FAIR VALUE MEASUREMENT

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2019 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, 2020 and December 31, 2019:

	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	June 30, 2020		December 31, 2019
Counterparty CVA	$	(1,243)	$	(705)
Asset FVA	(839)		(530)
Citigroup (own-credit) CVA	557		341
Liability FVA	195		72
Total CVA—derivative instruments	$	(1,330)	$	(822)

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	2020		2019		2020		2019
Counterparty CVA	$	45	$	28	$	(238)	$	102
Asset FVA	632		(39)		(421)		(19)
Own-credit CVA	(271)		(13)		262		(105)
Liability FVA	(214)		18		123		(30)
Total CVA—derivative instruments	$	192	$	(6)	$	(274)	$	(52)
DVA related to own FVO liabilities(1)	$	(2,935)	$	3	$	1,253	$	(722)
Total CVA and DVA	$	(2,743)	$	(3)	$	979	$	(774)

(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

•Level 1: Quoted prices for identical instruments in active markets.

•Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.

•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.

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, 2020 and December 31, 2019. 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, 2020	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	301,298	$	326	$	301,624	$	(127,066)	$	174,558
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1		39,805		96		39,902		—		39,902
Residential	7		470		433		910		—		910
Commercial	—		1,248		217		1,465		—		1,465
Total trading mortgage-backed securities	$	8	$	41,523	$	746	$	42,277	$	—	$	42,277
U.S. Treasury and federal agency securities	$	79,893	$	2,442	$	—	$	82,335	$	—	$	82,335
State and municipal	—		1,224		117		1,341		—		1,341
Foreign government	66,305		17,001		26		83,332		—		83,332
Corporate	1,362		18,096		399		19,857		—		19,857
Equity securities	35,235		10,106		92		45,433		—		45,433
Asset-backed securities	3		711		1,785		2,499		—		2,499
Other trading assets(2)	375		11,471		797		12,643		—		12,643
Total trading non-derivative assets	$	183,181	$	102,574	$	3,962	$	289,717	$	—	$	289,717
Trading derivatives
Interest rate contracts	$	97	$	255,703	$	3,770	$	259,570
Foreign exchange contracts	1		116,984		544		117,529
Equity contracts	105		38,709		592		39,406
Commodity contracts	—		15,774		986		16,760
Credit derivatives	—		10,147		1,535		11,682
Total trading derivatives	$	203	$	437,317	$	7,427	$	444,947
Cash collateral paid(3)							$	26,598
Netting agreements									$	(340,172)
Netting of cash collateral received									(58,778)
Total trading derivatives	$	203	$	437,317	$	7,427	$	471,545	$	(398,950)	$	72,595
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	45,322	$	30	$	45,352	$	—	$	45,352
Residential	—		695		—		695		—		695
Commercial	—		65		—		65		—		65
Total investment mortgage-backed securities	$	—	$	46,082	$	30	$	46,112	$	—	$	46,112
U.S. Treasury and federal agency securities	$	154,057	$	—	$	—	$	154,057	$	—	$	154,057
State and municipal	—		4,196		825		5,021		—		5,021
Foreign government	70,654		50,090		196		120,940		—		120,940
Corporate	6,693		4,425		106		11,224		—		11,224
Marketable equity securities	273		319		1		593		—		593
Asset-backed securities	—		281		6		287		—		287
Other debt securities	—		4,615		—		4,615		—		4,615
Non-marketable equity securities(4)	—		14		332		346		—		346
Total investments	$	231,677	$	110,022	$	1,496	$	343,195	$	—	$	343,195

Table continues on the next page.

