	)	$	204,374
Total as a percentage of gross liabilities⁽⁷⁾	9.6		%	87.6		%	2.8		%

(1)

In 2016, the Company transferred assets of approximately $2.6 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2016, the Company transferred assets of approximately $4.0 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 2016, the Company transferred liabilities of approximately $0.4 billion from Level 2 to Level 1. In 2016, the Company transferred liabilities of approximately $0.3 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)	Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(4)	Reflects the net amount of $60,999 million of gross cash collateral paid, of which $49,811 million was used to offset trading derivative liabilities.


(5)	Amounts exclude $0.4 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).


(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 $61,643 million of gross cash collateral received, of which $45,912 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $1,346 million of gross cash collateral received, of which $1,345 million was used to offset non-trading derivatives.

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	41,688		2,382		3,684		47,754		—			47,754
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	$	91,913	$	80,700	$	12,418	$	185,031	$	—		$	185,031
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	$	8,741		$	7,882		$	180		$	16,803
Cash collateral paid⁽⁵⁾										8
Netting of cash collateral received												$	(1,949	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	8,741		$	7,882		$	180		$	16,811	$	(1,949	)	$	14,862
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 25 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 hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) included 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			Dec. 31, 2016
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,337		$	(20	)	$	—	$	—		$	(28	)	$	758	$	—		$	—		$	(551	)	$	1,496		$	(16	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	744			6			—		510			(1,087		)	941		—			(961		)	23			176			(7		)
Residential	1,326			104			—		189			(162		)	324		—			(1,376		)	(6		)	399			26
Commercial	517			(1		)	—		193			(234		)	759		—			(1,028		)	—			206			(27		)
Total trading mortgage-backed securities	$	2,587		$	109		$	—	$	892		$	(1,483	)	$	2,024	$	—		$	(3,365	)	$	17		$	781		$	(8	)
U.S. Treasury and federal agency securities	$	1		$	—		$	—	$	2		$	—		$	—	$	—		$	(2	)	$	—		$	1		$	—
State and municipal	351			23			—		195			(256		)	322		—			(339		)	—			296			(88		)
Foreign government	197			(9		)	—		21			(49		)	115		—			(235		)	—			40			(16		)
Corporate	376			330			—		171			(132		)	867		—			(1,295		)	7			324			69
Equity securities	3,684			(527		)	—		279			(4,057		)	955		(11		)	(196		)	—			127			(457		)
Asset-backed securities	2,739			53			—		205			(360		)	2,199		—			(2,965		)	(3		)	1,868			(46		)
Other trading assets	2,483			(58		)	—		2,070			(2,708		)	2,894		19			(1,838		)	(48		)	2,814			(101		)
Total trading non-derivative assets	$	12,418		$	(79	)	$	—	$	3,835		$	(9,045	)	$	9,376	$	8		$	(10,235	)	$	(27	)	$	6,251		$	(647	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(495	)	$	(146	)	$	—	$	301		$	(239	)	$	163	$	(18	)	$	(142	)	$	(87	)	$	(663	)	$	26
Foreign exchange contracts	620			(276		)	—		75			(106		)	200		—			(181		)	81			413			23
Equity contracts	(800		)	(89		)	—		63			(772		)	92		38			(128		)	39			(1,557		)	(33		)
Commodity contracts	(1,861		)	(352		)	—		(425		)	(39		)	357		—			(347		)	722			(1,945		)	(164		)
Credit derivatives	307			(1,970		)	—		8			(29		)	37		—			(34		)	680			(1,001		)	(1,854		)
Total trading derivatives, net⁽⁴⁾	$	(2,229	)	$	(2,833	)	$	—	$	22		$	(1,185	)	$	849	$	20		$	(832	)	$	1,435		$	(4,753	)	$	(2,002	)



