FAIR VALUE MEASUREMENT

9 Months Ended

Sep. 30, 2017

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2016 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, 2017 and December 31, 2016:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2017			December 31, 2016
Counterparty CVA	$	(1,114	)	$	(1,488	)
Asset FVA	(462		)	(536		)
Citigroup (own-credit) CVA	318			459
Liability FVA	51			62
Total CVA—derivative instruments⁽¹⁾	$	(1,207	)	$	(1,503	)


(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) on Citi’s own fair value option (FVO) liabilities for the periods indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2017			2016			2017			2016
Counterparty CVA	$	27		$	112		$	197		$	19
Asset FVA	(5		)	37			74			(59		)
Own-credit CVA	(2		)	(60		)	(127		)	65
Liability FVA	(16		)	(59		)	(10		)	(11		)
Total CVA—derivative instruments	$	4		$	30		$	134		$	14
DVA related to own FVO liabilities ⁽¹⁾	$	(195	)	$	(319	)	$	(422	)	$	8
Total CVA and DVA⁽²⁾	$	(191	)	$	(289	)	$	(288	)	$	22


(1)	See Note 1 and Note 17 to the Consolidated Financial Statements.


(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 September 30, 2017 and December 31, 2016. 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, 2017	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	$	—	$	205,951	$	664	$	206,615	$	(50,283	)	$	156,332
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		21,991		309		22,300		—			22,300
Residential	—		529		351		880		—			880
Commercial	—		1,061		112		1,173		—			1,173
Total trading mortgage-backed securities	$	—	$	23,581	$	772	$	24,353	$	—		$	24,353
U.S. Treasury and federal agency securities	$	22,398	$	2,999	$	—	$	25,397	$	—		$	25,397
State and municipal	—		2,429		270		2,699		—			2,699
Foreign government	45,503		18,525		95		64,123		—			64,123
Corporate	247		14,924		391		15,562		—			15,562
Equity securities	47,941		7,427		236		55,604		—			55,604
Asset-backed securities	—		1,347		1,704		3,051		—			3,051
Other trading assets⁽³⁾	3		10,034		2,151		12,188		—			12,188
Total trading non-derivative assets	$	116,092	$	81,266	$	5,619	$	202,977	$	—		$	202,977
Trading derivatives
Interest rate contracts	$	147	$	206,086	$	1,749	$	207,982
Foreign exchange contracts	42		133,963		568		134,573
Equity contracts	2,110		24,606		568		27,284
Commodity contracts	280		11,598		311		12,189
Credit derivatives	—		22,113		1,098		23,211
Total trading derivatives	$	2,579	$	398,366	$	4,294	$	405,239
Cash collateral paid⁽⁴⁾							$	13,991
Netting agreements									$	(325,424	)
Netting of cash collateral received									(37,876		)
Total trading derivatives	$	2,579	$	398,366	$	4,294	$	419,230	$	(363,300	)	$	55,930
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	42,257	$	57	$	42,314	$	—		$	42,314
Residential	—		2,992		—		2,992		—			2,992
Commercial	—		341		3		344		—			344
Total investment mortgage-backed securities	$	—	$	45,590	$	60	$	45,650	$	—		$	45,650
U.S. Treasury and federal agency securities	$	107,085	$	11,241	$	—	$	118,326	$	—		$	118,326
State and municipal	—		7,918		1,272		9,190		—			9,190
Foreign government	58,869		41,577		301		100,747		—			100,747
Corporate	2,342		12,997		120		15,459		—			15,459
Equity securities	287		14		3		304		—			304
Asset-backed securities	—		4,461		830		5,291		—			5,291
Other debt securities	—		338		10		348		—			348
Non-marketable equity securities⁽⁵⁾	—		66		829		895		—			895
Total investments	$	168,583	$	124,202	$	3,425	$	296,210	$	—		$	296,210

Table continues on the next page.



In millions of dollars at September 30, 2017	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	3,764		$	544		$	4,308	$	—		$	4,308
Mortgage servicing rights	—			—			553			553		—			553
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	14,434		$	6,981		$	14		$	21,429
Cash collateral paid⁽⁶⁾										—
Netting of cash collateral received												$	(1,005	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	14,434		$	6,981		$	14		$	21,429	$	(1,005	)	$	20,424
Total assets	$	301,688		$	820,530		$	15,113		$	1,151,322	$	(414,588	)	$	736,734
Total as a percentage of gross assets⁽⁷⁾	26.5		%	72.1		%	1.3		%
Liabilities
Interest-bearing deposits	$	—		$	1,197		$	300		$	1,497	$	—		$	1,497
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			94,843			765			95,608		(50,283		)	45,325
Trading account liabilities
Securities sold, not yet purchased	73,549			9,688			684			83,921		—			83,921
Other trading liabilities	—			3,035			—			3,035		—			3,035
Total trading liabilities	$	73,549		$	12,723		$	684		$	86,956	$	—		$	86,956
Trading derivatives
Interest rate contracts	$	118		$	185,681		$	1,950		$	187,749
Foreign exchange contracts	50			132,666			420			133,136
Equity contracts	2,116			27,984			2,416			32,516
Commodity contracts	166			12,428			2,650			15,244
Credit derivatives	—			23,146			2,039			25,185
Total trading derivatives	$	2,450		$	381,905		$	9,475		$	393,830
Cash collateral received⁽⁸⁾										$	15,848
Netting agreements												$	(325,424	)
Netting of cash collateral paid												(32,390		)
Total trading derivatives	$	2,450		$	381,905		$	9,475		$	409,678	$	(357,814	)	$	51,864
Short-term borrowings	$	—		$	4,771		$	56		$	4,827	$	—		$	4,827
Long-term debt	—			19,505			11,321			30,826		—			30,826
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	14,434		$	716		$	2		$	15,152
Cash collateral received⁽⁹⁾										9
Netting of cash collateral paid												$	(17	)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	14,434		$	716		$	2		$	15,161	$	(17	)	$	15,144
Total liabilities	$	90,433		$	515,660		$	22,603		$	644,553	$	(408,114	)	$	236,439
Total as a percentage of gross liabilities⁽⁷⁾	14.4		%	82.0		%	3.6		%

(1)

For the three and nine months ended September 30, 2017, the Company transferred assets of approximately $0.6 billion and $3.6 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. During the three and nine months ended September 30, 2017, the Company transferred assets of approximately $0.9 billion and $3.1 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. For the three and nine months ended September 30, 2017, the Company transferred liabilities of approximately $0.2 billion and $0.3 billion from Level 1 to Level 2. During the three and nine months ended September 30, 2017, the Company transferred liabilities of approximately $0.1 billion and $0.2 billion from Level 2 to Level 1.


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


(3)	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.


(4)	Reflects the net amount of $46,381 million gross cash collateral paid, of which $32,390 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 $17 million of gross cash collateral paid, all of which 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 $53,724 million of gross cash collateral received, of which $37,876 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $1,014 million of gross cash collateral received, of which $1,005 million was used to offset non-trading derivative assets.

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	$	16,368	$	4,811	$	1	$	21,180	$	—		$	21,180
State and municipal	—		3,780		296		4,076		—			4,076
Foreign government	32,164		17,492		40		49,696		—			49,696
Corporate	424		14,199		324		14,947		—			14,947
Equity securities	45,056		5,260		127		50,443		—			50,443
Asset-backed securities	—		892		1,868		2,760		—			2,760
Other trading assets⁽³⁾	—		9,466		2,814		12,280		—			12,280
Total trading non-derivative assets	$	94,012	$	79,909	$	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

Table continues on the next page.



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	$	276,532		$	998,387		$	19,526		$	1,305,641	$	(606,943	)	$	698,698
Total as a percentage of gross assets⁽⁷⁾	21.4		%	77.1		%	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	67,429			12,184			1,177			80,790		—			80,790
Other trading liabilities	—			1,827			1			1,828		—			1,828
Total trading liabilities	$	67,429		$	14,011		$	1,178		$	82,618	$	—		$	82,618
Trading account 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	$	9,300		$	1,540		$	8		$	10,848
Cash collateral received⁽⁹⁾										1
Netting of cash collateral paid												$	(53	)
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	9,300		$	1,540		$	8		$	10,849	$	(53	)	$	10,796
Total liabilities	$	79,290		$	705,579		$	22,619		$	823,220	$	(609,550	)	$	213,670
Total as a percentage of gross liabilities⁽⁷⁾	9.8		%	87.4		%	2.8		%

(1)

In 2016, the Company transferred assets of approximately $2.6 billion from Level 1 to Level 2, 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, 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 21 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 derivative assets.

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, 2017 and 2016. 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, 2017			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2017
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,002		$	(338	)	$	—	$	—		$	—		$	—		$	—	$	—		$	—		$	664		$	(338	)
Trading non-derivative assets
Trading mortgage- backed securities
U.S. government-sponsored agency guaranteed	204			—			—		75			(21		)	174			—		(123		)	—			309			—
Residential	327			24			—		41			(9		)	39			—		(71		)	—			351			12
Commercial	318			10			—		22			(17		)	11			—		(232		)	—			112			5
Total trading mortgage- backed securities	$	849		$	34		$	—	$	138		$	(47	)	$	224		$	—	$	(426	)	$	—		$	772		$	17
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—		$	—	$	—		$	—		$	—		$	—
State and municipal	284			(2		)	—		—			—			49			—		(61		)	—			270			(1		)
Foreign government	108			(5		)	—		4			(114		)	161			—		(59		)	—			95			(2		)
Corporate	401			105			—		16			(11		)	148			—		(268		)	—			391			103
Equity securities	240			183			—		3			(41		)	29			—		(178		)	—			236			6
Asset-backed securities	1,570			114			—		5			(6		)	481			—		(460		)	—			1,704			26
Other trading assets	1,803			(38		)	—		38			(607		)	1,349			4		(394		)	(4		)	2,151			29
Total trading non- derivative assets	$	5,255		$	391		$	—	$	204		$	(826	)	$	2,441		$	4	$	(1,846	)	$	(4	)	$	5,619		$	178
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(288	)	$	196		$	—	$	4		$	(4	)	$	25		$	—	$	(20	)	$	(114	)	$	(201	)	$	120
Foreign exchange contracts	184			(92		)	—		1			(4		)	(6		)	—		(3		)	68			148			(92		)
Equity contracts	(1,647		)	201			—		(52		)	(34		)	31			—		(126		)	(221		)	(1,848		)	(10		)
Commodity contracts	(2,024		)	(248		)	—		(29		)	(10		)	—			—		(3		)	(25		)	(2,339		)	(255		)
Credit derivatives	(1,339		)	(150		)	—		25			115			7			—		—			401			(941		)	(185		)
Total trading derivatives, net⁽⁴⁾	$	(5,114	)	$	(93	)	$	—	$	(51	)	$	63		$	57		$	—	$	(152	)	$	109		$	(5,181	)	$	(422	)

Table continues on the next page.



			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2017		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2017
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	50	$	—		$	12		$	—	$	(5	)	$	—	$	—	$	—		$	—		$	57	$	28
Residential	—		—			—			—		—			—		—		—			—			—		—
Commercial	—		—			—			3		—			—		—		—			—			3		—
Total investment mortgage-backed securities	$	50	$	—		$	12		$	3	$	(5	)	$	—	$	—	$	—		$	—		$	60	$	28
U.S. Treasury and federal agency securities	$	1	$	—		$	—		$	—	$	—		$	—	$	—	$	(1	)	$	—		$	—	$	—
State and municipal	1,285		—			(2		)	21		(3		)	16		—		(45		)	—			1,272		17
Foreign government	358		—			(58		)	—		(18		)	122		—		(103		)	—			301		(7		)
Corporate	156		—			146			10		(2		)	41		—		(231		)	—			120		—
Equity securities	9		—			(1		)	—		—			—		—		(5		)	—			3		—
Asset-backed securities	1,028		—			(280		)	2		(7		)	504		—		(417		)	—			830		(134		)
Other debt securities	10		—			—			—		—			—		—		—			—			10		—
Non-marketable equity securities	939		—			(61		)	—		—			1		—		(1		)	(49		)	829		(18		)
Total investments	$	3,836	$	—		$	(244	)	$	36	$	(35	)	$	684	$	—	$	(803	)	$	(49	)	$	3,425	$	(114	)
Loans	$	577	$	—		$	73		$	—	$	—		$	131	$	—	$	(236	)	$	(1	)	$	544	$	264
Mortgage servicing rights	560		—			(6		)	—		—			—		19		—			(20		)	553		3
Other financial assets measured on a recurring basis	17		—			13			—		—			1		43		(4		)	(56		)	14		17
Liabilities
Interest-bearing deposits	$	300	$	—		$	(2	)	$	—	$	—		$	—	$	—	$	—		$	(2	)	$	300	$	6
Federal funds purchased and securities loaned or sold under agreements to repurchase	807		(1		)	—			—		—			—		—		—			(43		)	765		4
Trading account liabilities
Securities sold, not yet purchased	1,143		496			—			5		(10		)	—		—		88			(46		)	684		24
Other trading liabilities	—		—			—			—		—			—		—		—			—			—		—
Short-term borrowings	29		(13		)	—			3		(1		)	—		12		—			—			56		7
Long-term debt	11,831		1,057			—			181		(490		)	—		419		—			437			11,321		716
Other financial liabilities measured on a recurring basis	2		—			—			—		—			—		1		—			(1		)	2		(1		)


(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, 2017.


