FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2011

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

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	%

(1)

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, cash collateral, and the market value adjustment.

(2)

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

(3)

Percentage is calculated based on total assets and liabilities at fair value, excluding collateral paid/received on derivatives.

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	%

(1)

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, cash collateral, and the market value adjustment.

(2)

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

(3)

Percentage is calculated based on total assets and liabilities at fair value, excluding collateral paid/received on derivatives.

Changes in level 3 fair value category

						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)						Purchases		Issuances		Sales			Settlements			June 30, 2011
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
												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)						Purchases		Issuances		Sales			Settlements			June 30, 2011
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
													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)									June 30, 2010
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
													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)									June 30, 2010
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	)

(1)

Changes in fair value for available-for-sale investments (debt securities) are recorded in Accumulated other comprehensive income, 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 for changes in fair value for available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2011 and 2010.

(4)

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

Items measured at fair value of a nonrecurring basis

In billions of dollars	Fair value		Level 2		Level 3
June 30, 2011	$	5.5	$	2.6	$	2.9
December 31, 2010	$	3.1	$	0.9	$	2.2