TRADING ACCOUNT ASSETS AND LIABILITIES

3 Months Ended

Mar. 31, 2012

TRADING ACCOUNT ASSETS AND LIABILITIES

TRADING ACCOUNT ASSETS AND LIABILITIES

10.    TRADING ACCOUNT ASSETS AND LIABILITIES

Trading account assets and Trading account liabilities, at fair value, consisted of the following at March 31, 2012 and December 31, 2011:

In millions of dollars	March 31, 2012		December 31, 2011
Trading account assets
Mortgage-backed securities(1)
U.S. government-sponsored agency guaranteed	$	28,716	$	27,535
Prime		1,181		877
Alt-A		616		609
Subprime		637		989
Non-U.S. residential		621		396
Commercial		1,839		2,333
Total mortgage-backed securities	$	33,610	$	32,739
U.S. Treasury and federal agency securities
U.S. Treasury	$	16,893	$	18,227
Agency obligations		2,649		1,172
Total U.S. Treasury and federal agency securities	$	19,542	$	19,399
State and municipal securities	$	5,970	$	5,364
Foreign government securities		80,514		79,551
Corporate		39,822		37,026
Derivatives(2)		56,743		62,327
Equity securities		45,961		33,230
Asset-backed securities(1)		7,293		7,071
Other debt securities		17,595		15,027
Total trading account assets	$	307,050	$	291,734
Trading account liabilities
Securities sold, not yet purchased	$	82,202	$	69,809
Derivatives(2)		53,754		56,273
Total trading account liabilities	$	135,956	$	126,082

(1)

The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company's maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 17 to the Consolidated Financial Statements.

(2)

Presented net, pursuant to enforceable master netting agreements. See Note 18 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives.