FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2014

Fair Value Disclosures [Abstract]

Items measured at fair value on a recurring basis

Fair Value Levels

In millions of dollars at June 30, 2014	Level 1(1)		Level 2(1)		Level 3		Gross inventory		Netting(2)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	188,049	$	3,363	$	191,412	$	(38,246	)	$	153,166
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	20,441	$	697	$	21,138	$	—		$	21,138
Residential	—		1,425		2,610		4,035		—			4,035
Commercial	—		1,958		409		2,367		—			2,367
Total trading mortgage-backed securities	$	—	$	23,824	$	3,716	$	27,540	$	—		$	27,540
U.S. Treasury and federal agency securities	$	16,197	$	4,121	$	—	$	20,318	$	—		$	20,318
State and municipal	—		2,484		242		2,726		—			2,726
Foreign government	52,449		28,071		465		80,985		—			80,985
Corporate	—		28,684		1,262		29,946		—			29,946
Equity securities	55,357		2,359		1,863		59,579		—			59,579
Asset-backed securities	—		1,128		3,376		4,504		—			4,504
Other trading assets	—		10,660		4,016		14,676		—			14,676
Total trading non-derivative assets	$	124,003	$	101,331	$	14,940	$	240,274	$	—		$	240,274
Trading derivatives
Interest rate contracts	$	10	$	541,340	$	3,770	$	545,120
Foreign exchange contracts	38		65,183		1,185		66,406
Equity contracts	2,706		19,520		1,786		24,012
Commodity contracts	206		11,521		653		12,380
Credit derivatives	—		36,429		2,825		39,254
Total trading derivatives	$	2,960	$	673,993	$	10,219	$	687,172
Cash collateral paid(3)							$	5,078
Netting agreements									$	(604,913	)
Netting of cash collateral received									(36,835		)
Total trading derivatives	$	2,960	$	673,993	$	10,219	$	692,250	$	(641,748	)	$	50,502
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	37,382	$	163	$	37,545	$	—		$	37,545
Residential	—		9,562		17		9,579		—			9,579
Commercial	—		514		7		521		—			521
Total investment mortgage-backed securities	$	—	$	47,458	$	187	$	47,645	$	—		$	47,645
U.S. Treasury and federal agency securities	$	88,629	$	15,176	$	7	$	103,812	$	—		$	103,812
State and municipal	$	—	$	10,790	$	2,102	$	12,892	$	—		$	12,892
Foreign government	34,059		61,306		615		95,980		—			95,980
Corporate	6		10,485		512		11,003		—			11,003
Equity securities	5,011		276		826		6,113		—			6,113
Asset-backed securities	—		12,684		1,739		14,423		—			14,423
Other debt securities	—		662		48		710		—			710
Non-marketable equity securities	—		198		3,722		3,920		—			3,920
Total investments	$	127,705	$	159,035	$	9,758	$	296,498	$	—		$	296,498

In millions of dollars at June 30, 2014	Level 1(1)			Level 2(1)			Level 3			Gross inventory		Netting(2)			Net balance
Loans(4)	$	—		$	1,494		$	3,310		$	4,804	$	—		$	4,804
Mortgage servicing rights	—			—			2,282			2,282		—			2,282
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	10,385		$	201		$	10,586
Cash collateral paid										$	214
Netting of cash collateral received												$	(3,181	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	10,385		$	201		$	10,800	$	(3,181	)	$	7,619
Total assets	$	254,668		$	1,134,287		$	44,073		$	1,438,320	$	(683,175	)	$	755,145
Total as a percentage of gross assets(5)	17.8		%	79.1		%	3.1		%
Liabilities
Interest-bearing deposits	$	—		$	978		$	909		$	1,887	$	—		$	1,887
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	—		$	89,758		$	1,032		$	90,790	$	(38,246	)	$	52,544
Trading account liabilities
Securities sold, not yet purchased	63,507			11,848			472			75,827					75,827
Trading derivatives
Interest rate contracts	$	5		$	527,091		$	3,753		$	530,849
Foreign exchange contracts	—			65,355			338			65,693
Equity contracts	2,724			28,251			2,679			33,654
Commodity contracts	233			10,711			1,882			12,826
Credit derivatives	—			35,955			3,024			38,979
Total trading derivatives	$	2,962		$	667,363		$	11,676		$	682,001
Cash collateral received(6)										$	12,080
Netting agreements												$	(604,913	)
Netting of cash collateral paid												(41,625		)
Total trading derivatives	$	2,962		$	667,363		$	11,676		$	694,081	$	(646,538	)	$	47,543
Short-term borrowings	$	—		$	1,107		$	129		$	1,236	$	—		$	1,236
Long-term debt	—			19,567			7,847			27,414		—			27,414
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,494		$	6		$	2,500
Cash collateral received(7)										$	239
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,494		$	6		$	2,739				$	2,739
Total liabilities	$	66,469		$	793,115		$	22,071		$	893,974	$	(684,784	)	$	209,190
Total as a percentage of gross liabilities(5)	7.5		%	90.0		%	2.5		%

(1) For the three and six months ended June 30, 2014, the Company transferred assets of approximately $0.7 billion and $1.9 billion, respectively, from Level 1 to Level 2, primarily related to foreign government securities not traded in active markets during the respective periods and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the three and six months ended June 30, 2014, the Company transferred assets of approximately $0.8 billion and $3.0 billion, respectively, from Level 2 to Level 1, almost all related to foreign government bonds traded with sufficient frequency to constitute a liquid market. During the three months ended June 30, 2014, there were no material transfers of liabilities between Level 1 and Level 2. During the six months ended June 30, 2014, the Company transferred liabilities of approximately $1.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect the prevalence of off-exchange trading.

(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) Reflects the net amount of $46,703 million of gross cash collateral paid, of which $41,625 million was used to offset derivative liabilities.

(4) There is no allowance for loan losses recorded for loans reported at fair value.

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

(6) Reflects the net amount of $48,915 million of gross cash collateral received, of which $36,835 million was used to offset derivative assets.

