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FAIR VALUE MEASUREMENT

6 Months Ended

Jun. 30, 2019

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2018 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, 2019 and December 31, 2018:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2019			December 31, 2018
Counterparty CVA	$	(866	)	$	(1,085	)
Asset FVA	(563		)	(544		)
Citigroup (own-credit) CVA	375			482
Liability FVA	105			135
Total CVA—derivative instruments⁽¹⁾	$	(949	)	$	(1,012	)


(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	2019			2018		2019			2018
Counterparty CVA	$	28		$	—	$	102		$	23
Asset FVA	(39		)	40		(19		)	49
Own-credit CVA	(13		)	24		(105		)	99
Liability FVA	18			22		(30		)	15
Total CVA—derivative instruments	$	(6	)	$	86	$	(52	)	$	186
DVA related to own FVO liabilities⁽¹⁾	$	3		$	418	$	(722	)	$	585
Total CVA and DVA⁽²⁾	$	(3	)	$	504	$	(774	)	$	771


(1)	See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

(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, 2019 and December 31, 2018. 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, 2019	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	263,499	$	122	$	263,621	$	(85,513	)	$	178,108
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		27,036		187		27,223		—			27,223
Residential	—		540		131		671		—			671
Commercial	—		1,482		53		1,535		—			1,535
Total trading mortgage-backed securities	$	—	$	29,058	$	371	$	29,429	$	—		$	29,429
U.S. Treasury and federal agency securities	$	38,082	$	5,231	$	—	$	43,313	$	—		$	43,313
State and municipal	—		2,671		177		2,848		—			2,848
Foreign government	59,912		24,133		20		84,065		—			84,065
Corporate	2,288		14,809		454		17,551		—			17,551
Equity securities	51,566		9,176		123		60,865		—			60,865
Asset-backed securities	—		1,735		1,411		3,146		—			3,146
Other trading assets⁽²⁾	10		10,756		740		11,506		—			11,506
Total trading non-derivative assets	$	151,858	$	97,569	$	3,296	$	252,723	$	—		$	252,723
Trading derivatives
Interest rate contracts	$	332	$	211,668	$	1,644	$	213,644
Foreign exchange contracts	—		131,595		379		131,974
Equity contracts	364		26,355		469		27,188
Commodity contracts	—		13,717		1,023		14,740
Credit derivatives	—		10,291		696		10,987
Total trading derivatives	$	696	$	393,626	$	4,211	$	398,533
Cash collateral paid⁽³⁾							$	14,134
Netting agreements									$	(311,423	)
Netting of cash collateral received									(47,136		)
Total trading derivatives	$	696	$	393,626	$	4,211	$	412,667	$	(358,559	)	$	54,108
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	37,829	$	31	$	37,860	$	—		$	37,860
Residential	—		910		—		910		—			910
Commercial	—		115		—		115		—			115
Total investment mortgage-backed securities	$	—	$	38,854	$	31	$	38,885	$	—		$	38,885
U.S. Treasury and federal agency securities	$	101,889	$	7,620	$	—	$	109,509	$	—		$	109,509
State and municipal	—		5,144		1,026		6,170		—			6,170
Foreign government	64,001		37,662		77		101,740		—			101,740
Corporate	5,115		7,152		56		12,323		—			12,323
Marketable equity securities	57		476		—		533		—			533
Asset-backed securities	—		559		59		618		—			618
Other debt securities	—		4,190		—		4,190		—			4,190
Non-marketable equity securities⁽⁴⁾	—		96		448		544		—			544
Total investments	$	171,062	$	101,753	$	1,697	$	274,512	$	—		$	274,512

Table continues on the next page.



In millions of dollars at June 30, 2019	Level 1			Level 2			Level 3			Gross inventory		Netting⁽¹⁾			Net balance
Loans	$	—		$	3,405		$	419		$	3,824	$	—		$	3,824
Mortgage servicing rights	—			—			508			508		—			508
Non-trading derivatives and other financial assets measured on a recurring basis	$	16,669		$	5,928		$	—		$	22,597	$	—		$	22,597
Total assets	$	340,285		$	865,780		$	10,253		$	1,230,452	$	(444,072	)	$	786,380
Total as a percentage of gross assets⁽⁵⁾	28.0		%	71.2		%	0.8		%
Liabilities
Interest-bearing deposits	$	—		$	1,457		$	1,182		$	2,639	$	—		$	2,639
Securities loaned and sold under agreements to repurchase	—			129,565			1,085			130,650		(85,513		)	45,137
Trading account liabilities
Securities sold, not yet purchased	73,084			13,372			28			86,484		—			86,484
Other trading liabilities	—			37			—			37		—			37
Total trading liabilities	$	73,084		$	13,409		$	28		$	86,521	$	—		$	86,521
Trading derivatives
Interest rate contracts	$	211		$	188,797		$	1,753		$	190,761
Foreign exchange contracts	—			132,354			476			132,830
Equity contracts	296			29,835			1,663			31,794
Commodity contracts	—			16,907			876			17,783
Credit derivatives	—			11,310			610			11,920
Total trading derivatives	$	507		$	379,203		$	5,378		$	385,088
Cash collateral received⁽⁶⁾										$	14,041
Netting agreements												$	(311,423	)
Netting of cash collateral paid												(37,933		)
Total trading derivatives	$	507		$	379,203		$	5,378		$	399,129	$	(349,356	)	$	49,773
Short-term borrowings	$	—		$	5,137		$	154		$	5,291	$	—		$	5,291
Long-term debt	—			34,550			14,938			49,488		—			49,488
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	16,669		$	129		$	1		$	16,799	$	—		$	16,799
Total liabilities	$	90,260		$	563,450		$	22,766		$	690,517	$	(434,869	)	$	255,648
Total as a percentage of gross liabilities⁽⁵⁾	13.3		%	83.3		%	3.4		%


(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 21 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 $52,067 million gross cash collateral paid, of which $37,933 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $0.2 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).


(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 $61,177 million of gross cash collateral received, of which $47,136 million was used to offset trading derivative assets.

Fair Value Levels



In millions of dollars at December 31, 2018	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
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.



In millions of dollars at December 31, 2018	Level 1			Level 2			Level 3			Gross inventory		Netting⁽²⁾			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
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 account 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
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 21 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 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).


(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.

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, 2019 and 2018. 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, 2019			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases			Issuances			Sales			Settlements			Jun. 30, 2019
Assets
Securities borrowed and purchased under agreements to resell	$	66		$	5		$	—	$	2		$	—		$	49		$	—		$	—		$	—		$	122		$	—
Trading non-derivative assets
Trading mortgage- backed securities
U.S. government-sponsored agency guaranteed	154			6			—		1			(2		)	42			(1		)	(13		)	—			187			4
Residential	128			10			—		17			(9		)	61			—			(76		)	—			131			15
Commercial	69			2			—		3			(34		)	38			—			(25		)	—			53			(6		)
Total trading mortgage- backed securities	$	351		$	18		$	—	$	21		$	(45	)	$	141		$	(1	)	$	(114	)	$	—		$	371		$	13
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
State and municipal	178			—			—		—			—			—			—			(1		)	—			177			—
Foreign government	39			2			—		—			—			—			—			(21		)	—			20			1
Corporate	378			255			—		41			(5		)	109			—			(322		)	(2		)	454			55
Marketable equity securities	127			13			—		(2		)	—			48			—			(63		)	—			123			(28		)
Asset-backed securities	1,429			20			—		6			(15		)	242			—			(271		)	—			1,411			10
Other trading assets	1,042			45			—		2			(135		)	97			6			(312		)	(5		)	740			6
Total trading non- derivative assets	$	3,544		$	353		$	—	$	68		$	(200	)	$	637		$	5		$	(1,104	)	$	(7	)	$	3,296		$	57
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(116	)	$	(68	)	$	—	$	(59	)	$	137		$	(21	)	$	19		$	8		$	(9	)	$	(109	)	$	(101	)
Foreign exchange contracts	46			(109		)	—		15			9			—			—			(2		)	(56		)	(97		)	(124		)
Equity contracts	(1,345		)	183			—		(38		)	100			2			(88		)	(2		)	(6		)	(1,194		)	193
Commodity contracts	304			(243		)	—		9			(4		)	66			—			(12		)	27			147			(135		)
Credit derivatives	34			59			—		(1		)	(38		)	—			—			14			18			86			10
Total trading derivatives, net⁽⁴⁾	$	(1,077	)	$	(178	)	$	—	$	(74	)	$	204		$	47		$	(69	)	$	6		$	(26	)	$	(1,167	)	$	(157	)

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, 2019		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances			Sales			Settlements			Jun. 30, 2019
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—		$	(1	)	$	—	$	—		$	—	$	—		$	—		$	—		$	31	$	(1	)
Residential	—		—			—			—		—			—		—			—			—			—		—
Commercial	—		—			—			—		—			—		—			—			—			—		—
Total investment mortgage-backed securities	$	32	$	—		$	(1	)	$	—	$	—		$	—	$	—		$	—		$	—		$	31	$	(1	)
U.S. Treasury and federal agency securities	$	—	$	—		$	—		$	—	$	—		$	—	$	—		$	—		$	—		$	—	$	—
State and municipal	910		—			42			11		—			236		—			(173		)	—			1,026		48
Foreign government	71		—			5			—		—			17		—			(16		)	—			77		1
Corporate	60		—			—			—		—			—		—			(4		)	—			56		—
Marketable equity securities	—		—			—			—		—			—		—			—			—			—		—
Asset-backed securities	806		—			10			1		(585		)	—		—			(173		)	—			59		9
Other debt securities	—		—			—			—		—			—		—			—			—			—		—
Non-marketable equity securities	505		—			(2		)	6		—			3		—			(64		)	—			448		(12		)
Total investments	$	2,384	$	—		$	54		$	18	$	(585	)	$	256	$	—		$	(430	)	$	—		$	1,697	$	45
Loans	$	373	$	—		$	63		$	3	$	—		$	5	$	—		$	(25	)	$	—		$	419	$	174
Mortgage servicing rights	551		—			(37		)	—		—			—		16			—			(22		)	508		(34		)
Other financial assets measured on a recurring basis	—		—			9			—		4			—		(3		)	(4		)	(6		)	—		—
Liabilities
Interest-bearing deposits	$	1,047	$	—		$	(39	)	$	2	$	(18	)	$	—	$	129		$	—		$	(17	)	$	1,182	$	(211	)
Securities loaned and sold under agreements to repurchase	1,041		(42		)	—			2		—			—		—			—			—			1,085		(13		)
Trading account liabilities
Securities sold, not yet purchased	15		(6		)	—			15		(6		)	—		—			—			(2		)	28		(1		)
Other trading liabilities	—		—			—			—		—			—		—			—			—			—		—
Short-term borrowings	170		2			—			—		(25		)	—		12			—			(1		)	154		(2		)
Long-term debt	13,734		(819		)	—			747		(1,360		)	20		900			(1		)	79			14,938		(1,023		)
Other financial liabilities measured on a recurring basis	—		—			4			5		—			—		—			—			—			1		—


(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 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 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, 2019.