(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	Dec. 31, 2016			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2017
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,496		$	(340	)	$	—		$	—		$	(491	)	$	—	$	—	$	—		$	(1	)	$	664		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	176			4			—			154			(86		)	438		—		(377		)	—			309			1
Residential	399			61			—			88			(58		)	105		—		(244		)	—			351			35
Commercial	206			7			—			66			(46		)	445		—		(566		)	—			112			(5		)
Total trading mortgage-backed securities	$	781		$	72		$	—		$	308		$	(190	)	$	988	$	—	$	(1,187	)	$	—		$	772		$	31
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	—		$	—
State and municipal	296			3			—			24			(48		)	137		—		(142		)	—			270			(1		)
Foreign government	40			2			—			88			(204		)	288		—		(119		)	—			95			(1		)
Corporate	324			320			—			132			(84		)	424		—		(725		)	—			391			167
Equity securities	127			212			—			135			(54		)	38		—		(222		)	—			236			20
Asset-backed securities	1,868			251			—			28			(87		)	1,185		—		(1,541		)	—			1,704			34
Other trading assets	2,814			(88		)	—			470			(1,381		)	2,002		5		(1,652		)	(19		)	2,151			29
Total trading non-derivative assets	$	6,251		$	772		$	—		$	1,185		$	(2,048	)	$	5,062	$	5	$	(5,589	)	$	(19	)	$	5,619		$	279
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(663	)	$	4		$	—		$	(24	)	$	647		$	90	$	—	$	(225	)	$	(30	)	$	(201	)	$	65
Foreign exchange contracts	413			(389		)	—			54			(63		)	32		—		(37		)	138			148			(134		)
Equity contracts	(1,557		)	98			—			(34		)	(8		)	180		—		(263		)	(264		)	(1,848		)	(22		)
Commodity contracts	(1,945		)	(576		)	—			29			39			—		—		(3		)	117			(2,339		)	(255		)
Credit derivatives	(1,001		)	(535		)	—			(43		)	91			5		—		2			540			(941		)	(197		)
Total trading derivatives, net⁽⁴⁾	$	(4,753	)	$	(1,398	)	$	—		$	(18	)	$	706		$	307	$	—	$	(526	)	$	501		$	(5,181	)	$	(543	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	101		$	—		$	15		$	1		$	(60	)	$	—	$	—	$	—		$	—		$	57		$	30
Residential	50			—			2			—			(47		)	—		—		(5		)	—			—			—
Commercial	—			—			—			3			—			8		—		(8		)	—			3			—
Total investment mortgage-backed securities	$	151		$	—		$	17		$	4		$	(107	)	$	8	$	—	$	(13	)	$	—		$	60		$	30
U.S. Treasury and federal agency securities	$	2		$	—		$	—		$	—		$	—		$	—	$	—	$	(2	)	$	—		$	—		$	—
State and municipal	1,211			—			37			70			(36		)	92		—		(102		)	—			1,272			35
Foreign government	186			—			(47		)	2			(37		)	455		—		(258		)	—			301			(5		)
Corporate	311			—			11			74			(6		)	224		—		(494		)	—			120			—
Equity securities	9			—			(1		)	—			—			—		—		(5		)	—			3			—
Asset-backed securities	660			—			(98		)	23			(20		)	864		—		(599		)	—			830			(134		)
Other debt securities	—			—			—			—			—			21		—		(11		)	—			10			—
Non-marketable equity securities	1,331			—			(124		)	2			—			10		—		(228		)	(162		)	829			49
Total investments	$	3,861		$	—		$	(205	)	$	175		$	(206	)	$	1,674	$	—	$	(1,712	)	$	(162	)	$	3,425		$	(25	)

Table continues on the next page.