(7) Reflects the net amount of $3,420 million of gross cash collateral received, of which $3,181 million was used to offset derivative assets.

Fair Value Levels

In millions of dollars at December 31, 2013	Level 1(1)		Level 2(1)		Level 3		Gross inventory		Netting(2)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	172,848	$	3,566	$	176,414	$	(34,933	)	$	141,481
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		22,861		1,094		23,955		—			23,955
Residential	—		1,223		2,854		4,077		—			4,077
Commercial	—		2,318		256		2,574		—			2,574
Total trading mortgage-backed securities	$	—	$	26,402	$	4,204	$	30,606	$	—		$	30,606
U.S. Treasury and federal agency securities	$	12,080	$	2,757	$	—	$	14,837	$	—		$	14,837
State and municipal	—		2,985		222		3,207		—			3,207
Foreign government	49,220		25,220		416		74,856		—			74,856
Corporate	—		28,699		1,835		30,534		—			30,534
Equity securities	58,761		1,958		1,057		61,776		—			61,776
Asset-backed securities	—		1,274		4,342		5,616		—			5,616
Other trading assets	—		8,491		3,184		11,675		—			11,675
Total trading non-derivative assets	$	120,061	$	97,786	$	15,260	$	233,107	$	—		$	233,107
Trading derivatives
Interest rate contracts	$	11	$	624,902	$	3,467	$	628,380
Foreign exchange contracts	40		91,189		1,325		92,554
Equity contracts	5,793		17,611		1,473		24,877
Commodity contracts	506		7,775		801		9,082
Credit derivatives	—		37,336		3,010		40,346
Total trading derivatives	$	6,350	$	778,813	$	10,076	$	795,239
Cash collateral paid(3)							$	6,073
Netting agreements									$	(713,598	)
Netting of cash collateral received									(34,893		)
Total trading derivatives	$	6,350	$	778,813	$	10,076	$	801,312	$	(748,491	)	$	52,821
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	41,810	$	187	$	41,997	$	—		$	41,997
Residential	—		10,103		102		10,205		—			10,205
Commercial	—		453		—		453		—			453
Total investment mortgage-backed securities	$	—	$	52,366	$	289	$	52,655	$	—		$	52,655
U.S. Treasury and federal agency securities	$	69,139	$	18,449	$	8	$	87,596	$	—		$	87,596
State and municipal	$	—	$	17,297	$	1,643	$	18,940	$	—		$	18,940
Foreign government	35,179		60,948		344		96,471		—			96,471
Corporate	4		10,841		285		11,130		—			11,130
Equity securities	2,583		336		815		3,734		—			3,734
Asset-backed securities	—		13,314		1,960		15,274		—			15,274
Other debt securities	—		661		50		711		—			711
Non-marketable equity securities	—		358		4,347		4,705		—			4,705
Total investments	$	106,905	$	174,570	$	9,741	$	291,216	$	—		$	291,216

In millions of dollars at December 31, 2013	Level 1(1)			Level 2(1)			Level 3			Gross inventory		Netting(2)			Net balance
Loans(4)	$	—		$	886		$	4,143		$	5,029	$	—		$	5,029
Mortgage servicing rights	—			—			2,718			2,718		—			2,718
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,811		$	181		$	9,992
Cash collateral paid										$	82
Netting of cash collateral received												$	(2,951	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,811		$	181		$	10,074	$	(2,951	)	$	7,123
Total assets	$	233,316		$	1,234,714		$	45,685		$	1,519,870	$	(786,375	)	$	733,495
Total as a percentage of gross assets(5)	15.4		%	81.6		%	3.0		%
Liabilities
Interest-bearing deposits	$	—		$	787		$	890		$	1,677	$	—		$	1,677
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			85,576			902			86,478		(34,933		)	51,545
Trading account liabilities
Securities sold, not yet purchased	51,035			9,883			590			61,508					61,508
Trading account derivatives
Interest rate contracts	$	12		$	614,586		$	2,628		$	617,226
Foreign exchange contracts	29			87,978			630			88,637
Equity contracts	5,783			26,178			2,331			34,292
Commodity contracts	363			7,613			2,194			10,170
Credit derivatives	—			37,510			3,284			40,794
Total trading derivatives	$	6,187		$	773,865		$	11,067		$	791,119
Cash collateral received(6)										$	8,827
Netting agreements												$	(713,598	)
Netting of cash collateral paid												(39,094		)
Total trading derivatives	$	6,187		$	773,865		$	11,067		$	799,946	$	(752,692	)	$	47,254
Short-term borrowings	—			3,663			29			3,692		—			3,692
Long-term debt	—			19,256			7,621			26,877		—			26,877
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,719		$	10		$	1,729
Cash collateral received(7)										$	282
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,719		$	10		$	2,011				$	2,011
Total liabilities	$	57,222		$	894,749		$	21,109		$	982,189	$	(787,625	)	$	194,564
Total as a percentage of gross liabilities(5)	5.9		%	91.9		%	2.2		%

(1) For the three and six months ended June 30, 2013, the Company transferred assets of $0.5 billion and $0.9 billion, respectively, from Level 1 to Level 2, primarily related to foreign government bonds, which were traded with less frequency. During the three and six months ended June 30, 2013, the Company transferred assets of approximately $0.2 billion and $49.0 billion, respectively, from Level 2 to Level 1. Almost all of the transfers during the six months ended June 30, 2013 were related to U.S. Treasury securities held across the Company’s major investment portfolios where Citi obtained additional information from its external pricing sources to meet the criteria for Level 1 classification. There were no material liability transfers between Level 1 and Level 2 during the three and six months ended June 30, 2013.

(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) Reflects the net amount of $45,167 million of gross cash collateral paid, of which $39,094 million was used to offset derivative liabilities.

(4) There is no allowance for loan losses recorded for loans reported at fair value.

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

(6) Reflects the net amount of $43,720 million of gross cash collateral received, of which $34,893 million was used to offset derivative assets.

(7) Reflects the net amount of $3,233 million of gross cash collateral received, of which $2,951 million was used to offset derivative assets.

Changes in level 3 fair value category

Level 3 Fair Value Rollforward

				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2014			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,451		$	(78	)	$	—	$	16		$	(8	)	$	75	$	—	$	—		$	(93	)	$	3,363		$	129
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	788		$	17		$	—	$	198		$	(213	)	$	107	$	4	$	(196	)	$	(8	)	$	697		$	8
Residential	2,744			160			—		79			(129		)	704		—		(948		)	—			2,610			98
Commercial	241			6			—		41			(38		)	204		—		(45		)	—			409			2
Total trading mortgage-backed securities	$	3,773		$	183		$	—	$	318		$	(380	)	$	1,015	$	4	$	(1,189	)	$	(8	)	$	3,716		$	108
U.S. Treasury and federal agency securities	$	—		$	3		$	—	$	—		$	—		$	—	$	—	$	(3	)	$	—		$	—		$	—
State and municipal	121			2			—		134			—			9		—		(24		)	—			242			(17		)
Foreign government	373			(10		)	—		37			(17		)	221		—		(139		)	—			465			(1		)
Corporate	1,665			(109		)	—		66			(195		)	679		—		(840		)	(4		)	1,262			(28		)
Equity securities	1,385			(42		)	—		1			(55		)	654		—		(80		)	—			1,863			(160		)
Asset-backed securities	3,441			339			—		50			(53		)	759		—		(1,160		)	—			3,376			296
Other trading assets	3,452			58			—		456			(715		)	1,811		—		(1,046		)	—			4,016			21
Total trading non-derivative assets	$	14,210		$	424		$	—	$	1,062		$	(1,415	)	$	5,148	$	4	$	(4,481	)	$	(12	)	$	14,940		$	219
Trading derivatives, net(4)
Interest rate contracts	233			(236		)	—		116			(133		)	24		—		(52		)	65			17			(293		)
Foreign exchange contracts	829			(41		)	—		32			11			—		—		(1		)	17			847			3
Equity contracts	(1,236		)	90			—		(73		)	278			112		—		(43		)	(21		)	(893		)	(415		)
Commodity contracts	(1,329		)	173			—		(5		)	(39		)	—		—		—			(29		)	(1,229		)	128
Credit derivatives	(257		)	(164		)	—		(23		)	(15		)	102		—		—			158			(199		)	(20		)
Total trading derivatives, net(4)	$	(1,760	)	$	(178	)	$	—	$	47		$	102		$	238	$	—	$	(96	)	$	190		$	(1,457	)	$	(597	)

			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2014		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	199	$	—		$	(3	)	$	11	$	(17	)	$	—		$	—	$	(27	)	$	—		$	163	$	(3	)
Residential	30		—			10			17		(1		)	—			—		(39		)	—			17		—
Commercial	1		—			—			3		—			3			—		—			—			7		—
Total investment mortgage-backed securities	$	230	$	—		$	7		$	31	$	(18	)	$	3		$	—	$	(66	)	$	—		$	187	$	(3	)
U.S. Treasury and federal agency securities	$	7	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	—		$	7	$	—
State and municipal	1,903		—			29			463		(180		)	125			—		(238		)	—			2,102		37
Foreign government	274		—			(7		)	160		—			280			—		(29		)	(63		)	615		—
Corporate	531		—			14			16		—			19			—		(48		)	(20		)	512		(2		)
Equity securities	831		—			(4		)	6		(12		)	5			—		—			—			826		(9		)
Asset-backed securities	1,877		—			3			—		—			7			—		—			(148		)	1,739		10
Other debt securities	99		—			—			—		—			—			—		(1		)	(50		)	48		—
Non-marketable equity securities	4,108		—			(17		)	—		—			367			—		(176		)	(560		)	3,722		12
Total investments	$	9,860	$	—		$	25		$	676	$	(210	)	$	806		$	—	$	(558	)	$	(841	)	$	9,758	$	45
Loans	$	4,142	$	—		$	(124	)	$	84	$	6		$	113		$	15	$	(38	)	$	(888	)	$	3,310	$	17
Mortgage servicing rights	2,586		—			(101		)	—		—			—			62		(163		)	(102		)	2,282		(101		)
Other financial assets measured on a recurring basis	179		—			27			—		—			1			51		(5		)	(52		)	201		23
Liabilities
Interest-bearing deposits	$	935	$	—		$	(20	)	$	—	$	—		$	—		$	—	$	—		$	(46	)	$	909	$	12
Federal funds purchased and securities loaned or sold under agreements to repurchase	940		(2		)	—			54		—			47			—		(11		)	—			1,032		(8		)
Trading account liabilities
Securities sold, not yet purchased	482		5			—			31		(22		)	—			—		144			(158		)	472		(9		)
Short-term borrowings	27		(14		)	—			80		—			8			—		—			—			129		(1		)
Long-term debt	8,646		(97		)	24			654		(1,384		)	—			1,006		—			(1,148		)	7,847		(311		)
Other financial liabilities measured on a recurring basis	3		—			(1		)	4		—			(1		)	—		—			(1		)	6		—

				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2013			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	(79	)	$	—	$	67		$	(8	)	$	75	$	—	$	—		$	(258	)	$	3,363		$	153
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,094		$	98		$	—	$	377		$	(598	)	$	261	$	7	$	(517	)	$	(25	)	$	697		$	14
Residential	2,854			317			—		153			(282		)	1,680		—		(2,112		)	—			2,610			124
Commercial	256			11			—		76			(62		)	236		—		(108		)	—			409			5
Total trading mortgage-backed securities	$	4,204		$	426		$	—	$	606		$	(942	)	$	2,177	$	7	$	(2,737	)	$	(25	)	$	3,716		$	143
U.S. Treasury and federal agency securities	$	—		$	3		$	—	$	—		$	—		$	—	$	—	$	(3	)	$	—		$	—		$	—
State and municipal	222			4			—		145			(104		)	18		—		(43		)	—			242			(20		)
Foreign government	416			(16		)	—		86			(102		)	359		—		(278		)	—			465			39
Corporate	1,835			(82		)	—		253			(340		)	1,271		—		(1,668		)	(7		)	1,262			(56		)
Equity securities	1,057			(213		)	—		36			(60		)	1,186		—		(143		)	—			1,863			(58		)
Asset-backed securities	4,342			608			—		83			(228		)	1,702		—		(3,131		)	—			3,376			448
Other trading assets	3,184			81			—		1,031			(1,179		)	2,875		—		(1,910		)	(66		)	4,016			22
Total trading non-derivative assets	$	15,260		$	811		$	—	$	2,240		$	(2,955	)	$	9,588	$	7	$	(9,913	)	$	(98	)	$	14,940		$	518
Trading derivatives, net(4)
Interest rate contracts	839			(584		)	—		152			(124		)	42		—		(98		)	(210		)	17			(225		)
Foreign exchange contracts	695			97			—		21			30			1		—		(1		)	4			847			145
Equity contracts	(858		)	242			—		(591		)	330			262		—		(137		)	(141		)	(893		)	(431		)
Commodity contracts	(1,393		)	248			—		25			(8		)	—		—		—			(101		)	(1,229		)	197
Credit derivatives	(274		)	(227		)	—		(84		)	(45		)	103		—		(3		)	331			(199		)	(325		)
Total trading derivatives, net(4)	$	(991	)	$	(224	)	$	—	$	(477	)	$	183		$	408	$	—	$	(239	)	$	(117	)	$	(1,457	)	$	(639	)

			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2013		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187	$	—		$	45		$	35	$	(54	)	$	17		$	—	$	(66	)	$	(1	)	$	163	$	(3	)
Residential	102		—			33			30		(1		)	17			—		(164		)	—			17		—
Commercial	—		—			—			4		—			3			—		—			—			7		—
Total investment mortgage-backed securities	$	289	$	—		$	78		$	69	$	(55	)	$	37		$	—	$	(230	)	$	(1	)	$	187	$	(3	)
U.S. Treasury and federal agency securities	$	8	$	—		$	—		$	—	$	—		$	—		$	—	$	(1	)	$	—		$	7	$	—
State and municipal	1,643		—			65			717		(465		)	498			—		(356		)	—			2,102		72
Foreign government	344		—			(5		)	182		(42		)	329			—		(107		)	(86		)	615		—
Corporate	285		—			13			18		(1		)	266			—		(49		)	(20		)	512		(4		)
Equity securities	815		—			12			12		(12		)	6			—		(7		)	—			826		7
Asset-backed securities	1,960		—			11			—		(42		)	55			—		(97		)	(148		)	1,739		5
Other debt securities	50		—			(1		)	—		—			50			—		(1		)	(50		)	48		—
Non-marketable equity securities	4,347		—			32			67		—			619			—		(259		)	(1,084		)	3,722		15
Total investments	$	9,741	$	—		$	205		$	1,065	$	(617	)	$	1,860		$	—	$	(1,107	)	$	(1,389	)	$	9,758	$	92
Loans	$	4,143	$	—		$	(152	)	$	84	$	6		$	266		$	65	$	(117	)	$	(985	)	$	3,310	$	17
Mortgage servicing rights	2,718		—			(215		)	—		—			—			112		(135		)	(198		)	2,282		(216		)
Other financial assets measured on a recurring basis	181		—			25			—		—			1			87		(9		)	(84		)	201		17
Liabilities
Interest-bearing deposits	$	890	$	—		$	(90	)	$	—	$	—		$	—		$	—	$	—		$	(71	)	$	909	$	3
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		(9		)	—			54		—			78			—		(11		)	—			1,032		(21		)
Trading account liabilities
Securities sold, not yet purchased	590		15			—			49		(51		)	—			—		294			(395		)	472		(6		)
Short-term borrowings	29		(31		)	—			80		—			8			1		—			(20		)	129		(6		)
Long-term debt	7,621		(381		)	49			1,613		(2,238		)	—			1,946		—			(1,427		)	7,847		(521		)
Other financial liabilities measured on a recurring basis	10		—			(1		)	4		—			(1		)	1		(3		)	(6		)	6		—

(1) Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss), unless other-than-temporarily impaired, 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 Accumulated other comprehensive income (loss) 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, 2014.

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

				Net realized/unrealized gains (losses) incl. in						Transfers																				Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2013			Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,349		$	(150	)	$	—		$	—		$	(39	)	$	17		$	—	$	—		$	—		$	4,177		$	365
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,278		$	27		$	—		$	345		$	(303	)	$	689		$	29	$	(339	)	$	(22	)	$	1,704		$	(9	)
Residential	2,112			187			—			219			(36		)	1,171			—		(715		)	—			2,938			44
Commercial	410			38			—			66			(148		)	79			—		(119		)	—			326			7
Total trading mortgage-backed securities	$	3,800		$	252		$	—		$	630		$	(487	)	$	1,939		$	29	$	(1,173	)	$	(22	)	$	4,968		$	42
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	—		$	—
State and municipal	209			18			—			—			—			56			—		(42		)	—			241			(6		)
Foreign government	228			(4		)	—			47			(25		)	52			—		(58		)	—			240			(2		)
Corporate	1,736			74			—			62			(83		)	811			—		(376		)	(536		)	1,688			65
Equity securities	279			(33		)	—			25			(96		)	62			—		(47		)	—			190			(24		)
Asset-backed securities	4,410			144			—			48			(23		)	1,449			—		(1,552		)	(217		)	4,259			(2		)
Other trading assets	2,260			8			—			369			(571		)	789			—		(480		)	(99		)	2,276			(3		)
Total trading non-derivative assets	$	12,922		$	459		$	—		$	1,181		$	(1,285	)	$	5,158		$	29	$	(3,728	)	$	(874	)	$	13,862		$	70
Trading derivatives, net(4)
Interest rate contracts	298			339			—			235			275			52			—		(67		)	(49		)	1,083			434
Foreign exchange contracts	140			213			—			20			13			6			—		(1		)	(24		)	367			(64		)
Equity contracts	(1,474		)	169			—			(2		)	265			67			—		5			(122		)	(1,092		)	(389		)
Commodity contracts	(637		)	357			—			(1		)	7			12			—		(18		)	62			(218		)	528
Credit derivatives	(156		)	(43		)	—			102			(49		)	4			—		—			101			(41		)	7
Total trading derivatives, net(4)	$	(1,829	)	$	1,035		$	—		$	354		$	511		$	141		$	—	$	(81	)	$	(32	)	$	99		$	516
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	2,526		$	—		$	(1	)	$	264		$	(2,319	)	$	(1	)	$	—	$	—		$	(49	)	$	420		$	5
Residential	186			—			14			—			(60		)	—			—		(140		)	—			—			—
Commercial	—			—			—			3			(12		)	12			—		—			—			3			—
Total investment mortgage-backed securities	$	2,712		$	—		$	13		$	267		$	(2,391	)	$	11		$	—	$	(140	)	$	(49	)	$	423		$	5
U.S. Treasury and federal agency securities	$	11		$	—		$	—		$	—		$	—		$	—		$	—	$	(2	)	$	—		$	9		$	—
State and municipal	748			—			15			—			—			126			—		(80		)	(125		)	684			13
Foreign government	268			—			(5		)	83			(27		)	159			—		(84		)	(27		)	367			—
Corporate	345			—			(4		)	191			(104		)	2			—		(4		)	(22		)	404			1
Equity securities	767			—			(5		)	17			—			—			—		—			—			779			(38		)
Asset-backed securities	3,815			—			12			—			(1,684		)	233			—		—			(618		)	1,758			6
Other debt securities	52			—			—			—			—			—			—		(1		)	—			51			—
Non-marketable equity securities	5,287			—			109			—			—			513			—		(62		)	(484		)	5,363			72
Total investments	$	14,005		$	—		$	135		$	558		$	(4,206	)	$	1,044		$	—	$	(373	)	$	(1,325	)	$	9,838		$	59

			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2013		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2013
Loans	$	4,514	$	—		$	(3	)	$	353	$	—		$	(36	)	$	6	$	57		$	(570	)	$	4,321	$	—
Mortgage servicing rights	2,203		—			227			—		—			—			205		—			(111		)	2,524		228
Other financial assets measured on a recurring basis	2,428		—			(30		)	—		—			78			50		(2,005		)	(276		)	245		(35		)
Liabilities
Interest-bearing deposits	$	834	$	—		$	(51	)	$	—	$	—		$	—		$	38	$	—		$	(92	)	$	831	$	(23	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,053		33			—			—		(15		)	—			—		2			—			1,007		29
Trading account liabilities
Securities sold, not yet purchased	335		(8		)	—			4		(6		)	—			—		130			(21		)	450		(40		)
Short-term borrowings	53		(16		)	—			—		(4		)	—			290		—			(20		)	335		(45		)
Long-term debt	6,847		380			36			730		(549		)	—			621		—			(422		)	6,811		(464		)
Other financial liabilities measured on a recurring basis	16		—			(186		)	3		—			(1		)	88		—			(197		)	95		(196		)

				Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2012			Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	5,043		$	(163	)	$	—		$	598		$	(1,318	)	$	17	$	—	$	—		$	—		$	4,177		$	123
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,325		$	76		$	—		$	737		$	(705	)	$	969	$	55	$	(707	)	$	(46	)	$	1,704		$	43
Residential	1,805			358			—			317			(212		)	1,898		—		(1,221		)	(7		)	2,938			99
Commercial	1,119			92			—			155			(184		)	146		—		(985		)	(17		)	326			8
Total trading mortgage-backed securities	$	4,249		$	526		$	—		$	1,209		$	(1,101	)	$	3,013	$	55	$	(2,913	)	$	(70	)	$	4,968		$	150
State and municipal	195			19			—			—			—			75		—		(48		)	—			241			(6		)
Foreign government	311			(2		)	—			53			(61		)	117		—		(178		)	—			240			(2		)
Corporate	2,030			(30		)	—			138			(100		)	1,379		—		(819		)	(910		)	1,688			(406		)
Equity securities	264			4			—			48			(159		)	140		—		(107		)	—			190			286
Asset-backed securities	4,453			368			—			86			(55		)	3,032		—		(3,408		)	(217		)	4,259			13
Other trading assets	2,321			106			—			508			(998		)	1,533		—		(996		)	(198		)	2,276			13
Total trading non-derivative assets	$	13,823		$	991		$	—		$	2,042		$	(2,474	)	$	9,289	$	55	$	(8,469	)	$	(1,395	)	$	13,862		$	48
Trading derivatives, net(4)
Interest rate contracts	181			312			—			749			108			143		—		(82		)	(328		)	1,083			983
Foreign exchange contracts	—			311			—			30			3			15		—		(8		)	16			367			(151		)
Equity contracts	(1,448		)	261			—			(24		)	346			116		—		(56		)	(287		)	(1,092		)	(589		)
Commodity contracts	(771		)	411			—			7			5			15		—		(25		)	140			(218		)	669
Credit derivatives	(342		)	(146		)	—			110			(178		)	12		—		—			503			(41		)	217
Total trading derivatives, net(4)	$	(2,380	)	$	1,149		$	—		$	872		$	284		$	301	$	—	$	(171	)	$	44		$	99		$	1,129
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,458		$	—		$	2		$	1,897		$	(3,350	)	$	470	$	—	$	—		$	(57	)	$	420		$	2
Residential	205			—			23			60			(265		)	117		—		(140		)	—			—			—
Commercial	—			—			—			3			(12		)	12		—		—			—			3			—
Total investment mortgage-backed securities	$	1,663		$	—		$	25		$	1,960		$	(3,627	)	$	599	$	—	$	(140	)	$	(57	)	$	423		$	2
U.S. Treasury and federal agency securities	$	12		$	—		$	—		$	—		$	—		$	—	$	—	$	(3	)	$	—		$	9		$	—
State and municipal	849			—			(2		)	7			(117		)	207		—		(135		)	(125		)	684			(6		)
Foreign government	383			—			(4		)	105			(201		)	289		—		(151		)	(54		)	367			(6		)
Corporate	385			—			(3		)	291			(116		)	16		—		(147		)	(22		)	404			3
Equity securities	773			—			(3		)	17			—			1		—		(9		)	—			779			(38		)
Asset-backed securities	2,220			—			50			1,192			(1,684		)	925		—		(17		)	(928		)	1,758			6
Other debt securities	258			—			—			—			(205		)	—		—		(2		)	—			51			—
Non-marketable equity securities	5,364			—			178			—			—			553		—		(83		)	(649		)	5,363			207
Total investments	$	11,907		$	—		$	241		$	3,572		$	(5,950	)	$	2,590	$	—	$	(687	)	$	(1,835	)	$	9,838		$	168

			Net realized/unrealized gains (losses) incl. in					Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2012		Principal transactions		Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2013
Loans	$	4,931	$	—	$	(78	)	$	353	$	—		$	59		$	13	$	(6	)	$	(951	)	$	4,321	$	178
Mortgage servicing rights	1,942		—		417			—		—			—			377		(1		)	(211		)	2,524		191
Other financial assets measured on a recurring basis	2,452		—		6			1		—			216			340		(2,010		)	(760		)	245		194
Liabilities
Interest-bearing deposits	$	786	$	—	$	(67	)	$	22	$	—		$	—		$	63	$	—		$	(107	)	$	831	$	(164	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	841		60		—			201		(15		)	—			—		40			—			1,007		41
Trading account liabilities
Securities sold, not yet purchased	365		11		—			24		(11		)	—			—		176			(93		)	450		88
Short-term borrowings	112		26		—			—		(4		)	—			291		—			(38		)	335		(44		)
Long-term debt	6,726		371		69			1,365		(1,014		)	—			905		(1		)	(730		)	6,811		(907		)
Other financial liabilities measured on a recurring basis	24		—		(185		)	5		(2		)	(3		)	90		—			(204		)	95		(198		)

(1) Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss), unless other-than-temporarily impaired, 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 Accumulated other comprehensive income (loss) 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, 2013.

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

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

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

As of June 30, 2014	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
Assets
Federal funds sold and securities     borrowed or purchased under     agreements to resell	$	3,212	Model-based	Interest rate	1.38		%	1.99		%	1.85		%
Mortgage-backed securities	$	2,573	Price-based	Price	$	0.05		$	116.37		$	80.89
	1,028		Yield analysis	Yield	0.11		%	22.73		%	7.95		%
State and municipal, foreign     government, corporate and other debt     securities	$	6,482	Price-based	Price	$	—		$	141.75		$	89.19
	1,834		Cash flow	Credit spread	60 bps			600 bps			226 bps
Equity securities(5)	$	1,800	Price-based	Price (5)	$	—		$	163.00		$	73.92
	831		Cash Flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.25 years			1.36 years
Asset-backed securities	$	3,732	Price-based	Price	$	—		$	105.00		$	71.79
	1,185		Model-based	Credit spread	294 bps			294 bps			294 bps
Non-marketable equity	$	1,773	Price-based	Discount to price	—		%	90.00		%	5.66		%
	1,461		Comparables analysis	EBITDA multiples	4.40		x	13.90		x	9.66		x
	472		Cash flow	PE ratio	8.80		x	8.80		x	8.80		x
				Price-to-book ratio	0.90		x	1.60		x	1.25		x
				Fund NAV	$	550		$	78,234,268		$	34,691,460
Derivatives—Gross(6)
Interest rate contracts (gross)	$	7,344	Model-based	Interest rate (IR) lognormal volatility	11.86		%	87.59		%	21.85		%
				Mean reversion	1.00		%	20.00		%	10.39		%
Foreign exchange contracts (gross)	$	1,216	Model-based	Foreign exchange (FX) volatility	1.96		%	23.10		%	11.25		%
	264		Cash flow	Interest rate	3.20		%	12.16		%	6.24		%
				Credit spread	31 bps			395 bps			126 bps
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	40.00		%	40.00		%	40.00		%
Equity contracts (gross)(7)	$	3,983	Model-based	Equity volatility	9.10		%	124.17		%	22.78		%
	480		Price-based	Equity forward	89.56		%	121.29		%	101.81		%
				Equity-FX correlation	(90.00		)%	65.00		%	(20.48		)%
				Equity-equity correlation	8.20		%	95.30		%	57.16		%
				Price	$	0.01		$	130.00		$	81.39

As of June 30, 2014	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
Commodity contracts (gross)	$	2,525	Model-based	Commodity volatility	5.00		%	124.00		%	15.00		%
				Forward price	45.31		%	190.53		%	107.17		%
				Commodity correlation	(52.00		)%	90.00		%	26.00		%
Credit derivatives (gross)	$	4,125	Model-based	Credit correlation	—		%	95.00		%	52.12		%
	1,716		Price-based	Recovery rate	10.00		%	61.12		%	36.73		%
				Price	$	—		$	130.00		$	42.20
				Upfront points	1.01			98.96			76.54
Nontrading derivatives and other financial     assets and liabilities measured on a     recurring basis (gross)(6)	$	94	Price-based	Redemption rate	3.00		%	99.50		%	64.71		%
	60		Model-based	EBITDA multiples	4.50		x	12.50		x	11.73		x
	53		Comparables analysis	PE ratio	10.80		x	10.80		x	10.80		x
				Fund NAV	$	1.00		$	9,847,972		$	8,381,450
				Price	$	—		$	108.70		$	73.72
				Discount to price	—			35.00			17.44
				Price-to-book ratio	1.00		x	1.00		x	1.00		x
Loans	$	491	Model-based	Credit spread	39 bps			1,600 bps			350 bps
	1,203		Price-based	Price	$	5.00		$	106.51		$	99.26
	1,168		Cash flow	Yield	1.60		%	4.50		%	2.23		%
	448		Yield analysis
Mortgage servicing rights	$	2,185	Cash flow	Yield	—		%	51.05		%	7.66		%
				WAL	3.50 years			10.98 years			5.81 years
Liabilities
Interest-bearing deposits	$	909	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Equity volatility	19.08		%	26.61		%	26.31		%
				Equity-IR correlation	28.00		%	32.00		%	28.08		%
				Forward price	45.31		%	190.53		%	107.17		%
				Commodity correlation	(52.00		)%	90.00		%	26.00		%
				Commodity volatility	5.00		%	124.00		%	15.00		%
Federal funds purchased and securities     loaned or sold under agreements to     repurchase	$	1,032	Model-based	Interest rate	1.04		%	2.81		%	2.35		%
Trading account liabilities
Securities sold, not yet purchased	$	284	Model-based	Credit IR correlation	(70.49		)%	7.47		%	(41.41		)%
	$	144	Price-based	Price	$	—		$	120.00		$	76.64
				Yield	(0.67		)%	9.50		%	0.74		%
Short-term borrowings and long-term     debt	$	7,917	Model-based	Equity volatility	9.10		%	27.50		%	9.43		%
				Forward price	45.31		%	190.53		%	107.17		%
				Equity forward	96.50		%	119.70		%	101.36		%
				Equity-FX correlation	(90.00		)%	65.00		%	(21.40		)%
				Equity-equity correlation	8.20		%	95.30		%	57.00		%
				IR lognormal volatility	11.86		%	87.59		%	21.85		%
				Mean reversion	1.00		%	20.00		%	10.71		%
				Commodity correlation	(52.00		)%	90.00		%	26.00		%
				Commodity volatility	5.00		%	124.00		%	15.00		%
				Interest rate	2.61		%	2.81		%	2.67		%

As of December 31, 2013	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
Assets
Federal funds sold and securities     borrowed or purchased under     agreements to resell	$	3,299	Model-based	Interest rate	1.33		%	2.19		%	2.04		%
Mortgage-backed securities	$	2,869	Price-based	Price	$	0.10		$	117.78		77.60
	1,241		Yield analysis	Yield	0.03		%	21.80		%	8.66		%
State and municipal, foreign     government, corporate and other debt     securities	$	5,361	Price-based	Price	$	—		$	126.49		$	87.47
	2,014		Cash flow	Credit spread	11 bps			375 bps			213 bps
Equity securities(5)	$	947	Price-based	Price (5)	$	0.31		$	93.66		$	86.90
	827		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.55 years			1.38 years
Asset-backed securities	$	4,539	Price-based	Price	$	—		$	135.83		$	70.89
	1,300		Model-based	Credit spread	25 bps			378 bps			302 bps
Non-marketable equity	$	2,324	Price-based	Fund NAV	$	612		$336,559,340			$124,080,454
	1,470		Comparables analysis	EBITDA multiples	4.20		x	16.90		x	9.78		x
	533		Cash flow	Discount to price	—		%	75.00		%	3.47		%
				Price-to-book ratio	0.90		x	1.05		x	1.02		x
				PE ratio	9.10		x	9.10		x	9.10		x
Derivatives—Gross(6)
Interest rate contracts (gross)	$	5,721	Model-based	Interest rate (IR) lognormal volatility	10.60		%	87.20		%	21.16		%
Foreign exchange contracts (gross)	$	1,727	Model-based	Foreign exchange (FX) volatility	1.00		%	28.00		%	13.45		%
	189		Cash flow	Interest rate	0.11		%	13.88		%	6.02		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	40.00		%	68.79		%	40.52		%
				Credit spread	25 bps			419 bps			162 bps
Equity contracts (gross)(7)	$	3,189	Model-based	Equity volatility	10.02		%	73.48		%	29.87		%
	563		Price-based	Equity forward	79.10		%	141.00		%	100.24		%
				Equity-equity correlation	(81.30		)%	99.40		%	48.45		%
				Equity-FX correlation	(70.00		)%	55.00		%	0.60		%
				Price	$	—		$	118.75		$	88.10
Commodity contracts (gross)	$	2,988	Model-based	Commodity volatility	4.00		%	146.00		%	15.00		%
				Commodity correlation	(75.00		)%	90.00		%	32.00		%
				Forward price	23.00		%	242.00		%	105.00		%
Credit derivatives (gross)	$	4,767	Model-based	Recovery rate	20.00		%	64.00		%	38.11		%
	1,520		Price-based	Credit correlation	5.00		%	95.00		%	47.43		%
				Price	$	0.02		$	115.20		$	29.83
				Credit spread	3 bps			1,335 bps			203 bps
				Upfront points	2.31			100.00			57.69
Nontrading derivatives and other financial     assets and liabilities measured on a     recurring basis (gross)(6)	$	82	Price-based	EBITDA multiples	5.20		x	12.60		x	12.08		x
	60		Comparables analysis	PE ratio	6.90		x	6.90		x	6.90		x
	38		Model-based	Price-to-book Ratio	1.05		x	1.05		x	1.05		x
				Price	$	—		$	105.10		$	71.25
				Fund NAV	$	1.00		$	10,688,600		$	9,706,488

As of December 31, 2013	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
				Discount to price	—		%	35.00		%	16.36		%
Loans	$	2,153	Price-based	Price	$	—		$	103.75		$	91.19
	1,422		Model-based	Yield	1.60		%	4.50		%	2.10		%
	549		Yield analysis	Credit spread	49 bps			1,600 bps			302 bps
Mortgage servicing rights	$	2,625	Cash flow	Yield	3.64		%	12.00		%	7.19		%
				WAL	2.27 years			9.44 years			6.12 years
Liabilities
Interest-bearing deposits	$	890	Model-based	Equity volatility	14.79		%	42.15		%	27.74		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity-IR correlation	9.00		%	20.50		%	19.81		%
				Forward price	23.00		%	242.00		%	105.00		%
				Commodity correlation	(75.00		)%	90.00		%	32.00		%
				Commodity volatility	4.00		%	146.00		%	15.00		%
Federal funds purchased and securities     loaned or sold under agreements to     repurchase	$	902	Model-based	Interest rate	0.47		%	3.66		%	2.71		%
Trading account liabilities
Securities sold, not yet purchased	$	289	Model-based	Credit spread	166 bps			180 bps			175 bps
	$	273	Price-based	Credit-IR correlation	(68.00		)%	5.00		%	(50.00		)%
				Price	$	—		$	124.25		$	99.75
Short-term borrowings and long-term     debt	$	6,781	Model-based	IR lognormal volatility	10.60		%	87.20		%	20.97		%
	868		Price-based	Equity forward	79.10		%	141.00		%	99.51		%
				Equity volatility	10.70		%	57.20		%	19.41		%
				Equity-FX correlation	(70.00		)%	55.00		%	0.60		%
				Equity-equity correlation	(81.30		)%	99.40		%	48.30		%
				Interest rate	4.00		%	10.00		%	5.00		%
				Price	$	0.63		$	103.75		$	80.73
				Forward price	23.00		%	242.00		%	101.00		%

(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) 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 one large position only.

(4) Weighted averages are calculated based on the fair value of the instrument.

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

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

(7) Includes hybrid products.

Items measured at fair value of a nonrecurring basis

The following table presents the carrying amounts of all assets that were still held as of June 30, 2014 and December 31, 2013, for which a nonrecurring fair value measurement was recorded:

In millions of dollars	Fair value		Level 2		Level 3
June 30, 2014
Loans held-for-sale	$	5,200	$	1,992	$	3,208
Other real estate owned	121		19		102
Loans(1)	3,278		2,882		396
Total assets at fair value on a nonrecurring basis	$	8,599	$	4,893	$	3,706

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

In millions of dollars	Fair value		Level 2		Level 3
December 31, 2013
Loans held-for-sale	$	3,483	$	2,165	$	1,318
Other real estate owned	138		15		123
Loans(1)	4,713		3,947		766
Total assets at fair value on a nonrecurring basis	$	8,334	$	6,127	$	2,207

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

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements as of June 30, 2014 and December 31, 2013:

As of June 30, 2014	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	2,924	Price-based	Price	$	66.90		$	100.00		$	93.49
Other real estate owned	$	95	Price-based	Discount to price(4)	34.00		%	60.00		%	42.00		%
				Appraised value	$	—		$	8,518,229		$	3,531,396
Loans(3)	$	345	Price-based	Discount to price(4)	34.00		%	39.00		%	35.00		%
				Price	$	36.63		$	100.00		$	44.91

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

(2) Weighted averages are calculated based on the fair value of the instrument.

(3) Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.

(4) Includes estimated costs to sell.

As of December 31, 2013	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	912	Price-based	Price	$	60.00		$	100.00		$	98.77
	393		Cash Flow	Credit Spread	45 bps			80 bps			64 bps
Other real estate owned	$	98	Price-based	Discount to price(4)	34.00		%	59.00		%	39.00		%
	17		Cash Flow	Price	$	60.46		$	100.00		$	96.67
				Appraised Value	$	636,249		$	15,897,503		$	11,392,478
Loans(3)	$	581	Price-based	Discount to price(4)	34.00		%	39.00		%	35.00		%
	109		Model-based	Price	$	52.40		$	68.00		$	65.32
				Appraised Value	$	6,500,000		$	86,000,000		$	43,532,719

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

(2) Prices are based on appraised values.

(3) Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.

(4) Includes estimated costs to sell.

Changes in total nonrecurring fair value measurements

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 are still held at June 30, 2014 and June 30, 2013:

	Three months ended June 30,
In millions of dollars	2014			2013
Loans held-for-sale	$	(3	)	$	(63	)
Other real estate owned	1			(6		)
Loans(1)	(147		)	(177		)
Total nonrecurring fair value gains (losses)	$	(149	)	$	(246	)

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

	Six months ended June 30,
In millions of dollars	2014			2013
Loans held-for-sale	$	71		$	(63	)
Other real estate owned	(5		)	(10		)
Loans(1)	(367		)	(343		)
Total nonrecurring fair value gains (losses)	$	(301	)	$	(416	)

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

Estimated Fair Value of Financial Instruments

	June 30, 2014				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	29.1	$	30.7	$	5.4	$	22.7	$	2.6
Federal funds sold and securities borrowed or purchased under agreements to resell	97.2		97.2		—		88.3		8.9
Loans(1)(2)	642.0		642.5		—		5.0		637.5
Other financial assets(2)(3)	263.8		263.8		10.7		180.4		72.7
Liabilities
Deposits	$	963.8	$	962.4	$	—	$	773.0	$	189.4
Federal funds purchased and securities loaned or sold under agreements to repurchase	131.4		131.4		—		131.2		0.2
Long-term debt(4)	199.6		206.8		—		178.3		28.5
Other financial liabilities(5)	151.5		151.5		—		41.3		110.2

	December 31, 2013				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	17.8	$	19.3	$	5.3	$	11.9	$	2.1
Federal funds sold and securities borrowed or purchased under agreements to resell	115.6		115.6		—		107.2		8.4
Loans(1)(2)	637.9		635.1		—		5.6		629.5
Other financial assets(2)(3)	254.2		254.2		9.4		191.7		53.1
Liabilities
Deposits	$	966.6	$	965.6	$	—	$	776.4	$	189.2
Federal funds purchased and securities loaned or sold under agreements to repurchase	152.0		152.0		—		151.8		0.2
Long-term debt(4)	194.2		201.3		—		175.6		25.7
Other financial liabilities(5)	136.2		136.2		—		41.2		95.0

(1) The carrying value of loans is net of the Allowance for loan losses of $17.9 billion for June 30, 2014 and $19.6 billion for December 31, 2013. In addition, the carrying values exclude $2.8 billion and $2.9 billion of lease finance receivables at June 30, 2014 and December 31, 2013, 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 recoverable 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.