FAIR VALUE MEASUREMENT

6 Months Ended

Jun. 30, 2018

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2017 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 June 30, 2018 and December 31, 2017:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2018			December 31, 2017
Counterparty CVA	$	(1,023	)	$	(970	)
Asset FVA	(398		)	(447		)
Citigroup (own-credit) CVA	384			287
Liability FVA	62			47
Total CVA—derivative instruments⁽¹⁾	$	(975	)	$	(1,083	)


(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 June 30,					Six Months Ended June 30,
In millions of dollars	2018		2017			2018		2017
Counterparty CVA	$	—	$	80		$	23	$	170
Asset FVA	40		(13		)	49		79
Own-credit CVA	24		(53		)	99		(125		)
Liability FVA	22		16			15		6
Total CVA—derivative instruments	$	86	$	30		$	186	$	130
DVA related to own FVO liabilities ⁽¹⁾	$	418	$	(132	)	$	585	$	(227	)
Total CVA and DVA⁽²⁾	$	504	$	(102	)	$	771	$	(97	)


(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 June 30, 2018 and December 31, 2017. 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 June 30, 2018	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	$	—	$	221,357	$	66	$	221,423	$	(52,310	)	$	169,113
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		24,250		99		24,349		—			24,349
Residential	—		693		132		825		—			825
Commercial	—		1,420		51		1,471		—			1,471
Total trading mortgage-backed securities	$	—	$	26,363	$	282	$	26,645	$	—		$	26,645
U.S. Treasury and federal agency securities	$	22,866	$	4,058	$	7	$	26,931	$	—		$	26,931
State and municipal	—		3,146		226		3,372		—			3,372
Foreign government	48,875		19,598		36		68,509		—			68,509
Corporate	318		13,496		520		14,334		—			14,334
Equity securities	44,031		7,257		293		51,581		—			51,581
Asset-backed securities	—		1,696		1,688		3,384		—			3,384
Other trading assets⁽³⁾	5		11,502		542		12,049		—			12,049
Total trading non-derivative assets	$	116,095	$	87,116	$	3,594	$	206,805	$	—		$	206,805
Trading derivatives
Interest rate contracts	$	266	$	174,771	$	2,251	$	177,288
Foreign exchange contracts	3		177,017		612		177,632
Equity contracts	2,109		24,842		298		27,249
Commodity contracts	20		16,911		651		17,582
Credit derivatives	—		15,445		856		16,301
Total trading derivatives	$	2,398	$	408,986	$	4,668	$	416,052
Cash collateral paid⁽⁴⁾							$	11,894
Netting agreements									$	(332,207	)
Netting of cash collateral received									(39,595		)
Total trading derivatives	$	2,398	$	408,986	$	4,668	$	427,946	$	(371,802	)	$	56,144
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	42,938	$	34	$	42,972	$	—		$	42,972
Residential	—		1,858		—		1,858		—			1,858
Commercial	—		273		6		279		—			279
Total investment mortgage-backed securities	$	—	$	45,069	$	40	$	45,109	$	—		$	45,109
U.S. Treasury and federal agency securities	$	106,316	$	11,955	$	—	$	118,271	$	—		$	118,271
State and municipal	—		9,002		762		9,764		—			9,764
Foreign government	59,220		38,551		54		97,825		—			97,825
Corporate	4,172		8,361		68		12,601		—			12,601
Equity securities	190		13		1		204		—			204
Asset-backed securities	—		1,414		456		1,870		—			1,870
Other debt securities	—		3,591		—		3,591		—			3,591
Non-marketable equity securities⁽⁵⁾	—		207		611		818		—			818
Total investments	$	169,898	$	118,163	$	1,992	$	290,053	$	—		$	290,053

Table continues on the next page.



In millions of dollars at June 30, 2018	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	2,619		$	381		$	3,000	$	—		$	3,000
Mortgage servicing rights	—			—			596			596		—			596
Non-trading derivatives and other financial assets measured on a recurring basis	$	16,779		$	4,924		$	—		$	21,703	$	—		$	21,703
Total assets	$	305,170		$	843,165		$	11,297		$	1,171,526	$	(424,112	)	$	747,414
Total as a percentage of gross assets⁽⁶⁾	26.3		%	72.7		%	1.0		%
Liabilities
Interest-bearing deposits	$	—		$	1,308		$	320		$	1,628	$	—		$	1,628
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			100,590			966			101,556		(52,310		)	49,246
Trading account liabilities
Securities sold, not yet purchased	75,843			9,836			189			85,868		—			85,868
Other trading liabilities	—			1,464			—			1,464		—			1,464
Total trading liabilities	$	75,843		$	11,300		$	189		$	87,332	$	—		$	87,332
Trading derivatives
Interest rate contracts	$	256		$	155,568		$	2,165		$	157,989
Foreign exchange contracts	6			172,473			373			172,852
Equity contracts	2,334			27,822			1,744			31,900
Commodity contracts	6			18,500			2,557			21,063
Credit derivatives	—			14,855			1,704			16,559
Total trading derivatives	$	2,602		$	389,218		$	8,543		$	400,363
Cash collateral received⁽⁷⁾										$	15,634
Netting agreements												$	(332,207	)
Netting of cash collateral paid												(30,377		)
Total trading derivatives	$	2,602		$	389,218		$	8,543		$	415,997	$	(362,584	)	$	53,413
Short-term borrowings	$	—		$	4,003		$	90		$	4,093	$	—		$	4,093
Long-term debt	—			21,681			13,781			35,462		—			35,462
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	17,657		$	162		$	—		$	17,819	$	—		$	17,819
Total liabilities	$	96,102		$	528,262		$	23,889		$	663,887	$	(414,894	)	$	248,993
Total as a percentage of gross liabilities⁽⁶⁾	14.8		%	81.5		%	3.7		%

