FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2012

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

In millions of dollars at March 31, 2012	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	$	—	$	216,275	$	4,497	$	220,772	$	(48,337	)	$	172,435
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	27,601	$	1,115	$	28,716	$	—		$	28,716
Prime		—		437		744		1,181		—			1,181
Alt-A		—		510		106		616		—			616
Subprime		—		262		375		637		—			637
Non-U.S. residential		—		499		122		621		—			621
Commercial		—		1,291		548		1,839		—			1,839
Total trading mortgage-backed securities	$	—	$	30,600	$	3,010	$	33,610	$	—		$	33,610
U.S. Treasury and federal agency securities
U.S. Treasury	$	14,479	$	2,414	$	—	$	16,893	$	—		$	16,893
Agency obligations		—		2,649		—		2,649		—			2,649
Total U.S. Treasury and federal agency securities	$	14,479	$	5,063	$	—	$	19,542	$	—		$	19,542
State and municipal	$	—	$	5,747	$	223	$	5,970	$	—		$	5,970
Foreign government		53,421		26,260		833		80,514		—			80,514
Corporate		—		36,059		3,763		39,822		—			39,822
Equity securities		42,714		3,056		191		45,961		—			45,961
Asset-backed securities		—		1,638		5,655		7,293		—			7,293
Other debt securities		—		15,008		2,587		17,595		—			17,595
Total trading securities	$	110,614	$	123,431	$	16,262	$	250,307	$	—		$	250,307
Trading account derivatives
Interest rate contracts		2		684,823		2,112		686,937
Foreign exchange contracts		1		73,182		772		73,955
Equity contracts		2,834		16,089		1,741		20,664
Commodity contracts		859		13,787		932		15,578
Credit derivatives		—		60,748		6,230		66,978
Total trading account derivatives	$	3,696	$	848,629	$	11,787	$	864,112
Gross cash collateral paid							$	52,714
Netting agreements and market value adjustments									$	(860,083	)
Total trading account derivatives	$	3,696	$	848,629	$	11,787	$	916,826	$	(860,083	)	$	56,743
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	56	$	44,114	$	932	$	45,102	$	—		$	45,102
Prime		—		115		2		117		—			117
Alt-A		—		1		—		1		—			1
Subprime		—		—		—		—		—			—
Non-U.S. residential		—		6,426		—		6,426		—			6,426
Commercial		—		482		6		488		—			488
Total investment mortgage-backed securities	$	56	$	51,138	$	940	$	52,134	$	—		$	52,134
U.S. Treasury and federal agency securities
U.S. Treasury	$	11,212	$	43,703	$	—	$	54,915	$	—		$	54,915
Agency obligations		—		34,259		—		34,259		—			34,259
Total U.S. Treasury and federal agency securities	$	11,212	$	77,962	$	—	$	89,174	$	—		$	89,174

In millions of dollars at March 31, 2012	Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance
State and municipal	$	—		$	13,462		$	682		$	14,144		$	—		$	14,144
Foreign government		34,910			53,992			375			89,277			—			89,277
Corporate		—			10,912			1,062			11,974			—			11,974
Equity securities		453			644			1,326			2,423			—			2,423
Asset-backed securities		—			7,773			3,073			10,846			—			10,846
Other debt securities		—			555			55			610			—			610
Non-marketable equity securities		—			555			8,287			8,842			—			8,842
Total investments	$	46,631		$	216,993		$	15,800		$	279,424		$	—		$	279,424
Loans(2)	$	—		$	466		$	4,278		$	4,744		$	—		$	4,744
Mortgage servicing rights		—			—			2,691			2,691			—			2,691
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	10,620		$	2,322		$	12,942
Gross cash collateral paid										$	144
Netting agreements and market value adjustments													$	(3,673	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	10,620		$	2,322		$	13,086		$	(3,673	)	$	9,413
Total assets	$	160,941		$	1,416,414		$	57,637		$	1,687,850		$	(912,093	)	$	775,757
Total as a percentage of gross assets(3)		9.9	%		86.6	%		3.5	%		100.0	%
Liabilities
Interest-bearing deposits		—			869			458			1,327			—			1,327
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			184,883			1,025			185,908			(48,337	)		137,571
Trading account liabilities
Securities sold, not yet purchased		71,850			10,175			177			82,202						82,202
Trading account derivatives
Interest rate contracts		5			667,925			1,421			669,351
Foreign exchange contracts		2			78,126			716			78,844
Equity contracts		3,131			29,698			2,818			35,647
Commodity contracts		889			14,349			1,791			17,029
Credit derivatives		—			57,485			6,002			63,487
Total trading account derivatives	$	4,027		$	847,583		$	12,748		$	864,358
Gross cash collateral received											44,972
Netting agreements and market value adjustments													$	(855,576	)
Total trading account derivatives	$	4,027		$	847,583		$	12,748		$	909,330		$	(855,576	)	$	53,754
Short-term borrowings		—			794			423			1,217			—			1,217
Long-term debt		—			20,181			6,519			26,700			—			26,700
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,561		$	2		$	2,563
Gross cash collateral received										$	4,249
Netting agreements and market value adjustments													$	(3,673	)
Nontrading derivatives and other financial liabilities measured on a recurring basis		—			2,561			2			6,812			(3,673	)		3,139
Total liabilities	$	75,877		$	1,067,046		$	21,352		$	1,213,496		$	(907,586	)	$	305,910
Total as a percentage of gross liabilities(3)		6.5	%		91.7	%		1.8	%		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 measured at fair value on a recurring basis, excluding collateral paid/received on derivatives.

In millions of dollars at December 31, 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	$	—	$	188,034	$	4,701	$	192,735	$	(49,873	)	$	142,862
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	26,674	$	861	$	27,535	$	—		$	27,535
Prime		—		118		759		877		—			877
Alt-A		—		444		165		609		—			609
Subprime		—		524		465		989		—			989
Non-U.S. residential		—		276		120		396		—			396
Commercial		—		1,715		618		2,333		—			2,333
Total trading mortgage-backed securities	$	—	$	29,751	$	2,988	$	32,739	$	—		$	32,739
U.S. Treasury and federal agency securities
U.S. Treasury	$	15,612	$	2,615	$	—	$	18,227	$	—		$	18,227
Agency obligations		—		1,169		3		1,172		—			1,172
Total U.S. Treasury and federal agency securities	$	15,612	$	3,784	$	3	$	19,399	$	—		$	19,399
State and municipal	$	—	$	5,112	$	252	$	5,364	$	—		$	5,364
Foreign government		52,429		26,601		521		79,551		—			79,551
Corporate		—		33,786		3,240		37,026		—			37,026
Equity securities		29,707		3,279		244		33,230		—			33,230
Asset-backed securities		—		1,270		5,801		7,071		—			7,071
Other debt securities		—		12,818		2,209		15,027		—			15,027
Total trading securities	$	97,748	$	116,401	$	15,258	$	229,407	$	—		$	229,407
Trading account derivatives
Interest rate contracts	$	67	$	755,473	$	1,947	$	757,487
Foreign exchange contracts		—		93,536		781		94,317
Equity contracts		2,240		16,376		1,619		20,235
Commodity contracts		958		11,940		865		13,763
Credit derivatives		—		81,123		9,301		90,424
Total trading account derivatives	$	3,265	$	958,448	$	14,513	$	976,226
Gross cash collateral paid								57,815
Netting agreements and market value adjustments									$	(971,714	)
Total trading account derivatives	$	3,265	$	958,448	$	14,513	$	1,034,041	$	(971,714	)	$	62,327
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	59	$	45,043	$	679	$	45,781	$	—		$	45,781
Prime		—		105		8		113		—			113
Alt-A		—		1		—		1		—			1
Subprime		—		—		—		—		—			—
Non-U.S. residential		—		4,658		—		4,658		—			4,658
Commercial		—		472		—		472		—			472
Total investment mortgage-backed securities	$	59	$	50,279	$	687	$	51,025	$	—		$	51,025
U.S. Treasury and federal agency securities
U.S. Treasury	$	11,642	$	38,587	$	—	$	50,229	$	—		$	50,229
Agency obligations		—		34,834		75		34,909		—			34,909
Total U.S. Treasury and federal agency securities	$	11,642	$	73,421	$	75	$	85,138	$	—		$	85,138

In millions of dollars at December 31, 2011	Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance
State and municipal	$	—		$	13,732		$	667		$	14,399		$	—		$	14,399
Foreign government		33,544			50,523			447			84,514			—			84,514
Corporate		—			9,268			989			10,257			—			10,257
Equity securities		6,634			98			1,453			8,185			—			8,185
Asset-backed securities		—			6,962			4,041			11,003			—			11,003
Other debt securities		—			563			120			683			—			683
Non-marketable equity securities		—			518			8,318			8,836			—			8,836
Total investments	$	51,879		$	205,364		$	16,797		$	274,040		$	—		$	274,040
Loans(2)	$	—		$	583		$	4,682		$	5,265		$	—		$	5,265
Mortgage servicing rights		—			—			2,569			2,569			—			2,569
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	14,270		$	2,245		$	16,515
Gross cash collateral paid											307
Netting agreements and market value adjustments													$	(3,462	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	14,270		$	2,245		$	16,822		$	(3,462	)	$	13,360
Total assets	$	152,892		$	1,483,100		$	60,765		$	1,754,879		$	(1,025,049	)	$	729,830
Total as a percentage of gross assets(3)		9.0	%		87.4	%		3.6	%		100.0	%
Liabilities
Interest-bearing deposits	$	—		$	895		$	431		$	1,326		$	—		$	1,326
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			161,582			1,061			162,643			(49,873	)		112,770
Trading account liabilities
Securities sold, not yet purchased		58,456			10,941			412			69,809						69,809
Trading account derivatives
Interest rate contracts		37			738,833			1,221			740,091
Foreign exchange contracts		—			96,549			814			97,363
Equity contracts		2,822			26,961			3,356			33,139
Commodity contracts		873			11,959			1,799			14,631
Credit derivatives		—			77,153			7,573			84,726
Total trading account derivatives	$	3,732		$	951,455		$	14,763		$	969,950
Gross cash collateral received											52,811
Netting agreements and market value adjustments													$	(966,488	)
Total trading account derivatives	$	3,732		$	951,455		$	14,763		$	1,022,761		$	(966,488	)	$	56,273
Short-term borrowings		—			855			499			1,354			—			1,354
Long-term debt		—			17,268			6,904			24,172			—			24,172
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	3,559		$	3		$	3,562
Gross cash collateral received										$	3,642
Netting agreements and market value adjustments													$	(3,462	)
Nontrading derivatives and other financial liabilities measured on a recurring basis	$	—		$	3,559		$	3		$	7,204		$	(3,462	)	$	3,742
Total liabilities	$	62,188		$	1,146,555		$	24,073		$	1,289,269		$	(1,019,823	)	$	269,446
Total as a percentage of gross liabilities(3)		5.0	%		93.0	%		2.0	%		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 measured at fair value on a recurring basis, excluding collateral paid/received on derivatives.

Changes in level 3 fair value category

				Net realized/unrealized gains (losses) included in
																												Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011			Principal transactions			Other(1)(2)		Transfers into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31. 2012
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	4,701		$	33		$	—	$	25		$	(262	)	$	—	$	—	$	—		$	—		$	4,497		$	32
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	861		$	50		$	—	$	379		$	(127	)	$	183	$	31	$	(225	)	$	(37	)	$	1,115		$	22
Prime		759			46			—		5			(103	)		354		—		(316	)		(1	)		744			11
Alt-A		165			18			—		3			(42	)		69		—		(107	)		—			106			(3	)
Subprime		465			(50	)		—		20			(20	)		201		—		(240	)		(1	)		375			1
Non-U.S. residential		120			5			—		2			(15	)		68		—		(58	)		—			122			3
Commercial		618			(67	)		—		36			(108	)		211		—		(142	)		—			548			2
Total trading mortgage-backed securities	$	2,988		$	2		$	—	$	445		$	(415	)	$	1,086	$	31	$	(1,088	)	$	(39	)	$	3,010		$	36
U.S. Treasury and federal agency securities
U.S. Treasury	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		3			—			—		—			—			—		—		(3	)		—			—			—
Total U.S. Treasury and federal agency securities	$	3		$	—		$	—	$	—		$	—		$	—	$	—	$	(3	)	$	—		$	—		$	—
State and municipal	$	252		$	(3	)	$	—	$	—		$	—		$	22	$	—	$	(48	)	$	—		$	223		$	(4	)
Foreign government		521			3			—		2			(263	)		710		—		(140	)		—			833			4
Corporate		3,240			119			—		327			(125	)		1,496		—		(595	)		(699	)		3,763			121
Equity securities		244			4			—		18			(9	)		78		—		(120	)		(24	)		191			(3	)
Asset-backed securities		5,801			335			—		17			(36	)		2,651		—		(3,054	)		(59	)		5,655			66
Other debt securities		2,209			(40	)		—		154			(65	)		904		—		(520	)		(55	)		2,587			(22	)
Total trading securities	$	15,258		$	420		$	—	$	963		$	(913	)	$	6,947	$	31	$	(5,568	)	$	(876	)	$	16,262		$	198
Derivatives, net(4)
Interest rate contracts		726			(217	)		—		342			(17	)		199		—		(129	)		(213	)		691			(456	)
Foreign exchange contracts		(33	)		97			—		(5	)		(8	)		129		—		(107	)		(17	)		56			29
Equity contracts		(1,737	)		474			—		3			436			134		—		(175	)		(212	)		(1,077	)		(135	)
Commodity contracts		(934	)		74			—		(5	)		9			45		—		(68	)		20			(859	)		2
Credit derivatives		1,728			(1,235	)		—		(204	)		(53	)		111		—		(10	)		(109	)		228			(1,030	)
Total derivatives, net(4)	$	(250	)	$	(807	)	$	—	$	131		$	367		$	618	$	—	$	(489	)	$	(531	)	$	(961	)	$	(1,590	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	679		$	—		$	9	$	—		$	(641	)	$	885	$	—	$	—		$	—		$	932		$	4
Prime		8			—			—		—			(6	)		—		—		—			—			2			—
Alt-A		—			—			—		—			—			—		—		—			—			—			—
Subprime		—			—			—		—			—			—		—		—			—			—			—
Commercial		—			—			—		—			—			6		—		—			—			6			—
Total investment mortgage-backed debt securities	$	687		$	—		$	9	$	—		$	(647	)	$	891	$	—	$	—		$	—		$	940		$	4

