FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Items measured at fair value on a recurring basis

Fair Value Levels

In millions of dollars at September 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	$	—	$	176,675	$	3,479	$	180,154	$	(39,241	)	$	140,913
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	18,990	$	789	$	19,779	$	—		$	19,779
Residential	—		1,396		2,490		3,886		—			3,886
Commercial	—		2,408		554		2,962		—			2,962
Total trading mortgage-backed securities	$	—	$	22,794	$	3,833	$	26,627	$	—		$	26,627
U.S. Treasury and federal agency securities	$	17,413	$	4,293	$	7	$	21,713	$	—		$	21,713
State and municipal	—		2,462		251		2,713		—			2,713
Foreign government	50,150		25,598		385		76,133		—			76,133
Corporate	—		27,174		1,214		28,388		—			28,388
Equity securities	51,172		2,535		1,955		55,662		—			55,662
Asset-backed securities	—		1,302		3,351		4,653		—			4,653
Other trading assets	—		12,500		4,739		17,239		—			17,239
Total trading non-derivative assets	$	118,735	$	98,658	$	15,735	$	233,128	$	—		$	233,128
Trading derivatives
Interest rate contracts	$	18	$	545,414	$	3,535	$	548,967
Foreign exchange contracts	12		141,374		1,156		142,542
Equity contracts	2,901		20,283		2,056		25,240
Commodity contracts	305		11,225		530		12,060
Credit derivatives	—		38,082		2,749		40,831
Total trading derivatives	$	3,236	$	756,378	$	10,026	$	769,640
Cash collateral paid(3)							$	3,258
Netting agreements									$	(674,769	)
Netting of cash collateral received									(40,435		)
Total trading derivatives	$	3,236	$	756,378	$	10,026	$	772,898	$	(715,204	)	$	57,694
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,776	$	92	$	36,868	$	—		$	36,868
Residential	—		9,277		13		9,290		—			9,290
Commercial	—		554		10		564		—			564
Total investment mortgage-backed securities	$	—	$	46,607	$	115	$	46,722	$	—		$	46,722
U.S. Treasury and federal agency securities	$	95,333	$	16,547	$	6	$	111,886	$	—		$	111,886
State and municipal	$	—	$	10,629	$	2,284	$	12,913	$	—		$	12,913
Foreign government	39,097		55,943		620		95,660		—			95,660
Corporate	5		13,591		362		13,958		—			13,958
Equity securities	2,806		419		761		3,986		—			3,986
Asset-backed securities	—		12,259		584		12,843		—			12,843
Other debt securities	—		645		65		710		—			710
Non-marketable equity securities	—		273		3,231		3,504		—			3,504
Total investments	$	137,241	$	156,913	$	8,028	$	302,182	$	—		$	302,182

In millions of dollars at September 30, 2014	Level 1(1)			Level 2(1)			Level 3			Gross inventory		Netting(2)			Net balance
Loans(4)	$	—		$	1,463		$	2,948		$	4,411	$	—		$	4,411
Mortgage servicing rights	—			—			2,093			2,093		—			2,093
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	10,246		$	108		$	10,354
Cash collateral paid										$	197
Netting of cash collateral received												$	(2,297	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	10,246		$	108		$	10,551	$	(2,297	)	$	8,254
Total assets	$	259,212		$	1,200,333		$	42,417		$	1,505,417	$	(756,742	)	$	748,675
Total as a percentage of gross assets(5)	17.3		%	79.9		%	2.8		%
Liabilities
Interest-bearing deposits	$	—		$	986		$	805		$	1,791	$	—		$	1,791
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	—		$	82,845		$	1,034		$	83,879	$	(39,241	)	$	44,638
Trading account liabilities
Securities sold, not yet purchased	63,791			14,402			368			78,561					78,561
Trading derivatives
Interest rate contracts	$	14		$	530,491		$	3,597		$	534,102
Foreign exchange contracts	24			141,260			379			141,663
Equity contracts	2,959			29,367			3,115			35,441
Commodity contracts	357			10,901			2,077			13,335
Credit derivatives	—			37,618			3,282			40,900
Total trading derivatives	$	3,354		$	749,637		$	12,450		$	765,441
Cash collateral received(6)										$	11,828
Netting agreements												$	(674,769	)
Netting of cash collateral paid												(43,789		)
Total trading derivatives	$	3,354		$	749,637		$	12,450		$	777,269	$	(718,558	)	$	58,711
Short-term borrowings	$	—		$	1,353		$	101		$	1,454	$	—		$	1,454
Long-term debt	—			18,897			7,558			26,455		—			26,455
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,426		$	7		$	2,433
Cash collateral received(7)										$	292
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,426		$	7		$	2,725				$	2,725
Total liabilities	$	67,145		$	870,546		$	22,323		$	972,134	$	(757,799	)	$	214,335
Total as a percentage of gross liabilities(5)	7.0		%	90.7		%	2.3		%

(1) For the three and nine months ended September 30, 2014, the Company transferred assets of approximately $0.3 billion and $2.1 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 nine months ended September 30, 2014, the Company transferred assets of approximately $0.7 billion and $3.7 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 September 30, 2014, there were no material transfers of liabilities between Level 1 and Level 2. During the nine months ended September 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 $47,047 million of gross cash collateral paid, of which $43,789 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 $52,263 million of gross cash collateral received, of which $40,435 million was used to offset derivative assets.

(7) Reflects the net amount of $2,589 million of gross cash collateral received, of which $2,297 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 nine months ended September 30, 2013, the Company transferred assets of $47 million and $1.0 billion, respectively, from Level 1 to Level 2. During the three and nine months ended September 30, 2013, the Company transferred assets of approximately $33 million and $49.1 billion, respectively, from Level 2 to Level 1. Almost all of the transfers during the nine months ended September 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 nine months ended September 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	Jun. 30, 2014			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,363		$	116		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	3,479		$	130
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	697		$	22		$	—	$	217		$	(145	)	$	97	$	6	$	(89	)	$	(16	)	$	789		$	18
Residential	2,610			63			—		86			(77		)	197		—		(389		)	—			2,490			(4		)
Commercial	409			7			—		84			(58		)	288		—		(176		)	—			554			(4		)
Total trading mortgage-backed securities	$	3,716		$	92		$	—	$	387		$	(280	)	$	582	$	6	$	(654	)	$	(16	)	$	3,833		$	10
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	7	$	—	$	—		$	—		$	7		$	—
State and municipal	242			7			—		4			(1		)	15		—		(16		)	—			251			6
Foreign government	465			(40		)	—		31			(64		)	212		—		(241		)	22			385			(13		)
Corporate	1,262			83			—		141			(104		)	471		—		(685		)	46			1,214			(42		)
Equity securities	1,863			(2		)	—		123			(35		)	119		—		(113		)	—			1,955			34
Asset-backed securities	3,376			394			—		37			(56		)	1,219		—		(1,619		)	—			3,351			33
Other trading assets	4,016			56			—		809			(607		)	1,693		—		(917		)	(311		)	4,739			(34		)
Total trading non-derivative assets	$	14,940		$	590		$	—	$	1,532		$	(1,147	)	$	4,318	$	6	$	(4,245	)	$	(259	)	$	15,735		$	(6	)
Trading derivatives, net(4)
Interest rate contracts	17			76			—		(194		)	7			52		—		(52		)	32			(62		)	94
Foreign exchange contracts	847			8			—		7			(73		)	3		—		(1		)	(14		)	777			43
Equity contracts	(893		)	8			—		(171		)	143			124		—		(55		)	(215		)	(1,059		)	(235		)
Commodity contracts	(1,229		)	(388		)	—		—			(27		)	—		—		—			97			(1,547		)	(228		)
Credit derivatives	(199		)	(222		)	—		(16		)	(89		)	—		—		—			(7		)	(533		)	(264		)
Total trading derivatives, net(4)	$	(1,457	)	$	(518	)	$	—	$	(374	)	$	(39	)	$	179	$	—	$	(108	)	$	(107	)	$	(2,424	)	$	(590	)

			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2014		Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	163	$	—		$	2		$	18		$	(83	)	$	—	$	—	$	(7	)	$	(1	)	$	92	$	—
Residential	17		—			—			1			—			—		—		(5		)	—			13		—
Commercial	7		—			—			—			(4		)	7		—		—			—			10		2
Total investment mortgage-backed securities	$	187	$	—		$	2		$	19		$	(87	)	$	7	$	—	$	(12	)	$	(1	)	$	115	$	2
U.S. Treasury and federal agency securities	$	7	$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	6	$	—
State and municipal	2,102		—			37			67			(69		)	271		—		(124		)	—			2,284		6
Foreign government	615		—			(8		)	—			(63		)	294		—		(198		)	(20		)	620		(9		)
Corporate	512		—			(18		)	4			(136		)	23		—		(147		)	124			362		(4		)
Equity securities	826		—			18			6			(7		)	2		—		(84		)	—			761		(23		)
Asset-backed securities	1,739		—			4			—			(2		)	—		—		—			(1,157		)	584		(39		)
Other debt securities	48		—			—			—			—			66		—		(49		)	—			65		—
Non-marketable equity securities	3,722		—			(8		)	—			—			85		—		(51		)	(517		)	3,231		42
Total investments	$	9,758	$	—		$	27		$	96		$	(364	)	$	748	$	—	$	(666	)	$	(1,571	)	$	8,028	$	(25	)
Loans	$	3,310	$	—		$	(31	)	$	8		$	—		$	287	$	19	$	(513	)	$	(132	)	$	2,948	$	2
Mortgage servicing rights	2,282		—			(18		)	—			—			—		53		(125		)	(99		)	2,093		(18		)
Other financial assets measured on a recurring basis	201		—			14			(83		)	—			—		35		(1		)	(58		)	108		(2		)
Liabilities
Interest-bearing deposits	$	909	$	—		$	184		$	—		$	(12	)	$	—	$	117	$	—		$	(25	)	$	805	$	20
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,032		13			—			—			—			—		—		117			(102		)	1,034		5
Trading account liabilities
Securities sold, not yet purchased	472		(1		)	—			19			(40		)	—		—		149			(233		)	368		(11		)
Short-term borrowings	129		—			—			1			—			—		23		—			(52		)	101		(8		)
Long-term debt	7,847		520			—			476			(760		)	—		1,419		—			(904		)	7,558		215
Other financial liabilities measured on a recurring basis	6		—			(2		)	—			—			—		—		—			(1		)	7		(1		)

				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			Sept. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	37		$	—	$	67		$	(8	)	$	75	$	—	$	—		$	(258	)	$	3,479		$	153
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,094		$	120		$	—	$	594		$	(743	)	$	358	$	13	$	(606	)	$	(41	)	$	789		$	27
Residential	2,854			380			—		239			(359		)	1,877		—		(2,501		)	—			2,490			108
Commercial	256			18			—		160			(120		)	524		—		(284		)	—			554			1
Total trading mortgage-backed securities	$	4,204		$	518		$	—	$	993		$	(1,222	)	$	2,759	$	13	$	(3,391	)	$	(41	)	$	3,833		$	136
U.S. Treasury and federal agency securities	$	—		$	3		$	—	$	—		$	—		$	7	$	—	$	(3	)	$	—		$	7		$	—
State and municipal	222			11			—		149			(105		)	33		—		(59		)	—			251			(17		)
Foreign government	416			(56		)	—		117			(166		)	571		—		(519		)	22			385			18
Corporate	1,835			1			—		394			(444		)	1,742		—		(2,353		)	39			1,214			19
Equity securities	1,057			(215		)	—		159			(95		)	1,305		—		(256		)	—			1,955			22
Asset-backed securities	4,342			1,002			—		120			(284		)	2,921		—		(4,750		)	—			3,351			246
Other trading assets	3,184			137			—		1,840			(1,786		)	4,568		—		(2,827		)	(377		)	4,739			(14		)
Total trading non-derivative assets	$	15,260		$	1,401		$	—	$	3,772		$	(4,102	)	$	13,906	$	13	$	(14,158	)	$	(357	)	$	15,735		$	410
Trading derivatives, net(4)
Interest rate contracts	839			(508		)	—		(42		)	(117		)	94		—		(150		)	(178		)	(62		)	(11		)
Foreign exchange contracts	695			105			—		28			(43		)	4		—		(2		)	(10		)	777			67
Equity contracts	(858		)	250			—		(762		)	473			386		—		(192		)	(356		)	(1,059		)	(402		)
Commodity contracts	(1,393		)	(140		)	—		25			(35		)	—		—		—			(4		)	(1,547		)	(9		)
Credit derivatives	(274		)	(449		)	—		(100		)	(134		)	103		—		(3		)	324			(533		)	(196		)
Total trading derivatives, net(4)	$	(991	)	$	(742	)	$	—	$	(851	)	$	144		$	587	$	—	$	(347	)	$	(224	)	$	(2,424	)	$	(551	)

			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			Sept. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187	$	—		$	47		$	53		$	(137	)	$	17		$	—	$	(73	)	$	(2	)	$	92	$	(3	)
Residential	102		—			33			31			(1		)	17			—		(169		)	—			13		—
Commercial	—		—			—			4			(4		)	10			—		—			—			10		2
Total investment mortgage-backed securities	$	289	$	—		$	80		$	88		$	(142	)	$	44		$	—	$	(242	)	$	(2	)	$	115	$	(1	)
U.S. Treasury and federal agency securities	$	8	$	—		$	—		$	—		$	—		$	—		$	—	$	(2	)	$	—		$	6	$	—
State and municipal	1,643		—			102			784			(534		)	769			—		(480		)	—			2,284		72
Foreign government	344		—			(13		)	182			(105		)	623			—		(305		)	(106		)	620		(2		)
Corporate	285		—			(5		)	22			(137		)	289			—		(196		)	104			362		(8		)
Equity securities	815		—			30			18			(19		)	8			—		(91		)	—			761		(1		)
Asset-backed securities	1,960		—			15			—			(44		)	55			—		(97		)	(1,305		)	584		—
Other debt securities	50		—			(1		)	—			—			116			—		(50		)	(50		)	65		—
Non-marketable equity securities	4,347		—			24			67			—			704			—		(310		)	(1,601		)	3,231		66
Total investments	$	9,741	$	—		$	232		$	1,161		$	(981	)	$	2,608		$	—	$	(1,773	)	$	(2,960	)	$	8,028	$	126
Loans	$	4,143	$	—		$	(183	)	$	92		$	6		$	553		$	84	$	(630	)	$	(1,117	)	$	2,948	$	17
Mortgage servicing rights	2,718		—			(233		)	—			—			—			165		(260		)	(297		)	2,093		(216		)
Other financial assets measured on a recurring basis	181		—			39			(83		)	—			1			122		(10		)	(142		)	108		(20		)
Liabilities
Interest-bearing deposits	$	890	$	—		$	94		$	—		$	(12	)	$	—		$	117	$	—		$	(96	)	$	805	$	(31	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		4			—			54			—			78			—		106			(102		)	1,034		(18		)
Trading account liabilities
Securities sold, not yet purchased	590		14			—			68			(91		)	—			—		443			(628		)	368		(19		)
Short-term borrowings	29		(31		)	—			81			—			8			24		—			(72		)	101		(15		)
Long-term debt	7,621		139			49			2,089			(2,998		)	—			3,365		—			(2,331		)	7,558		(205		)
Other financial liabilities measured on a recurring basis	10		—			(3		)	4			—			(1		)	1		(3		)	(7		)	7		(1		)

(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 September 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	Jun. 30, 2013			Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,177		$	70		$	—		$	29		$	(534	)	$	25	$	—	$	—		$	—		$	3,767		$	(5	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,704		$	43		$	—		$	295		$	(453	)	$	160	$	6	$	(320	)	$	(195	)	$	1,240		$	4
Residential	2,938			99			—			61			(132		)	1,049		—		(1,320		)	—			2,695			16
Commercial	326			24			—			109			(54		)	58		—		(84		)	—			379			(48		)
Total trading mortgage-backed securities	$	4,968		$	166		$	—		$	465		$	(639	)	$	1,267	$	6	$	(1,724	)	$	(195	)	$	4,314		$	(28	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	54		$	—		$	—	$	—	$	—		$	—		$	54		$	2
State and municipal	241			9			—			2			—			11		—		(8		)	—			255			4
Foreign government	240			(3		)	—			7			—			83		—		(85		)	—			242			1
Corporate	1,688			62			—			129			(240		)	408		—		(642		)	(4		)	1,401			44
Equity securities	190			(38		)	—			132			(25		)	331		—		(33		)	—			557			72
Asset-backed securities	4,259			99			—			14			(88		)	748		—		(964		)	—			4,068			100
Other trading assets	2,276			59			—			2			(84		)	721		—		(98		)	(51		)	2,825			12
Total trading non-derivative assets	$	13,862		$	354		$	—		$	805		$	(1,076	)	$	3,569	$	6	$	(3,554	)	$	(250	)	$	13,716		$	207
Trading derivatives, net(4)
Interest rate contracts	1,083			232			—			(47		)	(121		)	65		—		(33		)	156			1,335			530
Foreign exchange contracts	367			39			—			(1		)	(9		)	6		—		(1		)	—			401			(15		)
Equity contracts	(1,092		)	(224		)	—			(13		)	(46		)	60		—		(69		)	53			(1,331		)	(814		)
Commodity contracts	(218		)	(223		)	—			(12		)	(541		)	—		—		—			(76		)	(1,070		)	(332		)
Credit derivatives	(41		)	(108		)	—			24			(6		)	7		—		—			84			(40		)	(475		)
Total trading derivatives, net(4)	$	99		$	(284	)	$	—		$	(49	)	$	(723	)	$	138	$	—	$	(103	)	$	217		$	(705	)	$	(1,106	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	420		$	—		$	(12	)	$	80		$	(371	)	$	44	$	—	$	(37	)	$	—		$	124		$	9
Residential	—			—			—			—			—			—		—		—			—			—			—
Commercial	3			—			—			1			—			—		—		—			—			4			—
Total investment mortgage-backed securities	$	423		$	—		$	(12	)	$	81		$	(371	)	$	44	$	—	$	(37	)	$	—		$	128		$	9
U.S. Treasury and federal agency securities	$	9		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	9		$	—
State and municipal	684			—			6			5			—			54		—		(23		)	—			726			2
Foreign government	367			—			3			63			(55		)	105		—		(140		)	(17		)	326			(28		)
Corporate	404			—			17			42			—			85		—		(75		)	(1		)	472			8
Equity securities	779			—			34			—			(1		)	—		—		(13		)	—			799			33
Asset-backed securities	1,758			—			14			—			—			180		—		(14		)	(95		)	1,843			29
Other debt securities	51			—			—			—			—			—		—		(51		)	—			—			—
Non-marketable equity securities	5,363			—			111			—			—			68		—		—			(440		)	5,102			100
Total investments	$	9,838		$	—		$	173		$	191		$	(427	)	$	536	$	—	$	(353	)	$	(553	)	$	9,405		$	153

			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2013		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2013
Loans	$	4,321	$	—		$	(19	)	$	—	$	—		$	—	$	631	$	—		$	(600	)	$	4,333	$	(33	)
Mortgage servicing rights	2,524		—			(6		)	—		—			—		166		—			(104		)	2,580		(10		)
Other financial assets measured on a recurring basis	245		—			45			—		—			—		107		(31		)	(96		)	270		41
Liabilities
Interest-bearing deposits	$	831	$	—		$	(19	)	$	—	$	—		$	—	$	23	$	—		$	(5	)	$	868	$	(8	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,007		14			—			15		—			—		—		—			(113		)	895		6
Trading account liabilities
Securities sold, not yet purchased	450		40			—			30		(10		)	—		—		182			(136		)	476		—
Short-term borrowings	335		(1		)	—			2		—			—		25		—			(200		)	163		(42		)
Long-term debt	6,811		(309		)	44			1,651		(1,016		)	—		54		—			(316		)	7,449		(349		)
Other financial liabilities measured on a recurring basis	95		—			(23		)	—		—			—		10		—			(111		)	17		(23		)

				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			Sept. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	5,043		$	(93	)	$	—		$	627		$	(1,852	)	$	42	$	—	$	—		$	—		$	3,767		$	476
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,325		$	119		$	—		$	1,032		$	(1,158	)	$	1,129	$	61	$	(1,027	)	$	(241	)	$	1,240		$	47
Residential	1,805			457			—			378			(344		)	2,947		—		(2,541		)	(7		)	2,695			107
Commercial	1,119			116			—			264			(238		)	204		—		(1,069		)	(17		)	379			7
Total trading mortgage-backed securities	$	4,249		$	692		$	—		$	1,674		$	(1,740	)	$	4,280	$	61	$	(4,637	)	$	(265	)	$	4,314		$	161
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	54		$	—		$	—	$	—	$	—		$	—		$	54		$	2
State and municipal	195			28			—			2			—			86		—		(56		)	—			255			2
Foreign government	311			(5		)	—			60			(61		)	200		—		(263		)	—			242			1
Corporate	2,030			32			—			267			(340		)	1,787		—		(1,461		)	(914		)	1,401			(375		)
Equity securities	264			(34		)	—			180			(184		)	471		—		(140		)	—			557			347
Asset-backed securities	4,453			467			—			100			(143		)	3,780		—		(4,372		)	(217		)	4,068			80
Other trading assets	2,321			165			—			510			(1,082		)	2,254		—		(1,094		)	(249		)	2,825			6
Total trading non-derivative assets	$	13,823		$	1,345		$	—		$	2,847		$	(3,550	)	$	12,858	$	61	$	(12,023	)	$	(1,645	)	$	13,716		$	224
Trading derivatives, net(4)
Interest rate contracts	181			544			—			702			(13		)	208		—		(115		)	(172		)	1,335			1,430
Foreign exchange contracts	—			350			—			29			(6		)	21		—		(9		)	16			401			(183		)
Equity contracts	(1,448		)	37			—			(37		)	300			176		—		(125		)	(234		)	(1,331		)	(1,652		)
Commodity contracts	(771		)	188			—			(5		)	(536		)	15		—		(25		)	64			(1,070		)	108
Credit derivatives	(342		)	(254		)	—			134			(184		)	19		—		—			587			(40		)	(444		)
Total trading derivatives, net(4)	$	(2,380	)	$	865		$	—		$	823		$	(439	)	$	439	$	—	$	(274	)	$	261		$	(705	)	$	(741	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,458		$	—		$	(10	)	$	1,977		$	(3,721	)	$	514	$	—	$	(37	)	$	(57	)	$	124		$	9
Residential	205			—			23			60			(265		)	117		—		(140		)	—			—			—
Commercial	—			—			—			4			(12		)	12		—		—			—			4			—
Total investment mortgage-backed securities	$	1,663		$	—		$	13		$	2,041		$	(3,998	)	$	643	$	—	$	(177	)	$	(57	)	$	128		$	9
U.S. Treasury and federal agency securities	$	12		$	—		$	—		$	—		$	—		$	—	$	—	$	(3	)	$	—		$	9		$	—
State and municipal	849			—			4			12			(117		)	261		—		(158		)	(125		)	726			(3		)
Foreign government	383			—			(1		)	168			(256		)	394		—		(291		)	(71		)	326			(36		)
Corporate	385			—			14			333			(116		)	101		—		(222		)	(23		)	472			4
Equity securities	773			—			31			17			(1		)	1		—		(22		)	—			799			30
Asset-backed securities	2,220			—			64			1,192			(1,684		)	1,105		—		(31		)	(1,023		)	1,843			4
Other debt securities	258			—			—			—			(205		)	—		—		(53		)	—			—			—
Non-marketable equity securities	5,364			—			289			—			—			621		—		(83		)	(1,089		)	5,102			271
Total investments	$	11,907		$	—		$	414		$	3,763		$	(6,377	)	$	3,126	$	—	$	(1,040	)	$	(2,388	)	$	9,405		$	279

			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			Sept. 30, 2013
Loans	$	4,931	$	—	$	(97	)	$	353	$	—		$	59		$	644	$	(6	)	$	(1,551	)	$	4,333	$	(99	)
Mortgage servicing rights	1,942		—		411			—		—			—			543		(1		)	(315		)	2,580		181
Other financial assets measured on a recurring basis	2,452		—		51			1		—			216			447		(2,041		)	(856		)	270		266
Liabilities
Interest-bearing deposits	$	786	$	—	$	(86	)	$	22	$	—		$	—		$	86	$	—		$	(112	)	$	868	$	(298	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	841		74		—			216		(15		)	—			—		40			(113		)	895		35
Trading account liabilities
Securities sold, not yet purchased	365		51		—			54		(21		)	—			—		358			(229		)	476		132
Short-term borrowings	112		25		—			2		(4		)	—			316		—			(238		)	163		(40		)
Long-term debt	6,726		62		113			3,016		(2,030		)	—			959		(1		)	(1,046		)	7,449		(1,027		)
Other financial liabilities measured on a recurring basis	24		—		(208		)	5		(2		)	(3		)	100		—			(315		)	17		(26		)

(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 September 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 September 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	$	3,006	Model-based	Interest rate	1.69		%	2.18		%	2.04		%
Mortgage-backed securities	$	2,814	Price-based	Price	$	0.03		$	112.87		$	84.66
	905		Yield analysis	Yield	0.01		%	21.53		%	7.08		%
State and municipal, foreign     government, corporate and other debt     securities	$	7,011	Price-based	Price	$	—		$	155.70		$	90.50
	1,638		Cash flow	Credit spread	60 bps			600 bps			224 bps
Equity securities(5)	$	1,874	Price-based	Price (5)	$	—		$	150.00		$	69.64
	755		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.10 years			3.54 years			1.12 years
Asset-backed securities	$	3,786	Price-based	Price	$	—		$	105.50		$	70.02
Non-marketable equity	$	1,629	Price-based	Discount to price	—		%	90.00		%	8.19		%
	1,179		Comparables analysis	EBITDA multiples	5.20		x	12.50		x	9.48		x
	400		Cash flow	PE ratio	8.30		x	8.30		x	8.30		x
				Price-to-book ratio	1.00		x	1.56		x	1.15		x
				Fund NAV	$	1		$	67,511,273		$	30,871,087
Derivatives—Gross(6)
Interest rate contracts (gross)	$	6,989	Model-based	Interest rate (IR) lognormal volatility	14.15		%	76.70		%	24.27		%
				Mean reversion	1.00		%	20.00		%	10.44		%
Foreign exchange contracts (gross)	$	1,198	Model-based	Foreign exchange (FX) volatility	0.45		%	23.10		%	9.24		%
	291		Cash flow	Interest rate	5.00		%	12.75		%	5.83		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	40.00		%	40.00		%	40.00		%
Equity contracts (gross)(7)	$	4,258	Model-based	Equity volatility	8.22		%	80.00		%	26.79		%
	870		Price-based	Equity forward	84.19		%	121.00		%	98.80		%
				Equity-FX correlation	(84.00		)%	71.00		%	(23.66		)%
				Equity-equity correlation	(66.30		)%	99.00		%	41.41		%
				Price	$	—		$	174.94		$	53.76
Commodity contracts (gross)	$	2,605	Model-based	Commodity volatility	5.00		%	66.00		%	15.00		%

As of September 30, 2014	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
				Commodity correlation	(52.00		)%	90.00		%	27.00		%
				Forward price	54.72		%	226.83		%	96.86		%
Credit derivatives (gross)	$	4,437	Model-based	Recovery rate	12.00		%	60.00		%	38.69		%
	1,580		Price-based	Credit correlation	5.00		%	95.00		%	58.89		%
				Price	$	0.25		$	108.67		$	44.08
				Credit spread	1 bps			1,377 bps			208 bps
				Upfront points	1.01			99.90			71.85
Nontrading derivatives and other financial     assets and liabilities measured on a     recurring basis (gross)(6)	$	47	Price-based	Price	$	—		$	133.00		$	100.29
	45		Model-based	Interest Rate	7.01		%	7.03		%	7.02		%
	23		Comparables analysis	EBITDA multiples	3.60		x	12.50		x	11.52		x
				PE ratio	9.40		x	9.40		x	9.40		x
				Fund NAV	$	1		$	10,229,908		$	8,376,456
				Redemption rate	3.00		%	99.50		%	66.38		%
				Discount to price	—		%	52.00		%	19.14		%
				Price-to-book ratio	1.20		x	1.20		x	1.20		x
Loans	$	1,092	Cash flow	Yield	1.60		%	4.50		%	2.23		%
	803		Price-based	Price	$	5.00		$	105.88		$	98.95
	570		Model-based	Credit spread	35 bps			923 bps			204 bps
	442		Yield analysis
Mortgage servicing rights	$	1,998	Cash flow	Yield	6.14		%	20.75		%	12.00		%
				WAL	3.30 years			8.48 years			6.10 years
Liabilities
Interest-bearing deposits	$	805	Model-based	Mean reversion	1.00		%	20.00		%	10.50		%
				Equity-IR Correlation	31.00		%	31.00		%	31.00		%
				Forward price	54.72		%	226.83		%	96.86		%
				Commodity correlation	(52.00		)%	90.00		%	27.00		%
				Commodity volatility	5.00		%	66.00		%	15.00		%
Federal funds purchased and securities     loaned or sold under agreements to     repurchase	$	1,034	Model-based	Interest rate	0.77		%	2.72		%	2.34		%
Trading account liabilities
Securities sold, not yet purchased	$	333	Price-based	Credit-IR correlation	(70.49		)%	5.37		%	(41.74		)%
				Price	$	98.25		$	133.00		$	99.81
Short-term borrowings and long-term     debt	$	7,531	Model-based	IR lognormal volatility	11.86		%	87.59		%	23.93		%
				Mean reversion	1.00		%	20.00		%	10.44		%
				Equity volatility	14.20		%	27.10		%	22.45		%
				Equity-equity correlation	(66.30		)%	99.00		%	40.90		%
				Equity-FX correlation	(84.00		)%	48.70		%	(26.80		)%
				Equity forward	90.00		%	121.00		%	98.40		%
				Forward price	54.72		%	226.83		%	97.33		%
				Commodity correlation	(52.00		)%	90.00		%	27.00		%
				Commodity volatility	5.00		%	66.00		%	15.00		%

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 September 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
September 30, 2014
Loans held-for-sale	$	4,184	$	1,267	$	2,917
Other real estate owned	109		20		89
Loans(1)	3,441		3,027		414
Total assets at fair value on a nonrecurring basis	$	7,734	$	4,314	$	3,420

(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 September 30, 2014 and December 31, 2013:

As of September 30, 2014	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	2,585	Price-based	Price	$	91.78		$	100.00		$	99.00
Other real estate owned	$	81	Price-based	Appraised Value	$	1,128,491		$	8,518,230		$	4,953,898
				Price	$	51.81		$	100.00		$	78.37
				Discount to price	13.00		%	62.00		%	32.00		%
Loans(3)	$	353	Price-based	Discount to price(4)	13.00		%	39.00		%	31.00		%

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

(2) 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(5)	$	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(5)	$	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(5)	$	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) Weighted averages are 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.

(5) Prices are based on appraised values.

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 September 30, 2014 and September 30, 2013:

	Three months ended September 30,
In millions of dollars	2014			2013
Loans held-for-sale	$	(11	)	$	(44	)
Other real estate owned	(7		)	(1		)
Loans(1)	(158		)	(186		)
Total nonrecurring fair value gains (losses)	$	(176	)	$	(231	)

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

	Nine months ended September 30,
In millions of dollars	2014			2013
Loans held-for-sale	$	58		$	(44	)
Other real estate owned	(15		)	(6		)
Loans(1)	(462		)	(444		)
Total nonrecurring fair value gains (losses)	$	(419	)	$	(494	)

(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

	September 30, 2014				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	30.9	$	32.2	$	5.0	$	24.8	$	2.4
Federal funds sold and securities borrowed or purchased under agreements to resell	104.5		104.5		—		94.8		9.7
Loans(1)(2)	629.7		627.2		—		6.5		620.7
Other financial assets(2)(3)	247.1		247.1		9.0		170.0		68.1
Liabilities
Deposits	$	940.9	$	938.5	$	—	$	644.8	$	293.7
Federal funds purchased and securities loaned or sold under agreements to repurchase	131.1		131.1		—		131.0		0.1
Long-term debt(4)	197.4		204.4		—		170.4		34.0
Other financial liabilities(5)	153.9		153.9		—		43.2		110.7

	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)	250.7		250.7		9.4		189.5		51.8
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 $16.9 billion for September 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 September 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.