(1)

For the three and six months ended June 30, 2018, the Company transferred assets of approximately $0.9 billion and $1.6 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 six months ended June 30, 2018, the Company transferred assets of approximately $1.3 billion and $5.3 billion from Level 2 to Level 1, primarily related to foreign government bonds, foreign corporate securities, and equity securities traded with sufficient frequency to constitute an active market. For the three and six months ended June 30, 2018, there were $0.1 billion and $0.2 billion transfers of liabilities from Level 1 to Level 2. During the three and six months ended June 30, 2018, the Company transferred liabilities of approximately $0.3 billion and $0.5 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 $42,271 million gross cash collateral paid, of which $30,377 million was used to offset trading derivative liabilities.


(5)	Amounts exclude $0.4 billion of investments measured at Net Asset Value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).


(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 $55,229 million of gross cash collateral received, of which $39,595 million was used to offset trading derivative assets.

Fair Value Levels



In millions of dollars at December 31, 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	$	—	$	188,571	$	16	$	188,587	$	(55,638	)	$	132,949
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		22,801		163		22,964		—			22,964
Residential	—		649		164		813		—			813
Commercial	—		1,309		57		1,366		—			1,366
Total trading mortgage-backed securities	$	—	$	24,759	$	384	$	25,143	$	—		$	25,143
U.S. Treasury and federal agency securities	$	17,524	$	3,613	$	—	$	21,137	$	—		$	21,137
State and municipal	—		4,426		274		4,700		—			4,700
Foreign government	39,347		20,843		16		60,206		—			60,206
Corporate	301		15,129		275		15,705		—			15,705
Equity securities	53,305		6,794		120		60,219		—			60,219
Asset-backed securities	—		1,198		1,590		2,788		—			2,788
Other trading assets⁽³⁾	3		11,105		615		11,723		—			11,723
Total trading non-derivative assets	$	110,480	$	87,867	$	3,274	$	201,621	$	—		$	201,621
Trading derivatives
Interest rate contracts	$	145	$	203,134	$	1,708	$	204,987
Foreign exchange contracts	19		121,363		577		121,959
Equity contracts	2,364		24,170		444		26,978
Commodity contracts	282		13,252		569		14,103
Credit derivatives	—		19,624		910		20,534
Total trading derivatives	$	2,810	$	381,543	$	4,208	$	388,561
Cash collateral paid⁽⁴⁾							$	7,541
Netting agreements									$	(306,401	)
Netting of cash collateral received									(38,532		)
Total trading derivatives	$	2,810	$	381,543	$	4,208	$	396,102	$	(344,933	)	$	51,169
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	41,717	$	24	$	41,741	$	—		$	41,741
Residential	—		2,884		—		2,884		—			2,884
Commercial	—		329		3		332		—			332
Total investment mortgage-backed securities	$	—	$	44,930	$	27	$	44,957	$	—		$	44,957
U.S. Treasury and federal agency securities	$	106,964	$	11,182	$	—	$	118,146	$	—		$	118,146
State and municipal	—		8,028		737		8,765		—			8,765
Foreign government	56,456		43,985		92		100,533		—			100,533
Corporate	1,911		12,127		71		14,109		—			14,109
Equity securities	176		11		2		189		—			189
Asset-backed securities	—		3,091		827		3,918		—			3,918
Other debt securities	—		297		—		297		—			297
Non-marketable equity securities⁽⁵⁾	—		121		681		802		—			802
Total investments	$	165,507	$	123,772	$	2,437	$	291,716	$	—		$	291,716

Table continues on the next page.



In millions of dollars at December 31, 2017	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	3,824		$	550		$	4,374	$	—		$	4,374
Mortgage servicing rights	—			—			558			558		—			558
Non-trading derivatives and other financial assets measured on a recurring basis	$	13,903		$	4,640		$	16		$	18,559	$	—		$	18,559
Total assets	$	292,700		$	790,217		$	11,059		$	1,101,517	$	(400,571	)	$	700,946
Total as a percentage of gross assets⁽⁶⁾	26.8		%	72.2		%	1.0		%
Liabilities
Interest-bearing deposits	$	—		$	1,179		$	286		$	1,465	$	—		$	1,465
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			95,550			726			96,276		(55,638		)	40,638
Trading account liabilities
Securities sold, not yet purchased	65,843			10,306			22			76,171		—			76,171
Other trading liabilities	—			1,409			5			1,414		—			1,414
Total trading liabilities	$	65,843		$	11,715		$	27		$	77,585	$	—		$	77,585
Trading account derivatives
Interest rate contracts	$	137		$	182,372		$	2,130		$	184,639
Foreign exchange contracts	9			120,316			447			120,772
Equity contracts	2,430			26,472			2,471			31,373
Commodity contracts	115			14,482			2,430			17,027
Credit derivatives	—			19,824			1,709			21,533
Total trading derivatives	$	2,691		$	363,466		$	9,187		$	375,344
Cash collateral received⁽⁷⁾										$	14,308
Netting agreements												$	(306,401	)
Netting of cash collateral paid												(35,666		)
Total trading derivatives	$	2,691		$	363,466		$	9,187		$	389,652	$	(342,067	)	$	47,585
Short-term borrowings	$	—		$	4,609		$	18		$	4,627	$	—		$	4,627
Long-term debt	—			18,310			13,082			31,392		—			31,392
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	13,903		$	50		$	8		$	13,961	$	—		$	13,961
Total liabilities	$	82,437		$	494,879		$	23,334		$	614,958	$	(397,705	)	$	217,253
Total as a percentage of gross liabilities⁽⁶⁾	13.7		%	82.4		%	3.9		%

(1)

In 2017, the Company transferred assets of approximately $4.8 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2017, 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 2017, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2. In 2017, the Company transferred liabilities of approximately $0.3 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 $43,207 million of gross cash collateral paid, of which $35,666 million was used to offset trading derivative liabilities.


(5)	Amounts exclude $0.4 billion of 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)	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 $52,840 million of gross cash collateral received, of which $38,532 million was used to offset 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 six months ended June 30, 2018 and 2017. 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	Mar. 31, 2018			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2018
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	16		$	1		$	—	$	49		$	—		$	—	$	—	$	—		$	—		$	66		$	—
Trading non-derivative assets
Trading mortgage- backed securities
U.S. government-sponsored agency guaranteed	206			1			—		3			(41		)	37		—		(107		)	—			99			1
Residential	143			(17		)	—		23			(11		)	45		—		(51		)	—			132			(4		)
Commercial	35			(2		)	—		7			(2		)	23		—		(10		)	—			51			(1		)
Total trading mortgage- backed securities	$	384		$	(18	)	$	—	$	33		$	(54	)	$	105	$	—	$	(168	)	$	—		$	282		$	(4	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	6		$	—		$	1	$	—	$	—		$	—		$	7		$	—
State and municipal	211			4			—		—			—			13		—		(2		)	—			226			2
Foreign government	21			(1		)	—		—			(5		)	32		—		(11		)	—			36			(1		)
Corporate	252			52			—		12			(19		)	245		—		(22		)	—			520			248
Equity securities	237			7			—		16			(5		)	74		—		(36		)	—			293			30
Asset-backed securities	1,597			17			—		27			(32		)	373		—		(294		)	—			1,688			(16		)
Other trading assets	716			(52		)	—		27			(32		)	45		—		(158		)	(4		)	542			(21		)
Total trading non- derivative assets	$	3,418		$	9		$	—	$	121		$	(147	)	$	888	$	—	$	(691	)	$	(4	)	$	3,594		$	238
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(6	)	$	206		$	—	$	—		$	(109	)	$	1	$	—	$	—		$	(6	)	$	86		$	270
Foreign exchange contracts	88			167			—		(12		)	(5		)	6		—		(5		)	—			239			146
Equity contracts	(1,741		)	34			—		(16		)	279			4		—		(4		)	(2		)	(1,446		)	469
Commodity contracts	(1,909		)	(141		)	—		4			90			7		—		—			43			(1,906		)	(118		)
Credit derivatives	(859		)	(36		)	—		(10		)	14			—		—		—			43			(848		)	(29		)
Total trading derivatives, net⁽⁴⁾	$	(4,427	)	$	230		$	—	$	(34	)	$	269		$	18	$	—	$	(9	)	$	78		$	(3,875	)	$	738

Table continues on the next page.



			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Mar. 31, 2018		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2018
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	23	$	—		$	11		$	—	$	—		$	—	$	—	$	—		$	—		$	34	$	12
Residential	—		—			—			—		—			—		—		—			—			—		—
Commercial	5		—			—			1		—			—		—		—			—			6		—
Total investment mortgage-backed securities	$	28	$	—		$	11		$	1	$	—		$	—	$	—	$	—		$	—		$	40	$	12
U.S. Treasury and federal agency securities	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	—	$	—
State and municipal	682		—			3			—		(9		)	111		—		(25		)	—			762		3
Foreign government	70		—			(3		)	1		—			5		—		(19		)	—			54		(3		)
Corporate	76		—			—			—		(2		)	—		—		(6		)	—			68		—
Equity securities	1		—			—			—		—			—		—		—			—			1		—
Asset-backed securities	497		—			(25		)	1		(2		)	11		—		(26		)	—			456		(25		)
Other debt securities	—		—			—			—		—			—		—		—			—			—		—
Non-marketable equity securities	734		—			(54		)	—		—			—		—		(33		)	(36		)	611		(23		)
Total investments	$	2,088	$	—		$	(68	)	$	3	$	(13	)	$	127	$	—	$	(109	)	$	(36	)	$	1,992	$	(36	)
Loans	$	554	$	—		$	(274	)	$	—	$	60		$	47	$	—	$	(6	)	$	—		$	381	$	40
Mortgage servicing rights	587		—			11			—		—			—		15		(1		)	(16		)	596		11
Other financial assets measured on a recurring basis	13		—			14			—		(11		)	—		—		(4		)	(12		)	—		14
Liabilities
Interest-bearing deposits	$	292	$	—		$	(3	)	$	—	$	—		$	—	$	25	$	—		$	—		$	320	$	(6	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	857		25			—			—		—			—		96		—			38			966		16
Trading account liabilities
Securities sold, not yet purchased	48		(142		)	—			4		(12		)	—		—		6			1			189		(50		)
Other trading liabilities	—		—			—			—		—			—		—		—			—			—		—
Short-term borrowings	81		(6		)	—			3		(21		)	—		24		—			(3		)	90		10
Long-term debt	13,484		(7		)	—			815		(540		)	—		4		—			11			13,781		92
Other financial liabilities measured on a recurring basis	3		—			(2		)	1		(5		)	—		—		—			(1		)	—		(3		)


(1)	Changes in fair value of available-for-sale debt securities 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 debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2018.


(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, 2017		Principal transactions		Other⁽¹⁾⁽²⁾		into Level 3		out of Level 3		Purchases	Issuances	Sales		Settlements		Jun. 30, 2018		Unrealized gains (losses) still held⁽³⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	16		19		—		49		—		—	—	—		(18	)	66		10
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	163		2		—		89		(90	)	153	—	(218	)	—		99		1
Residential	164		5		—		58		(88	)	91	—	(98	)	—		132		(4	)
Commercial	57		(1	)	—		11		(37	)	38	—	(17	)	—		51		3
Total trading mortgage-backed securities	384		6		—		158		(215	)	282	—	(333	)	—		282		—
U.S. Treasury and federal agency securities	—		—		—		6		—		1	—	—		—		7		—
State and municipal	274		10		—		—		(44	)	13	—	(27	)	—		226		1
Foreign government	16		(1	)	—		2		(5	)	46	—	(22	)	—		36		(1	)
Corporate	275		95		—		61		(91	)	279	—	(99	)	—		520		251
Equity securities	120		82		—		17		(20	)	242	—	(148	)	—		293		26
Asset-backed securities	1,590		75		—		45		(47	)	689	—	(664	)	—		1,688		39
Other trading assets	615		83		—		85		(42	)	157	5	(352	)	(9	)	542		(11	)
Total trading non-derivative assets	3,274		350		—		374		(464	)	1,709	5	(1,645	)	(9	)	3,594		305
Trading derivatives, net⁽⁴⁾
Interest rate contracts	(422	)	587		—		5		(72	)	8	—	(16	)	(4	)	86		529
Foreign exchange contracts	130		105		—		(13	)	3		7	—	(5	)	12		239		27
Equity contracts	(2,027	)	(102	)	—		(73	)	751		17	—	(11	)	(1	)	(1,446	)	203
Commodity contracts	(1,861	)	(174	)	—		(43	)	98		27	—	—		47		(1,906	)	(32	)
Credit derivatives	(799	)	(98	)	—		(9	)	12		2	—	1		43		(848	)	(219	)
Total trading derivatives, net⁽⁴⁾	(4,979	)	318		—		(133	)	792		61	—	(31	)	97		(3,875	)	508
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	24		—		10		—		—		—	—	—		—		34		(12	)
Residential	—		—		—		—		—		—	—	—		—		—		—
Commercial	3		—		2		1		—		—	—	—		—		6		—
Total investment mortgage-backed securities	27		—		12		1		—		—	—	—		—		40		(12	)
U.S. Treasury and federal agency securities	—		—		—		—		—		—	—	—		—		—		—
State and municipal	737		—		(13	)	—		(18	)	140	—	(84	)	—		762		(22	)
Foreign government	92		—		(4	)	1		(2	)	62	—	(95	)	—		54		(3	)
Corporate	71		—		(1	)	3		(2	)	3	—	(6	)	—		68		—
Equity securities	2		—		—		—		—		—	—	(1	)	—		1		—
Asset-backed securities	827		—		(15	)	3		(344	)	11	—	(26	)	—		456		(25	)
Other debt securities	—		—		—		—		—		—	—	—		—		—		—
Non-marketable equity securities	681		—		(30	)	30		—		15	—	(33	)	(52	)	611		(7	)
Total investments	2,437		—		(51	)	38		(366	)	231	—	(245	)	(52	)	1,992		(69	)



		Net realized/unrealized gains (losses) incl. in				Transfers										Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2017	Principal transactions		Other⁽¹⁾⁽²⁾		into Level 3	out of Level 3		Purchases	Issuances	Sales		Settlements		Jun. 30, 2018	Unrealized gains (losses) still held⁽³⁾
Loans	550	—		(255	)	—	59		51	—	(22	)	(2	)	381	175
Mortgage servicing rights	558	—		57		—	—		—	32	(18	)	(33	)	596	57
Other financial assets measured on a recurring basis	16	—		22		—	(11	)	4	12	(4	)	(39	)	—	33
Liabilities
Interest-bearing deposits	286	—		23		12	—		—	45	—		—		320	(60	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	726	39		—		—	—		—	243	—		36		966	29
Trading account liabilities
Securities sold, not yet purchased	22	(247	)	—		7	(31	)	—	—	9		(65	)	189	(46	)
Other trading liabilities	5	5		—		—	—		—	—	—		—		—	—
Short-term borrowings	18	1		—		48	(21	)	—	49	—		(3	)	90	(9	)
Long-term debt	13,082	(243	)	—		1,755	(1,304	)	36	7	(44	)	6		13,781	(735	)
Other financial liabilities measured on a recurring basis	8	—		(2	)	1	(10	)	—	2	—		(3	)	—	(4	)