			Net realized/unrealized gains (losses) included in
																											Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011		Principal transactions			Other(1)(2)			Transfers into Level 3		Transfers out of Level 3			Purchases			Issuances		Sales			Settlements			Mar. 31. 2012
U.S. Treasury and federal agency securities	$	75	$	—		$	—		$	—	$	(75	)	$	—		$	—	$	—		$	—		$	—	$	—
State and municipal		667		—			(1	)		—		—			32			—		(16	)		—			682		(7	)
Foreign government		447		—			3			—		(17	)		89			—		(80	)		(67	)		375		1
Corporate		989		—			(4	)		—		—			87			—		(7	)		(3	)		1,062		1
Equity securities		1,453		—			45			—		—			—			—		(172	)		—			1,326		16
Asset-backed securities		4,041		—			3			—		(43	)		—			—		(7	)		(921	)		3,073		—
Other debt securities		120		—			—			—		—			—			—		(64	)		(1	)		55		—
Non-marketable equity securities		8,318		—			196			—		—			138			—		(8	)		(357	)		8,287		231
Total investments	$	16,797	$	—		$	251		$	—	$	(782	)	$	1,237		$	—	$	(354	)	$	(1,349	)	$	15,800	$	246
Loans	$	4,682	$	—		$	(37	)	$	—	$	(25	)	$	86		$	—	$	(8	)	$	(420	)	$	4,278	$	300
Mortgage servicing rights	$	2,569	$	—		$	187		$	—	$	—		$	2		$	142	$	(5	)	$	(204	)	$	2,691	$	184
Other financial assets measured on a recurring basis	$	2,245	$	—		$	7		$	8	$	(1	)	$	1		$	276	$	(38	)	$	(176	)	$	2,322	$	14
Liabilities
Interest-bearing deposits	$	431	$	—		$	(5	)	$	83	$	—		$	—		$	8	$	—		$	(69	)	$	458	$	(58	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,061		27			—			—		—			—			—		—			(9	)		1,025		—
Trading account liabilities
Securities sold, not yet purchased		412		(72	)		—			4		(7	)		—			—		71			(375	)		177		(75	)
Short-term borrowings		499		(56	)		—			—		(9	)		—			126		—			(249	)		423		(2	)
Long-term debt		6,904		(78	)		29			159		(416	)		—			287		—			(464	)		6,519		(203	)
Other financial liabilities measured on a recurring basis		3		—			(1	)		—		—			(1	)		—		—			(1	)		2		(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	Dec. 31, 2010			Principal transactions			Other(1)(2)						Purchases		Issuances		Sales		Settlements			March 31, 2011
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	4,911		$	(152	)	$	—		$	(1,493	)	$	—	$	—	$	—	$	—		$	3,266		$	(102	)
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed		831			53			—			236			94		—		190		—			1,024			43
Prime		594			98			—			24			1,153		—		267		—			1,602			13
Alt-A		385			12			—			71			1,551		—		73		—			1,946			(1	)
Subprime		1,125			36			—			13			309		—		367		—			1,116			10
Non-U.S. residential		224			32			—			85			122		—		173		—			290			1
Commercial		418			64			—			(5	)		240		—		132		—			585			48
Total trading mortgage-backed securities	$	3,577		$	295		$	—		$	424		$	3,469	$	—	$	1,202	$	—		$	6,563		$	114
U.S. Treasury and federal agencies securities
U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—	$	—		$	—		$	—
Agency obligations		72			1			—			(14	)		3		—		31		—			31			—
Total U.S. Treasury and federal agencies securities	$	72		$	1		$	—		$	(14	)	$	3	$	—	$	31	$	—		$	31		$	—
State and municipal	$	208		$	62		$	—			(5	)	$	893	$	—	$	43		—		$	1,115		$	31
Foreign government		566			1			—			(4	)		518		—		174		—			907			1
Corporate		6,006			169			—			(484	)		1,849		—		1,454		—			6,086			(47	)
Equity securities		776			56			—			(511	)		105		—		121		—			305			30
Asset-backed securities		6,618			218			—			(59	)		1,299		—		2,351		—			5,725			(61	)
Other debt securities		1,305			(2	)		—			31			264		—		183		—			1,415			26
Total trading securities	$	19,128		$	800		$	—		$	(622	)	$	8,400	$	—	$	5,559	$	—		$	22,147		$	94
Derivatives, net(4)
Interest rate contracts	$	(730	)	$	(243	)	$	—		$	724		$	—	$	—	$	—	$	(253	)	$	4		$	(486	)
Foreign exchange contracts		164			141			—			(42	)		—		—		—		24			239			(3	)
Equity contracts		(1,639	)		24			—			(743	)		—		—		—		210			(2,568	)		(253	)
Commodity contracts		(1,023	)		(59	)		—			(88	)		—		—		—		126			(1,296	)		(143	)
Credit derivatives		1,845			(538	)		—			(178	)		—		—		—		1,436			(307	)		(334	)
Total derivatives, net(4)	$	(1,383	)	$	(675	)		—		$	(327	)	$	—	$	—	$	—	$	1,543		$	(3,928	)	$	(1,219	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	22		$	—		$	(9	)	$	344		$	5	$	—	$	—	$	—		$	362		$	(15	)
Prime		166			—			2			—			—		—		18		—			150			—
Alt-A		1			—			—			1			—		—		—		—			2			—
Subprime		—			—			—			—			—		—		—		—			—			—
Commercial		527			—			3			—			15		—		18		—			527			—
Total investment mortgage-backed debt securities	$	716		$	—		$	(4	)	$	345		$	20	$	—	$	36	$	—		$	1,041		$	(15	)
U.S. Treasury and federal agencies securities	$	17		$	—		$	—		$	—		$	—	$	—	$	1	$	—		$	16		$	—
State and municipal		504			—			(24	)		(93	)		21		—		27		—			381			(30	)
Foreign government		358			—			7			64			50		—		53		—			426			5
Corporate		1,018			—			15			37			27		—		12		—			1,085			(4	)
Equity securities		2,055			—			(29	)		(29	)		—		—		168		—			1,829			62
Asset-backed securities		5,424			—			46			43			36		—		547		—			5,002			26

