ASC 820-10 (formerly SFAS 157) defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative positions and includes the impact of Citigroup's own credit risk on derivatives and other liabilities measured at fair value.

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

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

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

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

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

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

The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the relevance of observed prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate the valuation, the "price" inputs are considered unobservable and the fair value measurements are classified as Level 3.

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

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

Liquidity adjustments are applied to items in Level 2 and Level 3 of the fair value hierarchy to ensure that the fair value reflects the liquidity or illiquidity of the market. The liquidity reserve may utilize the bid-offer spread for an instrument as one of the factors.

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

Bilateral or "own" credit-risk adjustments are applied to reflect the Company's own credit risk when valuing derivatives and liabilities measured at fair value. Counterparty and own credit adjustments consider the expected future cash flows between Citi and its counterparties under the terms of the instrument and the effect of credit risk on the valuation of those cash flows, rather than a point-in-time assessment of the current recognized net asset or liability. Furthermore, the credit-risk adjustments take into account the effect of credit-

risk mitigants, such as pledged collateral and any legal right of offset (to the extent such offset exists) with a counterparty through arrangements such as netting agreements.

Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company's position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account.

Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards, which is jointly owned by Finance and Risk Management. Finance has implemented the ICG Securities and Banking Pricing and Price Verification Standards and Procedures to facilitate compliance with this policy.

For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports into the Global Head of Product Control. It has the final authority over the independent valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models.

Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, additional price verification procedures are applied. These procedures may include reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually, and benchmarking, among others.

Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the individual business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or the full Board of Directors. Whenever a valuation adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results.

In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models' theoretical soundness, calibration techniques where needed, and the appropriateness of the model for a specific product in a defined market. Valuation adjustments, if any, go through a similar independent review process as the valuation models. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business.

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

No quoted prices exist for such instruments so fair value is determined using a discounted cash-flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. