SFAS 157 (now ASC 820-10) defines fair value, establishes a consistent framework for measuring fair value and expands disclosure requirements about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. In addition, the use of block discounts is precluded when measuring the fair value of instruments traded in an active market. It also requires recognition of trade-date gains related to certain derivative transactions whose fair values have been determined using unobservable market inputs.

Under SFAS 157, the probability of default of a counterparty is factored into the valuation of derivative positions and includes the impact of Citigroup's own credit risk on derivatives and other liabilities measured at fair value.

ASC 820-10, Fair Value Measurement, specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Company's market assumptions. These two types of inputs have created the following fair value hierarchy:

This hierarchy requires the use of observable market data when available. The Company considers relevant and observable market prices in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets.

The Company's policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period.

For assets and liabilities carried at fair value, the Company measures such value using the procedures set out below, irrespective of whether these assets and liabilities are carried at fair value as a result of an election or whether they were previously carried at fair value.

When available, the Company generally uses quoted market prices to determine fair value and classifies such items as Level 1. In some cases where a market price is available, the Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.

If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates, option volatilities, etc. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified in Level 3 even though there may be some significant inputs that are readily observable.

Where available, the Company may also make use of quoted prices for recent trading activity in positions with the same or similar characteristics to that being valued. The frequency and size of transactions and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the relevance of observed prices from those markets. If relevant and observable prices are available, those valuations would be classified as Level 2. If prices are not available, other valuation techniques would be used and the item would be classified as Level 3.

Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors and brokers' valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.

The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Securities purchased under agreements to resell and securities sold under agreements to repurchase

No quoted prices exist for such instruments and so fair value is determined using a discounted cash-flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. Expected cash flows are discounted using market rates appropriate to the maturity of the instrument as well as the nature and amount of collateral taken or received. Generally, when such instruments are held at fair value, they are classified within Level 2 of the fair value hierarchy as the inputs used in the valuation are readily observable.

Trading account assets and liabilities—trading securities and trading loans

When available, the Company uses quoted market prices to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include some government securities and exchange-traded equity securities.

For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. If available, the Company may also use quoted prices for recent trading activity of assets with similar characteristics to the bond or loan being valued. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale or prices from independent sources vary, a loan or security is generally classified as Level 3.

Where the Company's principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007, observable securitization prices for certain directly comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as those related to conforming prime fixed-rate and conforming adjustable-rate mortgage loans, pricing verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, these loan portfolios are classified as Level 2 in the fair value hierarchy.

Exchange-traded derivatives are generally fair valued using quoted market (i.e., exchange) prices and so are classified as Level 1 of the fair value hierarchy.

The majority of derivatives entered into by the Company are executed over the counter and so are valued using internal valuation techniques as no quoted market prices exist for such instruments. The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows, Black-Scholes and Monte Carlo simulation. The fair values of derivative contracts reflect cash the Company has paid or received (for example, option premiums paid and received).

The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchange rates, the spot price of the

underlying volatility and correlation. The item is placed in either Level 2 or Level 3 depending on the observability of the significant inputs to the model. Correlation and items with longer tenors are generally less observable.

The valuation of high-grade and mezzanine asset-backed security (ABS) CDO positions uses trader prices based on the underlying assets of each high-grade and mezzanine ABS CDO. The high-grade and mezzanine positions are now largely hedged through the ABX and bond short positions, which are trader priced. This results in closer symmetry in the way these long and short positions are valued by the Company. Citigroup uses trader marks to value this portion of the portfolio and will do so as long as it remains largely hedged.

For most of the lending and structuring direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques.

The investments category includes available-for-sale debt and marketable equity securities, whose fair value is determined using the same procedures described for trading securities above or, in some cases, using vendor prices as the primary source.

Also included in investments are nonpublic investments in private equity and real estate entities held by the S&B business. Determining the fair value of nonpublic securities involves a significant degree of management resources and judgment as no quoted prices exist and such securities are generally very thinly traded. In addition, there may be transfer restrictions on private equity securities. The Company uses an established process for determining the fair value of such securities, using commonly accepted valuation techniques, including the use of earnings multiples based on comparable public securities, industry-specific non-earnings-based multiples and discounted cash flow models. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions. As discussed in Note 11 to the Consolidated Financial Statements, the Company uses NAV to value certain of these entities.

Private equity securities are generally classified as Level 3 of the fair value hierarchy.

Where fair value accounting has been elected, the fair values of non-structured liabilities are determined by discounting expected cash flows using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy as all inputs are readily observable.

The Company determines the fair values of structured liabilities (where performance is linked to structured interest rates, inflation or currency risks) and hybrid financial instruments (performance linked to risks other than interest rates, inflation or currency risks) using the appropriate derivative valuation methodology (described above) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

Liquidity adjustments are applied to items in Level 2 and Level 3 of the fair value hierarchy to ensure that the fair value reflects the price at which the entire position could be liquidated in an orderly manner. The liquidity reserve is based on the bid-offer spread for an instrument, adjusted to take into account the size of the position consistent with what Citi believes a market participant would consider.

Counterparty credit-risk adjustments are applied to derivatives, such as over-the-counter derivatives, where the base valuation uses market parameters based on the LIBOR interest rate curves. Not all counterparties have the same credit risk as that implied by the relevant LIBOR curve, so it is necessary to consider the market view of the credit risk of a counterparty in order to estimate the fair value of such an item.

Bilateral or "own" credit-risk adjustments are applied to reflect the Company's own credit risk when valuing derivatives and liabilities measured at fair value. Counterparty and own credit adjustments consider the expected future cash flows between Citi and its counterparties under the terms of the instrument and the effect of credit risk on the valuation of those cash flows, rather than a point-in-time assessment of the current recognized net asset or liability. Furthermore, the credit-risk adjustments take into account the effect of credit-risk mitigants, such as pledged collateral and any legal right of offset (to the extent such offset exists) with a counterparty through arrangements such as netting agreements.

Auction rate securities (ARS) are long-term municipal bonds, corporate bonds, securitizations and preferred stocks with interest rates or dividend yields that are reset through periodic auctions. The coupon paid in the current period is based on the rate determined by the prior auction. In the event of an auction failure, ARS holders receive a "fail rate" coupon, which is specified in the original issue documentation of each ARS.

Where insufficient orders to purchase all of the ARS issue to be sold in an auction were received, the primary dealer or auction agent would traditionally have purchased any residual unsold inventory (without a contractual obligation to do so). This residual inventory would then be repaid through subsequent auctions, typically in a short time. Due to this auction mechanism and generally liquid market, ARS have historically traded and were valued as short-term instruments.

Citigroup acted in the capacity of primary dealer for approximately $72 billion of ARS and continued to purchase residual unsold inventory in support of the auction mechanism until mid-February 2008. After this date, liquidity in the ARS market deteriorated significantly, auctions failed due to a lack of bids from third-party investors, and Citigroup ceased to purchase unsold inventory. Following a number of ARS

refinancings, at June 30, 2011, Citigroup continued to act in the capacity of primary dealer for approximately $18 billion of outstanding ARS.

The Company classifies its ARS as trading and available-for-sale securities. Trading ARS include primarily securitization positions and are classified as Asset-backed securities within Trading securities in the table below. Available-for-sale ARS include primarily preferred instruments (interests in closed-end mutual funds) and are classified as Equity securities within Investments.

Prior to the Company's first auction failing in the first quarter of 2008, Citigroup valued ARS based on observation of auction market prices, because the auctions had a short maturity period (7, 28 or 35 days). This generally resulted in valuations at par. Once the auctions failed, ARS could no longer be valued using observation of auction market prices. Accordingly, the fair values of ARS are currently estimated using internally developed discounted cash flow valuation techniques specific to the nature of the assets underlying each ARS.

For ARS with student loans as underlying assets, future cash flows are estimated based on the terms of the loans underlying each individual ARS, discounted at an appropriate rate in order to estimate the current fair value. The key assumptions that impact the ARS valuations are the expected weighted average life of the structure, estimated fail rate coupons, the amount of leverage in each structure and the discount rate used to calculate the present value of projected cash flows. The discount rate used for each ARS is based on rates observed for basic securitizations with similar maturities to the loans underlying each ARS being valued. In order to arrive at the appropriate discount rate, these observed rates were adjusted upward to factor in the specifics of the ARS structure being valued, such as callability, and the illiquidity in the ARS market.

During the first quarter of 2008, ARS for which the auctions failed and where no secondary market had developed were moved to Level 3, as the assets were subject to valuation using significant unobservable inputs. The majority of ARS continue to be classified as Level 3.

The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale and trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (1) the underlying collateral has weighted average FICO scores between 680 and 720 or (2) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.

Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Vendors compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued.

The internal valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, consider estimated housing price changes, unemployment rates, interest rates and borrower attributes. They also consider prepayment rates as well as other market indicators.

Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or more recent vintages are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources.

Citigroup reports a number of different exposures linked to commercial real estate at fair value with changes in fair value reported in earnings, including securities, loans and investments in entities that hold commercial real estate loans or commercial real estate directly. The Company also reports securities backed by commercial real estate as available-for-sale investments, which are carried at fair value with changes in fair value reported in AOCI.

Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair value of securities and loans linked to commercial real estate utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Vendors compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities or loans with the same or similar characteristics to that being valued. Securities and loans linked to commercial real estate valued using these methodologies are generally classified as Level 3 as a result of the current reduced liquidity in the market for such exposures.

The fair value of investments in entities that hold commercial real estate loans or commercial real estate directly is determined using a similar methodology to that used for other non-public investments in real estate held by the S&B business. The Company uses an established process for determining the fair value of such securities, using commonly accepted valuation techniques, including the use of earnings multiples based on comparable public securities, industry-specific non-earnings-based multiples and discounted cash flow models. In determining the fair value of such investments, the Company also considers events, such as a proposed sale of the investee company, initial public offerings, equity issuances, or other observable transactions. Such investments are generally classified as Level 3 of the fair value hierarchy.

The following tables present for each of the fair value hierarchy levels the Company's assets and liabilities that are measured at fair value on a recurring basis at June 30, 2011 and December 31, 2010. The Company often hedges positions that have been classified in the Level 3 category with financial instruments that have been classified as Level 1 or Level 2. In addition, the Company also hedges items classified in the Level 3 category with instruments classified in Level 3 of the fair value hierarchy. The effects of these hedges are presented gross in the following table.

In millions of dollars at June 30, 2011			Level 1		Level 2		Level 3		Gross inventory		Netting(1)			Net balance

Assets
Federal funds sold and securities borrowed or purchased under agreements to resell			$	—	$	205,319	$	3,431	$	208,750	$	(61,349	)	$	147,401
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed		—		27,701		947		28,648		—			28,648
		Prime		—		748		651		1,399		—			1,399
		Alt-A		—		1,092		229		1,321		—			1,321
		Subprime		—		710		723		1,433		—			1,433
		Non-U.S. residential		—		613		323		936		—			936
		Commercial		—		1,731		550		2,281		—			2,281

	Total trading mortgage- backed securities		$	—	$	32,595	$	3,423	$	36,018	$	—		$	36,018

	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	11,128	$	3,198	$	—	$	14,326	$	—		$	14,326
		Agency obligations		7		3,019		46		3,072		—			3,072

	Total U.S. Treasury and federal agencies securities		$	11,135	$	6,217	$	46	$	17,398	$	—		$	17,398

	State and municipal		$	—	$	6,335	$	246	$	6,581	$	—		$	6,581
	Foreign government			72,151		25,642		903		98,696		—			98,696
	Corporate			49		46,723		6,673		53,445		—			53,445
	Equity securities			32,918		5,604		648		39,170		—			39,170
	Asset-backed securities			—		1,260		4,616		5,876		—			5,876
	Other debt securities			—		15,600		1,695		17,295		—			17,295

Total trading securities			$	116,253	$	139,976	$	18,250	$	274,479	$	—		$	274,479

Derivatives
		Interest rate contracts	$	143	$	449,455	$	2,299	$	451,897
		Foreign exchange contracts		12		78,831		894		79,737
		Equity contracts		2,694		13,552		1,876		18,122
		Commodity contracts		922		10,814		824		12,560
		Credit derivatives		—		55,598		8,471		64,069

Total gross derivatives			$	3,771	$	608,250	$	14,364	$	626,385
Cash collateral paid										47,768
Netting agreements and market value adjustments											$	(626,283	)

Total derivatives			$	3,771	$	608,250	$	14,364	$	674,153	$	(626,283	)	$	47,870

Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	66	$	36,081	$	59	$	36,206	$	—		$	36,206
		Prime		—		161		23		184		—			184
		Alt-A		—		10		1		11		—			11
		Subprime		—		—		—		—		—			—
		Non-U.S. residential		—		1,643		—		1,643		—			1,643
		Commercial		—		522		—		522		—			522

	Total investment mortgage-backed securities		$	66	$	38,417	$	83	$	38,566	$	—		$	38,566

	U.S. Treasury and federal agency securities
		U.S. Treasury	$	13,668	$	29,712	$	—	$	43,380	$	—		$	43,380
		Agency obligations		—		46,970		—		46,970		—			46,970

	Total U.S. Treasury and federal agency		$	13,668	$	76,682	$	—	$	90,350	$	—		$	90,350

	State and municipal		$	—	$	12,976	$	355	$	13,331		—		$	13,331
	Foreign government			47,397		54,357		329		102,083		—			102,083
	Corporate			—		15,151		1,516		16,667		—			16,667
	Equity securities			3,582		258		1,621		5,461		—			5,461
	Asset-backed securities			—		5,179		4,475		9,654		—			9,654
	Other debt securities			—		1,532		653		2,185		—			2,185
	Non-marketable equity securities			—		687		7,658		8,345		—			8,345

Total investments			$	64,713	$	205,239	$	16,690	$	286,642	$	—		$	286,642

*In millions of dollars at June 30, 2011*			Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance

Loans(2)			$	—		$	1,250		$	3,590		$	4,840		$	—		$	4,840
Mortgage servicing rights				—			—			4,258			4,258			—			4,258
Other financial assets measured on a recurring basis				—			16,051			2,449			18,500			(4,183	)		14,317

Total assets			$	184,737		$	1,176,085		$	63,032		$	1,471,622		$	(691,815	)	$	779,807
Total as a percentage of gross assets(3)				13.0	%		82.6	%		4.4	%		100	%

Liabilities
Interest-bearing deposits			$	—		$	1,165		$	586		$	1,751		$	—		$	1,751
Federal funds purchased and securities loaned or sold under agreements to repurchase				—			185,343			1,078			186,421			(61,349	)		125,072
Trading account liabilities
	Securities sold, not yet purchased			80,262			12,774			447			93,483						93,483
	Derivatives
		Interest rate contracts		131			444,152			2,098			446,381
		Foreign exchange contracts		9			81,267			912			82,188
		Equity contracts		3,422			31,837			3,721			38,980
		Commodity contracts		804			10,942			1,883			13,629
		Credit derivatives		—			52,625			8,261			60,886

Total gross derivatives			$	4,366		$	620,823		$	16,875		$	642,064
Cash collateral received													39,852
Netting agreements and market value adjustments															$	(623,092	)

Total derivatives			$	4,366		$	620,823		$	16,875		$	681,916		$	(623,092	)	$	58,824
Short-term borrowings				—			1,327			611			1,938			—			1,938
Long-term debt				—			20,126			6,873			26,999			—			26,999
Other financial liabilities measured on a recurring basis				—			12,175			16			12,191			(4,183	)		8,008

Total liabilities			$	84,628		$	853,733		$	26,486		$	1,004,699		$	(688,624	)	$	316,075
Total as a percentage of gross liabilities(3)				8.8	%		88.5	%		2.7	%		100	%

*In millions of dollars at December 31, 2010*			Level 1		Level 2		Level 3		Gross inventory		Netting(1)			Net balance

Assets
Federal funds sold and securities borrowed or purchased under agreements to resell			$	—	$	131,831	$	4,911	$	136,742	$	(49,230	)	$	87,512
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed		—		26,296		831		27,127		—			27,127
		Prime		—		920		594		1,514		—			1,514
		Alt-A		—		1,117		385		1,502		—			1,502
		Subprime		—		911		1,125		2,036		—			2,036
		Non-U.S. residential		—		828		224		1,052		—			1,052
		Commercial		—		1,340		418		1,758		—			1,758

	Total trading mortgage-backed securities		$	—	$	31,412	$	3,577	$	34,989	$	—		$	34,989

	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	18,449	$	1,719	$	—	$	20,168	$	—		$	20,168
		Agency obligations		6		3,340		72		3,418		—			3,418

	Total U.S. Treasury and federal agencies securities		$	18,455	$	5,059	$	72	$	23,586	$	—		$	23,586

	State and municipal		$	—	$	7,285	$	208	$	7,493	$	—		$	7,493
	Foreign government			64,096		23,649		566		88,311		—			88,311
	Corporate			—		46,263		6,006		52,269		—			52,269
	Equity securities			33,509		3,151		776		37,436		—			37,436
	Asset-backed securities			—		1,141		6,618		7,759		—			7,759
	Other debt securities			—		13,911		1,305		15,216		—			15,216

Total trading securities			$	116,060	$	131,871	$	19,128	$	267,059	$	—		$	267,059

Derivatives
		Interest rate contracts	$	509	$	473,579	$	2,584	$	476,672
		Foreign exchange contracts		11		83,465		1,025		84,501
		Equity contracts		2,581		11,807		1,758		16,146
		Commodity contracts		590		10,973		1,045		12,608
		Credit derivatives		—		51,819		13,222		65,041

Total gross derivatives			$	3,691	$	631,643	$	19,634	$	654,968
Cash collateral paid										50,302
Netting agreements and market value adjustments											$	(655,057	)

Total derivatives			$	3,691	$	631,643	$	19,634	$	705,270	$	(655,057	)	$	50,213

*In millions of dollars at December 31, 2010*			Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance

Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	70		$	23,531		$	22		$	23,623		$	—		$	23,623
		Prime		—			1,660			166			1,826			—			1,826
		Alt-A		—			47			1			48			—			48
		Subprime		—			119			—			119			—			119
		Non-U.S. residential		—			316			—			316			—			316
		Commercial		—			47			527			574			—			574

	Total investment mortgage-backed securities		$	70		$	25,720		$	716		$	26,506		$	—		$	26,506

	U.S. Treasury and federal agency securities
		U.S. Treasury	$	14,031		$	44,417		$	—		$	58,448		$	—		$	58,448
		Agency obligations		—			43,597			17			43,614			—			43,614

	Total U.S. Treasury and federal agency		$	14,031		$	88,014		$	17		$	102,062		$	—		$	102,062

	State and municipal		$	—		$	12,731		$	504		$	13,235		$	—		$	13,235
	Foreign government			51,419			47,902			358			99,679			—			99,679
	Corporate			—			15,152			1,018			16,170			—			16,170
	Equity securities			3,721			184			2,055			5,960			—			5,960
	Asset-backed securities			—			3,624			5,424			9,048			—			9,048
	Other debt securities			—			1,185			727			1,912			—			1,912
	Non-marketable equity securities			—			135			6,467			6,602			—			6,602

Total investments			$	69,241		$	194,647		$	17,286		$	281,174		$	—		$	281,174

Loans(2)			$	—		$	1,159		$	3,213		$	4,372		$	—		$	4,372
Mortgage servicing rights				—			—			4,554			4,554			—			4,554
Other financial assets measured on a recurring basis				—			19,425			2,509			21,934			(2,615	)		19,319

Total assets			$	188,992		$	1,110,576		$	71,235		$	1,421,105		$	(706,902	)	$	714,203
Total as a percentage of gross assets(3)				13.8	%		81.0	%		5.2	%		100	%

Liabilities
Interest-bearing deposits			$	—		$	988		$	277		$	1,265		$	—		$	1,265
Federal funds purchased and securities loaned or sold under agreements to repurchase				—			169,162			1,261			170,423			(49,230	)		121,193
Trading account liabilities
	Securities sold, not yet purchased			59,968			9,169			187			69,324			—			69,324
	Derivatives
		Interest rate contracts		489			472,936			3,314			476,739
		Foreign exchange contracts		2			87,411			861			88,274
		Equity contracts		2,551			27,486			3,397			33,434
		Commodity contracts		482			10,968			2,068			13,518
		Credit derivatives		—			48,535			10,926			59,461

Total gross derivatives			$	3,524		$	647,336		$	20,566		$	671,426
Cash collateral received													38,319
Netting agreements and market value adjustments																(650,015	)

Total derivatives			$	3,524		$	647,336		$	20,566		$	709,745		$	(650,015	)	$	59,730
Short-term borrowings				—			1,627			802			2,429			—			2,429
Long-term debt				—			17,612			8,385			25,997			—			25,997
Other financial liabilities measured on a recurring basis				—			12,306			19			12,325			(2,615	)		9,710

Total liabilities			$	63,492		$	858,200		$	31,497		$	991,508		$	(701,860	)	$	289,648
Total as a percentage of gross liabilities(3)				6.7	%		90.0	%		3.3	%		100	%

The following tables present the changes in the Level 3 fair value category for the three and six months ended June 30, 2011 and June 30, 2010. The Company classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

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

						Net realized/unrealized gains (losses) included in

						Net realized/unrealized gains (losses) included in						Transfers in and/or out of Level 3																Unrealized gains (losses) still held(3)
*In millions of dollars*			March 31, 2011			Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases		Issuances		Sales			Settlements			June 30, 2011			Unrealized gains (losses) still held(3)
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell			$	3,266		$	23		$	—		$	142		$	—	$	—	$	—		$	—		$	3,431		$	—
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	1,024		$	28		$	—		$	(147	)	$	261			$	(162	)	$	(57	)	$	947		$	22
		Prime		1,602			(14	)		—			(27	)		162		—		(1,066	)		(6	)		651			(53	)
		Alt-A		1,946			(1	)		—			(87	)		26		—		(1,643	)		(12	)		229			(2	)
		Subprime		1,116			(48	)		—			50			142		—		(499	)		(38	)		723			57
		Non-U.S. residential		290			5			—			(53	)		169		—		(88	)		—			323			(2	)
		Commercial		585			32			—			69			99		—		(235	)		—			550			22

	Total trading mortgage-backed securities		$	6,563		$	2		$	—		$	(195	)	$	859	$	—	$	(3,693	)	$	(113	)	$	3,423		$	44

	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
		Agency obligations		31			1			—			17			2		—		(5	)		—			46			2

	Total U.S. Treasury and federal agencies securities		$	31		$	1		$	—		$	17		$	2	$	—	$	(5	)	$	—		$	46		$	2

	State and municipal		$	1,115		$	(10	)	$	—		$	112		$	76	$	—	$	(1,047	)	$	—		$	246		$	40
	Foreign government			907			6			—			165			341		—		(129	)		(387	)		903			5
	Corporate			6,086			83			—			1,941			1,939		—		(1,792	)		(1,584	)		6,673			(153	)
	Equity securities			305			15			—			342			23		—		(37	)		—			648			17
	Asset-backed securities			5,725			221			—			41			1,129		—		(1,568	)		(932	)		4,616			(60	)
	Other debt securities			1,415			(11	)		—			286			188		—		(183	)		—			1,695			(9	)

Total trading securities			$	22,147		$	307		$	—		$	2,709		$	4,557	$	—	$	(8,454	)	$	(3,016	)	$	18,250		$	(114	)

Derivatives, net(4)
		Interest rate contracts	$	4		$	128		$	—		$	(15	)	$	4	$	—	$	(11	)	$	91		$	201		$	(4	)
		Foreign exchange contracts		239			(28	)		—			(93	)		—		—		—			(136	)		(18	)		(62	)
		Equity contracts		(2,568	)		173			—			678			56		—		(160	)		(24	)		(1,845	)		(390	)
		Commodity contracts		(1,296	)		212			—			(12	)		2		—		(60	)		95			(1,059	)		66
		Credit derivatives		164			(45	)		—			(89	)		—		—		—			180			210			39

Total derivatives, net(4)			$	(3,457	)	$	440		$	—		$	469		$	62	$	—	$	(231	)	$	206		$	(2,511	)	$	(351	)

Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	362		$	—		$	11		$	(307	)	$	—	$	—	$	(7	)	$	—		$	59		$	4
		Prime		150			—			(1	)		(122	)		7		—		(11	)		—			23			—
		Alt-A		2			—			—			(1	)		—		—		—			—			1			—

		Subprime		—			—			—			—			—		—		—			—			—			—
		Commercial		527			—			—			(539	)		24		—		(12	)		—			—			—

	Total investment mortgage-backed debt securities		$	1,041		$	—		$	10		$	(969	)	$	31	$	—	$	(30	)	$	—		$	83		$	4

	U.S. Treasury and federal agencies securities		$	16		$	—		$	—		$	(15	)	$	—	$	—	$	(1	)	$	—		$	—		$	—
	State and municipal			381			—			(23	)		38			12		—		(53	)		—			355			(27	)
	Foreign government			426			—			(10	)		(40	)		56		—		(10	)		(93	)		329			(7	)
	Corporate			1,085			—			21			(13	)		444		—		(5	)		(16	)		1,516			3
	Equity securities			1,829			—			(28	)		—			—		—		(9	)		(171	)		1,621			(16	)
	Asset-backed securities			5,002			—			(5	)		10			51		—		(204	)		(379	)		4,475			(1	)
	Other debt securities			672			—			22			—			2		—		(2	)		(41	)		653			26
	Non-marketable equity securities			8,942			—			101			(518	)		158		—		(273	)		(752	)		7,658			106

Total investments			$	19,394		$	—		$	88		$	(1,507	)	$	754	$	—	$	(587	)	$	(1,452	)	$	16,690		$	88

Loans			$	3,152		$	—		$	(66	)	$	(226	)	$	248	$	688	$	—		$	(206	)	$	3,590		$	59
Mortgage servicing rights				4,690			—			(307	)		—			—		—		—			(125	)		4,258			(307	)
Other financial assets measured on a recurring basis				2,485			—			7			(25	)		57		142		(58	)		(159	)		2,449			14

Liabilities
Interest-bearing deposits			$	585		$	—		$	7		$	(9	)	$	—	$	29	$	—		$	(12	)	$	586		$	(41	)
Federal funds purchased and securities loaned or sold under agreements to repurchase				1,168			(7	)		—			10			—		—		—			(107	)		1,078			—
Trading account liabilities
	Securities sold, not yet purchased			109			30			—			281			—		—		147			(60	)		447			28
Short-term borrowings				391			(34	)		—			163			—		143		—			(120	)		611			(13	)
Long-term debt				8,568			—			70			(441	)		—		330		—			(1,514	)		6,873			13
Other financial liabilities measured on a recurring basis				9			—			(13	)		—			1		8		(1	)		(14	)		16			(19	)

						Net realized/unrealized gains (losses) included in

						Net realized/unrealized gains (losses) included in						Transfers in and/or out of Level 3																Unrealized gains (losses) still held(3)
*In millions of dollars*			Dec. 31, 2010			Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases		Issuances		Sales			Settlements			June 30, 2011			Unrealized gains (losses) still held(3)
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell			$	4,911		$	(129	)	$	—		$	(1,351	)	$	—	$	—	$	—		$	—		$	3,431		$	—
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	831		$	81		$	—		$	89		$	355	$	—	$	(352	)	$	(57	)	$	947		$	63
		Prime		594			84			—			(3	)		1,315		—		(1,333	)		(6	)		651			(24	)
		Alt-A		385			11			—			(16	)		1,577		—		(1,716	)		(12	)		229			2
		Subprime		1,125			(12	)		—			63			451		—		(866	)		(38	)		723			31
		Non-U.S. residential		224			37			—			32			291		—		(261	)		—			323			1
		Commercial		418			96			—			64			339		—		(367	)		—			550			65

	Total trading mortgage-backed securities		$	3,577		$	297		$	—		$	229		$	4,328	$	—	$	(4,895	)	$	(113	)	$	3,423		$	138

	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—

		Agency obligations		72			2			—			3			5		—		(36	)		—			46			1

	Total U.S. Treasury and federal agencies securities		$	72		$	2		$	—		$	3		$	5	$	—	$	(36	)	$	—		$	46			1

	State and municipal		$	208		$	52		$	—		$	107		$	969	$	—	$	(1,090	)	$	—		$	246		$	44
	Foreign government			566			7			—			161			859		—		(303	)		(387	)		903			8
	Corporate			6,006			252			—			1,457			3,788		—		(3,034	)		(1,796	)		6,673			(201	)
	Equity securities			776			71			—			(169	)		128		—		(158	)		—			648			54
	Asset-backed securities			6,618			439			—			(18	)		2,428		—		(3,469	)		(1,382	)		4,616			(117	)
	Other debt securities			1,305			(13	)		—			317			452		—		(366	)		—			1,695			12

Total trading securities			$	19,128		$	1,107		$	—		$	2,087		$	12,957	$	—	$	(13,351	)	$	(3,678	)	$	18,250		$	(61	)

Derivatives, net(4)
		Interest rate contracts	$	(730	)	$	(115	)	$	—		$	709		$	4	$	—	$	(11	)	$	344		$	201		$	117
		Foreign exchange contracts		164			113			—			(135	)		—		—		—			(160	)		(18	)		(82	)
		Equity contracts		(1,639	)		197			—			(65	)		56		—		(160	)		(234	)		(1,845	)		(781	)
		Commodity contracts		(1,023	)		153			—			(100	)		2		—		(60	)		(31	)		(1,059	)		(49	)
		Credit derivatives		2,296			(583	)		—			(267	)		—		—		—			(1,236	)		210			(714	)

Total derivatives, net(4)			$	(932	)	$	(235	)	$	—		$	142		$	62	$	—	$	(231	)	$	(1,317	)	$	(2,511	)	$	(1,509	)

Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	22		$	—		$	2		$	37		$	5	$	—	$	(7	)	$	—		$	59		$	(14	)
		Prime		166			—			1			(122	)		7		—		(29	)		—			23			—
		Alt-A		1			—			—			—			—		—		—			—			1			—
		Subprime		—			—			—			—			—		—		—			—			—			—
		Commercial		527			—			3			(539	)		39		—		(30	)		—			—			—

	Total investment mortgage-backed debt securities		$	716		$	—		$	6		$	(624	)	$	51	$	—	$	(66	)	$	—		$	83		$	(14	)

	U.S. Treasury and federal agencies securities		$	17		$	—		$	—		$	(15	)	$	—	$	—	$	(2	)	$	—		$	—		$	—
	State and municipal			504			—			(47	)		(55	)		33		—		(80	)		—			355			(58	)
	Foreign government			358			—			(3	)		24			106		—		(63	)		(93	)		329			(4	)
	Corporate			1,018			—			36			24			471		—		(17	)		(16	)		1,516			—
	Equity securities			2,055			—			(57	)		(29	)		—		—		(9	)		(339	)		1,621			11
	Asset-backed securities			5,424			—			41			53			87		—		(447	)		(683	)		4,475			5
	Other debt securities			727			—			(11	)		67			35		—		(2	)		(163	)		653			(7	)
	Non-marketable equity securities			6,467			—			550			(838	)		3,348		—		(1,117	)		(752	)		7,658			641

Total investments			$	17,286		$	—		$	515		$	(1,393	)	$	4,131	$	—	$	(1,803	)	$	(2,046	)	$	16,690		$	574

Loans			$	3,213		$	—		$	(153	)	$	(245	)	$	248	$	1,029	$	—		$	(502	)	$	3,590		$	(49	)
Mortgage servicing rights				4,554			—			(99	)		—			—		—		—			(197	)		4,258			(99	)
Other financial assets measured on a recurring basis				2,509			—			(9	)		(44	)		57		343		(58	)		(349	)		2,449			18

Liabilities
Interest-bearing deposits			$	277		$	—		$	(27	)	$	51		$	—	$	244	$	—		$	(13	)	$	586		$	(218	)
Federal funds purchased and securities loaned or sold under agreements to repurchase				1,261			11			—			100			—		—		(165	)		(107	)		1,078			—
Trading account liabilities
	Securities sold, not yet purchased			187			93			—			199			—		—		147			7			447			15
Short-term borrowings				802			144			—			122			—		168		—			(337	)		611			(50	)
Long-term debt				8,385			(99	)		166			(416	)		—		650		—			(1,679	)		6,873			62
Other financial liabilities measured on a recurring basis				19			—			(17	)		7			1		12		(1	)		(39	)		16			(19	)

							Net realized/ unrealized gains (losses) included in

							Net realized/ unrealized gains (losses) included in						Transfers in and/or out of Level 3			Purchases, issuances and settlements						Unrealized gains (losses) still held(3)
*In millions of dollars*				March 31, 2010			Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases, issuances and settlements			June 30, 2010			Unrealized gains (losses) still held(3)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell				$	1,907		$	446		$	—		$	4,165		$	—		$	6,518		$	—
Trading securities
	Trading mortgage-backed securities
			U.S. government sponsored	$	947		$	(107	)	$	—		$	71		$	(153	)	$	758		$	(123	)
			Prime		399			(2	)		—			67			146			610			(20	)
			Alt-A		321			15			—			100			15			451			45
			Subprime		6,525			(697	)		—			126			(4,069	)		1,885			(1,890	)
			Non-U.S. residential		243			14			—			20			(43	)		234			(4	)
			Commercial		2,215			1			—			(142	)		110			2,184			2

	Total trading mortgage-backed securities			$	10,650		$	(776	)	$	—		$	242		$	(3,994	)	$	6,122		$	(1,990	)

	State and municipal			$	453		$	8		$	—		$	(129	)	$	(275	)	$	57		$	—
	Foreign government				644			(15	)		—			11			(254	)		386			(20	)
	Corporate				7,950			(74	)		—			(144	)		(1,521	)		6,211			(114	)
	Equity securities				905			10			—			(338	)		(44	)		533			26
	Asset-backed securities				4,200			(16	)		—			74			(56	)		4,202			(242	)
	Other debt securities				1,129			(72	)		—			(48	)		38			1,047			(4	)

Total trading securities				$	25,931		$	(935	)	$	—		$	(332	)	$	(6,106	)	$	18,558		$	(2,344	)

Derivatives, net(4)
		Interest rate contracts		$	339		$	190		$	—		$	(175	)	$	221		$	575		$	481
		Foreign exchange contracts			33			206			—			(1	)		12			250			249
		Equity contracts			(1,420	)		(48	)		—			(51	)		286			(1,233	)		(307	)
		Commodity and other contracts			(645	)		85			—			38			(2	)		(524	)		22
		Credit derivatives			5,029			(1,421	)		—			(358	)		(1,177	)		2,073			(1,546	)

Total derivatives, net(4)				$	3,336		$	(988	)	$	—		$	(547	)	$	(660	)	$	1,141		$	(1,101	)

Investments
	Mortgage-backed securities
			U.S. government-sponsored agency guaranteed	$	1		$	—		$	—		$	—		$	—		$	1		$	—
			Prime		276			—			(16	)		575			(63	)		772			(2	)
			Alt-A		30			—			—			190			(15	)		205			—
			Subprime		1			—			(1	)		14			—			14			—
			Non-U.S. Residential		—			—			—			814			—			814			5
			Commercial		546			—			13			1			(2	)		558			—

Total investment mortgage-backed debt securities				$	854		$	—		$	(4	)	$	1,594		$	(80	)	$	2,364		$	3

U.S. Treasury and federal agencies securities
	Agency obligations			$	19		$	—		$	—		$	—		$	—		$	19		$	—

Total U.S. Treasury and federal agencies securities				$	19		$	—		$	—		$	—		$	—		$	19		$	—

	State and municipal			$	262		$	—		$	6		$	233		$	(44	)	$	457		$	—
	Foreign government				287			—			(1	)		(27	)		23			282			(14	)
	Corporate				1,062			—			(5	)		295			(81	)		1,271			(8	)
	Equity securities				2,468			—			14			1			(245	)		2,238			—
	Asset-backed securities				7,936			—			(6	)		4,802			(429	)		12,303			(41	)
	Other debt securities				1,007			—			20			(42	)		(94	)		891			31
	Non-marketable equity securities				8,613			—			(2	)		(2,077	)		27			6,561			(60	)

Total investments				$	22,508		$	—		$	22		$	4,779		$	(923	)	$	26,386		$	(89	)

Loans				$	4,395		$	—		$	(296	)	$	(5	)	$	(426	)	$	3,668		$	(288	)
MSRs					6,439			—			(1,342	)		—			(203	)		4,894			(1,342	)
Other financial assets measured on a recurring basis					907			—			(35	)		1,996			221			3,089			(35	)

Liabilities
Interest-bearing deposits				$	158		$	—		$	(4	)	$	(4	)	$	25		$	183		$	36
Federal funds purchased and securities loaned or sold under agreements to repurchase					975			(99	)		—			76			(59	)		1,091			(110	)

Trading account liabilities
	Securities sold, not yet purchased				148			33			—			509			(3	)		621			103
Short-term borrowings					258			18			—			12			193			445			(13	)
Long-term debt					12,836			126			290			(150	)		(1,529	)		10,741			184
Other financial liabilities measured on a recurring basis					2			—			(14	)		—			(9	)		7			(7	)

							Net realized/ unrealized gains (losses) included in

							Net realized/ unrealized gains (losses) included in						Transfers in and/or out of Level 3			Purchases, issuances and settlements						Unrealized gains (losses) still held(3)
*In millions of dollars*				December 31, 2009			Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases, issuances and settlements			June 30, 2010			Unrealized gains (losses) still held(3)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell				$	1,127		$	509		$	—		$	4,165		$	717		$	6,518		$	—
Trading securities
	Trading mortgage-backed securities
			U.S. government sponsored	$	972		$	(158	)	$	—		$	169		$	(225	)	$	758		$	(120	)
			Prime		384			33			—			150			43			610			(7	)
			Alt-A		387			30			—			160			(126	)		451			54
			Subprime		8,998			36			—			(625	)		(6,524	)		1,885			(1,861	)
			Non-U.S. residential		572			(27	)		—			(259	)		(52	)		234			1
			Commercial		2,451			(11	)		—			(183	)		(73	)		2,184			48

	Total trading mortgage-backed securities			$	13,764		$	(97	)	$	—		$	(588	)	$	(6,957	)	$	6,122		$	(1,885	)

	State and municipal			$	222		$	11		$	—		$	56			(232	)	$	57		$	—
	Foreign government				459			11			—			(186	)		102			386			(5	)
	Corporate				8,620			(75	)		—			(483	)		(1,851	)		6,211			(107	)
	Equity securities				640			16			—			(12	)		(111	)		533			50
	Asset-backed securities				3,006			(77	)		—			44			1,229			4,202			(266	)
	Other debt securities				13,231			23			—			(255	)		(11,952	)		1,047			(3	)

Total trading securities				$	39,942		$	(188	)	$	—		$	(1,424	)	$	(19,772	)	$	18,558		$	(2,216	)

Derivatives, net(4)
		Interest rate contracts		$	(374	)	$	665		$	—		$	337		$	(53	)	$	575		$	447
		Foreign exchange contracts			(38	)		344			—			(98	)		42			250			362
		Equity contracts			(1,110	)		(227	)		—			(282	)		386			(1,233	)		(558	)
		Commodity and other contracts			(529	)		(116	)		—			68			53			(524	)		(444	)
		Credit derivatives			5,159			(1,275	)		—			(875	)		(936	)		2,073			(1,922	)

Total derivatives, net(4)				$	3,108		$	(609	)	$	—		$	(850	)	$	(508	)	$	1,141		$	(2,115	)

Investments
	Mortgage-backed securities
			U.S. government-sponsored agency guaranteed	$	2		$	—		$	(1	)	$	—		$	—		$	1		$	—
			Prime		736			—			(113	)		70			79			772			23
			Alt-A		55			—			(23	)		190			(17	)		205			17
			Subprime		1			—			(1	)		14			—			14			—
			Non-U.S. Residential		—						—			814			—			814			8
			Commercial		746			—			(449	)		2			259			558			—

	Total investment mortgage-backed debt securities			$	1,540		$	—		$	(587	)	$	1,090		$	321		$	2,364		$	48

	U.S. Treasury and federal agencies securities Agency obligations			$	21		$	—		$	(21	)	$	—		$	19		$	19		$	(1	)

Total U.S. Treasury and federal agencies securities				$	21		$	—		$	(21	)	$	—		$	19		$	19		$	(1	)

	State and municipal			$	217		$	—		$	7		$	233		$	—		$	457		$	—
	Foreign government				270			—			7			(10	)		15			282			2
	Corporate				1,257			—			(79	)		236			(143	)		1,271			20
	Equity securities				2,513			—			26			90			(391	)		2,238			—

	Asset-backed securities				8,272			—			(36	)		4,818			(751	)		12,303			(95	)
	Other debt securities				560			—			27			(36	)		340			891			40
	Non-marketable equity securities				6,753			—			15			(108	)		(99	)		6,561			(53	)

Total investments				$	21,403		$	—		$	(641	)	$	6,313		$	(689	)	$	26,386		$	(39	)

Loans				$	213		$	—		$	(140	)	$	615		$	2,980		$	3,668		$	(144	)
MSRs					6,530			—			(1,198	)		—			(438	)		4,894			(1,198	)
Other financial assets measured on a recurring basis					1,101			—			(27	)		1,983			32			3,089			(27	)

Liabilities
Interest-bearing deposits				$	28		$	—		$	2		$	(6	)	$	163		$	183		$	(13	)
Federal funds purchased and securities loaned or sold under agreements to repurchase					929			(98	)		—			76			(12	)		1,091			(166	)
Trading account liabilities
	Securities sold, not yet purchased				774			52			—			(69	)		(32	)		621			56
Short-term borrowings					231			8			—			(106	)		328			445			14
Long-term debt					9,654			272			145			332			1,172			10,741			74
Other financial liabilities measured on a recurring basis					13			—			(19	)		—			(25	)		7			(7	)

The following is a discussion of the changes to the Level 3 balances for each of the roll-forward tables presented above:

The significant changes from March 31, 2011 to June 30, 2011 in Level 3 assets and liabilities were due to:

The significant changes from December 31, 2010 to June 30, 2011 in Level 3 assets and liabilities were due to:

The significant changes from March 31, 2010 to June 30, 2010 in Level 3 assets and liabilities were due to:

The significant changes from December 31, 2009 to June 30, 2010 in Level 3 assets and liabilities are due to:

The Company did not have any significant transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2011 and June 30, 2010.

Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above.

These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. In addition, these assets include loans held-for-sale that are measured at the lower of cost or market (LOCOM) that were recognized at fair value below cost at the end of the period.

The fair value of loans measured on a LOCOM basis is determined where possible using quoted secondary-market prices. Such loans are generally classified as Level 2 of the fair value hierarchy given the level of activity in the market and the frequency of available quotes. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan.

The following table presents all assets that are carried at LOCOM as of June 30, 2011 and December 31, 2010: