FAIR VALUE MEASUREMENT (Tables)

12 Months Ended

Dec. 31, 2018

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

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at December 31, 2018 and 2017:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	December 31, 2018			December 31, 2017
Counterparty CVA	$	(1,085	)	$	(970	)
Asset FVA	(544		)	(447		)
Citigroup (own-credit) CVA	482			287
Liability FVA	135			47
Total CVA—derivative instruments⁽¹⁾	$	(1,012	)	$	(1,083	)


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

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

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



	Credit/funding/debt valuation adjustments gain (loss)
In millions of dollars	2018			2017			2016
Counterparty CVA	$	(109	)	$	276		$	157
Asset FVA	46			90			47
Own-credit CVA	178			(153		)	17
Liability FVA	56			(15		)	(44		)
Total CVA—derivative instruments	$	171		$	198		$	177
DVA related to own FVO liabilities⁽¹⁾	$	1,415		$	(680	)	$	(538	)
Total CVA and DVA⁽²⁾	$	1,586		$	(482	)	$	(361	)


(1)	See Notes 1 and 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 December 31, 2018 and 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 December 31, 2018	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	—	$	214,570	$	115	$	214,685	$	(66,984	)	$	147,701
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		24,090		156		24,246		—			24,246
Residential	—		709		268		977		—			977
Commercial	—		1,323		77		1,400		—			1,400
Total trading mortgage-backed securities	$	—	$	26,122	$	501	$	26,623	$	—		$	26,623
U.S. Treasury and federal agency securities	$	26,439	$	4,802	$	1	$	31,242	$	—		$	31,242
State and municipal	—		3,782		200		3,982		—			3,982
Foreign government	43,309		21,179		31		64,519		—			64,519
Corporate	1,026		14,510		360		15,896		—			15,896
Equity securities	36,342		7,308		153		43,803		—			43,803
Asset-backed securities	—		1,429		1,484		2,913		—			2,913
Other trading assets⁽²⁾	3		12,198		818		13,019		—			13,019
Total trading non-derivative assets	$	107,119	$	91,330	$	3,548	$	201,997	$	—		$	201,997
Trading derivatives
Interest rate contracts	$	101	$	169,860	$	1,671	$	171,632
Foreign exchange contracts	—		162,108		346		162,454
Equity contracts	647		28,903		343		29,893
Commodity contracts	—		16,788		767		17,555
Credit derivatives	—		9,839		926		10,765
Total trading derivatives	$	748	$	387,498	$	4,053	$	392,299
Cash collateral paid⁽³⁾							$	11,518
Netting agreements									$	(311,089	)
Netting of cash collateral received									(38,608		)
Total trading derivatives	$	748	$	387,498	$	4,053	$	403,817	$	(349,697	)	$	54,120
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	42,988	$	32	$	43,020	$	—		$	43,020
Residential	—		1,313		—		1,313		—			1,313
Commercial	—		172		—		172		—			172
Total investment mortgage-backed securities	$	—	$	44,473	$	32	$	44,505	$	—		$	44,505
U.S. Treasury and federal agency securities	$	107,577	$	9,645	$	—	$	117,222	$	—		$	117,222
State and municipal	—		8,498		708		9,206		—			9,206
Foreign government	58,252		42,371		68		100,691		—			100,691
Corporate	4,410		7,033		156		11,599		—			11,599
Marketable equity securities	206		14		—		220		—			220
Asset-backed securities	—		656		187		843		—			843
Other debt securities	—		3,972		—		3,972		—			3,972
Non-marketable equity securities⁽⁴⁾	—		96		586		682		—			682
Total investments	$	170,445	$	116,758	$	1,737	$	288,940	$	—		$	288,940

Table continues on the next page, including footnotes.



In millions of dollars at December 31, 2018	Level 1			Level 2			Level 3			Gross inventory		Netting⁽¹⁾			Net balance
Loans	$	—		$	2,946		$	277		$	3,223	$	—		$	3,223
Mortgage servicing rights	—			—			584			584		—			584
Non-trading derivatives and other financial assets measured on a recurring basis	$	15,839		$	4,949		$	—		$	20,788	$	—		$	20,788
Total assets	$	294,151		$	818,051		$	10,314		$	1,134,034	$	(416,681	)	$	717,353
Total as a percentage of gross assets⁽⁵⁾	26.2		%	72.9		%	0.9		%
Liabilities
Interest-bearing deposits	$	—		$	980		$	495		$	1,475	$	—		$	1,475
Federal funds purchased and securities loaned and sold under agreements to repurchase	—			110,511			983			111,494		(66,984		)	44,510
Trading account liabilities
Securities sold, not yet purchased	78,872			11,364			586			90,822		—			90,822
Other trading liabilities	—			1,547			—			1,547		—			1,547
Total trading liabilities	$	78,872		$	12,911		$	586		$	92,369	$	—		$	92,369
Trading derivatives
Interest rate contracts	$	71		$	152,931		$	1,825		$	154,827
Foreign exchange contracts	—			159,003			352			159,355
Equity contracts	351			32,330			1,127			33,808
Commodity contracts	—			19,904			785			20,689
Credit derivatives	—			9,486			865			10,351
Total trading derivatives	$	422		$	373,654		$	4,954		$	379,030
Cash collateral received⁽⁶⁾										$	13,906
Netting agreements												$	(311,089	)
Netting of cash collateral paid												(29,911		)
Total trading derivatives	$	422		$	373,654		$	4,954		$	392,936	$	(341,000	)	$	51,936
Short-term borrowings	$	—		$	4,446		$	37		$	4,483	$	—		$	4,483
Long-term debt	—			25,659			12,570			38,229		—			38,229
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	15,839		$	67		$	—		$	15,906	$	—		$	15,906
Total liabilities	$	95,133		$	528,228		$	19,625		$	656,892	$	(407,984	)	$	248,908
Total as a percentage of gross liabilities⁽⁵⁾	14.8		%	82.1		%	3.1		%


(1)	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.


(2)	Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(3)	Reflects the net amount of $41,429 million of gross cash collateral paid, of which $29,911 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).


(5)	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.


(6)	Reflects the net amount of $52,514 million of gross cash collateral received, of which $38,608 million was used to offset trading derivative assets.

Fair Value Levels



In millions of dollars at December 31, 2017	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
Federal funds sold and securities borrowed and 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⁽²⁾	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⁽³⁾							$	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
Marketable 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⁽⁴⁾	—		121		681		802		—			802
Total investments	$	165,507	$	123,772	$	2,437	$	291,716	$	—		$	291,716



In millions of dollars at December 31, 2017	Level 1			Level 2			Level 3			Gross inventory		Netting⁽¹⁾			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⁽⁵⁾	26.8		%	72.2		%	1.0		%
Liabilities
Interest-bearing deposits	$	—		$	1,179		$	286		$	1,465	$	—		$	1,465
Federal funds purchased and securities loaned and 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⁽⁶⁾										$	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⁽⁵⁾	13.7		%	82.4		%	3.9		%


(1)	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.


(2)	Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(3)	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.


(4)	Amounts exclude $0.4 billion of investments measured at NAV in accordance with ASU 2015-07.


(5)	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.


(6)	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 hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) included in					Transfers																				Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2017			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances			Sales			Settlements			Dec. 31, 2018
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	16		$	17		$	—	$	50		$	—		$	95	$	—		$	16		$	(79	)	$	115		$	9
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	163			5			—		92			(107		)	281		—			(278		)	—			156			186
Residential	164			112			—		124			(133		)	154		—			(153		)	—			268			4
Commercial	57			(7		)	—		24			(49		)	110		—			(58		)	—			77			—
Total trading mortgage-backed securities	$	384		$	110		$	—	$	240		$	(289	)	$	545	$	—		$	(489	)	$	—		$	501		$	190
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	6		$	(4	)	$	1	$	—		$	—		$	(2	)	$	1		$	—
State and municipal	274			22			—		—			(96		)	45		—			(45		)	—			200			9
Foreign government	16			(2		)	—		5			(13		)	75		—			(50		)	—			31			(28		)
Corporate	275			(72		)	—		138			(122		)	596		(40		)	(415		)	—			360			(32		)
Equity securities	120			2			—		25			(62		)	290		—			(222		)	—			153			(56		)
Asset-backed securities	1,590			28			—		77			(90		)	1,238		—			(1,359		)	—			1,484			(21		)
Other trading assets	615			276			—		197			(82		)	598		8			(777		)	(17		)	818			91
Total trading non-derivative assets	$	3,274		$	364		$	—	$	688		$	(758	)	$	3,388	$	(32	)	$	(3,357	)	$	(19	)	$	3,548		$	153
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(422	)	$	414		$	—	$	(6	)	$	(193	)	$	8	$	17		$	(32	)	$	60		$	(154	)	$	336
Foreign exchange contracts	130			(99		)	—		(29		)	77			11		—			(89		)	(7		)	(6		)	(72		)
Equity contracts	(2,027		)	479			—		(131		)	1,114			25		(44		)	(17		)	(183		)	(784		)	52
Commodity contracts	(1,861		)	(505		)	—		(32		)	2,180			62		—			(19		)	157			(18		)	(171		)
Credit derivatives	(799		)	261			—		(7		)	391			2		—			1			212			61			87
Total trading derivatives, net⁽⁴⁾	$	(4,979	)	$	550		$	—	$	(205	)	$	3,569		$	108	$	(27	)	$	(156	)	$	239		$	(901	)	$	232