			Net realized/unrealized gains (losses) incl. in					Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2016		Principal transactions		Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2017
Loans	$	568	$	—	$	57		$	80	$	(16	)	$	173	$	—	$	(312	)	$	(6	)	$	544	$	266
Mortgage servicing rights	1,564		—		50			—		—			—		75		(1,046		)	(90		)	553		(40		)
Other financial assets measured on a recurring basis	34		—		(147		)	3		(8		)	1		303		(8		)	(164		)	14		(68		)
Liabilities
Interest-bearing deposits	$	293	$	—	$	9		$	40	$	—		$	—	$	—	$	—		$	(24	)	$	300	$	6
Federal funds purchased and securities loaned or sold under agreements to repurchase	849		7		—			—		—			—		—		—			(77		)	765		4
Trading account liabilities
Securities sold, not yet purchased	1,177		490		—			18		(53		)	—		—		265			(233		)	684		24
Other trading liabilities	—		—		—			—		—			—		—		—			—			—		—
Short-term borrowings	42		18		—			4		(1		)	—		31		—			(2		)	56		7
Long-term debt	9,744		456		—			702		(1,457		)	—		2,701		—			87			11,321		708
Other financial liabilities measured on a recurring basis	8		—		—			—		—			—		3		(1		)	(8		)	2		(1		)


(1)	Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2017.


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



				Net realized/unrealized gains (losses) incl. in						Transfers																				Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 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	)
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



			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
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	)
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



			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
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 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, 2016.


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

Level 3 Fair Value Rollforward

There were no significant Level 3 transfers for the period June 30, 2017 to September 30, 2017:

The following were the significant Level 3 transfers for the period December 31, 2016 to September 30, 2017:


•	Transfers of Long-term debt of $0.7 billion from Level 2 to Level 3, and of $1.5 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 Other trading assets of $0.5 billion from Level 2 to Level 3, and of $1.4 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations and 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 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 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 from December 31, 2015 to September 30, 2016:


•	Transfers of Trading mortgage-backed securities of $0.8 billion from Level 2 to Level 3, and of $1.3 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 investments of $1.1 billion from Level 3 to Level 2, mainly related to changes in the volume of market quotations.

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, 2017	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	$	664	Model-based	IR Normal Volatility	26.85		%	77.79		%	64.45		%
Mortgage-backed securities	$	480	Price-based	Price	$	5.90		$	102.90		$73.64
	339		Yield Analysis	Yield	1.55		%	13.72		%	4.96		%
Non-mortgage debt securities	$	2,830	Price-based	Price	$	21.03		$	108.46		$	88.99
	$	1,535	Model-based	Credit Spread	35 bps			375 bps			233 bps
				Yield	2.17		%	16.04		%	5.92		%
Equity securities⁽⁵⁾	$	156	Price-based	Price	$	0.09		$	1,402.80		$	640.33
	$	80	Model-based
Asset-backed securities	$	2,387	Price-based	Price	$	36.50		$	100.00		$	85.34
Non-marketable equity	$	502	Comparable Analysis	EBITDA Multiples	7.30		x	13.3		x	8.94		x
	283		Price-based	Discount to price	—		%	100.00		%	9.71		%
				Price to book ratio	0.05		x	1.12		x	0.85		x
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	3,679	Model-based	IR Normal Volatility	10.36		%	79.60		%	59.26		%
				Mean Reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	906	Model-based	FX Volatility	5.98		%	20.23		%	10.45		%
				IR Basis	(0.99		)%	0.38		%	(0.04		)%
				Credit Spread	0.00 bps			602 bps			168 bps
				IR-IR Correlation	(51.00		)%	40.00		%	35.65		%
				IR-FX Correlation	(10.09		)%	60.00		%	49.13		%
Equity contracts (gross)	$	2,977	Model-based	Equity Volatility	3.00		%	54.00		%	24.61		%
				Forward Price	69.30		%	114.48		%	94.45		%
Commodity and other contracts (gross)	$	2,939	Model-based	Forward Price	41.12		%	405.15		%	141.97		%
				Commodity Volatility	8.99		%	49.49		%	27.04		%
				Commodity Correlation	(38.81		)%	90.59		%	37.73		%
Credit derivatives (gross)	$	2,187	Model-based	Recovery Rate	12.22		%	55.00		%	36.93		%
	949		Price-based	Credit Correlation	10.00		%	85.00		%	42.46		%
				Upfront Points	10.94		%	99.00		%	68.80		%
				Credit Spread	2 bps			1,407 bps			112 bps