			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			March 31, 2011
Other debt securities		727		—			(33	)		67			33		—		122		—			672		(33	)
Non-marketable equity securities		6,467		—			449			(320	)		3,190		—		844		—			8,942		551
Total investments	$	17,286		—		$	427		$	114		$	3,377			$	1,810				$	19,394	$	562
Loans	$	3,213	$	—		$	(87	)	$	(19	)	$	—	$	341	$	—	$	296		$	3,152	$	(112	)
Mortgage servicing rights		4,554		—			208			—			—		—		—		72			4,690		208
Other financial assets measured on a recurring basis		2,509		—			(16	)		(19	)		—		201		—		190			2,485		8
Liabilities
Interest-bearing deposits	$	277	$	—		$	(34	)	$	60		$	—	$	215	$	—	$	(1	)	$	585		91
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,261		18			—			90			—		—		165		—			1,168		(15	)
Trading account liabilities
Securities sold, not yet purchased		187		63			—			(82	)		—		—		—		67			109		63
Short-term borrowings		802		178			—			(41	)		—		25		—		(217	)		391		52
Long-term debt		8,494		(71	)		96			25			—		463		—		(165	)		8,792		(301	)
Other financial liabilities measured on a recurring basis		19		—			(4	)		7			—		4		—		(25	)		9		5

(1)

Changes in fair value for available-for-sale investments (debt securities) are recorded in Accumulated other comprehensive income (loss), while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.

(2)

Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.

(3)

Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value 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 December 31, 2011 and 2010.

(4)

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

Significant valuation techniques and most significant unobservable inputs used in Level 3 fair value measurements

The following table presents the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements as of March 31, 2012.