(1)	Changes in fair value of available-for-sale debt securities 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 debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 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	Mar. 31, 2017			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2017
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,187		$	54		$	—		$	—		$	(239	)	$	—		$	—	$	—		$	—		$	1,002		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	271		$	(1	)	$	—		$	29		$	(48	)	$	103		$	—	$	(150	)	$	—		$	204		$	—
Residential	368			22			—			30			(20		)	16			—		(89		)	—			327			19
Commercial	266			5			—			27			(16		)	244			—		(208		)	—			318			(3		)
Total trading mortgage-backed securities	$	905		$	26		$	—		$	86		$	(84	)	$	363		$	—	$	(447	)	$	—		$	849		$	16
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—		$	—	$	(1	)	$	—		$	—		$	—
State and municipal	270			3			—			22			(1		)	7			—		(17		)	—			284			(1		)
Foreign government	126			3			—			6			(77		)	83			—		(33		)	—			108			1
Corporate	296			124			—			89			(21		)	158			—		(245		)	—			401			132
Equity securities	110			14			—			130			(1		)	2			—		(15		)	—			240			13
Asset-backed securities	1,941			(23		)	—			3			(65		)	313			—		(599		)	—			1,570			(19		)
Other trading assets	1,888			(43		)	—			222			(243		)	366			—		(383		)	(4		)	1,803			(17		)
Total trading non-derivative assets	$	5,537		$	104		$	—		$	558		$	(492	)	$	1,292		$	—	$	(1,740	)	$	(4	)	$	5,255		$	125
Trading derivatives, net⁽⁴⁾
Interest rate contracts	(773		)	(155		)	—			10			632			59			—		(92		)	31			(288		)	(60		)
Foreign exchange contracts	48			93			—			(2		)	(39		)	4			—		(2		)	82			184			88
Equity contracts	(1,524		)	(101		)	—			18			42			64			—		(113		)	(33		)	(1,647		)	(158		)
Commodity contracts	(2,074		)	(153		)	—			12			51			—			—		—			140			(2,024		)	(152		)
Credit derivatives	(1,123		)	(293		)	—			(44		)	(16		)	(2		)	—		2			137			(1,339		)	(325		)
Total trading derivatives, net⁽⁴⁾	$	(5,446	)	$	(609	)	$	—		$	(6	)	$	670		$	125		$	—	$	(205	)	$	357		$	(5,114	)	$	(607	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	55		$	—		$	1		$	—		$	(6	)	$	—		$	—	$	—		$	—		$	50		$	—
Residential	—			—			—			—			—			—			—		—			—			—			—
Commercial	—			—			—			—			—			—			—		—			—			—			—
Total investment mortgage-backed securities	$	55		$	—		$	1		$	—		$	(6	)	$	—		$	—	$	—		$	—		$	50		$	—
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	1		$	—
State and municipal	1,233			—			27			12			(3		)	22			—		(6		)	—			1,285			28
Foreign government	235			—			10			—			(1		)	191			—		(77		)	—			358			7
Corporate	339			—			(137		)	5			—			92			—		(143		)	—			156			9
Equity securities	9			—			—			—			—			—			—		—			—			9			—
Asset-backed securities	712			—			173			4			(13		)	334			—		(182		)	—			1,028			171
Other debt securities	—			—			—			—			—			10			—		—			—			10			—
Non-marketable equity securities	1,082			—			31			2			—			1			—		(154		)	(23		)	939			66
Total investments	$	3,666		$	—		$	105		$	23		$	(23	)	$	650		$	—	$	(562	)	$	(23	)	$	3,836		$	281



			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Mar. 31, 2017		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2017
Loans	$	580	$	—		$	(12	)	$	15	$	—		$	30	$	—	$	(33	)	$	(3	)	$	577	$	42
Mortgage servicing rights	567		—			(11		)	—		—			—		21		—			(17		)	560		3
Other financial assets measured on a recurring basis	27		—			29			—		(7		)	—		27		(4		)	(55		)	17		26
Liabilities
Interest-bearing deposits	$	302	$	—		$	—		$	20	$	—		$	—	$	—	$	—		$	(22	)	$	300	$	5
Federal funds purchased and securities loaned or sold under agreements to repurchase	809		2			—			—		—			—		—		—			—			807		2
Trading account liabilities
Securities sold, not yet purchased	1,151		(60		)	—			2		(29		)	—		—		76			(117		)	1,143		5
Short-term borrowings	60		40			—			1		—			—		8		—			—			29		11
Long-term debt	10,176		(618		)	—			321		(558		)	—		1,353		—			(79		)	11,831		(73		)
Other financial liabilities measured on a recurring basis	4		—			2			—		—			—		1		—			(1		)	2		2