In millions of dollars at June 30, 2020	Level 1			Level 2			Level 3			Gross inventory		Netting(1)		Net balance
Loans	$	—		$	4,821		$	978		$	5,799	$	—	$	5,799
Mortgage servicing rights	—			—			345			345		—		345
Non-trading derivatives and other financial assets measured on a recurring basis	$	4,817		$	7,917		$	—		$	12,734	$	—	$	12,734
Total assets	$	419,878		$	963,949		$	14,534		$	1,424,959	$	(526,016)	$	898,943
Total as a percentage of gross assets(5)	30.0		%	68.9		%	1.0		%
Liabilities
Interest-bearing deposits	$	—		$	2,235		$	237		$	2,472	$	—	$	2,472
Securities loaned and sold under agreements to repurchase	—			144,802			625			145,427		(85,982)		59,445
Trading account liabilities
Securities sold, not yet purchased	75,265			13,458			104			88,827		—		88,827
Other trading liabilities	—			40			—			40		—		40
Total trading liabilities	$	75,265		$	13,498		$	104		$	88,867	$	—	$	88,867
Trading derivatives
Interest rate contracts	$	60		$	234,098		$	1,802		$	235,960
Foreign exchange contracts	1			121,774			570			122,345
Equity contracts	98			45,464			2,827			48,389
Commodity contracts	—			20,300			1,264			21,564
Credit derivatives	—			10,588			1,133			11,721
Total trading derivatives	$	159		$	432,225		$	7,596		$	439,979
Cash collateral received(6)										$	14,295
Netting agreements												$	(340,172)
Netting of cash collateral paid												(53,704)
Total trading derivatives	$	159		$	432,225		$	7,596		$	454,274	$	(393,876)	$	60,398
Short-term borrowings	$	—		$	6,518		$	128		$	6,646	$	—	$	6,646
Long-term debt	—			40,338			21,633			61,971		—		61,971
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	5,569		$	220		$	—		$	5,789	$	—	$	5,789
Total liabilities	$	80,993		$	639,836		$	30,323		$	765,446	$	(479,858)	$	285,588
Total as a percentage of gross liabilities(5)	10.8		%	85.2		%	4.0		%

(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 $80,302 million of gross cash collateral paid, of which $53,704 million was used to offset trading derivative liabilities.

(4)Amounts exclude $0.1 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 $73,073 million of gross cash collateral received, of which $58,778 million was used to offset trading derivative assets.

Fair Value Levels

In millions of dollars at December 31, 2019	Level 1		Level 2		Level 3		Gross inventory		Netting(1)		Net balance
Assets
Securities borrowed and purchased under agreements to resell	$	—	$	254,253	$	303	$	254,556	$	(101,363)	$	153,193
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		27,661		10		27,671		—		27,671
Residential	—		573		123		696		—		696
Commercial	—		1,632		61		1,693		—		1,693
Total trading mortgage-backed securities	$	—	$	29,866	$	194	$	30,060	$	—	$	30,060
U.S. Treasury and federal agency securities	$	26,159	$	3,736	$	—	$	29,895	$	—	$	29,895
State and municipal	—		2,573		64		2,637		—		2,637
Foreign government	50,948		20,326		52		71,326		—		71,326
Corporate	1,332		17,246		313		18,891		—		18,891
Equity securities	41,663		9,878		100		51,641		—		51,641
Asset-backed securities	—		1,539		1,177		2,716		—		2,716
Other trading assets(2)	74		11,412		555		12,041		—		12,041
Total trading non-derivative assets	$	120,176	$	96,576	$	2,455	$	219,207	$	—	$	219,207
Trading derivatives
Interest rate contracts	$	7	$	196,493	$	1,168	$	197,668
Foreign exchange contracts	1		107,022		547		107,570
Equity contracts	83		28,148		240		28,471
Commodity contracts	—		13,498		714		14,212
Credit derivatives	—		9,960		449		10,409
Total trading derivatives	$	91	$	355,121	$	3,118	$	358,330
Cash collateral paid(3)							$	17,926
Netting agreements									$	(274,970)
Netting of cash collateral received									(44,353)
Total trading derivatives	$	91	$	355,121	$	3,118	$	376,256	$	(319,323)	$	56,933
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	35,198	$	32	$	35,230	$	—	$	35,230
Residential	—		793		—		793		—		793
Commercial	—		74		—		74		—		74
Total investment mortgage-backed securities	$	—	$	36,065	$	32	$	36,097	$	—	$	36,097
U.S. Treasury and federal agency securities	$	106,103	$	5,315	$	—	$	111,418	$	—	$	111,418
State and municipal	—		4,355		623		4,978		—		4,978
Foreign government	69,957		41,196		96		111,249		—		111,249
Corporate	5,150		6,076		45		11,271		—		11,271
Marketable equity securities	87		371		—		458		—		458
Asset-backed securities	—		500		22		522		—		522
Other debt securities	—		4,730		—		4,730		—		4,730
Non-marketable equity securities(4)	—		93		441		534		—		534
Total investments	$	181,297	$	98,701	$	1,259	$	281,257	$	—	$	281,257

Table continues on the next page.

In millions of dollars at December 31, 2019	Level 1			Level 2			Level 3			Gross inventory		Netting(2)		Net balance
Loans	$	—		$	3,683		$	402		$	4,085	$	—	$	4,085
Mortgage servicing rights	—			—			495			495		—		495
Non-trading derivatives and other financial assets measured on a recurring basis	$	5,628		$	7,201		$	1		$	12,830	$	—	$	12,830
Total assets	$	307,192		$	815,535		$	8,033		$	1,148,686	$	(420,686)	$	728,000
Total as a percentage of gross assets(5)	27.2		%	72.1		%	0.7		%
Liabilities
Interest-bearing deposits	$	—		$	2,104		$	215		$	2,319	$	—	$	2,319
Securities loaned and sold under agreements to repurchase	—			111,567			757			112,324		(71,673)		40,651
Trading account liabilities
Securities sold, not yet purchased	60,429			11,965			48			72,442		—		72,442
Other trading liabilities	—			24			—			24		—		24
Total trading liabilities	$	60,429		$	11,989		$	48		$	72,466	$	—	$	72,466
Trading account derivatives
Interest rate contracts	$	8		$	176,480		$	1,167		$	177,655
Foreign exchange contracts	—			110,180			552			110,732
Equity contracts	144			28,506			1,836			30,486
Commodity contracts	—			16,542			773			17,315
Credit derivatives	—			10,233			505			10,738
Total trading derivatives	$	152		$	341,941		$	4,833		$	346,926
Cash collateral received(6)										$	14,391
Netting agreements												$	(274,970)
Netting of cash collateral paid												(38,919)
Total trading derivatives	$	152		$	341,941		$	4,833		$	361,317	$	(313,889)	$	47,428
Short-term borrowings	$	—		$	4,933		$	13		$	4,946	$	—	$	4,946
Long-term debt	—			38,614			17,169			55,783		—		55,783
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	6,280		$	63		$	—		$	6,343	$	—	$	6,343
Total liabilities	$	66,861		$	511,211		$	23,035		$	615,498	$	(385,562)	$	229,936
Total as a percentage of gross liabilities(5)	11.1		%	85.0		%	3.8		%

(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 $56,845 million of gross cash collateral paid, of which $38,919 million was used to offset trading derivative liabilities.

(4)Amounts exclude $0.2 billion of investments measured at 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 $58,744 million of gross cash collateral received, of which $44,353 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, 2020 and 2019. 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, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2020
Assets
Securities borrowed and purchased under agreements to resell	$	300	$	34	$	—	$	—	$	—	$	42	$	—	$	—	$	(50)	$	326	$	36
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	85		1		—		4		(6)		67		—		(55)		—		96		4
Residential	304		14		—		144		(39)		96		—		(86)		—		433		7
Commercial	44		4		—		140		(14)		62		—		(19)		—		217		11
Total trading mortgage-backed securities	$	433	$	19	$	—	$	288	$	(59)	$	225	$	—	$	(160)	$	—	$	746	$	22
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	92		—		—		5		(1)		41		—		(20)		—		117		—
Foreign government	39		57		—		2		(2)		18		—		(88)		—		26		54
Corporate	412		(12)		—		64		(78)		204		—		(185)		(6)		399		(71)
Marketable equity securities	143		9		—		10		—		174		—		(244)		—		92		(3)
Asset-backed securities	1,561		67		—		257		(56)		272		—		(316)		—		1,785		46
Other trading assets	639		27		—		153		(15)		126		6		(134)		(5)		797		1
Total trading non-derivative assets	$	3,319	$	167	$	—	$	779	$	(211)	$	1,060	$	6	$	(1,147)	$	(11)	$	3,962	$	49
Trading derivatives, net(4)
Interest rate contracts	$	1,755	$	24	$	—	$	231	$	20	$	1	$	—	$	—	$	(63)	$	1,968	$	7
Foreign exchange contracts	2		(37)		—		(8)		2		5		—		(5)		15		(26)		(47)
Equity contracts	(1,836)		(354)		—		(104)		12		21		—		(5)		31		(2,235)		(349)
Commodity contracts	(542)		253		—		(1)		(14)		20		—		(10)		16		(278)		241
Credit derivatives	816		(367)		—		17		(72)		—		—		—		8		402		(367)
Total trading derivatives, net(4)	$	195	$	(481)	$	—	$	135	$	(52)	$	47	$	—	$	(20)	$	7	$	(169)	$	(515)

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, 2020		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2020
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	47	$	—	$	(19)	$	1	$	—	$	1	$	—	$	—	$	—	$	30	$	(36)
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	47	$	—	$	(19)	$	1	$	—	$	1	$	—	$	—	$	—	$	30	$	(36)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	687		—		24		172		(131)		95		—		(22)		—		825		21
Foreign government	225		—		7		—		(64)		61		—		(33)		—		196		6
Corporate	238		—		10		—		(152)		10		—		—		—		106		—
Marketable equity securities	—		—		—		1		—		—		—		—		—		1		—
Asset-backed securities	16		—		(2)		—		—		—		—		(8)		—		6		—
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	354		—		21		—		—		2		—		—		(45)		332		25
Total investments	$	1,567	$	—	$	41	$	174	$	(347)	$	169	$	—	$	(63)	$	(45)	$	1,496	$	16
Loans	$	537	$	—	$	447	$	—	$	(5)	$	—	$	—	$	—	$	(1)	$	978	$	355
Mortgage servicing rights	367		—		(26)		—		—		—		24		—		(20)		345		(14)
Other financial assets measured on a recurring basis	—		—		14		—		—		—		(6)		(4)		(4)		—		2
Liabilities
Interest-bearing deposits	$	491	$	—	$	(5)	$	—	$	(151)	$	—	$	30	$	—	$	(138)	$	237	$	(27)
Securities loaned and sold under agreements to repurchase	730		—		—		—		—		—		—		—		(105)		625		—
Trading account liabilities
Securities sold, not yet purchased	200		(28)		—		43		(8)		—		—		—		(159)		104		24
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	52		9		—		75		(6)		—		23		—		(7)		128		16
Long-term debt	19,269		(2,271)		—		1,438		(1,292)		—		1,469		—		(1,522)		21,633		(1,303)
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 June 30, 2020.

(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, 2019		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2020
Assets
Securities borrowed or purchased under agreements to resell	$	303	$	14	$	—	$	—	$	—	$	108	$	—	$	—	$	(99)	$	326	$	39
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	10		(74)		—		16		(9)		208		—		(55)		—		96		5
Residential	123		6		—		204		(43)		274		—		(131)		—		433		—
Commercial	61		4		—		143		(17)		89		—		(63)		—		217		(10)
Total trading mortgage-backed securities	$	194	$	(64)	$	—	$	363	$	(69)	$	571	$	—	$	(249)	$	—	$	746	$	(5)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	64		2		—		15		(3)		62		—		(23)		—		117		1
Foreign government	52		(28)		—		2		(2)		104		—		(102)		—		26		52
Corporate	313		290		—		86		(70)		419		—		(633)		(6)		399		(87)
Equity securities	100		9		—		38		(3)		206		—		(258)		—		92		(19)
Asset-backed securities	1,177		(102)		—		496		(60)		740		—		(466)		—		1,785		(222)
Other trading assets	555		220		—		181		(152)		231		14		(237)		(15)		797		(23)
Total trading non-derivative assets	$	2,455	$	327	$	—	$	1,181	$	(359)	$	2,333	$	14	$	(1,968)	$	(21)	$	3,962	$	(303)
Trading derivatives, net(4)
Interest rate contracts	$	1	$	375	$	—	$	1,614	$	(2)	$	2	$	56	$	13	$	(91)	$	1,968	$	387
Foreign exchange contracts	(5)		(52)		—		(33)		11		49		—		(13)		17		(26)		104
Equity contracts	(1,596)		(564)		—		(391)		236		24		—		(6)		62		(2,235)		(663)
Commodity contracts	(59)		(206)		—		37		(70)		66		—		(44)		(2)		(278)		(211)
Credit derivatives	(56)		579		—		171		(358)		—		—		—		66		402		372
Total trading derivatives, net(4)	$	(1,715)	$	132	$	—	$	1,398	$	(183)	$	141	$	56	$	(50)	$	52	$	(169)	$	(11)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	32	$	—	$	(5)	$	1	$	1	$	1	$	—	$	—	$	—	$	30	$	(23)
Residential	—		—		—		—		—		—		—		—		—		—		—
Commercial	—		—		—		—		—		—		—		—		—		—		—
Total investment mortgage-backed securities	$	32	$	—	$	(5)	$	1	$	1	$	1	$	—	$	—	$	—	$	30	$	(23)
U.S. Treasury and federal agency securities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
State and municipal	623		—		(7)		310		(131)		95		—		(65)		—		825		25
Foreign government	96		—		5		27		(64)		208		—		(76)		—		196		(9)
Corporate	45		—		2		49		(152)		162		—		—		—		106		—
Equity securities	—		—		—		1		—		—		—		—		—		1		—
Asset-backed securities	22		—		3		—		—		—		—		(19)		—		6		34
Other debt securities	—		—		—		—		—		—		—		—		—		—		—
Non-marketable equity securities	441		—		(53)		—		—		2		—		(3)		(55)		332		22
Total investments	$	1,259	$	—	$	(55)	$	388	$	(346)	$	468	$	—	$	(163)	$	(55)	$	1,496	$	49

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2019		Principal transactions		Other(1)(2)		into Level 3		out of Level 3		Purchases		Issuances		Sales		Settlements		Jun. 30, 2020
Loans	$	402	$	—	$	368	$	217	$	(6)	$	—	$	—	$	—	$	(3)	$	978	$	509
Mortgage servicing rights	495		—		(169)		—		—		—		56		—		(37)		345		(147)
Other financial assets measured on a recurring basis	1		—		14		—		—		—		(6)		(5)		(4)		—		16
Liabilities
Interest-bearing deposits	$	215	$	—	$	(11)	$	278	$	(151)	$	—	$	30	$	—	$	(146)	$	237	$	(6)
Securities loaned or sold under agreements to repurchase	757		27		—		—		—		—		—		—		(105)		625		(33)
Trading account liabilities
Securities sold, not yet purchased	48		(129)		—		117		(18)		—		9		—		(181)		104		(7)
Other trading liabilities	—		—		—		—		—		—		—		—		—		—		—
Short-term borrowings	13		19		—		86		(6)		—		61		—		(7)		128		21
Long-term debt	17,169		(320)		—		4,623		(2,783)		—		4,809		—		(2,505)		21,633		(6,945)
Other financial liabilities measured on a recurring basis	—		—		—		—		—		—		2		—		(2)		—		—

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

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

(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2020.

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

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

			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
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

Table continues on the next page.

			Net realized/unrealized gains (losses) incl. in				Transfers														Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 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 June 30, 2019.

(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, 2019 to June 30, 2020:

•During the six months ended June 30, 2020, transfers of Interest rate contracts of $1.6 billion from Level 2 to Level 3 were due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of the related interest rate derivatives.

•During the three and six months ended June 30, 2020, $1.4 billion and $4.6 billion of Long-term debt containing embedded derivatives was transferred from Level 2 to Level 3, as a result of interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable volatility inputs becoming insignificant to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.3 billion and $2.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2020, respectively.

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.

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, 2020	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	$	326	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	0.13		%	1.66		%	0.42		%
Mortgage-backed securities	$	473	Price-based	Price	$	25.35		$	119.20		$	87.92
	280		Yield analysis	Yield	1.72		%	18.44		%	8.29		%
State and municipal, foreign government, corporate and other debt securities	$	1,346	Price-based	Price	$	—		$	120.46		$	83.83
	923		Model-based	Credit spread	35 bps			349 bps			222 bps
Marketable equity securities(5)	$	60	Price-based	Price	$	0.14		$	23,250		$	1,367
	32		Model-based	Recovery (in millions)	$	5,450		$	5,450		$	5,450
				WAL	0.99 years			0.99 years			0.99 years
Asset-backed securities	$	1,273	Price-based	Price	$	1.87		$	100.00		$	59.54
	518		Yield analysis	Yield	2.94		%	16.68		%	8.27		%
Non-marketable equities	$	188	Comparables analysis	Price	$	12.36		$	1,871		$	1,039
	74		Price-based	Illiquidity discount	$	10.00		$	45.00		$	24.93
	68		Model-based	Revenue multiple	1.00x			10.00x			4.00x
				PE ratio	10.00x			26.00x			17.00x
				Appraised value (in thousands)	$	865		$	27,608		$	17,324
				Discount to price	—		%	—		%	—		%
				Price to book ratio	0.60x			1.60x			0.93x
Derivatives—gross(6)
Interest rate contracts (gross)	$	5,408	Model-based	Inflation volatility	0.25		%	2.83		%	0.78		%
				IR normal volatility	0.16		%	0.84		%	0.57		%
Foreign exchange contracts (gross)	$	1,115	Model-based	FX volatility	0.30		%	15.28		%	6.71		%
				Credit spread	60 bps			699 bps			455 bps
				FX rate	$	4.87		$	86.03		$	43.49
				IR normal volatility	0.16		%	0.84		%	0.61		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	(21.71)		%	40.00		%	35.11		%
				Interest rate	0.75		%	71.38		%	13.15		%
Equity contracts (gross)(7)	$	3,402	Model-based	Equity volatility	3.85		%	72.24		%	33.69		%
				Forward price	63.19		%	106.16		%	91.95		%

As of June 30, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
Commodity and other contracts (gross)	$	2,250	Model-based	Forward price	36.19		%	356.52		%	99.68		%
				Commodity volatility	(4.19)		%	98.96		%	8.33		%
				Commodity correlation	(40.72)		%	90.33		%	65.73		%
Credit derivatives (gross)	$	2,185	Model-based	Credit spread	13 bps			608 bps			117 bps
	483		Price-based	Credit correlation	20.00		%	85.00		%	40.17		%
				Recovery rate	10.00		%	65.00		%	38.87		%
				Upfront points	2.50		%	100.00		%	53.93		%
Loans and leases	$	917	Model-based	Equity volatility	23.67		%	84.79		%	64.08		%
				Credit spread	47 bps			47 bps			47 bps
Mortgage servicing rights	$	274	Cash flow	Yield	—		%	14.28		%	2.85		%
	71		Model-based	WAL	2.89 years			5.26 years			4.00 years
Liabilities
Interest-bearing deposits	$	237	Model-based	IR normal volatility	0.20		%	0.84		%	0.59		%
				Forward price	96.40		%	103.26		%	99.76		%
Securities loaned and sold under agreement to repurchase	$	625	Model-based	Interest rate	0.13		%	1.66		%	0.78		%
Trading account liabilities
Securities sold, not yet purchased	$	59	Price-based	Price	$	0.14		$	865.86		$	85.74
	45		Model-based	IR Lognormal volatility	52.16		%	107.54		%	86.92		%
				Interest rate	9.57		%	27.68		%	11.98		%
Short-term borrowings and long-term debt	$	21,761	Model-based	IR normal volatility	0.16		%	0.84		%	0.56		%
				Forward price	36.19		%	356.52		%	93.95		%

As of December 31, 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	$	303	Model-based	Credit spread	15 bps			15 bps			15 bps
				Interest rate	1.59		%	3.67		%	2.72		%
Mortgage-backed securities	$	196	Price-based	Price	$	36		$	505		$	97
	22		Model-based
State and municipal, foreign government, corporate and other debt securities	$	880	Model-based	Price	$	—		$	1,238		$	90
	677		Price-based	Credit spread	35 bps			295 bps			209 bps
Marketable equity securities(5)	$	70	Price-based	Price	$	—		$	38,500		$	2,979
	30		Model-based	WAL	1.48 years			1.48 years			1.48 years
				Recovery (in millions)	$	5,450		$	5,450		$	5,450
Asset-backed securities	$	812	Price-based	Price	$	4		$	103		$	60
	368		Yield analysis	Yield	0.61		%	23.38		%	8.88		%
Non-marketable equities	$	316	Comparables analysis	EBITDA multiples	7.00x			17.95x			10.34x
	97		Price-based	Appraised value (in thousands)	$	397		$	33,246		$	8,446

As of December 31, 2019	Fair value(1)  (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted average(4)
				Price	$	3		$	2,019		$	1,020
				PE ratio	14.70x			28.70x			20.54x
				Price to book ratio	1.50x			3.00x			1.88x
				Discount to price	—		%	10.00		%	2.32		%
Derivatives—gross(6)
Interest rate contracts (gross)	$	2,196	Model-based	Inflation volatility	0.21		%	2.74		%	0.79		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				IR normal volatility	0.09		%	0.66		%	0.53		%
Foreign exchange contracts (gross)	$	1,099	Model-based	FX volatility	1.27		%	12.16		%	9.17		%
				IR normal volatility	0.27		%	0.66		%	0.58		%
				FX rate	37.39		%	586.84		%	80.64		%
				Interest rate	2.72		%	56.14		%	13.11		%
				IR-IR correlation	(51.00)		%	40.00		%	32.00		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
Equity contracts (gross)(7)	$	2,076	Model-based	Equity volatility	3.16		%	52.80		%	28.43		%
				Forward price	62.60		%	112.69		%	98.46		%
				WAL	1.48 years			1.48 years			1.48 years
				Recovery (in millions)	$	5,450		$	5,450		$	5,450
Commodity and other contracts (gross)	$	1,487	Model-based	Forward price	37.62		%	362.57		%	119.32		%
				Commodity volatility	5.25		%	93.63		%	23.55		%
				Commodity correlation	(39.65)		%	87.81		%	41.80		%
Credit derivatives (gross)	$	613	Model-based	Credit spread	8 bps			283 bps			80 bps
	341		Price-based	Upfront points	2.59		%	99.94		%	59.41		%
				Price	$	12		$	100		$	87
				Credit correlation	25.00		%	87.00		%	48.57		%
				Recovery rate	20.00		%	65.00		%	48.00		%
Loans and leases	$	378	Model-based	Credit spread	9 bps			52 bps			48 bps
				Equity volatility	32.00		%	32.00		%	32.00		%
Mortgage servicing rights	$	418	Cash flow	Yield	1.78		%	12.00		%	9.49		%
	77		Model-based	WAL	4.07 years			8.13 years			6.61 years
Liabilities
Interest-bearing deposits	$	215	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Forward price	97.59		%	111.06		%	102.96		%
Securities loaned and sold under agreements to repurchase	$	757	Model-based	Interest rate	1.59		%	2.38		%	1.95		%
Trading account liabilities
Securities sold, not yet purchased	$	46	Price-based	Price	$	—		$	866		$	96
Short-term borrowings and long-term debt	$	17,182	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				IR normal volatility	0.09		%	0.66		%	0.46		%
				Forward price	37.62		%	362.57		%	97.52		%

As of December 31, 2019	Fair value(1)  (in millions)	Methodology	Input	Low(2)(3)		High(2)(3)		Weighted average(4)
			Equity-IR Correlation	15.00	%	44.00	%	32.66	%

(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 non-trading 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, 2020
Loans HFS(1)	$	4,680	$	493	$	4,187
Other real estate owned	15		8		7
Loans(2)	990		556		434
Non-marketable equity securities measured using the measurement alternative	336		336		—
Total assets at fair value on a nonrecurring basis	$	6,021	$	1,393	$	4,628

In millions of dollars	Fair value		Level 2		Level 3
December 31, 2019
Loans HFS(1)	$	4,579	$	3,249	$	1,330
Other real estate owned	20		6		14
Loans(2)	344		93		251
Non-marketable equity securities measured using the measurement alternative	249		249		—
Total assets at fair value on a nonrecurring basis	$	5,192	$	3,597	$	1,595

(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, 2020	Fair value(1)  (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans held-for-sale	$	4,040	Price-based	Price	$	86.83		$	100.00		$	95.43
Other real estate owned	$	4	Price-based	Appraised value(4)	$	186,787		$	2,339,180		$	1,540,644
	3		Recovery analysis	Price	49.77			49.77			49.77
Loans(5)	$	157	Price-based	Price	$	2.25		$	48.00		$	20.46
	125		Cash flow	Cost of capital	52.30		%	100.00		%	85.14		%
	75		Recovery analysis	Recovery rate	5.80		%	100.00		%	26.68		%

As of December 31, 2019	Fair value(1)  (in millions)		Methodology	Input	Low(2)			High			Weighted average(3)
Loans held-for-sale	$	1,320	Price-based	Price	$	86		$	100		$	99
Other real estate owned	$	11	Price-based	Appraised value(4)	$	2,297,358		$	8,394,102		$	5,615,884
	5		Recovery analysis
Loans(6)	$	100	Recovery analysis	Recovery rate	0.57		%	100.00		%	64.78		%
	54		Cash flow	Price	$	2		$	54		$	27
	47		Price-based	Cost of capital	0.10		%	100.00		%	54.84		%
	29		Price-based	Appraised value(4)	$	17,521,218		$	43,646,426		$	30,583,822

(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	2020		2019
Loans HFS	$	32	$	(14)
Other real estate owned	(1)		(1)
Loans(1)	(266)		(44)
Non-marketable equity securities measured using the measurement alternative	(52)		4
Total nonrecurring fair value gains (losses)	$	(287)	$	(55)

(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, 2020				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	89.1	$	91.8	$	1.2	$	88.1	$	2.5
Securities borrowed and purchased under agreements to resell	108.4		108.4		—		107.6		0.8
Loans(1)(2)	652.1		677.5		—		3.0		674.5
Other financial assets(2)(3)	389.7		389.7		294.4		15.4		79.9
Liabilities
Deposits	$	1,231.2	$	1,231.5	$	—	$	1,028.1	$	203.4
Securities loaned and sold under agreements to repurchase	156.3		156.3		—		156.3		—
Long-term debt(4)	217.8		223.9		—		197.5		26.4
Other financial liabilities(5)	113.9		113.9		—		19.1		94.8

	December 31, 2019				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	86.4	$	87.8	$	1.9	$	83.8	$	2.1
Securities borrowed and purchased under agreements to resell	98.1		98.1		—		98.1		—
Loans(1)(2)	681.2		677.7		—		4.7		673.0
Other financial assets(2)(3)	262.4		262.4		177.6		16.3		68.5
Liabilities
Deposits	$	1,068.3	$	1,066.7	$	—	$	875.5	$	191.2
Securities loaned and sold under agreements to repurchase	125.7		125.7		—		125.7		—
Long-term debt(4)	193.0		203.8		—		187.3		16.5
Other financial liabilities(5)	110.2		110.2		—		37.5		72.7

(1)The carrying value of loans is net of the Allowance for loan losses of $26.4 billion for June 30, 2020 and $12.8 billion for December 31, 2019. In addition, the carrying values exclude $0.9 billion and $1.4 billion of lease finance receivables at June 30, 2020 and December 31, 2019, 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, 2020 and December 31, 2019 were liabilities of $14.4 billion and $5.1 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.