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 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 | 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 | 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. |
|