	Fair Value (in millions)		Methodology	Input	Low(1)(2)			High(1)(2)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,497	Cash flow	Interest Rate		1.52	%		2.15	%
Trading and investment securities
Mortgage-backed securities		3,950	Cash flow	Yield		0.01	%		35.95	%
			Price-based	Prepayment Period		0.78yrs			10.59yrs
				Price	$	—		$	125.43
State and municipal	$	905	Cash Flow	Yield		0.01	%		6.00	%
			Price-based	Underlying Price(s)	$	100.00		$	100.00
Foreign government		1,208	Price-based	Price	$	0.001		$	115.00
			Internal Model	Yield		1.00	%		16.00	%
			Cash flow	Interest Rate		0.07	%		9.10	%
Corporate		4,825	Cash flow	Credit Spread		22bps			110bps
			Price-based	Yield		1.50	%		16.00	%
			Internal Model	Equity Volatility		14.41	%		55.49	%
				Interest Rate		0.35	%		16.38	%
				Price	$	—		$	126.97
Equity securities		1,517	Internal Model	Equity Volatility		8.10	%		241.80	%
			Price—based	Price	$	—		$	115.00
			Cash flow	Recovery Rate		10.00	%		100.00	%
				Yield		5.00	%		15.00	%
				Weighted Average Life (WAL)		3yrs			3yrs
Asset—backed securities		8,729	Cash flow	Credit Correlation		20.00	%		60.00	%
			Internal Model	Yield		0.55	%		30.67	%
			Price—based	Price	$	0.00		$	127.86
				Recovery Rate		—	%		100.00	%
				WAL		1.44yrs			21.42yrs
Other debt securities	$	2,642	Cash flow	Credit Spread		22bps			703bps
			Internal Model	Yield		1.75	%		14.40	%
			Price—based	Price	$	—		$	110.27
				Recovery Rate		40.00	%		40.00	%
				WAL		1.44yrs			21.42yrs
Non—marketable equity		8,268	Cash flow	Adjustment factor		—			0.5
			Comparables Analysis	Yield		9.09	%		12.00	%
			Price—based	EBITDA Multiples		0.70			13.55
				Price	$	—		$	3.70
Total trading and investment securities	$	32,062
Derivatives—Gross(3)
Interest rate contracts (gross)	$	3,533	Cash flow	Yield		1.50	%		15.00	%
			Internal Model	Interest Rate		0.23	%		3.25	%
				Interest Rate Volatility		8.70	%		85.00	%
				Interest Rate—Foreign Exchange Rate (IR—FX) Correlation		(50.00	)%		60.00	%
				Interest Rate—Interest Rate (IR—IR) Correlation		(13.28	)%		100.00	%
Foreign exchange contracts (gross)		1,489	Internal Model	FX Volatility		0.06	%		29.00	%
				FX—Credit Correlation		65.00	%		100.00	%
				IR Volatility		8.70	%		71.63	%
				IR—FX Correlation		40.00	%		60.00	%
				Recovery Rate		20.00	%		40.00	%
Equity contracts (gross)(4)		4,559	Cash flow	Yield		1.50	%		15.00	%
			Internal Model	Credit Spread		150bps			500bps
			Price—based	Equity Forward		23.60	%		248.00	%
				Equity Volatility		3.36	%		241.80	%
				Equity—Equity Correlation		26.20	%		98.00	%
				Equity—IR Correlation		(43.00	)%		57.00	%

	Fair Value (in millions)		Methodology	Input	Low(1)(2)			High(1)(2)
				FX Volatility		14.84	%		16.04	%
				Price	$	0.01		$	115.00
				Yield Volatility		4.45	%		13.00	%
Commodity contracts (gross)	$	2,723	Internal Model	Commodity Correlation		(72.00	)%		96.00	%
				Commodity Volatility		8.00	%		141.00	%
				Forward Price		74.00	%		328.00	%
Credit derivatives (gross)		12,232	Cash flow	Credit Spread(5)		1bps			33,555bps
			Internal Model	Credit Correlation		5.00	%		95.00	%
			Price—based	FX—Credit Correlation		65.00	%		100.00	%
				Recovery Rate		9.00	%		75.00	%
				Price	$	0.00		$	100.00
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)		2,325	Internal Model	Redemption Rate		6.70	%		99.60	%
			Price—based	Price	$	100.00		$	100.00
Total derivatives—Gross	$	26,861
Loans and leases	$	4,279	Cash flow	Credit Spread		46bps			668bps
			Internal Model	Yield		0.90	%		3.50	%
			Price—based	Price	$	0.01		$	113.38
				Recovery Rate		36.00	%		70.00	%
Mortgage servicing rights		2,691	Cash flow	Yield		0.00	%		44.83	%
				Prepayment Period		0.78yrs			10.59yrs
Liabilities
Interest—bearing deposits	$	458	Internal Model	IR Volatility		13.00	%		20.00	%
				IR—FX Correlation		(38.90	)%		55.39	%
				IR—IR Correlation		20.00	%		90.00	%
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,025	Cash flow	Interest Rate		0.93	%		2.83	%
Trading account liabilities
Securities sold, not yet purchased		177	Cash flow	Yield		—	%		30.67	%
			Price—based	Price	$	—			105.01
				WAL		1.44yrs			21.42yrs
Short—term borrowings and long—term debt		6,941	Internal Model	Credit Spread(5)		70bps			10,399bps
			Price—based	Equity Forward		23.60	%		248.00	%
				Equity Volatility		8.10	%		241.80	%
				Equity—Equity Correlation		26.20	%		98.00	%
				Equity—FX Correlation		(83.00	)%		60.00	%
				Interest Rate		0.25	%		2.00	%
				IR Volatility		8.70	%		71.63	%
				Price	$	0.01		$	128.53

(1)

Some inputs are shown as zero due to rounding.

(2)

When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to one large position only.

(3)

Includes both trading and nontrading account derivatives—assets and liabilities—on a gross basis.

(4)

Includes hybrid products.

(5)

Large credit spreads related to credit default swaps on distressed underlying assets that have deteriorated credit quality.

Items measured at fair value of a nonrecurring basis

In millions of dollars	Fair value		Level 2		Level 3
March 31, 2012
Loans held-for-sale	$	2,177	$	816	$	1,361
Other real estate owned		307		66		241
Loans(1)		4,094		3,551		543
Total assets at fair value on a nonrecurring basis	$	6,578	$	4,433	$	2,145

(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, 2011
Loans held-for-sale	$	2,644	$	1,668	$	976
Other real estate owned		271		88		183
Loans(1)		3,911		3,185		726
Total assets at fair value on a nonrecurring basis	$	6,826	$	4,941	$	1,885

(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	March 31, 2012
Loans held-for-sale	$	(50	)
Other real estate owned		(14	)
Loans(1)		(769	)
Total nonrecurring fair value gains (losses)	$	(833	)

(1)

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

In millions of dollars	March 31, 2011
Total nonrecurring fair value gains (losses)(1)	$	(111	)

(1)

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

Estimated Fair Value of Financial Instruments

	March 31, 2012
					Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	17.9	$	17.4	$	—	$	15.5	$	1.9
Federal funds sold and securities borrowed or purchased under agreements to resell		116.6		116.6		—		109.0		7.6
Loans(1)(2)		611.7		599.4		—		4.7		594.7
Other financial assets(2)(3)		282.2		282.0		9.9		240.8		31.3
Liabilities
Deposits	$	904.7	$	903.9	$	—	$	837.2	$	66.7
Federal funds purchased and securities loaned or sold under agreements to repurchase		88.4		88.4		—		87.0		1.4
Long-term debt		284.4		284.4		—		236.2		48.2
Other financial liabilities(4)		143.3		143.3		—		92.1		51.2

	December 31, 2011
In billions of dollars	Carrying value		Estimated fair value
Assets
Investments	$	19.4	$	18.4
Federal funds sold and securities borrowed or purchased under agreements to resell		133.0		133.0
Loans(1)(2)		609.3		598.7
Other financial assets(2)(3)		245.7		245.4
Liabilities
Deposits	$	864.6	$	864.5
Federal funds purchased and securities loaned or sold under agreements to repurchase		85.6		85.6
Long-term debt		299.3		289.7
Other financial liabilities(4)		141.1		141.1

(1)

The carrying value of loans is net of the Allowance for loan losses of $29.0 billion for March 31, 2012 and $30.1 billion for December 31, 2011. In addition, the carrying values exclude $2.6 billion and $2.5 billion of lease finance receivables at March 31, 2012 and December 31, 2011, respectively.

(2)

Includes items measured at fair value on a nonrecurring basis.

(3)

Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

(4)

Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.