FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2011

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

In millions of dollars at September 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			$	—	$	216,064	$	4,690	$	220,754	$	(57,315	)	$	163,439
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	—	$	26,564	$	1,067	$	27,631	$	—		$	27,631
		Prime		—		731		660		1,391		—			1,391
		Alt-A		—		995		239		1,234		—			1,234
		Subprime		—		862		489		1,351		—			1,351
		Non-U.S. residential		—		376		174		550		—			550
		Commercial		—		2,128		832		2,960		—			2,960
	Total trading mortgage- backed securities		$	—	$	31,656	$	3,461	$	35,117	$	—		$	35,117
	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	12,851	$	2,618		—	$	15,469		—		$	15,469
		Agency obligations		—		3,135		—		3,135		—			3,135
	Total U.S. Treasury and federal agencies securities		$	12,851	$	5,753	$	—	$	18,604	$	—		$	18,604
	State and municipal		$	—	$	6,038	$	231	$	6,269		—		$	6,269
	Foreign government			77,342		24,553		995		102,890		—			102,890
	Corporate			—		38,985		4,679		43,664		—			43,664
	Equity securities			27,297		3,832		266		31,395		—			31,395
	Asset-backed securities			—		1,303		5,700		7,003		—			7,003
	Other debt securities			—		13,316		2,114		15,430		—			15,430
Total trading securities			$	117,490	$	125,436	$	17,446	$	260,372	$	—		$	260,372
Derivatives
	Interest rate contracts		$	186	$	765,739	$	1,996		767,921
	Foreign exchange contracts			—		131,106		895		132,001
	Equity contracts			3,449		21,510		1,556		26,515
	Commodity contracts			1329		10,790		1226		13,345
	Credit derivatives			—		93,338		11,260		104,598
Total gross derivatives			$	4,964	$	1,022,483	$	16,933	$	1,044,380
Cash collateral paid										59,738
Netting agreements and market value adjustments											$	(1,043,853	)
Total derivatives			$	4,964	$	1,022,483	$	16,933	$	1,104,118	$	(1,043,853	)	$	60,265
Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	63	$	41,654	$	46	$	41,763	$	—		$	41,763
		Prime		—		114		16		130		—			130
		Alt-A		—		1		—		1		—			1
		Subprime		—		—		—		—		—			—
		Non-U.S. residential		—		2,884		—		2,884		—			2,884
		Commercial		—		480		3		483		—			483
	Total investment mortgage-backed securities		$	63	$	45,133	$	65	$	45,261	$	—		$	45,261
	U.S. Treasury and federal agency securities
		U.S. Treasury	$	12,478	$	27,563	$	—	$	40,041	$	—		$	40,041
		Agency obligations		—		41,473		—		41,473		—			41,473
	Total U.S. Treasury and federal agency		$	12,478	$	69,036	$	—	$	81,514	$	—		$	81,514
	State and municipal		$	—	$	13,992	$	388	$	14,380	$	—		$	14,380
	Foreign government			33,400		49,235		353		82,988		—			82,988
	Corporate			—		15,258		1,316		16,574		—			16,574
	Equity securities			4,429		109		1,506		6,044		—			6,044
	Asset-backed securities			—		5,666		4,246		9,912		—			9,912
	Other debt securities			747		1,142		273		2,162		—			2,162
	Non-marketable equity securities			—		519		7,235		7,754		—			7,754
Total investments			$	51,117	$	200,090	$	15,382	$	266,589	$	—		$	266,589
Loans(2)			$	—	$	717	$	4,646	$	5,363	$	—		$	5,363

In millions of dollars at September 30, 2011			Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance
Mortgage servicing rights				—			—			2,852			2,852			—			2,852
Other financial assets measured on a recurring basis				—			29,273			2,380			31,653			(3,425	)		28,228
Total assets			$	173,571		$	1,594,063		$	64,329		$	1,891,701		$	(1,104,593	)	$	787,108
Total as a percentage of gross assets(3)				9.5	%		87.0	%		3.5	%		100.0	%
Liabilities
Interest-bearing deposits			$	—		$	1,060		$	459		$	1,519		$	—		$	1,519
Federal funds purchased and securities loaned or sold under agreements to repurchase				—			191,941			1,098			193,039			(57,315	)		135,724
Trading account liabilities
	Securities sold, not yet purchased			75,790			11,083			724			87,597			—			87,597
	Derivatives
		Interest rate contracts		151			754,601			1,461			756,213
		Foreign exchange contracts		—			133,309			861			134,170
		Equity contracts		5,294			35,898			3,473			44,665
		Commodity contracts		1500			11,020			1,955			14,475
		Credit derivatives		—			89,190			9,285			98,475
Total gross derivatives			$	6,945		$	1,024,018		$	17,035		$	1,047,998
Cash collateral received													53,431
Netting agreements and market value adjustments															$	(1,040,175	)
Total derivatives			$	6,945		$	1,024,018		$	17,035		$	1,101,429		$	(1,040,175	)	$	61,254
Short-term borrowings				—			1,111			474			1,585			—			1,585
Long-term debt				—			18,879			6,311			25,190			—			25,190
Other financial liabilities measured on a recurring basis				—			17,779			7			17,786			(3,425	)		14,361
Total liabilities			$	82,735		$	1,265,871		$	26,108		$	1,428,145		$	(1,100,915	)	$	327,230
Total as a percentage of gross liabilities(3)				6.0	%		92.1	%		1.9	%		100.0	%

(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			5,159			51,422			—			51,422
	Equity securities			33,509			3,151			776			37,436			—			37,436
	Asset-backed securities			—			1,141			7,465			8,606			—			8,606
	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
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

In millions of dollars at December 31, 2010			Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance
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			June 30, 2011			Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			Sept. 30, 2011
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell			$	3,431		$	209		$	—		$	1,050		$	—	$	—	$	—		$	—		$	4,690		$	157
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	947		$	(140	)	$	—		$	225		$	224	$	35	$	(177	)	$	(47	)	$	1,067		$	(167	)
		Prime		651			9			—			19			120		—		(135	)		(4	)		660			2
		Alt-A		229			—			—			44			30		—		(57	)		(7	)		239			1
		Subprime		723			7			—			(196	)		50		—		(95	)		—			489			44
		Non-U.S. residential		323			(19	)		—			(80	)		37		—		(87	)		—			174			(15	)
		Commercial		550			(15	)		—			333			61		—		(73	)		(24	)		832			(61	)
	Total trading mortgage-backed securities		$	3,423		$	(158	)	$	—		$	345		$	522	$	35	$	(624	)	$	(82	)	$	3,461		$	(196	)
	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
		Agency obligations		46			7			—			(48	)		—		—		(5	)		—			—			—
	Total U.S. Treasury and federal agencies securities		$	46		$	7		$	—		$	(48	)	$	—	$	—	$	(5	)	$	—		$	—		$	—
	State and municipal		$	246		$	4		$	—		$	3		$	79	$	—	$	(101	)	$	—		$	231		$	9
	Foreign government			903			4			—			(30	)		455		—		(337	)		—			995			(28	)
	Corporate			5,273			(178	)		—			266			525		—		(889	)		(318	)		4,679			(86	)
	Equity securities			648			(172	)		—			(81	)		33		—		(162	)		—			266			(77	)
	Asset-backed securities			6,016			(182	)		—			265			642		—		(1,039	)		(2	)		5,700			(235	)
	Other debt securities			1,695			(121	)		—			133			569		—		(158	)		(4	)		2,114			3
Total trading securities			$	18,250		$	(796	)	$	—		$	853		$	2,825	$	35	$	(3,315	)	$	(406	)	$	17,446		$	(610	)
Derivatives, net(4)
		Interest rate contracts	$	201		$	7		$	—		$	393		$	4	$	—	$	(4	)	$	(66	)	$	535		$	115
		Foreign exchange contracts		(18	)		29			—			37			11		—		(2	)		(23	)		34			(66	)
		Equity contracts		(1,845	)		212			—			(126	)		124		—		(57	)		(225	)		(1,917	)		(572	)
		Commodity contracts		(1,059	)		225			—			67			—		—		(8	)		46			(729	)		253
		Credit derivatives		210			1,681			—			266			—		—		—			(182	)		1,975			1,750
Total derivatives, net(4)			$	(2,511	)	$	2,154		$	—		$	637		$	139	$	—	$	(71	)	$	(450	)	$	(102	)	$	1,480
Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	59		$	—		$	(17	)	$	—		$	4	$	—	$	—		$	—		$	46		$	(17	)
		Prime		23			—			(2	)		13			—		—		(17	)		(1	)		16			—
		Alt-A		1			—			(1	)		—			—		—		—			—			—			—

				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		June 30, 2011		Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			Sept. 30, 2011
	Subprime		—		—			—			—			—		—		—			—			—		—
	Commercial		—		—			(7	)		29			3		—		(22	)		—			3		—
	Total investment mortgage-backed debt securities	$	83	$	—		$	(27	)	$	42		$	7	$	—	$	(39	)	$	(1	)	$	65	$	(17	)
	U.S. Treasury and federal agencies securities	$	—	$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—	$	—
	State and municipal		355		—			35			(4	)		5		—		(3	)		—			388		35
	Foreign government		329		—			14			(60	)		127		—		(4	)		(53	)		353		11
	Corporate		1,516		—			(120	)		(11	)		56		—		(37	)		(88	)		1,316		(83	)
	Equity securities		1,621		—			4			(5	)		—		—		(4	)		(110	)		1,506		(14	)
	Asset-backed securities		4,475		—			(2	)		(23	)		19		—		—			(223	)		4,246		—
	Other debt securities		653		—			8			—			—		—		(285	)		(103	)		273		(24	)
	Non-marketable equity securities		7,658		—			(130	)		(24	)		804		—		(616	)		(457	)		7,235		(128	)
Total investments		$	16,690	$	—		$	(218	)	$	(85	)	$	1,018	$	—	$	(988	)	$	(1,035	)	$	15,382	$	(220	)
Loans		$	3,590	$	—		$	(164	)	$	635		$	—	$	847	$	(18	)	$	(244	)	$	4,646	$	(126	)
Mortgage servicing rights			4,258		—			(1,327	)		—			—		125		—			(204	)		2,852		(1,327	)
Other financial assets measured on a recurring basis			2,449		—			57			(56	)		—		142		(114	)		(98	)		2,380		63
Liabilities
Interest-bearing deposits		$	586	$	—		$	40		$	(124	)	$	—	$	37	$	—		$	—		$	459	$	(45	)
Federal funds purchased and securities loaned or sold under agreements to repurchase			1,078		(39	)		—			(19	)		—		—		—			—			1,098		—
Trading account liabilities
	Securities sold, not yet purchased		447		(83	)		—			97			—		—		238			(141	)		724		(14	)
Short-term borrowings			611		48			—			(377	)		—		354		—			(66	)		474		(1	)
Long-term debt			6,873		45			106			(271	)		—		215		—			(355	)		6,311		(50	)
Other financial liabilities measured on a recurring basis			16		—			(1	)		2			—		1		—			(13	)		7		(3	)

						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			Sept. 30, 2011
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell			$	4,911		$	80		$	—		$	(301	)	$	—	$	—	$	—		$	—		$	4,690		$	79
Trading securities
	Trading mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	831		$	(59	)	$	—		$	314		$	579	$	35	$	(529	)	$	(104	)	$	1,067		$	(113	)
		Prime		594			93			—			16			1,435		—		(1,468	)		(10	)		660			43
		Alt-A		385			11			—			28			1,607		—		(1,773	)		(19	)		239			1
		Subprime		1,125			(5	)		—			(133	)		501		—		(961	)		(38	)		489			98
		Non-U.S. residential		224			18			—			(48	)		328		—		(348	)		—			174			(26	)
		Commercial		418			81			—			397			400		—		(440	)		(24	)		832			1
	Total trading mortgage-backed securities		$	3,577		$	139		$	—		$	574		$	4,850	$	35	$	(5,519	)	$	(195	)	$	3,461		$	4
	U.S. Treasury and federal agencies securities
		U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
		Agency obligations		72			9			—			(45	)		5		—		(41	)		—			—			—
	Total U.S. Treasury and federal agencies securities		$	72		$	9		$	—		$	(45	)	$	5	$	—	$	(41	)	$	—		$	—		$	—
	State and municipal		$	208		$	56		$	—		$	110		$	1,048	$	—	$	(1,191	)	$	—		$	231		$	2
	Foreign government			566			11			—			131			1,314		—		(640	)		(387	)		995			(23	)
	Corporate			5,159			(55	)		—			1,763			3,109		—		(3,182	)		(2,115	)		4,679			(237	)
	Equity securities			776			(101	)		—			(250	)		161		—		(320	)		—			266			(85	)
	Asset-backed securities			7,465			386			—			207			4,274		—		(5,249	)		(1,383	)		5,700			(361	)
	Other debt securities			1,305			(134	)		—			450			1,021		—		(524	)		(4	)		2,114			1
Total trading securities			$	19,128		$	311		$	—		$	2,940		$	15,782	$	35	$	(16,666	)	$	(4,084	)	$	17,446		$	(699	)
Derivatives, net(4)
		Interest rate contracts	$	(730	)	$	(108	)	$	—		$	1,102		$	8		—	$	(15	)	$	278		$	535		$	258
		Foreign exchange contracts		164			142			—			(98	)		11		—		(2	)		(183	)		34			(226	)
		Equity contracts		(1,639	)		409			—			(191	)		180		—		(217	)		(459	)		(1,917	)		(811	)
		Commodity contracts		(1,023	)		378			—			(33	)		2		—		(68	)		15			(729	)		(247	)
		Credit derivatives		2,296			1,098			—			(1	)		—		—		—			(1,418	)		1,975			2,101
Total derivatives, net(4)			$	(932	)	$	1,919		$	—		$	779		$	201	$	—	$	(302	)	$	(1,767	)	$	(102	)	$	1,075
Investments
	Mortgage-backed securities
		U.S. government-sponsored agency guaranteed	$	22		$	—		$	(15	)	$	37		$	9	$	—	$	(7	)	$	—		$	46		$	(31	)
		Prime		166			—			(1	)		(109	)		7		—		(46	)		(1	)		16			—
		Alt-A		1			—			(1	)		—			—		—		—			—			—			—
		Subprime		—			—			—			—			—		—		—			—			—			—
		Commercial		527			—			(4	)		(510	)		42		—		(52	)		—			3			—
	Total investment mortgage-backed debt securities		$	716		$	—		$	(21	)	$	(582	)	$	58	$	—	$	(105	)	$	(1	)	$	65		$	(31	)
	U.S. Treasury and federal agencies securities		$	17		$	—		$	—		$	(15	)	$	—	$	—	$	(2	)	$	—		$	—		$	—
	State and municipal			504			—			(12	)		(59	)		38		—		(83	)		—			388			(22	)
	Foreign government			358			—			11			(36	)		233		—		(67	)		(146	)		353			2
	Corporate			1,018			—			(84	)		13			527		—		(54	)		(104	)		1,316			289
	Equity securities			2,055			—			(53	)		(34	)		—		—		(13	)		(449	)		1,506			(4	)
	Asset-backed securities			5,424			—			39			30			106		—		(447	)		(906	)		4,246			5
	Other debt securities			727			—			(3	)		67			35		—		(287	)		(266	)		273			(24	)
	Non-marketable equity securities			6,467			—			420			(862	)		4,152		—		(1,733	)		(1,209	)		7,235			111
Total investments			$	17,286		$	—		$	297		$	(1,478	)	$	5,149	$	—	$	(2,791	)	$	(3,081	)	$	15,382		$	326
Loans			$	3,213		$	—		$	(317	)	$	390		$	248	$	1,876	$	(18	)	$	(746	)	$	4,646		$	(282	)
Mortgage servicing rights				4,554			—			(1,426	)		—			—		230		—			(506	)		2,852			(1,426	)
Other financial assets measured on a recurring basis				2,509			—			48			(100	)		57		380		(172	)		(342	)		2,380			91

				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			Sept. 30, 2011
Liabilities
Interest-bearing deposits		$	277	$	—		$	13		$	(73	)	$	—	$	281	$	—		$	(13	)	$	459	$	(101	)
Federal funds purchased and securities loaned or sold under agreements to repurchase			1,261		(28	)		—			81			—		—		(165	)		(107	)		1,098		—
Trading account liabilities
	Securities sold, not yet purchased		187		10			—			296			—		—		385			(134	)		724		(24	)
Short-term borrowings			802		192			—			(255	)		—		522		—			(403	)		474		(6	)
Long-term debt			8,385		(54	)		272			(687	)		—		865		—			(2,034	)		6,311		69
Other financial liabilities measured on a recurring basis			19		—			(18	)		9			1		13		(1	)		(52	)		7		(9	)

							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				June 30, 2010			Principal transactions			Other(1)(2)									Sept. 30, 2010
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell				$	6,518		$	—		$	—		$	1,714		$	(52	)	$	8,180		$	—
Trading securities
	Trading mortgage-backed securities
			U.S. government sponsored	$	758			(62	)		—			160			(11	)	$	845			(75	)
			Prime		610			23			—			188			70			891			3
			Alt-A		451			15			—			41			(156	)		351			(6	)
			Subprime		1,885			146			—			24			(702	)		1,353			29
			Non-U.S. residential		234			29			—			904			(826	)		341			3
			Commercial		2,184			70			—			57			(764	)		1,547			216
	Total trading mortgage-backed securities			$	6,122		$	221		$	—		$	1,374		$	(2,389	)	$	5,328		$	170
	U.S. Treasury and federal agencies securities				—		$	2		$	—		$	47		$	16		$	65		$	(2	)
	State and municipal			$	57			13			—			236			(1	)	$	305			18
	Foreign government				386			6			—			5			27			424			(4	)
	Corporate				5,237			170			—			198			16			5,620			213
	Equity securities				533			14			—			362			(58	)		851			62
	Asset-backed securities				5,176			11			—			4,850			(1,783	)		8,255			42
	Other debt securities				1,047			(39	)		—			108			(23	)		1,093			4
Total trading securities				$	18,558		$	398		$	—		$	7,180		$	(4,195	)	$	21,941		$	503
Derivatives, net(4)
		Interest rate contracts		$	575		$	(91	)	$	—		$	(37	)	$	(214	)	$	233		$	(84	)
		Foreign exchange contracts			250			(162	)		—			62			(19	)		131			(222	)
		Equity contracts			(1,233	)		(196	)		—			277			(89	)		(1,241	)		(539	)
		Commodity and other contracts			(524	)		(158	)		—			(5	)		(112	)		(799	)		(62	)
		Credit derivatives			2,073			33			—			9			66			2,181			(349	)
Total derivatives, net(4)				$	1,141		$	(574	)	$	—		$	306		$	(368	)	$	505		$	(1,256	)
Investments
	Mortgage-backed securities
			U.S. government-sponsored agency guaranteed	$	1		$	—		$	—		$	—		$	—		$	1		$	—
			Prime		772			—			78			(539	)		(78	)		233			3
			Alt-A		205			—			35			(153	)		(65	)		22			—
			Subprime		14			—			(1	)		(13	)		—			—			—
			Non-U.S. Residential		814			—			—			(814	)		—			—			—
			Commercial		558			—			11			—			(18	)		551			—
	Total investment mortgage-backed debt securities			$	2,364		$	—		$	123		$	(1,519	)	$	(161	)	$	807		$	3
U.S. Treasury and federal agencies securities
	Agency obligations			$	19		$	—		$	—		$	—		$	(1	)	$	18		$	—
Total U.S. Treasury and federal agencies securities				$	19		$	—		$	—		$	—		$	(1	)	$	18		$	—
	State and municipal			$	457		$	—		$	—		$	(233	)	$	(224	)	$	—		$	—
	Foreign government				282			—			14			21			22			339			14
	Corporate				1,271			—			46			(294	)		(112	)		911			17
	Equity securities				2,238			—			(1	)		(12	)		(99	)		2,126			(23	)
	Asset-backed securities				12,303			—			(34	)		(4,918	)		(192	)		7,159			121
	Other debt securities				891			—			(41	)		42			33			925			(11	)
	Non-marketable equity securities			$	6,561		$	—		$	318		$	43		$	(632	)	$	6,290		$	323
Total investments				$	26,386		$	—		$	425		$	(6,870	)	$	(1,366	)	$	18,575		$	444
Loans				$	3,668		$	—		$	(38	)	$	378		$	(87	)	$	3,921		$	56
MSRs					4,894			—			(778	)		—			(140	)		3,976			(778	)
Other financial assets measured on a recurring basis					3,089			—			7			44			(442	)		2,698			211

				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		June 30, 2010		Principal transactions			Other(1)(2)									Sept. 30, 2010
Liabilities
Interest-bearing deposits		$	183	$	—		$	(10	)	$	(35	)	$	3		$	161	$	(29	)
Federal funds purchased and securities loaned or sold under agreements to repurchase			1,091	$	(40	)		—			3			276			1,410		(29	)
Trading account liabilities
	Securities sold, not yet purchased		621		(6	)		—			(34	)		190			783		(32	)
Short-term borrowings			445		(26	)		—			351			(5	)		817		(32	)
Long-term debt			10,741		(187	)		(67	)		338			(801	)		10,532		(199	)
Other financial liabilities measured on a recurring basis			7		—			(1	)		—			(8	)		—		—

							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)									Sept. 30, 2010
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell(4)				$	1,127		$	509		$	—		$	5,879		$	665		$	8,180		$	—
Trading securities
	Trading mortgage-backed securities
			U.S. government sponsored	$	972		$	(220	)		—			329			(236	)	$	845			(198	)
			Prime		384			56			—			338			113			891			4
			Alt-A		387			45			—			201			(282	)		351			11
			Subprime		8,998			182			—			(601	)		(7,226	)		1,353			82
			Non-U.S. residential		572			2			—			645			(878	)		341			—
			Commercial		2,451			59			—			(126	)		(837	)		1,547			309
	Total trading mortgage-backed securities			$	13,764		$	124		$	—		$	786		$	(9,346	)	$	5,328		$	208
	U.S. Treasury and federal agencies securities				—		$	2		$	—		$	47		$	16		$	65		$	(4	)
	State and municipal			$	222			24			—			292			(233	)		305			17
	Foreign government				459			17			—			(181	)		129			424			(19	)
	Corporate				7,801			104			—			(341	)		(1,943	)		5,620			74
	Equity securities				640			30			—			350			(169	)		851			84
	Asset-backed securities				3,825			(75	)		—			4,950			(446	)		8,255			(218	)
	Other debt securities				13,231			(16	)		—			(147	)		(11,975	)		1,093			8
Total trading securities				$	39,942		$	210		$	—		$	5,756		$	(23,967	)	$	21,941		$	150
Derivatives, net(5)
		Interest rate contracts		$	(374	)	$	574		$	—		$	300		$	(267	)	$	233		$	504
		Foreign exchange contracts			(38	)		182			—			(36	)		23			131			173
		Equity contracts			(1,110	)		(423	)		—			(5	)		297			(1,241	)		(774	)
		Commodity and other contracts			(529	)		(274	)		—			63			(59	)		(799	)		(107	)
		Credit derivatives			5,159			(1,242	)		—			(866	)		(870	)		2,181			(1,271	)
Total derivatives, net(5)				$	3,108		$	(1,183	)	$	—		$	(544	)	$	(876	)	$	505		$	(1,475	)
Investments
	Mortgage-backed securities
			U.S. government-sponsored agency guaranteed	$	2		$	—		$	(1	)	$	—		$	—		$	1		$	—
			Prime		736			—			(35	)		(469	)		1			233			3
			Alt-A		55			—			12			37			(82	)		22			—
			Subprime		1			—			(2	)		1			—			—			—
			Non-U.S. Residential		—			—			—			—			—			—			—
			Commercial		746			—		$	(438	)		2			241			551			—
	Total investment mortgage-backed debt securities			$	1,540		$	—		$	(464	)	$	(429	)	$	160		$	807		$	3
	U.S. Treasury and federal agencies securities Agency obligations			$	21		$	—		$	(21	)	$	—		$	18		$	18		$	(1	)
Total U.S. Treasury and federal agencies securities				$	21		$	—		$	(21	)	$	—		$	18		$	18		$	(1	)
	State and municipal			$	217		$	—		$	7		$	—		$	(224	)	$	—		$	—
	Foreign government				270			—			21			11			37			339			5
	Corporate				1,257			—			(33	)		(58	)		(255	)		911			6
	Equity securities				2,513			—			25			78			(490	)		2,126			(79	)
	Asset-backed securities				8,272			—			(70	)		(100	)		(943	)		7,159			(133	)
	Other debt securities				560			—			(14	)		6			373			925			29
	Non-marketable equity securities				6,753			—			333			(65	)		(731	)		6,290			277
Total investments				$	21,403		$	—		$	(216	)	$	(557	)	$	(2,055	)	$	18,575		$	107
Loans				$	213		$	—		$	(178	)	$	993		$	2,893		$	3,921		$	(168	)
MSRs					6,530			—			(1,976	)		—			(578	)		3,976			(1,976	)
Other financial assets measured on a recurring basis					1,101			—			(20	)		2,027			(410	)		2,698			(20	)
Liabilities
Interest-bearing deposits				$	28		$	—		$	(8	)	$	(41	)	$	166		$	161		$	(36	)
Federal funds purchased and securities loaned or sold under agreements to repurchase					929		$	(138	)		—			79			264			1,410			(5	)

				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)									Sept. 30, 2010
Trading account liabilities
	Securities sold, not yet purchased		774		46			—			(103	)		158			783		13
Short-term borrowings			231		(18	)		—			245			323			817		(16	)
Long-term debt			9,654		85			78			670			371			10,532		(121	)
Other financial liabilities measured on a recurring basis			13		—			(20	)		—			(33	)		—		—

(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 September 30, 2011 and 2010.

(4)

Reflects the reclassification of $1,127 million of structured reverse repos from Federal funds purchased and securities loaned or sold under agreements to repurchase to Federal funds sold and securities borrowed or purchased under agreements to resell. These structured reverse repos assets were incorrectly classified in 2008 and 2009, but were correctly classified on Citi's Consolidated Balance Sheet for all periods.

(5)

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 millions of dollars	Fair value		Level 2		Level 3
September 30, 2011
Loans held-for-sale	$	3,296	$	1,646	$	1,650
Other real estate owned		996		60		936
Loans(1)		5,752		4,751		1,001
Total assets at fair value on a nonrecurring basis	$	10,044	$	6,457	$	3,587

(1)

Represents 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, 2010(1)	$	3,083	$	859	$	2,224

(1)

Excludes loans held for investment whose carrying amount is based on the fair value of underlying collateral.

In millions of dollars	Three Months Ended Sept. 30, 2011			Nine Months Ended Sept. 30, 2011
Loans held-for-sale	$	(114	)	$	(215	)
Other real estate owned		(56	)		(74	)
Loans		(376	)		(855	)
Total nonrecurring fair value gains/losses	$	(546	)	$	(1,144	)

In millions of dollars	Three Months Ended Sept. 30, 2010			Nine Months Ended Sept. 30, 2010
Total nonrecurring fair value gains/losses(1)	$	(145	)	$	(238	)

(1)

Excludes loans held for investment whose carrying amount is based on the fair value of underlying collateral.