As of September 30, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (Gross)	$	16	Model-based	Redemption Rate	10.70		%	99.50		%	74.48		%
Loans and leases	$	388	Model-based	Price	$	29.16		$	146.83		$	137.53
	150		Price-based	Yield	2.53		%	3.09		%	3.02		%
Mortgage servicing rights	$	465	Cash flow	Yield	8.00		%	18.96		%	12.59		%
	88		Model-based	WAL	4.06 years			7.30 years			6.02 years
Liabilities
Interest-bearing deposits	$	300	Model-based	Mean Reversion	1.00		%	20.00		%	10.50		%
				Forward Price	99.08		%	99.65		%	99.13		%
Federal funds purchased and securities loaned or sold under agreement to repurchase	$	765	Model-based	Interest Rate	1.11		%	2.17		%	2.00		%
Trading account liabilities
Securities sold, not yet purchased	$	612	Model-based	IR Normal Volatility	26.85		%	77.79		%	64.45		%
Short-term borrowings and long-term debt	$	11,377	Model-based	Forward Price	69.30		%	193.63		%	105.10		%



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		x	1.03		x	0.87		x
				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	IR Basis	(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		)%



As of December 31, 2016	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
				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		%
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		%


(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 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:



In millions of dollars	Fair value		Level 2		Level 3
September 30, 2017
Loans held-for-sale⁽¹⁾	$	3,211	$	1,039	$	2,172
Other real estate owned	52		9		43
Loans⁽²⁾	718		267		451
Total assets at fair value on a nonrecurring basis	$	3,981	$	1,315	$	2,666



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


(1)	Net of fair value amounts on the unfunded portion of loans held-for-sale, recognized as Other liabilities on the Consolidated Balance Sheet.


(2)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

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, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	2,114	Price-based	Price	$	87.73		$	100.00		$	98.96
Other real estate owned	$	41	Price-based	Appraised Value	$	20,291		$	4,491,044		$	1,967,435
				Discount to price	34.00		%	34.00		%	34.00		%
				Price	$	30.00		$	54.49		$	53.48
Loans⁽⁵⁾	$	231	Recovery Analysis	Recovery Rate	48.00		%	91.97		%	65.20		%
	155		Cashflow	Appraised Value	$	70.00		$	88.05		$	79.61
	50		Price-based	Price	$	2.75		$	100.00		$	128.92



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	Cash flow	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


(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)	Includes estimated costs to sell.


(5)	Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate.

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	2017			2016
Loans held-for-sale	$	10		$	(17	)
Other real estate owned	(4		)	(4		)
Loans⁽¹⁾	(66		)	(42		)
Total nonrecurring fair value gains (losses)	$	(60	)	$	(63	)


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



	Nine Months Ended September 30,
In millions of dollars	2017			2016
Loans held-for-sale	$	11		$	(15	)
Other real estate owned	(4		)	(6		)
Loans⁽¹⁾	(80		)	(110		)
Total nonrecurring fair value gains (losses)	$	(73	)	$	(131	)


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

Estimated Fair Value of Financial Instruments Not Carried at Fair Value

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



	September 30, 2017				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	58.1	$	58.6	$	0.3	$	56.3	$	2.0
Federal funds sold and securities borrowed or purchased under agreements to resell	96.3		96.3		—		90.7		5.6
Loans⁽¹⁾⁽²⁾	634.7		635.8		—		5.8		630.0
Other financial assets⁽²⁾⁽³⁾	251.2		251.7		7.2		179.2		65.3
Liabilities
Deposits	$	962.5	$	960.3	$	—	$	819.1	$	141.2
Federal funds purchased and securities loaned or sold under agreements to repurchase	116.0		116.0		—		116.0		—
Long-term debt⁽⁴⁾	201.8		210.5		—		178.8		31.7
Other financial liabilities⁽⁵⁾	128.3		128.3		—		15.4		112.9



	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	$	52.0	$	0.8	$	48.6	$	2.6
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		607.3		—		7.0		600.3
Other financial assets⁽²⁾⁽³⁾	215.2		215.9		8.2		153.6		54.1
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⁾	115.3		115.3		—		16.2		99.1


(1)	The carrying value of loans is net of the Allowance for loan losses of $12.4 billion for September 30, 2017 and $12.1 billion for December 31, 2016. In addition, the carrying values exclude $1.8 billion and $1.9 billion of lease finance receivables at September 30, 2017 and December 31, 2016, 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 recoverables 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, 2017 and December 31, 2016 were liabilities of $2.7 billion and $5.2 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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