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FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2019

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

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at September 30, 2019 and December 31, 2018:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2019			December 31, 2018
Counterparty CVA	$	(866	)	$	(1,085	)
Asset FVA	(640		)	(544		)
Citigroup (own-credit) CVA	446			482
Liability FVA	119			135
Total CVA—derivative instruments⁽¹⁾	$	(941	)	$	(1,012	)

(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 periods indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2019			2018			2019			2018
Counterparty CVA	$	2		$	94		$	104		$	117
Asset FVA	(78		)	74			(97		)	123
Own-credit CVA	85			(75		)	(20		)	24
Liability FVA	14			(23		)	(16		)	(8		)
Total CVA—derivative instruments	$	23		$	70		$	(29	)	$	256
DVA related to own FVO liabilities⁽¹⁾	$	273		$	(377	)	$	(449	)	$	208
Total CVA and DVA⁽²⁾	$	296		$	(307	)	$	(478	)	$	464


(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 September 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 September 30, 2019	Level 1		Level 2		Level 3		Gross inventory		Netting⁽¹⁾			Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	242,754	$	118	$	242,872	$	(94,504	)	$	148,368
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		30,684		272		30,956		—			30,956
Residential	—		632		164		796		—			796
Commercial	—		1,298		212		1,510		—			1,510
Total trading mortgage-backed securities	$	—	$	32,614	$	648	$	33,262	$	—		$	33,262
U.S. Treasury and federal agency securities	$	33,269	$	5,283	$	6	$	38,558	$	—		$	38,558
State and municipal	—		3,160		178		3,338		—			3,338
Foreign government	59,978		20,539		84		80,601		—			80,601
Corporate	1,987		16,703		406		19,096		—			19,096
Equity securities	47,371		9,405		111		56,887		—			56,887
Asset-backed securities	—		1,742		1,337		3,079		—			3,079
Other trading assets⁽²⁾	75		13,047		479		13,601		—			13,601
Total trading non-derivative assets	$	142,680	$	102,493	$	3,249	$	248,422	$	—		$	248,422
Trading derivatives
Interest rate contracts	$	61	$	235,910	$	2,015	$	237,986
Foreign exchange contracts	1		140,206		1,078		141,285
Equity contracts	73		28,330		306		28,709
Commodity contracts	3		13,087		804		13,894
Credit derivatives	—		10,620		689		11,309
Total trading derivatives	$	138	$	428,153	$	4,892	$	433,183
Cash collateral paid⁽³⁾							$	14,693
Netting agreements									$	(337,235	)
Netting of cash collateral received									(52,239		)
Total trading derivatives	$	138	$	428,153	$	4,892	$	447,876	$	(389,474	)	$	58,402
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	39,170	$	31	$	39,201	$	—		$	39,201
Residential	—		793		—		793		—			793
Commercial	—		85		—		85		—			85
Total investment mortgage-backed securities	$	—	$	40,048	$	31	$	40,079	$	—		$	40,079
U.S. Treasury and federal agency securities	$	101,792	$	6,441	$	—	$	108,233	$	—		$	108,233
State and municipal	—		5,073		881		5,954		—			5,954
Foreign government	67,088		38,329		112		105,529		—			105,529
Corporate	4,826		6,310		47		11,183		—			11,183
Marketable equity securities	63		447		—		510		—			510
Asset-backed securities	—		500		41		541		—			541
Other debt securities	—		3,906		—		3,906		—			3,906
Non-marketable equity securities⁽⁴⁾	—		23		435		458		—			458
Total investments	$	173,769	$	101,077	$	1,547	$	276,393	$	—		$	276,393

Table continues on the next page.