Table continues on the next page, including footnotes.



			Net realized/unrealized gains (losses) included 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			Dec. 31, 2018
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	24	$	—		$	10		$	—	$	—		$	—	$	—		$	(2	)	$	—		$	32	$	14
Residential	—		—			—			—		—			—		—			—			—			—		—
Commercial	3		—			2			1		(1		)	—		—			(5		)	—			—		—
Total investment mortgage-backed securities	$	27	$	—		$	12		$	1	$	(1	)	$	—	$	—		$	(7	)	$	—		$	32	$	14
U.S. Treasury and federal agency securities	$	—	$	—		$	—		$	—	$	—		$	—	$	—		$	—		$	—		$	—	$	—
State and municipal	737		—			(20		)	—		(18		)	211		—			(202		)	—			708		(29		)
Foreign government	92		—			(3		)	3		(4		)	141		—			(161		)	—			68		4
Corporate	71		—			(1		)	61		(66		)	101		—			(10		)	—			156		—
Marketable equity securities	2		—			1			—		—			—		—			(2		)	(1		)	—		—
Asset-backed securities	827		—			(21		)	10		(524		)	63		—			(168		)	—			187		—
Other debt securities	—		—			—			—		—			—		—			—			—			—		—
Non-marketable equity securities	681		—			(95		)	193		—			91		—			(234		)	(50		)	586		55
Total investments	$	2,437	$	—		$	(127	)	$	268	$	(613	)	$	607	$	—		$	(784	)	$	(51	)	$	1,737	$	44
Loans	$	550	$	—		$	(319	)	$	—	$	13		$	140	$	—		$	(103	)	$	(4	)	$	277	$	236
Mortgage servicing rights	558		—			54			—		—			—		58			(18		)	(68		)	584		59
Other financial assets measured on a recurring basis	16		—			51			—		(11		)	4		12			(12		)	(60		)	—		63
Liabilities
Interest-bearing deposits	$	286	$	—		$	14		$	13	$	(1	)	$	—	$	215		$	—		$	(4	)	$	495	$	(355	)
Federal funds purchased and securities loaned and sold under agreements to repurchase	726		(8		)	—			1		—			—		243			(31		)	36			983		24
Trading account liabilities
Securities sold, not yet purchased	22		(454		)	—			187		(172		)	7		226			(39		)	(99		)	586		(238		)
Other trading liabilities	5		5			—			—		—			—		—			—			—			—		—
Short-term borrowings	18		53			—			72		(46		)	—		86			—			(40		)	37		25
Long-term debt	13,082		(182		)	—			2,850		(3,514		)	36		(18		)	(45		)	(3		)	12,570		(2,871		)
Other financial liabilities measured on a recurring basis	8		—			(2		)	1		(10		)	—		2			—			(3		)	—		(8		)


(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 in the Consolidated Statement of Income.


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


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 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) included 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			Dec. 31, 2017
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	1,496		$	(281	)	$	—		$	—		$	(1,198	)	$	—	$	—		$	—		$	(1	)	$	16		$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	176			23			—			176			(174		)	463		—			(504		)	3			163			2
Residential	399			86			—			95			(118		)	126		—			(424		)	—			164			14
Commercial	206			15			—			69			(57		)	450		—			(626		)	—			57			(5		)
Total trading mortgage-backed securities	$	781		$	124		$	—		$	340		$	(349	)	$	1,039	$	—		$	(1,554	)	$	3		$	384		$	11
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—	$	—		$	(1	)	$	—		$	—		$	—
State and municipal	296			28			—			24			(48		)	161		(23		)	(164		)	—			274			8
Foreign government	40			1			—			89			(228		)	291		—			(177		)	—			16			—
Corporate	324			344			—			140			(185		)	482		(8		)	(828		)	6			275			81
Equity securities	127			54			—			210			(58		)	51		(3		)	(261		)	—			120			—
Asset-backed securities	1,868			284			—			44			(178		)	1,457		—			(1,885		)	—			1,590			36
Other trading assets	2,814			117			—			474			(2,691		)	2,195		11			(2,285		)	(20		)	615			60
Total trading non-derivative assets	$	6,251		$	952		$	—		$	1,321		$	(3,737	)	$	5,676	$	(23	)	$	(7,155	)	$	(11	)	$	3,274		$	196
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(663	)	$	(44	)	$	—		$	(28	)	$	610		$	154	$	(13	)	$	(322	)	$	(116	)	$	(422	)	$	77
Foreign exchange contracts	413			(438		)	—			54			(60		)	33		14			(21		)	135			130			(139		)
Equity contracts	(1,557		)	129			—			(159		)	28			184		(216		)	(333		)	(103		)	(2,027		)	(214		)
Commodity contracts	(1,945		)	(384		)	—			77			35			—		23			(3		)	336			(1,861		)	149
Credit derivatives	(1,001		)	(484		)	—			(28		)	18			6		16			(6		)	680			(799		)	(169		)
Total trading derivatives, net⁽⁴⁾	$	(4,753	)	$	(1,221	)	$	—		$	(84	)	$	631		$	377	$	(176	)	$	(685	)	$	932		$	(4,979	)	$	(296	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	101		$	—		$	16		$	1		$	(94	)	$	—	$	—		$	—		$	—		$	24		$	(2	)
Residential	50			—			2			—			(47		)	—		—			(5		)	—			—			—
Commercial	—			—			—			3			—			12		—			(12		)	—			3			—
Total investment mortgage-backed securities	$	151		$	—		$	18		$	4		$	(141	)	$	12	$	—		$	(17	)	$	—		$	27		$	(2	)
U.S. Treasury and federal agency securities	$	2		$	—		$	—		$	—		$	—		$	—	$	—		$	(2	)	$	—		$	—		$	—
State and municipal	1,211			—			58			70			(517		)	127		—			(212		)	—			737			44
Foreign government	186			—			—			2			(284		)	523		—			(335		)	—			92			1
Corporate	311			—			9			77			(47		)	227		—			(506		)	—			71			—
Marketable equity securities	9			—			(1		)	—			—			—		—			(6		)	—			2			—
Asset-backed securities	660			—			(89		)	31			(32		)	883		—			(626		)	—			827			12
Other debt securities	—			—			—			—			—			21		—			(21		)	—			—			—
Non-marketable equity securities	1,331			—			(170		)	2			—			19		—			(233		)	(268		)	681			44
Total investments	$	3,861		$	—		$	(175	)	$	186		$	(1,021	)	$	1,812	$	—		$	(1,958	)	$	(268	)	$	2,437		$	99

Table continues on the next page, including footnotes.



			Net realized/unrealized gains (losses) included 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			Dec. 31, 2017
Loans	$	568	$	—		$	75		$	80	$	(16	)	$	188	$	—	$	(337	)	$	(8	)	$	550	$	211
Mortgage servicing rights	1,564		—			65			—		—			—		96		(1,057		)	(110		)	558		74
Other financial assets measured on a recurring basis	34		—			(128		)	10		(8		)	1		318		(14		)	(197		)	16		(152		)
Liabilities
Interest-bearing deposits	$	293	$	—		$	25		$	40	$	—		$	—	$	2	$	—		$	(24	)	$	286	$	22
Federal funds purchased and securities loaned and sold under agreements to repurchase	849		14			—			—		—			—		36		—			(145		)	726		10
Trading account liabilities
Securities sold, not yet purchased	1,177		385			—			22		(796		)	—		17		277			(290		)	22		8
Other trading liabilities	1		—			—			4		—			—		—		—			—			5		—
Short-term borrowings	42		32			—			4		(7		)	—		31		—			(20		)	18		(3		)
Long-term debt	9,744		(1,083		)	—			1,251		(1,836		)	44		2,712		—			84			13,082		(1,554		)
Other financial liabilities measured on a recurring basis	8		—			—			5		—			—		5		(1		)	(9		)	8		(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 in the Consolidated Statement of Income.


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


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2017.


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

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

Valuation Techniques and Inputs for Level 3 Fair

Value Measurements

The Company’s Level 3 inventory consists of both cash

instruments and derivatives of varying complexity. The

valuation methodologies used to measure the fair value of

these positions include discounted cash flow analysis, internal

models and comparative analysis. A position is classified

within Level 3 of the fair value hierarchy when at least one

input is unobservable and is considered significant to its

valuation. The specific reason an input is deemed

unobservable varies; for example, at least one significant

input to the pricing model is not observable in the market, at

least one significant input has been adjusted to make it more

representative of the position being valued or the price quote

available does not reflect sufficient trading activities.

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 December 31, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	115	Model-based	Interest rate	2.52		%	7.43		%	5.08		%

Mortgage-backed securities	$	313	Price-based	Price	$	11.25		$	110.35		$	90.07
	198		Yield analysis	Yield	2.27		%	8.70		%	3.74		%
State and municipal, foreign government, corporate and other debt securities	$	1,212	Price-based	Price	$	—		$	103.75		$	91.39
	938		Model-based	Credit spread	35 bps			446 bps			238 bps
Equity securities⁽⁵⁾	$	108	Price-based	Price	$	—		$	20,255.00		$	1,247.85
	45		Model-based	WAL	1.47 years			1.47 years			1.47 years
Asset-backed securities	$	1,608	Price-based	Price	$	2.75		$	101.03		$	66.18
Non-marketable equity	$	293	Comparables analysis	Discount to price	—		%	100.00		%	0.66		%
	255		Price-based	EBITDA multiples	5.00x			34.00x			9.73x
				Net operating income multiple	24.70x			24.70x			24.70x
				Price	$	2.38		$	1,073.80		$	420.24
				Revenue multiple	2.25x			16.50x			7.06x
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	3,467	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Inflation volatility	0.22		%	2.65		%	0.77		%
				IR normal volatility	0.16		%	86.31		%	56.24		%
Foreign exchange contracts (gross)	$	626	Model-based	Foreign exchange (FX) volatility	3.15		%	17.35		%	11.37		%
	73		Cash flow	IR-IR correlation	(51.00		)%	40.00		%	32.69		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				Credit spread	39 bps			676 bps			423 bps
				IR basis	(0.65		)%	0.11		%	(0.17		)%
				Yield	6.98		%	7.48		%	7.23		%
Equity contracts (gross)⁽⁷⁾	$	1,467	Model-based	Equity volatility	3.00		%	78.39		%	37.53		%
				Forward price	64.66		%	144.45		%	98.55		%
				Equity-Equity correlation	(81.39		)%	100.00		%	35.49		%
				Equity-FX correlation	(86.27		)%	70.00		%	(1.20		)%
				WAL	1.47 years			1.47 years			1.47 years
Commodity contracts (gross)	$	1,552	Model-based	Forward price	15.30		%	585.07		%	145.08		%
				Commodity volatility	8.92		%	59.86		%	20.34		%
				Commodity correlation	(51.90		)%	92.11		%	40.71		%



As of December 31, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Credit derivatives (gross)	$	1,089	Model-based	Credit correlation	5.00		%	85.00		%	41.06		%
	701		Price-based	Upfront points	7.41		%	99.04		%	58.95		%
				Credit spread	2 bps			1,127 bps			87 bps
				Recovery rate	5.00		%	65.00		%	46.40		%
				Price	$	16.59		$	98.00		$	81.19
Loans and leases	$	248	Model-based	Credit spread	138 bps			255 bps			147 bps
	29		Price-based	Yield	0.30		%	0.47		%	0.32		%
				Price	$	55.83		$	110.00		$	92.40
Mortgage servicing rights	$	501	Cash flow	Yield	4.60		%	12.00		%	7.79		%
	84		Model-based	WAL	3.55 years			7.45 years			6.39 years
Liabilities
Interest-bearing deposits	$	495	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	64.66		%	144.45		%	98.55		%
				Equity volatility	3.00		%	78.39		%	43.49		%
Federal funds purchased and securities loaned and sold under agreements to repurchase	$	983	Model-based	Interest rate	2.52		%	3.21		%	2.87		%
Trading account liabilities
Securities sold, not yet purchased	$	509	Model-based	Forward price	15.30		%	585.07		%	105.69		%
	77		Price-based	Equity volatility	3.00		%	78.39		%	43.49		%
				Equity-Equity correlation	(81.39		)%	100.00		%	34.04		%
				Equity-FX correlation	(86.27		)%	70.00		%	(1.20		)%
				Commodity volatility	8.92		%	59.86		%	20.34		%
				Commodity correlation	(51.90		)%	92.11		%	40.71		%
				Equity-IR correlation	(40.00		)%	70.37		%	30.80		%

