FAIR VALUE MEASUREMENT

9 Months Ended

Sep. 30, 2018

For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2017 Annual Report on Form 10-K.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at September 30, 2018 and December 31, 2017:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2018			December 31, 2017
Counterparty CVA	$	(815	)	$	(970	)
Asset FVA	(324		)	(447		)
Citigroup (own-credit) CVA	317			287
Liability FVA	39			47
Total CVA—derivative instruments⁽¹⁾	$	(783	)	$	(1,083	)


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

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



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2018			2017			2018			2017
Counterparty CVA	$	94		$	27		$	117		$	197
Asset FVA	74			(5		)	123			74
Own-credit CVA	(75		)	(2		)	24			(127		)
Liability FVA	(23		)	(16		)	(8		)	(10		)
Total CVA—derivative instruments	$	70		$	4		$	256		$	134
DVA related to own FVO liabilities⁽¹⁾	$	(377	)	$	(195	)	$	208		$	(422	)
Total CVA and DVA⁽²⁾	$	(307	)	$	(191	)	$	464		$	(288	)


(1)	See Note 1 and Note 17 to the Consolidated Financial Statements.


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

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2018 and December 31, 2017. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:

Fair Value Levels



In millions of dollars at September 30, 2018	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	—	$	241,745	$	65	$	241,810	$	(63,368	)	$	178,442
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		20,293		128		20,421		—			20,421
Residential	1		730		215		946		—			946
Commercial	—		1,346		57		1,403		—			1,403
Total trading mortgage-backed securities	$	1	$	22,369	$	400	$	22,770	$	—		$	22,770
U.S. Treasury and federal agency securities	$	22,054	$	5,347	$	6	$	27,407	$	—		$	27,407
State and municipal	—		3,612		200		3,812		—			3,812
Foreign government	44,714		19,945		52		64,711		—			64,711
Corporate	835		13,409		253		14,497		—			14,497
Equity securities	45,556		8,195		170		53,921		—			53,921
Asset-backed securities	—		1,628		1,453		3,081		—			3,081
Other trading assets⁽³⁾	5		10,355		730		11,090		—			11,090
Total trading non-derivative assets	$	113,165	$	84,860	$	3,264	$	201,289	$	—		$	201,289
Trading derivatives
Interest rate contracts	$	183	$	163,345	$	2,313	$	165,841
Foreign exchange contracts	6		174,455		510		174,971
Equity contracts	2,495		27,255		294		30,044
Commodity contracts	15		22,576		684		23,275
Credit derivatives	—		10,750		816		11,566
Total trading derivatives	$	2,699	$	398,381	$	4,617	$	405,697
Cash collateral paid⁽⁴⁾							$	10,759
Netting agreements									$	(322,565	)
Netting of cash collateral received									(37,678		)
Total trading derivatives	$	2,699	$	398,381	$	4,617	$	416,456	$	(360,243	)	$	56,213
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	45,127	$	34	$	45,161	$	—		$	45,161
Residential	—		1,627		—		1,627		—			1,627
Commercial	—		226		5		231		—			231
Total investment mortgage-backed securities	$	—	$	46,980	$	39	$	47,019	$	—		$	47,019
U.S. Treasury and federal agency securities	$	106,098	$	10,045	$	—	$	116,143	$	—		$	116,143
State and municipal	—		8,798		682		9,480		—			9,480
Foreign government	56,866		37,514		81		94,461		—			94,461
Corporate	4,687		7,693		—		12,380		—			12,380
Equity securities	246		14		—		260		—			260
Asset-backed securities	—		978		284		1,262		—			1,262
Other debt securities	—		4,037		—		4,037		—			4,037
Non-marketable equity securities⁽⁵⁾	—		170		733		903		—			903
Total investments	$	167,897	$	116,229	$	1,819	$	285,945	$	—		$	285,945

Table continues on the next page.



In millions of dollars at September 30, 2018	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans	$	—		$	3,856		$	383		$	4,239	$	—		$	4,239
Mortgage servicing rights	—			—			618			618		—			618
Non-trading derivatives and other financial assets measured on a recurring basis	$	19,789		$	5,362		$	—		$	25,151	$	—		$	25,151
Total assets	$	303,550		$	850,433		$	10,766		$	1,175,508	$	(423,611	)	$	751,897
Total as a percentage of gross assets⁽⁶⁾	26.1		%	73.0		%	0.9		%
Liabilities
Interest-bearing deposits	$	—		$	1,137		$	303		$	1,440	$	—		$	1,440
Federal funds purchased and securities loaned and sold under agreements to repurchase	—			110,519			997			111,516		(63,368		)	48,148
Trading account liabilities
Securities sold, not yet purchased	85,760			10,281			387			96,428		—			96,428
Other trading liabilities	—			1,484			—			1,484		—			1,484
Total trading liabilities	$	85,760		$	11,765		$	387		$	97,912	$	—		$	97,912
Trading derivatives
Interest rate contracts	$	189		$	145,460		$	2,194		$	147,843
Foreign exchange contracts	7			168,557			321			168,885
Equity contracts	2,667			31,254			1,208			35,129
Commodity contracts	5			23,286			2,489			25,780
Credit derivatives	—			9,871			1,822			11,693
Total trading derivatives	$	2,868		$	378,428		$	8,034		$	389,330
Cash collateral received⁽⁷⁾										$	13,676
Netting agreements												$	(322,565	)
Netting of cash collateral paid												(30,701		)
Total trading derivatives	$	2,868		$	378,428		$	8,034		$	403,006	$	(353,266	)	$	49,740
Short-term borrowings	$	—		$	5,002		$	39		$	5,041	$	—		$	5,041
Long-term debt	—			22,980			13,791			36,771		—			36,771
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	19,789		$	158		$	—		$	19,947	$	—		$	19,947
Total liabilities	$	108,417		$	529,989		$	23,551		$	675,633	$	(416,634	)	$	258,999
Total as a percentage of gross liabilities⁽⁶⁾	16.4		%	80.1		%	3.6		%

(1)

For the three and nine months ended September 30, 2018, the Company transferred assets of approximately $1.7 billion and $3.4 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. During the three and nine months ended September 30, 2018, the Company transferred assets of approximately $2.6 billion and $7.9 billion from Level 2 to Level 1, primarily related to foreign government bonds, foreign corporate securities, marketable certificates of deposits and equity securities traded with sufficient frequency to constitute an active market. For the three and nine months ended September 30, 2018, there were $0.1 billion and $0.3 billion transfers of liabilities from Level 1 to Level 2. During the three and nine months ended September 30, 2018, the Company transferred liabilities of approximately $0.3 billion and $0.7 billion, from Level 2 to Level 1.


(2)	Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(4)	Reflects the net amount of $48,437 million gross cash collateral paid, of which $37,678 million was used to offset trading derivative liabilities.


(5)	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).


(6)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(7)	Reflects the net amount $44,377 million of gross cash collateral received, of which $30,701 million was used to offset trading derivative assets.

Fair Value Levels



In millions of dollars at December 31, 2017	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	—	$	188,571	$	16	$	188,587	$	(55,638	)	$	132,949
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		22,801		163		22,964		—			22,964
Residential	—		649		164		813		—			813
Commercial	—		1,309		57		1,366		—			1,366
Total trading mortgage-backed securities	$	—	$	24,759	$	384	$	25,143	$	—		$	25,143
U.S. Treasury and federal agency securities	$	17,524	$	3,613	$	—	$	21,137	$	—		$	21,137
State and municipal	—		4,426		274		4,700		—			4,700
Foreign government	39,347		20,843		16		60,206		—			60,206
Corporate	301		15,129		275		15,705		—			15,705
Equity securities	53,305		6,794		120		60,219		—			60,219
Asset-backed securities	—		1,198		1,590		2,788		—			2,788
Other trading assets⁽³⁾	3		11,105		615		11,723		—			11,723
Total trading non-derivative assets	$	110,480	$	87,867	$	3,274	$	201,621	$	—		$	201,621
Trading derivatives
Interest rate contracts	$	145	$	203,134	$	1,708	$	204,987
Foreign exchange contracts	19		121,363		577		121,959
Equity contracts	2,364		24,170		444		26,978
Commodity contracts	282		13,252		569		14,103
Credit derivatives	—		19,624		910		20,534
Total trading derivatives	$	2,810	$	381,543	$	4,208	$	388,561
Cash collateral paid⁽⁴⁾							$	7,541
Netting agreements									$	(306,401	)
Netting of cash collateral received									(38,532		)
Total trading derivatives	$	2,810	$	381,543	$	4,208	$	396,102	$	(344,933	)	$	51,169
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	41,717	$	24	$	41,741	$	—		$	41,741
Residential	—		2,884		—		2,884		—			2,884
Commercial	—		329		3		332		—			332
Total investment mortgage-backed securities	$	—	$	44,930	$	27	$	44,957	$	—		$	44,957
U.S. Treasury and federal agency securities	$	106,964	$	11,182	$	—	$	118,146	$	—		$	118,146
State and municipal	—		8,028		737		8,765		—			8,765
Foreign government	56,456		43,985		92		100,533		—			100,533
Corporate	1,911		12,127		71		14,109		—			14,109
Equity securities	176		11		2		189		—			189
Asset-backed securities	—		3,091		827		3,918		—			3,918
Other debt securities	—		297		—		297		—			297
Non-marketable equity securities⁽⁵⁾	—		121		681		802		—			802
Total investments	$	165,507	$	123,772	$	2,437	$	291,716	$	—		$	291,716

Table continues on the next page.



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

(1)

In 2017, the Company transferred assets of approximately $4.8 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2017, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2017, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2. In 2017, the Company transferred liabilities of approximately $0.3 billion from Level 2 to Level 1.


(2)	Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


(4)	Reflects the net amount of $43,207 million of gross cash collateral paid, of which $35,666 million was used to offset trading derivative liabilities.


(5)	Amounts exclude $0.4 billion of investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).


(6)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(7)	Reflects the net amount of $52,840 million of gross cash collateral received, of which $38,532 million was used to offset trading derivative assets.

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three and nine months ended September 30, 2018 and 2017. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) incl. in					Transfers																				Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2018			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances			Sales			Settlements			Sept. 30, 2018
Assets
Federal funds sold and 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
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

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, 2018		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances			Sales			Settlements			Sept. 30, 2018
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		)	—			—		—
Equity securities	1		—			—			—		—			—		—			—			(1		)	—		—
Asset-backed securities	456		—			(6		)	—		(177		)	34		—			(23		)	—			284		(5		)
Other debt securities	—		—			—			—		—			—		—			—			—			—		—
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
Federal funds purchased and 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 on the Consolidated Statement of Income.


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


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at 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		Unrealized gains (losses) still held⁽³⁾
Assets
Federal funds sold and 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	)
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	)	—		—		—
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	Unrealized gains (losses) still held⁽³⁾
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	)
Federal funds purchased and 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 on the Consolidated Statement of Income.


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


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


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



				Net realized/unrealized gains (losses) incl. in						Transfers																				Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2017			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2017
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	1,002		$	(338	)	$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	664		$	(338	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	204		$	—		$	—		$	75		$	(21	)	$	174		$	—	$	(123	)	$	—		$	309		$	—
Residential	327			24			—			41			(9		)	39			—		(71		)	—			351			12
Commercial	318			10			—			22			(17		)	11			—		(232		)	—			112			5
Total trading mortgage-backed securities	$	849		$	34		$	—		$	138		$	(47	)	$	224		$	—	$	(426	)	$	—		$	772		$	17
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	—		$	—
State and municipal	284			(2		)	—			—			—			49			—		(61		)	—			270			(1		)
Foreign government	108			(5		)	—			4			(114		)	161			—		(59		)	—			95			(2		)
Corporate	401			105			—			16			(11		)	148			—		(268		)	—			391			103
Equity securities	240			183			—			3			(41		)	29			—		(178		)	—			236			6
Asset-backed securities	1,570			114			—			5			(6		)	481			—		(460		)	—			1,704			26
Other trading assets	1,803			(38		)	—			38			(607		)	1,349			4		(394		)	(4		)	2,151			29
Total trading non-derivative assets	$	5,255		$	391		$	—		$	204		$	(826	)	$	2,441		$	4	$	(1,846	)	$	(4	)	$	5,619		$	178
Trading derivatives, net⁽⁴⁾
Interest rate contracts	(288		)	196			—			4			(4		)	25			—		(20		)	(114		)	(201		)	120
Foreign exchange contracts	184			(92		)	—			1			(4		)	(6		)	—		(3		)	68			148			(92		)
Equity contracts	(1,647		)	201			—			(52		)	(34		)	31			—		(126		)	(221		)	(1,848		)	(10		)
Commodity contracts	(2,024		)	(248		)	—			(29		)	(10		)	—			—		(3		)	(25		)	(2,339		)	(255		)
Credit derivatives	(1,339		)	(150		)	—			25			115			7			—		—			401			(941		)	(185		)
Total trading derivatives, net⁽⁴⁾	$	(5,114	)	$	(93	)	$	—		$	(51	)	$	63		$	57		$	—	$	(152	)	$	109		$	(5,181	)	$	(422	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	50		$	—		$	12		$	—		$	(5	)	$	—		$	—	$	—		$	—		$	57		$	28
Residential	—			—			—			—			—			—			—		—			—			—			—
Commercial	—			—			—			3			—			—			—		—			—			3			—
Total investment mortgage-backed securities	$	50		$	—		$	12		$	3		$	(5	)	$	—		$	—	$	—		$	—		$	60		$	28
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—		$	—	$	(1	)	$	—		$	—		$	—
State and municipal	1,285			—			(2		)	21			(3		)	16			—		(45		)	—			1,272			17
Foreign government	358			—			(58		)	—			(18		)	122			—		(103		)	—			301			(7		)
Corporate	156			—			146			10			(2		)	41			—		(231		)	—			120			—
Equity securities	9			—			(1		)	—			—			—			—		(5		)	—			3			—
Asset-backed securities	1,028			—			(280		)	2			(7		)	504			—		(417		)	—			830			(134		)
Other debt securities	10			—			—			—			—			—			—		—			—			10			—
Non-marketable equity securities	939			—			(61		)	—			—			1			—		(1		)	(49		)	829			(18		)
Total investments	$	3,836		$	—		$	(244	)	$	36		$	(35	)	$	684		$	—	$	(803	)	$	(49	)	$	3,425		$	(114	)



			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Jun. 30, 2017		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2017
Loans	$	577	$	—		$	73		$	—	$	—		$	131	$	—	$	(236	)	$	(1	)	$	544	$	264
Mortgage servicing rights	560		—			(6		)	—		—			—		19		—			(20		)	553		3
Other financial assets measured on a recurring basis	17		—			13			—		—			1		43		(4		)	(56		)	14		17
Liabilities
Interest-bearing deposits	$	300	$	—		$	(2	)	$	—	$	—		$	—	$	—	$	—		$	(2	)	$	300	$	6
Federal funds purchased and securities loaned and sold under agreements to repurchase	807		(1		)	—			—		—			—		—		—			(43		)	765		4
Trading account liabilities
Securities sold, not yet purchased	1,143		496			—			5		(10		)	—		—		88			(46		)	684		24
Short-term borrowings	29		(13		)	—			3		(1		)	—		12		—			—			56		7
Long-term debt	11,831		1,057			—			181		(490		)	—		419		—			437			11,321		716
Other financial liabilities measured on a recurring basis	2		—			—			—		—			—		1		—			(1		)	2		(1		)



				Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2016			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2017
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	1,496		$	(340	)	$	—		$	—		$	(491	)	$	—	$	—	$	—		$	(1	)	$	664		$	—
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	176			4			—			154			(86		)	438		—		(377		)	—			309			1
Residential	399			61			—			88			(58		)	105		—		(244		)	—			351			35
Commercial	206			7			—			66			(46		)	445		—		(566		)	—			112			(5		)
Total trading mortgage-backed securities	$	781		$	72		$	—		$	308		$	(190	)	$	988	$	—	$	(1,187	)	$	—		$	772		$	31
U.S. Treasury and federal agency securities	$	1		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	—		$	—
State and municipal	296			3			—			24			(48		)	137		—		(142		)	—			270			(1		)
Foreign government	40			2			—			88			(204		)	288		—		(119		)	—			95			(1		)
Corporate	324			320			—			132			(84		)	424		—		(725		)	—			391			167
Equity securities	127			212			—			135			(54		)	38		—		(222		)	—			236			20
Asset-backed securities	1,868			251			—			28			(87		)	1,185		—		(1,541		)	—			1,704			34
Other trading assets	2,814			(88		)	—			470			(1,381		)	2,002		5		(1,652		)	(19		)	2,151			29
Total trading non-derivative assets	$	6,251		$	772		$	—		$	1,185		$	(2,048	)	$	5,062	$	5	$	(5,589	)	$	(19	)	$	5,619		$	279
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(663	)	$	4		$	—		$	(24	)	$	647		$	90	$	—	$	(225	)	$	(30	)	$	(201	)	$	65
Foreign exchange contracts	413			(389		)	—			54			(63		)	32		—		(37		)	138			148			(134		)
Equity contracts	(1,557		)	98			—			(34		)	(8		)	180		—		(263		)	(264		)	(1,848		)	(22		)
Commodity contracts	(1,945		)	(576		)	—			29			39			—		—		(3		)	117			(2,339		)	(255		)
Credit derivatives	(1,001		)	(535		)	—			(43		)	91			5		—		2			540			(941		)	(197		)
Total trading derivatives, net⁽⁴⁾	$	(4,753	)	$	(1,398	)	$	—		$	(18	)	$	706		$	307	$	—	$	(526	)	$	501		$	(5,181	)	$	(543	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	101		$	—		$	15		$	1		$	(60	)	$	—	$	—	$	—		$	—		$	57		$	30
Residential	50			—			2			—			(47		)	—		—		(5		)	—			—			—
Commercial	—			—			—			3			—			8		—		(8		)	—			3			—
Total investment mortgage-backed securities	$	151		$	—		$	17		$	4		$	(107	)	$	8	$	—	$	(13	)	$	—		$	60		$	30
U.S. Treasury and federal agency securities	$	2		$	—		$	—		$	—		$	—		$	—	$	—	$	(2	)	$	—		$	—		$	—
State and municipal	1,211			—			37			70			(36		)	92		—		(102		)	—			1,272			35
Foreign government	186			—			(47		)	2			(37		)	455		—		(258		)	—			301			(5		)
Corporate	311			—			11			74			(6		)	224		—		(494		)	—			120			—
Equity securities	9			—			(1		)	—			—			—		—		(5		)	—			3			—
Asset-backed securities	660			—			(98		)	23			(20		)	864		—		(599		)	—			830			(134		)
Other debt securities	—			—			—			—			—			21		—		(11		)	—			10			—
Non-marketable equity securities	1,331			—			(124		)	2			—			10		—		(228		)	(162		)	829			49
Total investments	$	3,861		$	—		$	(205	)	$	175		$	(206	)	$	1,674	$	—	$	(1,712	)	$	(162	)	$	3,425		$	(25	)



			Net realized/unrealized gains (losses) incl. in					Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2016		Principal transactions		Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2017
Loans	$	568	$	—	$	57		$	80	$	(16	)	$	173	$	—	$	(312	)	$	(6	)	$	544	$	266
Mortgage servicing rights	1,564		—		50			—		—			—		75		(1,046		)	(90		)	553		(40		)
Other financial assets measured on a recurring basis	34		—		(147		)	3		(8		)	1		303		(8		)	(164		)	14		(68		)
Liabilities
Interest-bearing deposits	$	293	$	—	$	9		$	40	$	—		$	—	$	—	$	—		$	(24	)	$	300	$	6
Federal funds purchased and securities loaned and sold under agreements to repurchase	849		7		—			—		—			—		—		—			(77		)	765		4
Trading account liabilities
Securities sold, not yet purchased	1,177		490		—			18		(53		)	—		—		265			(233		)	684		24
Short-term borrowings	42		18		—			4		(1		)	—		31		—			(2		)	56		7
Long-term debt	9,744		456		—			702		(1,457		)	—		2,701		—			87			11,321		708
Other financial liabilities measured on a recurring basis	8		—		—			—		—			—		3		(1		)	(8		)	2		(1		)


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


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


(3)	Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2017.


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

Level 3 Fair Value Rollforward

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


•	During the three and nine months ended September 30, 2018, transfers of Long-term debt of $0.4 billion and $2.2 billion from Level 2 to Level 3, and of $0.6 billion and $2.0 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The were no significant Level 3 transfers for the period from June 30, 2017 to September 30, 2017.

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


•	Transfers of Long-term debt of $0.7 billion from Level 2 to Level 3, and of $1.5 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 September 30, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	65	Model-based	Interest rate	2.27		%	3.67		%	3.54		%
Mortgage-backed securities	$	273	Price-based	Price	$	37.40		$	108.00		$	92.56
	137		Yield analysis	Yield	3.13		%	14.29		%	4.72		%

State and municipal, foreign government, corporate and other debt securities	$	930	Price-based	Price	$	—		$	108.15		$	79.65
	926		Model-based	Credit spread	35 bps			446 bps			246 bps
Equity securities⁽⁵⁾	$	124	Price-based	Price	$	—		$	865.86		$	3.50
	46		Model-based	WAL	1.73 years			1.73 years			1.73 years

Asset-backed securities	$	1,666	Price-based	Price	$	3.56		$	100.91		$	69.41
Non-marketable equities	$	428	Comparables analysis	Net operating income multiple	$	7.30		$	25.00		$	10.49
	$	282	Price-based	Discount to price	—		%	100.00		%	0.62		%
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	4,470	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				IR normal volatility	0.14		%	78.79		%	53.37		%
				Inflation volatility	0.20		%	2.56		%	0.76		%
Foreign exchange contracts (gross)	$	749	Model-based	FX volatility	3.15		%	17.35		%	10.96		%
	$	82	Cash flow	Credit spread	39 bps			880 bps			379 bps
				IR-IR correlation	(51.00		)%	40.00		%	33.60		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				FX rate	—		%	0.04		%	0.03		%
				IR basis	(0.79		)%	9.00		%	0.67		%
Equity contracts (gross)	$	1,478	Model-based	Equity volatility	3.00		%	83.72		%	28.96		%
				Forward price	63.10		%	159.10		%	97.77		%
				WAL	1.73 years			1.73 years			1.73 years
Commodity and other contracts (gross)	$	3,049	Model-based	Forward price	45.19		%	549.00		%	129.77		%
				Commodity volatility	7.60		%	55.00		%	17.32		%
				Commodity Correlation	(52.45		)%	91.37		%	17.71		%
Credit derivatives (gross)	$	1,924	Model-based	Credit correlation	25.00		%	85.00		%	43.50		%
	714		Price-based	Upfront points	5.13		%	97.98		%	53.49		%
				Credit spread	2 bps			1,260 bps			84 bps
				Price	$	31.77		$	98.00		$	79.28
				Recovery rate	5.00		%	65.00		%	48.09		%



As of September 30, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾		High⁽²⁾⁽³⁾		Weighted average⁽⁴⁾
Loans and leases	$	318	Model-based	Credit spread	128 bps		215 bps		161 bps
	66		Price-based	Yield	4.15	%	4.15	%	4.15	%

Mortgage servicing rights	$	531	Cash flow	Yield	4.79	%	12.00	%	8.31	%
	87		Model-based	WAL	4.11 years		8.10 years		6.92 years
Liabilities
Interest-bearing deposits	$	303	Model-based	Mean reversion	—	%	20.00	%	7.95	%
				Forward price	99.23	%	106.69	%	101.80	%
				Equity volatility	7.34	%	20.78	%	17.98	%
Federal funds purchased and securities loaned and sold under agreement to repurchase	$	997	Model-based	Interest rate	2.27	%	3.41	%	3.14	%
Trading account liabilities
Securities sold, not yet purchased	$	360	Model-based	Forward price	45.19	%	549.00	%	100.21	%
				Equity volatility	3.00	%	83.72	%	22.17	%
				Equity-equity correlation	(81.39	)%	100.00	%	41.02	%
				Equity-FX correlation	(82.74	)%	54.00	%	(32.58	)%
				Mean reversion	1.00	%	20.00	%	10.50	%

Short-term borrowings and long-term debt	$	12,944	Model-based	Mean reversion	1.00	%	20.00	%	10.50	%
				Forward price	65.99	%	259.53	%	103.59	%
				Equity volatility	3.00	%	83.72	%	19.28	%



As of December 31, 2017	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted average⁽⁴⁾
Assets
Federal funds sold and securities borrowed and purchased under agreements to resell	$	16	Model-based	Interest rate	1.43		%	2.16		%	2.09		%
Mortgage-backed securities	$	214	Price-based	Price	$	2.96		$	101.00		$	56.52
	184		Yield analysis	Yield	2.52		%	14.06		%	5.97		%
State and municipal, foreign government, corporate and other debt securities	$	949	Model-based	Price	$	—		$	184.04		$	91.74
	914		Price-based	Credit spread	35 bps			500 bps			249 bps
				Yield	2.36		%	14.25		%	6.03		%
Equity securities⁽⁵⁾	$	65	Price-based	Price	$	—		$	25,450.00		$	2,526.62
	55		Model-based	WAL	2.50 years			2.50 years			2.50 years
Asset-backed securities	$	2,287	Price-based	Price	$	4.25		$	100.60		$	74.57
Non-marketable equity	$	423	Comparables analysis	EBITDA multiples	6.90		x	12.80		x	8.66		x
	223		Price-based	Discount to price	—		%	100.00		%	11.83		%
				Price-to-book ratio	0.05		x	1.00		x	0.32		x
Derivatives—gross⁽⁶⁾
Interest rate contracts (gross)	$	3,818	Model-based	IR normal volatility	9.40		%	77.40		%	58.86		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	940	Model-based	Foreign exchange (FX) volatility	4.58		%	15.02		%	8.16		%



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


(1)	The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Some inputs are shown as zero due to rounding.


(3)	When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.


(4)	Weighted averages are calculated based on the fair values of the instruments.


(5)	For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.


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


(7)	Includes hybrid products.

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity investments that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.

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



In millions of dollars	Fair value		Level 2		Level 3
September 30, 2018
Loans HFS⁽¹⁾	$	4,823	$	1,870	$	2,953
Other real estate owned	85		68		17
Loans⁽²⁾	349		155		194
Non-marketable equity investments measured using the measurement alternative	115		115		—
Total assets at fair value on a nonrecurring basis	$	5,372	$	2,208	$	3,164



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


(1)	Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.


(2)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

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



As of September 30, 2018	Fair value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾			High			Weighted average⁽³⁾
Loans held-for-sale	$	2,533	Price-based	Price	$	80.90		$	100.00		$	99.26
Other real estate owned	$	17	Price-based	Appraised value	$	2,353,777		$	8,394,102		$	7,071,276
				Discount to price	13.00		%	13.00		%	13.00		%
				Price	$	56.31		$	56.31		$	56.31
Loans⁽⁵⁾	$	123	Recovery analysis	Price	$	13.36		$	100.00		$	92.33
	54		Price-based	Recovery rate	9.00		%	90.00		%	76.62		%
				Appraised Value	$	9,855,140		$	55,972,000		$	38,154,269



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


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Some inputs are shown as zero due to rounding.


(3)	Weighted averages are calculated based on the fair values of the instruments.


(4)	Appraised values are disclosed in whole dollars.


(5)	Includes estimated costs to sell.


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

Nonrecurring Fair Value Changes

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



	Three Months Ended September 30,
In millions of dollars	2018			2017
Loans HFS	$	(1	)	$	10
Other real estate owned	(1		)	(4		)
Loans⁽¹⁾	(22		)	(66		)
Non-marketable equity investments measured using the measurement alternative	7			—
Total nonrecurring fair value gains (losses)	$	(17	)	$	(60	)


(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	2018			2017
Loans HFS	$	8		$	(15	)
Other real estate owned	(2		)	(6		)
Loans⁽¹⁾	(51		)	(110		)
Non-marketable equity investments measured using the measurement alternative	111			—
Total nonrecurring fair value gains (losses)	$	66		$	(131	)


(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.



	September 30, 2018				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	58.9	$	58.0	$	1.1	$	54.9	$	2.0
Federal funds sold and securities borrowed and purchased under agreements to resell	102.5		102.5		—		100.5		2.0
Loans⁽¹⁾⁽²⁾	656.7		655.2		—		5.2		650.0
Other financial assets⁽²⁾⁽³⁾	263.9		264.4		184.6		14.7		65.1
Liabilities
Deposits	$	1,003.7	$	1,002.8	$	—	$	836.7	$	166.1
Federal funds purchased and securities loaned or sold under agreements to repurchase	127.8		127.8		—		127.8		—
Long-term debt⁽⁴⁾	198.5		200.6		—		186.3		14.3
Other financial liabilities⁽⁵⁾	110.6		110.6		—		16.1		94.5



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


(1)	The carrying value of loans is net of the Allowance for loan losses of $12.3 billion for September 30, 2018 and $12.4 billion for December 31, 2017. In addition, the carrying values exclude $1.6 billion and $1.7 billion of lease finance receivables at September 30, 2018 and December 31, 2017, respectively.


(2)	Includes items measured at fair value on a nonrecurring basis.


(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


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


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

The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 2018 and December 31, 2017 were liabilities of $3.2 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of

consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details