In millions of dollars at September 30, 2019	Level 1			Level 2			Level 3			Gross inventory		Netting⁽¹⁾			Net balance
Loans	$	—		$	3,541		$	315		$	3,856	$	—		$	3,856
Mortgage servicing rights	—			—			472			472		—			472
Non-trading derivatives and other financial assets measured on a recurring basis	$	9,262		$	6,304		$	2		$	15,568	$	—		$	15,568
Total assets	$	325,849		$	884,322		$	10,595		$	1,235,459	$	(483,978	)	$	751,481
Total as a percentage of gross assets⁽⁵⁾	26.7		%	72.4		%	0.9		%
Liabilities
Interest-bearing deposits	$	—		$	1,515		$	1,142		$	2,657	$	—		$	2,657
Securities loaned and sold under agreements to repurchase	—			122,222			834			123,056		(70,783		)	52,273
Trading account liabilities
Securities sold, not yet purchased	68,639			13,431			42			82,112		—			82,112
Other trading liabilities	—			27			—			27		—			27
Total trading liabilities	$	68,639		$	13,458		$	42		$	82,139	$	—		$	82,139
Trading derivatives
Interest rate contracts	$	96		$	215,848		$	1,883		$	217,827
Foreign exchange contracts	(9		)	141,233			1,027			142,251
Equity contracts	223			29,201			1,503			30,927
Commodity contracts	—			16,421			845			17,266
Credit derivatives	—			11,642			719			12,361
Total trading derivatives	$	310		$	414,345		$	5,977		$	420,632
Cash collateral received⁽⁶⁾										$	16,494
Netting agreements												$	(337,235	)
Netting of cash collateral paid												(46,435		)
Total trading derivatives	$	310		$	414,345		$	5,977		$	437,126	$	(383,670	)	$	53,456
Short-term borrowings	$	—		$	4,805		$	18		$	4,823	$	—		$	4,823
Long-term debt	—			35,625			15,866			51,491		—			51,491
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	9,262		$	235		$	3		$	9,500	$	—		$	9,500
Total liabilities	$	78,211		$	592,205		$	23,882		$	710,792	$	(454,453	)	$	256,339
Total as a percentage of gross liabilities⁽⁵⁾	11.3		%	85.3		%	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 $61,128 million gross cash collateral paid, of which $46,435 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 $68,733 million of gross cash collateral received, of which $52,239 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 hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) incl. in					Transfers																					Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2019			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases			Issuances			Sales			Settlements			Sept. 30, 2019
Assets
Securities borrowed and purchased under agreements to resell	$	122		$	(5	)	$	—	$	—		$	—		$	51		$	—		$	—		$	(50	)	$	118		$	5
Trading non-derivative assets
Trading mortgage- backed securities
U.S. government-sponsored agency guaranteed	187			2			—		53			—			70			—			(40		)	—			272			2
Residential	131			8			—		29			(21		)	65			—			(48		)	—			164			7
Commercial	53			5			—		127			(3		)	52			—			(22		)	—			212			(2		)
Total trading mortgage- backed securities	$	371		$	15		$	—	$	209		$	(24	)	$	187		$	—		$	(110	)	$	—		$	648		$	7
U.S. Treasury and federal agency securities	$	—		$	(14	)	$	—	$	—		$	—		$	20		$	—		$	—		$	—		$	6		$	(2	)
State and municipal	177			—			—		1			—			1			—			(1		)	—			178			—
Foreign government	20			(12		)	—		—			—			81			—			(5		)	—			84			—
Corporate	454			(14		)	—		111			(17		)	79			4			(204		)	(7		)	406			(45		)
Marketable equity securities	123			(23		)	—		6			3			53			—			(51		)	—			111			(16		)
Asset-backed securities	1,411			(96		)	—		31			(8		)	191			—			(192		)	—			1,337			(42		)
Other trading assets	740			(46		)	—		9			(114		)	46			17			(163		)	(10		)	479			(4		)
Total trading non- derivative assets	$	3,296		$	(190	)	$	—	$	367		$	(160	)	$	658		$	21		$	(726	)	$	(17	)	$	3,249		$	(102	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(109	)	$	295		$	—	$	(50	)	$	56		$	15		$	(2	)	$	(9	)	$	(64	)	$	132		$	143
Foreign exchange contracts	(97		)	249			—		74			(150		)	15			—			(36		)	(4		)	51			206
Equity contracts	(1,194		)	102			—		(32		)	163			(119		)	—			(1		)	(116		)	(1,197		)	249
Commodity contracts	147			(29		)	—		(5		)	(49		)	83			—			(95		)	(93		)	(41		)	32
Credit derivatives	86			(78		)	—		(108		)	(13		)	—			—			—			83			(30		)	(70		)
Total trading derivatives, net⁽⁴⁾	$	(1,167	)	$	539		$	—	$	(121	)	$	7		$	(6	)	$	(2	)	$	(141	)	$	(194	)	$	(1,085	)	$	560

Table continues on the next page.



			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2019		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2019
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	31	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	31	$	—
Residential	—		—			—			—		—			—		—		—			—			—		—
Commercial	—		—			—			—		—			—		—		—			—			—		—
Total investment mortgage-backed securities	$	31	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	31	$	—
U.S. Treasury and federal agency securities	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	—	$	—
State and municipal	1,026		—			16			—		(153		)	9		—		(17		)	—			881		26
Foreign government	77		—			(1		)	—		—			56		—		(20		)	—			112		(2		)
Corporate	56		—			(9		)	—		—			—		—		—			—			47		—
Marketable equity securities	—		—			—			—		—			—		—		—			—			—		—
Asset-backed securities	59		—			(8		)	27		(27		)	—		—		(10		)	—			41		—
Other debt securities	—		—			—			—		—			—		—		—			—			—		—
Non-marketable equity securities	448		—			(27		)	13		—			2		—		(1		)	—			435		(7		)
Total investments	$	1,697	$	—		$	(29	)	$	40	$	(180	)	$	67	$	—	$	(48	)	$	—		$	1,547	$	17
Loans	$	419	$	—		$	(5	)	$	20	$	(117	)	$	—	$	—	$	—		$	(2	)	$	315	$	5
Mortgage servicing rights	508		—			(35		)	—		—			—		19		—			(20		)	472		(27		)
Other financial assets measured on a recurring basis	—		—			1			6		(6		)	2		37		(4		)	(34		)	2		(7		)
Liabilities
Interest-bearing deposits	$	1,182	$	—		$	(1	)	$	—	$	(20	)	$	—	$	33	$	—		$	(54	)	$	1,142	$	14
Securities loaned and sold under agreements to repurchase	1,085		82			—			—		—			—		—		(169		)	—			834		(8		)
Trading account liabilities
Securities sold, not yet purchased	28		9			—			20		(1		)	19		—		(12		)	(3		)	42		7
Other trading liabilities	—		—			—			—		—			—		—		—			—			—		—
Short-term borrowings	154		4			—			3		(6		)	—		1		—			(130		)	18		134
Long-term debt	14,938		(320		)	—			879		(860		)	3		651		(1		)	(64		)	15,866		(507		)
Other financial liabilities measured on a recurring basis	1		—			—			—		—			—		2		—			—			3		—


(1)	Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments 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 September 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			Sept. 30, 2019
Assets
Securities borrowed and purchased under agreements to resell	$	115		$	(4	)	$	—		$	5		$	(4	)	$	145		$	—		$	—		$	(139	)	$	118		$	3
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	156			8			—			54			(27		)	160			(1		)	(78		)	—			272			9
Residential	268			19			—			51			(61		)	195			—			(308		)	—			164			10
Commercial	77			9			—			132			(38		)	114			—			(82		)	—			212			(7		)
Total trading mortgage-backed securities	$	501		$	36		$	—		$	237		$	(126	)	$	469		$	(1	)	$	(468	)	$	—		$	648		$	12
U.S. Treasury and federal agency securities	$	1		$	(14	)	$	—		$	—		$	—		$	20		$	—		$	—		$	(1	)	$	6		$	(2	)
State and municipal	200			(1		)	—			1			(19		)	2			—			(5		)	—			178			—
Foreign government	31			(11		)	—			9			—			84			—			(29		)	—			84			1
Corporate	360			331			—			173			(48		)	257			(29		)	(629		)	(9		)	406			(20		)
Marketable equity securities	153			(20		)	—			5			(8		)	110			—			(129		)	—			111			(48		)
Asset-backed securities	1,484			(102		)	—			44			(55		)	654			—			(688		)	—			1,337			(19		)
Other trading assets	818			4			—			24			(281		)	483			27			(577		)	(19		)	479			(4		)
Total trading non-derivative assets	$	3,548		$	223		$	—		$	493		$	(537	)	$	2,079		$	(3	)	$	(2,525	)	$	(29	)	$	3,249		$	(80	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(154	)	$	176		$	—		$	(124	)	$	220		$	—		$	29		$	(1	)	$	(14	)	$	132		$	(27	)
Foreign exchange contracts	(6		)	200			—			74			(126		)	18			—			(42		)	(67		)	51			(22		)
Equity contracts	(784		)	(9		)	—			(224		)	272			(118		)	(147		)	(1		)	(186		)	(1,197		)	(153		)
Commodity contracts	(18		)	8			—			1			(43		)	203			—			(141		)	(51		)	(41		)	178
Credit derivatives	61			(338		)	—			(127		)	181			—			—			14			179			(30		)	(355		)
Total trading derivatives, net⁽⁴⁾	$	(901	)	$	37		$	—		$	(400	)	$	504		$	103		$	(118	)	$	(171	)	$	(139	)	$	(1,085	)	$	(379	)
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			—			110			14			(153		)	430			—			(228		)	—			881			110
Foreign government	68			—			—			—			—			112			—			(68		)	—			112			(2		)
Corporate	156			—			(9		)	—			(94		)	—			—			(6		)	—			47			—
Marketable equity securities	—			—			—			—			—			—			—			—			—			—			—
Asset-backed securities	187			—			—			122			(612		)	550			—			(206		)	—			41			2
Other debt securities	—			—			—			—			—			—			—			—			—			—			—
Non-marketable equity securities	586			—			(7		)	19			—			9			—			(151		)	(21		)	435			2
Total investments	$	1,737		$	—		$	93		$	155		$	(859	)	$	1,101		$	—		$	(659	)	$	(21	)	$	1,547		$	109



			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			Sept. 30, 2019
Loans	$	277	$	—		$	103		$	148	$	(187	)	$	11	$	—	$	(35	)	$	(2	)	$	315	$	191
Mortgage servicing rights	584		—			(99		)	—		—			—		47		—			(60		)	472		(60		)
Other financial assets measured on a recurring basis	—		—			26			6		(2		)	2		32		(12		)	(50		)	2		(65		)
Liabilities
Interest-bearing deposits	$	495	$	—		$	(50	)	$	3	$	(42	)	$	—	$	836	$	—		$	(200	)	$	1,142	$	(201	)
Securities loaned and sold under agreements to repurchase	983		44			—			1		4			—		—		(168		)	58			834		(35		)
Trading account liabilities
Securities sold, not yet purchased	586		127			—			36		(448		)	19		—		(12		)	(12		)	42		10
Other trading liabilities	—		—			—			—		—			—		—		—			—			—		—
Short-term borrowings	37		29			—			12		(37		)	—		166		—			(131		)	18		130
Long-term debt	12,570		(1,546		)	—			2,503		(3,821		)	23		7,501		(5		)	(4,451		)	15,866		(3,337		)
Other financial liabilities measured on a recurring basis	—		—			4			5		—			—		2		—			—			3		(9		)