Short-term borrowings and long-term debt	$	12,289	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				IR normal volatility	0.16		%	86.31		%	56.61		%
				Forward price	64.66		%	144.45		%	98.58		%
				Equity volatility	3.00		%	78.39		%	43.24		%



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 and 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		%
Marketable equity securities⁽⁵⁾	$	65	Priced-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
Non-marketable equity	$	423	Comparables analysis	EBITDA multiples	6.90x			12.80x			8.66x



As of December 31, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
	223		Price-based	Discount to price	—		%	100.00		%	11.83		%
				Price-to-book ratio	0.05x			1.00x			0.32x
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 and 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 and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.


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


(7)	Includes hybrid products.

Items measured at fair value of a nonrecurring basis

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



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2018
Loans HFS⁽¹⁾	$	5,055	$	3,261	$	1,794
Other real estate owned	78		62		16
Loans⁽²⁾	390		139		251
Non-marketable equity securities measured using the measurement alternative	261		192		69
Total assets at fair value on a nonrecurring basis	$	5,784	$	3,654	$	2,130



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 within 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, primarily real estate secured loans.

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:



As of December 31, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans HFS	$	1,729	Price-based	Price	$	0.79		$	100.00		$	69.52
Other real estate owned	$	15	Price-based	Appraised value⁽⁴⁾	$	8,394,102		$	8,394,102		$	8,394,102
	2		Recovery analysis	Discount to price⁽⁵⁾	13.00		%	13.00		%	13.00		%
				Price	$	56.30		$	83.08		$	58.27
Loans⁽⁶⁾	$	251	Recovery analysis	Recovery rate	30.60		%	100.00		%	50.51		%
				Price	$	2.60		$	85.04		$	28.21
Non-marketable equity securities measured using the measurement alternative	$	66	Price-based	Price	$	45.80		$	1,514.00		$	570.26



As of December 31, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans HFS	$	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	34.00		%	34.00		%	34.00		%
				Price	$	30.00		$	50.36		$	49.09
Loans⁽⁴⁾	$	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)	Includes estimated costs to sell.


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

Changes in total nonrecurring fair value measurements

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



	Year ended December 31,
In millions of dollars	2018
Loans HFS	$	(13	)
Other real estate owned	(2		)
Loans⁽¹⁾	(22		)
Non-marketable equity securities measured using the measurement alternative	194
Total nonrecurring fair value gains (losses)	$	157



	Year ended December 31,
In millions of dollars	2017
Loans HFS	$	(26	)
Other real estate owned	(4		)
Loans⁽¹⁾	(87		)
Non-marketable equity securities measured using the measurement alternative	—
Total nonrecurring fair value gains (losses)	$	(117	)


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

Estimated Fair Value of Financial Instruments

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

The disclosure also excludes leases, affiliate investments, pension and benefit obligations, certain insurance contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the tables exclude the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into.



	December 31, 2018				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	68.9	$	68.5	$	1.0	$	65.4	$	2.1
Federal funds sold and securities borrowed and purchased under agreements to resell	123.0		123.0		—		121.6		1.4
Loans⁽¹⁾⁽²⁾	667.1		666.9		—		5.6		661.3
Other financial assets⁽²⁾⁽³⁾	249.7		250.1		172.3		15.8		62.0
Liabilities
Deposits	$	1,011.7	$	1,009.5	$	—	$	847.1	$	162.4
Federal funds purchased and securities loaned or sold under agreements to repurchase	133.3		133.3		—		133.3		—
Long-term debt⁽⁴⁾	193.8		193.7		—		178.4		15.3
Other financial liabilities⁽⁵⁾	103.8		103.8		—		17.2		86.6



	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 and 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 and 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 $12.3 billion for December 31, 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 December 31, 2018 and 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 recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


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


(5)	Includes brokerage payables, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.