(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, 2018			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances			Sales			Settlements			Jun. 30, 2019
Assets
Securities borrowed and purchased under agreements to resell	$	115		$	1		$	—		$	5		$	(4	)	$	94		$	—		$	—		$	(89	)	$	122		$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	156			6			—			1			(27		)	90			(1		)	(38		)	—			187			7
Residential	268			11			—			22			(40		)	130			—			(260		)	—			131			15
Commercial	77			4			—			5			(35		)	62			—			(60		)	—			53			(5		)
Total trading mortgage-backed securities	$	501		$	21		$	—		$	28		$	(102	)	$	282		$	(1	)	$	(358	)	$	—		$	371		$	17
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	(1	)	$	—		$	—
State and municipal	200			(1		)	—			—			(19		)	1			—			(4		)	—			177			—
Foreign government	31			1			—			9			—			3			—			(24		)	—			20			1
Corporate	360			345			—			62			(31		)	178			(33		)	(425		)	(2		)	454			34
Marketable equity securities	153			3			—			(1		)	(11		)	57			—			(78		)	—			123			(25		)
Asset-backed securities	1,484			(6		)	—			13			(47		)	463			—			(496		)	—			1,411			57
Other trading assets	818			50			—			15			(167		)	437			10			(414		)	(9		)	740			(15		)
Total trading non-derivative assets	$	3,548		$	413		$	—		$	126		$	(377	)	$	1,421		$	(24	)	$	(1,799	)	$	(12	)	$	3,296		$	69
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(154	)	$	(119	)	$	—		$	(74	)	$	164		$	(15	)	$	31		$	8		$	50		$	(109	)	$	(85	)
Foreign exchange contracts	(6		)	(49		)	—			—			24			3			—			(6		)	(63		)	(97		)	(165		)
Equity contracts	(784		)	(111		)	—			(192		)	109			1			(147		)	—			(70		)	(1,194		)	(338		)
Commodity contracts	(18		)	37			—			6			6			120			—			(46		)	42			147			153
Credit derivatives	61			(260		)	—			(19		)	194			—			—			14			96			86			(335		)
Total trading derivatives, net⁽⁴⁾	$	(901	)	$	(502	)	$	—		$	(279	)	$	497		$	109		$	(116	)	$	(30	)	55			$	(1,167	)	$	(770	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32		$	—		$	(1	)	$	—		$	—		$	—		$	—		$	—		$	—		$	31		$	(3	)
Residential	—			—			—			—			—			—			—			—			—			—			—
Commercial	—			—			—			—			—			—			—			—			—			—			—
Total investment mortgage-backed securities	$	32		$	—		$	(1	)	$	—		$	—		$	—		$	—		$	—		$	—		$	31		$	(3	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
State and municipal	708			—			94			14			—			421			—			(211		)	—			1,026			84
Foreign government	68			—			1			—			—			56			—			(48		)	—			77			1
Corporate	156			—			—			—			(94		)	—			—			(6		)	—			56			—
Marketable equity securities	—			—			—			—			—			—			—			—			—			—			—
Asset-backed securities	187			—			8			95			(585		)	550			—			(196		)	—			59			9
Other debt securities	—			—			—			—			—			—			—			—			—			—			—
Non-marketable equity securities	586			—			20			6			—			7			—			(150		)	(21		)	448			(15		)
Total investments	$	1,737		$	—		$	122		$	115		$	(679	)	$	1,034		$	—		$	(611	)	$	(21	)	$	1,697		$	76



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2018		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances			Sales			Settlements			Jun. 30, 2019
Loans	$	277	$	—		$	108		$	128	$	(70	)	$	11	$	—		$	(35	)	$	—		$	419	$	294
Mortgage servicing rights	584		—			(64		)	—		—			—		28			—			(40		)	508		(60		)
Other financial assets measured on a recurring basis	—		—			25			—		4			—		(5		)	(8		)	(16		)	—		—
Liabilities
Interest-bearing deposits	$	495	$	—		$	(49	)	$	3	$	(22	)	$	—	$	803		$	—		$	(146	)	$	1,182	$	(182	)
Securities loaned and sold under agreements to repurchase	983		(38		)	—			1		4			—		—			1			58			1,085		(24		)
Trading account liabilities
Securities sold, not yet purchased	586		118			—			16		(447		)	—		—			—			(9		)	28		—
Other trading liabilities	—		—			—			—		—			—		—			—			—			—		—
Short-term borrowings	37		25			—			9		(31		)	—		165			—			(1		)	154		(2		)
Long-term debt	12,570		(1,226		)	—			1,624		(2,961		)	20		6,850			(4		)	(4,387		)	14,938		(769		)
Other financial liabilities measured on a recurring basis	—		—			4			5		—			—		—			—			—			1		—


(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 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 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, 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	Mar. 31, 2018			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2018
Assets
Securities borrowed and 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
Marketable 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
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			—
Marketable equity securities	1			—			—			—			—			—		—		—			—			1			—
Asset-backed securities	497			—			(25		)	1			(2		)	11		—		(26		)	—			456			(25		)
Other debt securities	—			—			—			—			—			—		—		—			—			—			—



			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
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	)
Securities loaned and 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		)	—		—


(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 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 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
Assets
Securities borrowed and 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
Marketable 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			—
Marketable 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
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	)
Securities loaned and 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 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 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.

Level 3 Fair Value Rollforward

The following were the significant Level 3 transfers for the period December 31, 2018 to June 30, 2019:


•	During the three and six months ended June 30, 2019, transfers of Long-term debt of $0.7 billion and $1.6 billion from Level 2 to Level 3, and of $1.4 billion and $3.0 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.

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.

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, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Securities borrowed and purchased under agreements to resell	$	122	Model-based	Interest rate	1.77		%	3.67		%	2.90		%
Mortgage-backed securities	$	220	Yield analysis	Yield	1.94		%	7.72		%	3.23		%
	162		Price-based	Price	$	15.00		$	125.81		$	86.87
State and municipal, foreign government, corporate and other debt securities	$	1,261	Price-based	Price	$	—		$	1,127.39		$	77.56
	1,093		Model-based	Credit spread	35bps			470bps			214 bps
Marketable equity securities⁽⁵⁾	$	81	Price-based	Price	$	0.01		$	41,284.00		$	5,730.26
	41		Model-based	WAL	1 year			1 year			1 year
Asset-backed securities	$	1,429	Price-based	Price	$	2.75		$	100.00		$	78.27
Non-marketable equities	$	262	Comparables analysis	EBITDA multiples	8.10x			19.40x			11.72x
	152		Price-based	Price	$	8.18		$	1,540.00		$	773.53
				Appraised value	$	381,810		$	33,710,000		$	14,639,552
				Discount to price	—		%	10.00		%	2.30		%
				Revenue multiple	3.15x			26.12x			11.76x
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	3,307	Model-based	Inflation volatility	0.22		%	2.67		%	0.79		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				IR Normal volatility	0.15		%	80.37		%	49.53		%
Foreign exchange contracts (gross)	$	796	Model-based	FX volatility	3.09		%	15.04		%	9.83		%
				IR-IR correlation	(51.00		)%	40.00		%	33.10		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				Interest rate	4.50		%	11.33		%	9.24		%
				IR Normal volatility	—		%	80		%	24		%
				Credit Spread	32bps			535bps			381bps
Equity contracts (gross)⁽⁷⁾	$	2,130	Model-based	Equity volatility	2.87		%	88.26		%	48.13		%
				Forward price	59.57		%	129.82		%	119.02		%
				Equity-Equity correlation	(48.61		)%	98.11		%	72.94		%
				Equity-FX correlation	(75.00		)%	37.27		%	(20.58		)%
Commodity and other contracts (gross)	$	1,900	Model-based	Forward price	26.15		%	343.40		%	111.96		%
				Commodity volatility	10.08		%	93.16		%	24.97		%
				Commodity correlation	(40.55		)%	89.50		%	45.81		%
Credit derivatives (gross)	$	708	Model-based	Upfront points	4.99		%	99.77		%	58.34		%
	597		Price-based	Credit correlation	25.00		%	85.00		%	43.66		%
				Credit spread	4bps			334bps			70bps
				Price	$	12.00		$	98.00		$	69.20



As of June 30, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
				Recovery rate	20.00		%	60.00		%	41.00		%
Loans and leases	$	379	Model-based	Equity volatility	27		%	37		%	32		%
				Credit spread	110bps			110bps			110bps
				Yield	—		%	—		%	—		%
Mortgage servicing rights	$	424	Cash flow	Yield	4.77		%	16.26		%	8.00		%
	83		Model-based	WAL	3.4 years			7.1 years			5.8 years
Liabilities
Interest-bearing deposits	$	1,182	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
Securities loaned and sold under agreement to repurchase	$	1,085	Model-based	Interest rate	1.77		%	2.53		%	2.01		%
Trading account liabilities
Securities sold, not yet purchased	$	27	Price-based	Price	$	—		$	2,164.17		$	86.14
Short-term borrowings and long-term debt	$	15,232	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	26.15		%	343.40		%	118.53		%
				IR Normal volatility	0.15		%	80.37		%	44.02		%



As of December 31, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
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
Marketable equity securities⁽⁵⁾	$	108	Price-based	Price	$	—		$	20,255.00		$	1,247.85
	45		Model-based	WAL	1.47years			1.47years			1.47years
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	39bps			676bps			423bps
				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		%



As of December 31, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
				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		%
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	$	500	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		%
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		%


(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 securities 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 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
June 30, 2019
Loans HFS⁽¹⁾	$	3,634	$	2,391	$	1,243
Other real estate owned	50		37		13
Loans⁽²⁾	482		172		310
Non-marketable equity securities measured using the measurement alternative	125		108		17
Total assets at fair value on a nonrecurring basis	$	4,291	$	2,708	$	1,583



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


(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 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 June 30, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	839	Price-based	Price	$	82.90		$	100.00		$	96.67
Other real estate owned	$	9	Price-based	Appraised value⁽⁴⁾	$	2,953,240		$	8,394,102		$	6,978,072
Loans⁽⁵⁾	62		Price-based	Price	2.65			63.00			30.48
	59		Recovery analysis	Recovery rate	85.25		%	99.50		%	95.60		%
Non-marketable equity securities measured using the measurement alternative	$	17	Price-based	Price	$	13.78		$	13.78		$	13.78



As of December 31, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	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⁽⁶⁾	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


(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 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:



	Three Months Ended June 30,
In millions of dollars	2019			2018
Loans HFS	$	(14	)	$	(7	)
Other real estate owned	(1		)	(1		)
Loans⁽¹⁾	(44		)	(33		)
Non-marketable equity securities measured using the measurement alternative	4			(1		)
Total nonrecurring fair value gains (losses)	$	(55	)	$	(42	)


(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	2019			2018
Loans HFS	$	(1	)	$	(8	)
Other real estate owned	—			(1		)
Loans⁽¹⁾	(62		)	(33		)
Non-marketable equity securities measured using the measurement alternative	65			104
Total nonrecurring fair value gains (losses)	$	2		$	62

(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, 2019				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	74.4	$	75.3	$	1.9	$	71.0	$	2.4
Securities borrowed and purchased under agreements to resell	81.7		81.7		—		81.5		0.2
Loans⁽¹⁾⁽²⁾	670.9		675.6		—		9.6		666.0
Other financial assets⁽²⁾⁽³⁾	281.0		281.4		187.6		15.6		78.2
Liabilities
Deposits	$	1,043.0	$	1,039.8	$	—	$	837.5	$	202.3
Securities loaned and sold under agreements to repurchase	136.0		136.0		—		136.0		—
Long-term debt⁽⁴⁾	202.6		212.2		—		197.8		14.4
Other financial liabilities⁽⁵⁾	121.8		121.8		—		20.2		101.6



	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
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
Securities loaned and 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


(1)	The carrying value of loans is net of the Allowance for loan losses of $12.5 billion for June 30, 2019 and $12.3 billion for December 31, 2018. In addition, the carrying values exclude $1.5 billion and $1.6 billion of lease finance receivables at June 30, 2019 and December 31, 2018, 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, 2019 and December 31, 2018 were liabilities of $8.0 billion and $7.8 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