(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 September 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	Jun. 30, 2018			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances			Sales			Settlements			Sept. 30, 2018
Assets
Securities borrowed and purchased under agreements to resell	$	66		$	—		$	—		$	(1	)	$	—		$	(61	)	$	—		$	—		$	(61	)	$	65		$	4
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	99			(2		)	—			3			(7		)	38			—			(3		)	—			128			(2		)
Residential	132			111			—			17			(36		)	8			—			(17		)	—			215			(2		)
Commercial	51			(2		)	—			4			(8		)	29			—			(17		)	—			57			(1		)
Total trading mortgage-backed securities	$	282		$	107		$	—		$	24		$	(51	)	$	75		$	—		$	(37	)	$	—		$	400		$	(5	)
U.S. Treasury and federal agency securities	$	7		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	(1	)	$	6		$	—
State and municipal	226			6			—			—			(52		)	22			—			(2		)	—			200			6
Foreign government	36			27			—			—			(8		)	4			—			(7		)	—			52			26
Corporate	520			(214		)	—			24			(15		)	110			—			(172		)	—			253			7
Marketable equity securities	293			(87		)	—			7			(21		)	24			—			(46		)	—			170			(99		)
Asset-backed securities	1,688			(44		)	—			20			(39		)	305			—			(477		)	—			1,453			(45		)
Other trading assets	542			78			—			94			(10		)	185			2			(157		)	(4		)	730			53
Total trading non-derivative assets	$	3,594		$	(127	)	$	—		$	169		$	(196	)	$	725		$	2		$	(898	)	$	(5	)	$	3,264		$	(57	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	86		$	10		$	—		$	(11	)	$	(2	)	$	—		$	8		$	—		$	28		$	119		$	59
Foreign exchange contracts	239			(16		)	—			(15		)	56			4			—			(66		)	(13		)	189			(51		)
Equity contracts	(1,446		)	265			—			3			372			3			(15		)	(3		)	(93		)	(914		)	283
Commodity contracts	(1,906		)	(67		)	—			44			(16		)	12			—			(8		)	136			(1,805		)	1
Credit derivatives	(848		)	(240		)	—			(6		)	7			—			—			—			81			(1,006		)	(231		)
Total trading derivatives, net⁽⁴⁾	$	(3,875	)	$	(48	)	$	—		$	15		$	417		$	19		$	(7	)	$	(77	)	$	139		$	(3,417	)	$	61
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	34		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	34		$	—
Residential	—			—			—			—			—			—			—			—			—			—			—
Commercial	6			—			—			—			(1		)	—			—			—			—			5			—
Total investment mortgage-backed securities	$	40		$	—		$	—		$	—		$	(1	)	$	—		$	—		$	—		$	—		$	39		$	—
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
State and municipal	762			—			(10		)	—			—			17			—			(87		)	—			682			(7		)
Foreign government	54			—			(3		)	—			(2		)	45			—			(13		)	—			81			(3		)
Corporate	68			—			—			—			(64		)	—			—			(4		)	—			—			—
Marketable equity securities	1			—			—			—			—			—			—			—			(1		)	—			—
Asset-backed securities	456			—			(6		)	—			(177		)	34			—			(23		)	—			284			(5		)
Other debt securities	—			—			—			—			—			—			—			—			—			—			—



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2018		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances			Sales			Settlements			Sept. 30, 2018
Non-marketable equity securities	611		—			(73		)	163		—			71		—			(40		)	1			733		(70		)
Total investments	$	1,992	$	—		$	(92	)	$	163	$	(244	)	$	167	$	—		$	(167	)	$	—		$	1,819	$	(85	)
Loans	$	381	$	—		$	(27	)	$	—	$	(46	)	$	79	$	—		$	(3	)	$	(1	)	$	383	$	95
Mortgage servicing rights	596		—			25			—		—			—		14			—			(17		)	618		26
Other financial assets measured on a recurring basis	—		—			15			—		—			—		—			(4		)	(11		)	—		14
Liabilities
Interest-bearing deposits	$	320	$	—		$	14		$	—	$	—		$	—	$	—		$	—		$	(3	)	$	303	$	14
Securities loaned and sold under agreements to repurchase	966		(31		)	—			—		—			—		—			—			—			997		24
Trading account liabilities
Securities sold, not yet purchased	189		(137		)	—			28		(55		)	14		121			(45		)	(2		)	387		(90		)
Other trading liabilities	—		—			—			—		—			—		—			—			—			—		—
Short-term borrowings	90		1			—			—		(18		)	—		5			—			(37		)	39		19
Long-term debt	13,781		(231		)	—			445		(646		)	—		(42		)	(1		)	23			13,791		(298		)
Other financial liabilities measured on a recurring basis	—		—			—			—		—			—		—			—			—			—		—


(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 September 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			Sept. 30, 2018
Assets
Securities borrowed and purchased under agreements to resell	$	16		$	19		$	—		$	48		$	—		$	61	$	—		$	—		$	(79	)	$	65		$	10
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	163			—			—			92			(97		)	191		—			(221		)	—			128			—
Residential	164			116			—			75			(124		)	99		—			(115		)	—			215			(1		)
Commercial	57			(3		)	—			15			(45		)	67		—			(34		)	—			57			2
Total trading mortgage-backed securities	$	384		$	113		$	—		$	182		$	(266	)	$	357	$	—		$	(370	)	$	—		$	400		$	1
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	6		$	—		$	1	$	—		$	—		$	(1	)	$	6		$	—
State and municipal	274			16			—			—			(96		)	35		—			(29		)	—			200			8
Foreign government	16			26			—			2			(13		)	50		—			(29		)	—			52			26
Corporate	275			(119		)	—			85			(106		)	389		—			(271		)	—			253			(1		)
Marketable equity securities	120			(5		)	—			24			(41		)	266		—			(194		)	—			170			(68		)
Asset-backed securities	1,590			31			—			65			(86		)	994		—			(1,141		)	—			1,453			(6		)
Other trading assets	615			161			—			179			(52		)	342		7			(509		)	(13		)	730			31
Total trading non-derivative assets	$	3,274		$	223		$	—		$	543		$	(660	)	$	2,434	$	7		$	(2,543	)	$	(14	)	$	3,264		$	(9	)
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(422	)	$	597		$	—		$	(6	)	$	(74	)	$	8	$	8		$	(16	)	$	24		$	119		$	540
Foreign exchange contracts	130			89			—			(28		)	59			11		—			(71		)	(1		)	189			52
Equity contracts	(2,027		)	163			—			(70		)	1,123			20		(15		)	(14		)	(94		)	(914		)	66
Commodity contracts	1,861			(241		)	—			1			82			39		—			(8		)	183			(1,805		)	(70		)
Credit derivatives	(799		)	(338		)	—			(15		)	19			2		—			1			124			(1,006		)	(468		)
Total trading derivatives, net⁽⁴⁾	$	(4,979	)	$	270		$	—		$	(118	)	$	1,209		$	80	$	(7	)	$	(108	)	$	236		$	(3,417	)	$	120
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	24		$	—		$	10		$	—		$	—		$	—	$	—		$	—		$	—		$	34		$	(12	)
Residential	—			—			—			—			—			—		—			—			—			—			—
Commercial	3			—			2			1			(1		)	—		—			—			—			5			—
Total investment mortgage-backed securities	$	27		$	—		$	12		$	1		$	(1	)	$	—	$	—		$	—		$	—		$	39		$	(12	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	—
State and municipal	737			—			(23		)	—			(18		)	157		—			(171		)	—			682			(32		)
Foreign government	92			—			(7		)	1			(4		)	107		—			(108		)	—			81			(3		)
Corporate	71			—			(1		)	3			(66		)	3		—			(10		)	—			—			—
Marketable equity securities	2			—			—			—			—			—		—			(1		)	(1		)	—			—
Asset-backed securities	827			—			(21		)	3			(521		)	45		—			(49		)	—			284			(6		)
Other debt securities	—			—			—			—			—			—		—			—			—			—			—
Non-marketable equity securities	681			—			(103		)	193			—			86		—			(73		)	(51		)	733			(56		)
Total investments	$	2,437		$	—		$	(143	)	$	201		$	(610	)	$	398	$	—		$	(412	)	$	(52	)	$	1,819		$	(109	)



			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			Sept. 30, 2018
Loans	$	550	$	—		$	(282	)	$	—	$	13		$	130	$	—		$	(25	)	$	(3	)	$	383	$	286
Mortgage servicing rights	558		—			82			—		—			—		46			(18		)	(50		)	618		83
Other financial assets measured on a recurring basis	16		—			37			—		(11		)	4		12			(8		)	(50		)	—		53
Liabilities
Interest-bearing deposits	$	286	$	—		$	37		$	12	$	—		$	—	$	45		$	—		$	(3	)	$	303	$	(104	)
Securities loaned and sold under agreements to repurchase	726		8			—			—		—			—		243			—			36			997		52
Trading account liabilities
Securities sold, not yet purchased	22		(384		)	—			35		(86		)	14		121			(36		)	(67		)	387		(128		)
Other trading liabilities	5		5			—			—		—			—		—			—			—			—		—
Short-term borrowings	18		2			—			48		(39		)	—		54			—			(40		)	39		22
Long-term debt	13,082		(474		)	—			2,200		(1,950		)	36		(35		)	(45		)	29			13,791		(1,709		)
Other financial liabilities measured on a recurring basis	8		—			(2		)	1		(10		)	—		2			—			(3		)	—		(9		)


(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 September 30, 2018.

(4)

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

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

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



As of September 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	$	118	Model-based	Interest rate	1.58		%	3.67		%	2.78		%
Mortgage-backed securities	$	337	Price-based	Price	$	0.01		$	120.00		$	90.77
	323		Yield analysis	Yield	2.20		%	7.82		%	3.16		%
State and municipal, foreign government, corporate and other debt securities	$	1,366	Model-based	Price	35 bps			383 bps			202 bps
	619		Price-based	Credit spread	$	—		$	1,148.80		$	79.61
Marketable equity securities⁽⁵⁾	$	72	Price-based	Price	$	—		$	41,713.00		$	3,396.75
	39		Model-based	WAL	0.72 year			0.72 year			0.72 year
				Recovery (in millions)	$	5,450.00		$	5,450.00		$	5,450.00
Asset-backed securities	$	1,337	Price-based	Price	$	3.50		$	100.13		$	64.52
Non-marketable equities	$	248	Comparables analysis	EBITDA multiples	6.50x			17.00x			10.73x
	154		Price-based	Price	$	—		$	1,472.84		$	748.70
				Appraised value	308,065			32,289,321			8,609,001
				Discount to price	—		%	10.00		%	2.52		%
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	3,898	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Inflation volatility	0.22		%	2.74		%	0.80		%
				IR normal volatility	0.20		%	0.87		%	0.54		%
Foreign exchange contracts (gross)	$	2,105	Model-based	FX rate	$	0.01		$	143.81		$	53.46
				FX volatility	5.82		%	12.16		%	10.60		%
				Interest rate	0.04		%	159.05		%	18.73		%
Equity contracts (gross)⁽⁷⁾	$	1,809	Model-based	Equity volatility	3.10		%	58.87		%	29.73		%
				Forward price	57.68		%	100.64		%	89.68		%
Commodity and other contracts (gross)	$	1,649	Model-based	Forward price	60.29		%	689.42		%	149.58		%
				Commodity volatility	9.75		%	78.50		%	24.70		%
				Commodity correlation	(45.00		)%	88.13		%	60.21		%
Credit derivatives (gross)	$	840	Model-based	Upfront points	5.91		%	99.00		%	56.09		%
	568		Price-based	Credit spread	8 bps			280 bps			70 bps
				Credit correlation	25.00		%	85.00		%	43.52		%
				Price	$	20.04		$	100.00		$	82.46
				Recovery rate	20		%	65		%	46		%



As of September 30, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Loans and leases	$	315	Model-based	Credit spread	17 bps			94 bps			85 bps
				Equity volatility	3.00		%	63.00		%	30.11		%
				Yield	—		%	—		%	—		%
Mortgage servicing rights	$	395	Cash flow	Yield	1.95		%	12.00		%	9.88		%
	77		Model-based	WAL	3.76 years			7.81 years			6.18 years
Liabilities
Interest-bearing deposits	$	1,142	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
Securities loaned and sold under agreement to repurchase	$	834	Model-based	Interest rate	1.58		%	2.10		%	1.70		%
Trading account liabilities
Securities sold, not yet purchased	$	38	Price-based	Price	$	—		$	865.86		$	104.74
	4		Model-based
Short-term borrowings and long-term debt	$	15,884	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	57.68		%	689.42		%	96.18		%
				IR normal volatility	0.20		%	0.87		%	0.48		%



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	1.47 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	0.13		%	0.86		%	0.56		%
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		%



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		%
				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 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
September 30, 2019
Loans HFS⁽¹⁾	$	4,824	$	2,974	$	1,850
Other real estate owned	23		6		17
Loans⁽²⁾	404		94		310
Non-marketable equity securities measured using the measurement alternative	152		152		—
Total assets at fair value on a nonrecurring basis	$	5,403	$	3,226	$	2,177



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 September 30, 2019	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	1,854	Price-based	Price	$	86.00		$	100.00		$	98.89
Other real estate owned	$	13	Price-based	Appraised value⁽⁴⁾	$	2,196,044		$	8,394,102		$	5,627,285
	3		Recovery analysis
Loans⁽⁵⁾	$	128	Price-based	Price	$	2.40		$	57.00		$	28.91
	123		Recovery analysis	Recovery Rate	0.09		%	88.60		%	47.58		%
	35		Cash flow	Appraised value	$17,521,218			$43,646,426			$30,583,822
Non-marketable equity securities measured using the measurement alternative			Price-based	Price	$	13.36		$	13.36		$	13.36



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	$	80.90		$	100.00		$	98.47
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.

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:



	Three Months Ended September 30,
In millions of dollars	2019			2018
Loans HFS	$	(12	)	$	(1	)
Other real estate owned	(1		)	(1		)
Loans⁽¹⁾	(41		)	(22		)
Non-marketable equity securities measured using the measurement alternative	18			7
Total nonrecurring fair value gains (losses)	$	(36	)	$	(17	)


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



	Nine Months Ended September 30,
In millions of dollars	2019			2018
Loans HFS	$	—		$	8
Other real estate owned	(2		)	(2		)
Loans⁽¹⁾	(50		)	(51		)
Non-marketable equity securities measured using the measurement alternative	83			111
Total nonrecurring fair value gains (losses)	$	31		$	66

(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

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.



	September 30, 2019				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	81.1	$	82.6	$	1.9	$	78.7	$	2.0
Securities borrowed and purchased under agreements to resell	112.8		115.7		—		115.6		0.1
Loans⁽¹⁾⁽²⁾	673.9		680.4		—		—		680.4
Other financial assets⁽²⁾⁽³⁾	301.3		301.5		204.0		16.4		81.1
Liabilities
Deposits	$	1,085.1	$	1,077.9	$	—	$	874.3	$	203.6
Securities loaned and sold under agreements to repurchase	142.8		142.8		—		142.8		—
Long-term debt⁽⁴⁾	190.7		200.9		—		185.8		15.1
Other financial liabilities⁽⁵⁾	113.2		113.2		—		18.2		95.0



	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 September 30, 2019 and $12.3 billion for December 31, 2018. In addition, the carrying values exclude $1.4 billion and $1.6 billion of lease finance receivables at September 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.