			Net realized/unrealized gains (losses) included 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			Dec. 31, 2016
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	139	$	—		$	(26	)	$	25	$	(72	)	$	45		$	—		$	(9	)	$	(1	)	$	101	$	54
Residential	4		—			3			49		—			26			—			(32		)	—			50		2
Commercial	2		—			(1		)	6		(7		)	—			—			—			—			—		—
Total investment mortgage-backed securities	$	145	$	—		$	(24	)	$	80	$	(79	)	$	71		$	—		$	(41	)	$	(1	)	$	151	$	56
U.S. Treasury and federal agency securities	$	4	$	—		$	—		$	—	$	—		$	—		$	—		$	(2	)	$	—		$	2	$	—
State and municipal	2,192		—			39			467		(1,598		)	351			—			(240		)	—			1,211		23
Foreign government	260		—			10			38		(39		)	259			—			(339		)	(3		)	186		(104		)
Corporate	603		—			77			11		(240		)	693			—			(468		)	(365		)	311		—
Equity securities	124		—			10			5		(5		)	1			—			(131		)	5			9		—
Asset-backed securities	596		—			(92		)	7		(61		)	435			—			(306		)	81			660		(102		)
Other debt securities	—		—			—			10		—			6			—			(16		)	—			—		—
Non-marketable equity securities	1,135		—			79			336		(32		)	26			—			(14		)	(199		)	1,331		18
Total investments	$	5,059	$	—		$	99		$	954	$	(2,054	)	$	1,842		$	—		$	(1,557	)	$	(482	)	$	3,861	$	(109	)
Loans	$	2,166	$	—		$	(61	)	$	89	$	(1,074	)	$	708		$	219		$	(813	)	$	(666	)	$	568	$	26
Mortgage servicing rights	1,781		—			(36		)	—		—			—			152			(20		)	(313		)	1,564		(21		)
Other financial assets measured on a recurring basis	180		—			80			55		(47		)	1			236			(133		)	(338		)	34		39
Liabilities
Interest-bearing deposits	$	434	$	—		$	43		$	322	$	(309	)	$	—		$	5		$	—		$	(116	)	$	293	$	46
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,247		(6		)	—			—		(150		)	—			—			27			(281		)	849		(12		)
Trading account liabilities
Securities sold, not yet purchased	199		17			—			1,185		(109		)	(70		)	(41		)	367			(337		)	1,177		(43		)
Other trading liabilities	—		—			—			1		—			—			—			—			—			1		—
Short-term borrowings	9		(16		)	—			19		(37		)	—			87			—			(52		)	42		—
Long-term debt	7,543		(282		)	—			3,792		(4,350		)	—			4,845			(3		)	(2,365		)	9,744		(419		)
Other financial liabilities measured on a recurring basis	14		—			(11		)	2		(12		)	(8		)	12			—			(11		)	8		(13		)


(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 December 31, 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) included 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
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	)



			Net realized/unrealized gains (losses) included 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
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		)
Other trading liabilities	—		—			—			—		—			—			—		—			—			—		—
Short-term borrowings	344		11			—			23		(30		)	—			1		—			(318		)	9		(4		)
Long-term debt	7,290		539			—			2,903		(3,958		)	—			3,407		—			(1,560		)	7,543		(347		)
Other financial liabilities measured on a recurring basis	7		—			(11		)	10		(4		)	(5		)	5		2			(12		)	14		(4		)


(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 December 31, 2015.


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

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

The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements



As of December 31, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,496	Model-based	IR log-normal volatility	12.86		%	75.50		%	61.73		%
				Interest rate	(0.51		)%	5.76		%	2.80		%
Mortgage-backed securities	$	509	Price-based	Price	$	5.50		$	113.48		$	61.74
	368		Yield analysis	Yield	1.90		%	14.54		%	4.34		%
State and municipal, foreign government, corporate and other debt securities	$	3,308	Price-based	Price	$	15.00		$	103.60		$	89.93
	1,513		Cash flow	Credit spread	35 bps			600 bps			230 bps
Equity securities⁽⁵⁾	$	69	Model-based	Price	$	0.48		$	104.00		$	22.19
	58		Price-based
Asset-backed securities	$	2,454	Price-based	Price	$	4.00		$	100.00		$	71.51
Non-marketable equity	$	726	Price-based	Discount to price	—		%	90.00		%	13.36		%
	565		Comparables analysis	EBITDA multiples	6.80		x	10.10		x	8.62		x
				Price-to-book ratio	0.32		%	1.03		%	0.87		%
				Price	$	—		$	113.23		$	54.40
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	4,897	Model-based	IR log-normal volatility	1.00		%	93.97		%	62.72		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	1,110	Model-based	Foreign exchange (FX) volatility	1.39		%	26.85		%	15.18		%
	134		Cash flow	Interest rate	(0.85		)%	(0.49		)%	(0.84		)%
				Credit spread	4 bps			657 bps			266 bps
				IR-IR correlation	40.00		%	50.00		%	41.27		%
				IR-FX correlation	16.41		%	60.00		%	49.52		%
Equity contracts (gross)⁽⁷⁾	$	2,701	Model-based	Equity volatility	3.00		%	97.78		%	29.52		%
				Forward Price	69.05		%	144.61		%	94.28		%
				Equity-FX correlation	(60.70		)%	28.20		%	(26.28		)%
				Equity-IR correlation	(35.00		)%	41.00		%	(15.65		)%
				Yield Volatility	3.55		%	14.77		%	9.29		%
				Equity-equity correlation	(87.70		)%	96.50		%	67.45		%
Commodity contracts (gross)	$	2,955	Model-based	Forward price	35.74		%	235.35		%	119.99		%
				Commodity volatility	2.00		%	32.19		%	17.07		%
				Commodity correlation	(41.61		)%	90.42		%	52.85		%



As of December 31, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Credit derivatives (gross)	$	2,786	Model-based	Recovery rate	20.00		%	75.00		%	39.75		%
	1,403		Price-based	Credit correlation	5.00		%	90.00		%	34.27		%
				Upfront Points	6.00		%	99.90		%	72.89		%
				Price	$	1.00		$	167.00		$	77.35
				Credit spread	3 bps			1,515 bps			256 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	42	Model-based	Recovery rate	40.00		%	40.00		%	40.00		%
				Redemption rate	3.92		%	99.58		%	74.69		%
				Upfront Points	16.00		%	20.50		%	18.78		%
Loans	$	258	Price-based	Price	$31.55			$105.74			$56.46
	221		Yield Analysis	Yield	2.75		%	20.00		%	11.09		%
	79		Model-based
Mortgage servicing rights	$	1,473	Cash flow	Yield	4.20		%	20.56		%	9.32		%
				WAL	3.53 years			7.24 years			5.83 years
Liabilities
Interest-bearing deposits	$	293	Model-based	Mean Reversion	1.00		%	20.00		%	10.50		%
				Forward price	98.79		%	104.07		%	100.19		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	849	Model-based	Interest rate	0.62		%	2.19		%	1.99		%
Trading account liabilities
Securities sold, not yet purchased	$	1,056	Model-based	IR Normal Volatility	12.86		%	75.50		%	61.73		%
Short-term borrowings and long-term debt	$	9,774	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Commodity Correlation	(41.61		)%	90.42		%	52.85		%
				Commodity Volatility	2.00		%	32.19		%	17.07		%
				Forward price	69.05		%	235.35		%	103.28		%



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		%



As of December 31, 2015	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Foreign exchange contracts (gross)	$	1,326	Model-based	Foreign exchange (FX) volatility	0.38		%	25.73		%	11.63		%
	275		Cash flow	Interest rate	7.50		%	7.50		%	7.50		%
				Forward price	1.48		%	138.09		%	56.80		%
				Credit spread	3 bps			515 bps			235 bps
				IR-IR correlation	(51.00		)%	77.94		%	32.91		%
				IR-FX correlation	(20.30		)%	60.00		%	48.85		%
Equity contracts (gross)⁽⁷⁾	$	3,976	Model-based	Equity volatility	11.87		%	49.57		%	27.33		%
				Equity-FX correlation	(88.17		)%	65.00		%	(21.09		)%
				Equity forward	82.72		%	100.53		%	95.20		%
				Equity-equity correlation	(80.54		)%	100.00		%	49.54		%
Commodity contracts (gross)	$	4,061	Model-based	Forward price	35.09		%	299.32		%	112.98		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
Credit derivatives (gross)	$	5,849	Model-based	Recovery rate	1.00		%	75.00		%	32.49		%
	1,424		Price-based	Credit correlation	5.00		%	90.00		%	43.48		%
				Price	$	0.33		$	101.00		$	61.52
				Credit spread	1 bps			967 bps			133 bps
				Upfront points	7.00		%	99.92		%	66.75		%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	194	Model-based	Recovery rate	7.00		%	40.00		%	10.72		%
				Redemption rate	27.00		%	99.50		%	74.80		%
				Interest rate	5.26		%	5.28		%	5.27		%
Loans	$	750	Price-based	Yield	1.50		%	4.50		%	2.52		%
	892		Model-based	Price	$	—		$	106.98		$	40.69
	524		Cash flow	Credit spread	29 bps			500 bps			105 bps
Mortgage servicing rights	$	1,690	Cash flow	Yield	—		%	23.32		%	6.83		%
				WAL	3.38 years			7.48 years			5.50 years
Liabilities
Interest-bearing deposits	$	434	Model-based	Equity-IR correlation	23.00		%	39.00		%	34.51		%
				Forward price	35.09		%	299.32		%	112.72		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,245	Model-based	Interest rate	1.27		%	2.02		%	1.92		%
Trading account liabilities
Securities sold, not yet purchased	$	152	Price-based	Price	$	—		$	217.00		$	87.78
Short-term borrowings and long-term debt	$	7,004	Model-based	Mean reversion	(5.52		)%	20.00		%	7.80		%
				Equity volatility	9.55		%	42.56		%	22.26		%
				Equity forward	82.72		%	100.80		%	94.48		%
				Equity-equity correlation	(80.54		)%	100.00		%	49.16		%
				Forward price	35.09		%	299.32		%	106.32		%
				Equity-FX correlation	(88.20		)%	56.85		%	(31.76		)%


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


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


(3)	When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.


(4)	Weighted averages are calculated based on the fair values of the instruments.


(5)	For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.


(6)	Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.


(7)	Includes hybrid products.

Items measured at fair value of a nonrecurring basis

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



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2016
Loans held-for-sale	$	5,802	$	3,389	$	2,413
Other real estate owned	75		15		60
Loans⁽¹⁾	1,376		586		790
Total assets at fair value on a nonrecurring basis	$	7,253	$	3,990	$	3,263



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 December 31, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	2,413	Price-based	Price	$	—		$	100.00		$	93.08
Other real estate owned	$	59	Price-based	Discount to price⁽⁴⁾	0.34		%	13.00		%	3.10		%
				Price	$	64.65		$	74.39		$	66.21
Loans⁽⁵⁾	$	431	Cashflow	Price	$	3.25		$	105.00		$	59.61
	197		Recovery Analysis	Forward Price	$	2.90		$	210.00		$	156.78
	135		Price-based	Discount to price⁽⁴⁾	0.25		%	13.00		%	8.34		%
				Appraised Value	$	25.80		$	26,400,000		$	6,462,735



As of December 31, 2015	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
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⁽⁵⁾	$	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)	Some inputs are shown as zero due to rounding.


(3)	Weighted averages are calculated based on the fair values of the instruments.


(4)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(5)	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	2016
Loans held-for-sale	$	(2	)
Other real estate owned	(5		)
Loans⁽¹⁾	(105		)
Total nonrecurring fair value gains (losses)	$	(112	)



	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.

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, certain insurance contracts and tax-related items. 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, 2016				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	52.1	$	52.4	$	0.8	$	48.6	$	3.0
Federal funds sold and securities borrowed or purchased under agreements to resell	103.6		103.6		—		98.5		5.1
Loans⁽¹⁾⁽²⁾	607.0		604.5		—		7.0		597.5
Other financial assets⁽²⁾⁽³⁾	212.9		212.9		8.2		153.6		51.1
Liabilities
Deposits	$	928.2	$	927.6	$	—	$	789.7	$	137.9
Federal funds purchased and securities loaned or sold under agreements to repurchase	108.2		108.2		—		107.8		0.4
Long-term debt⁽⁴⁾	179.9		185.5		—		156.5		29.0
Other financial liabilities⁽⁵⁾	112.2		112.2		—		15.1		97.1



	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 $12.1 billion for December 31, 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 December 31, 2016 and December 31, 2015, respectively.


(2)	Includes items measured at fair value on a nonrecurring basis.


(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


(4)	The carrying value includes long-term debt balances under qualifying fair value hedges.


(5)	Includes brokerage payables, 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.