				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			Jun. 30, 2017
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,496		$	(2	)	$	—		$	—		$	(491	)	$	—		$	—	$	—		$	(1	)	$	1,002		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	176			4			—			79			(65		)	264			—		(254		)	—			204			1
Residential	399			37			—			47			(49		)	66			—		(173		)	—			327			29
Commercial	206			(3		)	—			44			(29		)	434			—		(334		)	—			318			(10		)
Total trading mortgage-backed securities	$	781		$	38		$	—		$	170		$	(143	)	$	764		$	—	$	(761	)	$	—		$	849		$	20
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—		$	—	$	(1	)	$	—		$	—		$	—
State and municipal	296			5			—			24			(48		)	88			—		(81		)	—			284			2
Foreign government	40			7			—			84			(90		)	127			—		(60		)	—			108			8
Corporate	324			215			—			116			(73		)	276			—		(457		)	—			401			177
Equity securities	127			29			—			132			(13		)	9			—		(44		)	—			240			21
Asset-backed securities	1,868			137			—			23			(81		)	704			—		(1,081		)	—			1,570			52
Other trading assets	2,814			(50		)	—			432			(774		)	653			1		(1,258		)	(15		)	1,803			(38		)
Total trading non-derivative assets	$	6,251		$	381		$	—		$	981		$	(1,222	)	$	2,621		$	1	$	(3,743	)	$	(15	)	$	5,255		$	242
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(663	)	$	(192	)	$	—		$	(28	)	$	651		$	65		$	—	$	(205	)	$	84		$	(288	)	$	(12	)
Foreign exchange contracts	413			(297		)	—			53			(59		)	38			—		(34		)	70			184			43
Equity contracts	(1,557		)	(103		)	—			18			26			149			—		(137		)	(43		)	(1,647		)	(139		)
Commodity contracts	(1,945		)	(328		)	—			58			49			—			—		—			142			(2,024		)	(358		)
Credit derivatives	(1,001		)	(385		)	—			(68		)	(24		)	(2		)	—		2			139			(1,339		)	(745		)
Total trading derivatives, net⁽⁴⁾	$	(4,753	)	$	(1,305	)	$	—		$	33		$	643		$	250		$	—	$	(374	)	$	392		$	(5,114	)	$	(1,211	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	101		$	—		$	3		$	1		$	(55	)	$	—		$	—	$	—		$	—		$	50		$	2
Residential	50			—			2			—			(47		)	—			—		(5		)	—			—			—
Commercial	—			—			—			—			—			8			—		(8		)	—			—			—
Total investment mortgage-backed securities	$	151		$	—		$	5		$	1		$	(102	)	$	8		$	—	$	(13	)	$	—		$	50		$	2
U.S. Treasury and federal agency securities	$	2		$	—		$	—		$	—		$	—		$	—		$	—	$	(1	)	$	—		$	1		$	—
State and municipal	1,211			—			39			49			(33		)	76			—		(57		)	—			1,285			35
Foreign government	186			—			11			2			(19		)	333			—		(155		)	—			358			7
Corporate	311			—			(135		)	64			(4		)	183			—		(263		)	—			156			9
Equity securities	9			—			—			—			—			—			—		—			—			9			—
Asset-backed securities	660			—			182			21			(13		)	360			—		(182		)	—			1,028			171
Other debt securities	—			—			—			—			—			21			—		(11		)	—			10			—
Non-marketable equity securities	1,331			—			(63		)	2			—			9			—		(227		)	(113		)	939			79
Total investments	$	3,861		$	—		$	39		$	139		$	(171	)	$	990		$	—	$	(909	)	$	(113	)	$	3,836		$	303



			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			Jun. 30, 2017
Loans	$	568	$	—		$	(16	)	$	80	$	(16	)	$	42		$	—	$	(76	)	$	(5	)	$	577	$	58
Mortgage servicing rights	1,564		—			56			—		—			—			56		(1,046		)	(70		)	560		(40		)
Other financial assets measured on a recurring basis	34		—			(160		)	3		(8		)	—			260		(4		)	(108		)	17		(57		)
Liabilities
Interest-bearing deposits	$	293	$	—		$	11		$	40	$	—		$	—		$	—	$	—		$	(22	)	$	300	$	31
Federal funds purchased and securities loaned or sold under agreements to repurchase	849		8			—			—		—			—			—		—			(34		)	807		8
Trading account liabilities
Securities sold, not yet purchased	1,177		(6		)	—			13		(43		)	—			—		177			(187		)	1,143		(3		)
Short-term borrowings	42		31			—			1		—			—			19		—			(2		)	29		5
Long-term debt	9,744		(601		)	—			521		(967		)	—			2,282		—			(350		)	11,831		(747		)
Other financial liabilities measured on a recurring basis	8		—			—			—		—			(1		)	2		—			(7		)	2		—


(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 June 30, 2017.


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

Level 3 Fair Value Rollforward

The following were the significant Level 3 transfers for the period December 31, 2017 to June 30, 2018:


•	During the three and six months ended June 30, 2018, transfers of Long-term debt of $0.8 billion and $1.8 billion from Level 2 to Level 3, and of $0.5 billion and $1.3 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 were no significant Level 3 transfers for the period from March 31, 2017 to June 30, 2017.

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


•	Transfers of Long-term debt of $0.5 billion from Level 2 to Level 3, and of $1.0 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.

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 June 30, 2018	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	$	66	Model-based	Interest rate	2.06		%	3.67		%	3.51		%
Mortgage-backed securities	$	156	Price-based	Price	$	0.01		$	109.48		$	83.75
	110		Yield analysis	Yield	2.71		%	8.81		%	4.56		%
	39		Model-based
State and municipal, foreign government, corporate and other debt securities	$	1,103	Model-based	Price	$	2.34		$	129.50		$	92.65
	895		Price-based	Credit spread	35 bps			500 bps			238 bps
Equity securities⁽⁵⁾	$	206	Price-based	Price	$	—		$	456.89		$	41.58
	87		Model-based	Equity volatility	3.93		%	12.42		%	9.20		%
				Forward price	80.20		%	124.54		%	105.47		%
Asset-backed securities	$	2,058	Price-based	Price	$	3.00		$	100.89		$	72.24
Non-marketable equities	$	505	Comparables analysis	EBITDA multiples	7.30x			10.40x			8.88x
	76		Price-based	Discount to price	—		%	100.00		%	15.37		%
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	4,344	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Inflation volatility	0.21		%	2.63		%	0.75		%
				IR normal volatility	0.10		%	78.22		%	51.57		%
Foreign exchange contracts (gross)	$	889	Model-based	FX volatility	2.40		%	18.05		%	10.79		%
				IR-IR correlation	(51.00		)%	40.00		%	34.08		%
				FX rate	$	—		$	0.04		$	0.04
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				Credit spread	34 bps			2,568 bps			300 bps
				IR basis	(0.47		)%	0.36		%	(0.19		)%
Equity contracts (gross)	$	2,038	Model-based	Equity volatility	3.26		%	74.93		%	26.61		%
				Forward price	63.07		%	159.10		%	100.93		%
				Equity-equity correlation	(81.06		)%	100.00		%	55.36		%
				Equity-FX correlation	(83.00		)%	54.00		%	(37.30		)%
				WAL	2.00 years			4.43 years			2.90 years
Commodity and other contracts (gross)	$	3,095	Model-based	Forward price	28.57		%	454.29		%	108.29		%
				Commodity volatility	9.33		%	46.05		%	21.51		%
				Commodity correlation	(52.24		)%	91.44		%	22.32		%
Credit derivatives (gross)	$	1,778	Model-based	Credit correlation	25.00		%	80.00		%	42.67		%
	781		Price-based	Upfront points	1.67		%	97.99		%	56.21		%



As of June 30, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
				Credit spread	4 bps			1,266 bps			110 bps
				Price	$	10.31		$	225.00		$	88.72
				Recovery rate	5.00		%	65.00		%	50.48		%
Loans and leases	$	241	Model-based	Credit spread	143 bps			143 bps			143 bps
	139		Price-based	Price	$	0.76		$	238.35		$	41.60
				Yield	4.09		%	4.09		%	4.09		%
Mortgage servicing rights	$	508	Cash flow	Yield	4.34		%	12.14		%	8.33		%
	87		Model-based	WAL	4.09 years			7.74 years			6.64 years
Liabilities
Interest-bearing deposits	$	320	Model-based	Mean reversion	—		%	20.00		%	7.85		%
				Equity volatility	3.93		%	12.42		%	9.20		%
				Forward price	80.20		%	124.54		%	105.47		%
Federal funds purchased and securities loaned or sold under agreement to repurchase	$	966	Model-based	Interest rate	2.06		%	3.24		%	2.99		%
Trading account liabilities
Securities sold, not yet purchased	$	165	Model-based	Forward price	28.57		%	454.29		%	104.11		%
	$	23	Price-based	Equity volatility	3.26		%	74.93		%	15.37		%
				IR normal volatility	15.02		%	31.88		%	19.85		%
				Equity-equity correlation	(81.06		)%	100.00		%	55.40		%
				Equity-FX correlation	(82.74		)%	54.00		%	(37.34		)%
				Price	$	—		$	456.89		$	93.88
Short-term borrowings and long-term debt	$	13,928	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	63.07		%	195.78		%	104.83		%
				Equity volatility	3.26		%	74.93		%	12.05		%
				IR normal volatility	8.49		%	78.22		%	51.93		%



As of December 31, 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	$	16	Model-based	Interest rate	1.43		%	2.16		%	2.09		%
Mortgage-backed securities	$	214	Price-based	Price	$	2.96		$	101.00		$	56.52
	184		Yield analysis	Yield	2.52		%	14.06		%	5.97		%
State and municipal, foreign government, corporate and other debt securities	$	949	Model-based	Price	$	—		$	184.04		$	91.74
	914		Price-based	Credit spread	35 bps			500 bps			249 bps
				Yield	2.36		%	14.25		%	6.03		%
Equity securities⁽⁵⁾	$	65	Price-based	Price	$	—		$	25,450.00		$	2,526.62
	55		Model-based	WAL	2.50 years			2.50 years			2.50 years
Asset-backed securities	$	2,287	Price-based	Price	$	4.25		$	100.60		$	74.57



As of December 31, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Non-marketable equity	$	423	Comparables analysis	EBITDA multiples	6.90		x	12.80		x	8.66		x
	223		Price-based	Discount to price	—		%	100.00		%	11.83		%
				Price-to-book ratio	0.05		x	1.00		x	0.32		x
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	3,818	Model-based	IR normal volatility	9.40		%	77.40		%	58.86		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	940	Model-based	Foreign exchange (FX) volatility	4.58		%	15.02		%	8.16		%
				Interest rate	(0.55		)%	0.28		%	0.04		%
				IR-IR correlation	(51.00		)%	40.00		%	36.56		%
				IR-FX correlation	(7.34		)%	60.00		%	49.04		%
				Credit spread	11 bps			717 bps			173 bps
Equity contracts (gross)⁽⁷⁾	$	2,897	Model-based	Equity volatility	3.00		%	68.93		%	24.66		%
				Forward price	69.74		%	154.19		%	92.80		%
Commodity contracts (gross)	$	2,937	Model-based	Forward price	3.66		%	290.59		%	114.16		%
				Commodity volatility	8.60		%	66.73		%	25.04		%
				Commodity correlation	(37.64		)%	91.71		%	15.21		%
Credit derivatives (gross)	$	1,797	Model-based	Credit correlation	25.00		%	90.00		%	44.64		%
	823		Price-based	Upfront points	6.03		%	97.26		%	62.88		%
				Credit spread	3 bps			1,636 bps			173 bps
				Price	$	1.00		$	100.24		$	57.63
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	24	Model-based	Recovery rate	25.00		%	40.00		%	31.56		%
				Redemption rate	10.72		%	99.50		%	74.24		%
				Credit spread	38 bps			275 bps			127 bps
				Upfront points	61.00		%	61.00		%	61.00		%
Loans and leases	$	391	Model-based	Equity volatility	3.00		%	68.93		%	22.52		%
	148		Price-based	Credit spread	134 bps			500 bps			173 bps
				Yield	3.09		%	4.40		%	3.13		%
Mortgage servicing rights	$	471	Cash flow	Yield	8.00		%	16.38		%	11.47		%
	87		Model-based	WAL	3.83 years			6.89 years			5.93 years
Liabilities
Interest-bearing deposits	$	286	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	99.56		%	99.95		%	99.72		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	726	Model-based	Interest rate	1.43		%	2.16		%	2.09		%
Trading account liabilities
Securities sold, not yet purchased	$	21	Price-based	Price	$	1.00		$	287.64		$	88.19
Short-term borrowings and long-term debt	$	13,100	Model-based	Forward price	69.74		%	161.11		%	100.70		%


(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. These also include non-marketable equity investments that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.

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
June 30, 2018
Loans HFS⁽¹⁾	$	4,285	$	1,703	$	2,582
Other real estate owned	77		53		24
Loans⁽²⁾	400		184		216
Non-marketable equity investments measured using the measurement alternative	112		107		5
Total assets at fair value on a nonrecurring basis	$	4,874	$	2,047	$	2,827



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2017
Loans HFS⁽¹⁾	$	5,675	$	2,066	$	3,609
Other real estate owned	54		10		44
Loans⁽²⁾	630		216		414
Total assets at fair value on a nonrecurring basis	$	6,359	$	2,292	$	4,067


(1)	Net of fair value amounts on the unfunded portion of loans HFS 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 table presents 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 June 30, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	2,240	Price-based	Price	$	75.00		$	100.00		$	98.63
Other real estate owned	$	20	Price-based	Appraised value	$	470,964		$	8,394,102		$	6,714,334
	3		Recovery analysis	Discount to price	13.00		%	13.00		%	13.00		%
				Price	$	54.93		$	54.93		$	54.93
Loans⁽⁵⁾	$	98	Recovery analysis	Price	$	91.50		$	100.00		$	99.17
	75		Price-based	Appraised value	$	30,653,667		$	465,594,643		$	126,532,515
	22		Cash flow	Recovery rate	9.00		%	9.00		%	9.00		%



As of December 31, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	3,186	Price-based	Price	$	77.93		$	100.00		$	99.26
Other real estate owned	$	42	Price-based	Appraised value⁽⁴⁾	$	20,278		$	8,091,760		$	4,016,665
				Discount to price⁽⁶⁾	34.00		%	34.00		%	34.00		%
				Price	$	30.00		$	50.36		$	49.09
Loans⁽⁵⁾	$	133	Price-based	Price	$	2.80		$	100.00		$	62.46
	129		Cash flow	Recovery rate	50.00		%	100.00		%	63.59		%
	127		Recovery analysis	Appraised value	$	—		$	45,500,000		$	38,785,667


(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)	Appraised values are disclosed in whole dollars.


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


(6)	Includes estimated costs to sell.

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 June 30,
In millions of dollars	2018			2017
Loans HFS	$	(7	)	$	(5	)
Other real estate owned	(1		)	(3		)
Loans⁽¹⁾	(33		)	(30		)
Non-marketable equity investments measured using the measurement alternative	(1		)	—
Total nonrecurring fair value gains (losses)	$	(42	)	$	(38	)


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



	Six Months Ended June 30,
In millions of dollars	2018			2017
Loans HFS	$	(8	)	$	(5	)
Other real estate owned	(1		)	(3		)
Loans⁽¹⁾	(33		)	(48		)
Non-marketable equity investments measured using the measurement alternative	104			—
Total nonrecurring fair value gains (losses)	$	62		$	(56	)


(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 below therefore excludes items measured at fair value on a recurring basis presented in the tables above.



	June 30, 2018				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	58.8	$	58.3	$	1.1	$	55.2	$	2.0
Federal funds sold and securities borrowed or purchased under agreements to resell	96.4		96.4		—		91.8		4.6
Loans⁽¹⁾⁽²⁾	654.4		648.8		—		5.6		643.2
Other financial assets⁽²⁾⁽³⁾	265.0		265.4		187.3		13.6		64.5
Liabilities
Deposits	$	995.1	$	992.8	$	3.0	$	844.4	$	145.4
Federal funds purchased and securities loaned or sold under agreements to repurchase	128.6		128.6		—		128.5		0.1
Long-term debt⁽⁴⁾	201.4		204.6		—		186.3		18.3
Other financial liabilities⁽⁵⁾	111.9		111.9		—		15.7		96.2



	December 31, 2017				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	60.2	$	60.6	$	0.5	$	57.5	$	2.6
Federal funds sold and securities borrowed or purchased under agreements to resell	99.5		99.5		—		94.4		5.1
Loans⁽¹⁾⁽²⁾	648.6		644.9		—		6.0		638.9
Other financial assets⁽²⁾⁽³⁾	242.6		243.0		166.4		14.1		62.5
Liabilities
Deposits	$	958.4	$	955.6	$	—	$	816.1	$	139.5
Federal funds purchased and securities loaned or sold under agreements to repurchase	115.6		115.6		—		115.6		—
Long-term debt⁽⁴⁾	205.3		214.0		—		187.2		26.8
Other financial liabilities⁽⁵⁾	129.9		129.9		—		15.5		114.4


(1)	The carrying value of loans is net of the Allowance for loan losses of $12.1 billion for June 30, 2018 and $12.4 billion for December 31, 2017. In addition, the carrying values exclude $1.6 billion and $1.7 billion of lease finance receivables at June 30, 2018 and December 31, 2017, 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 June 30, 2018 and December 31, 2017 were liabilities of $4.2 billion and $3.2 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.

+ References + Details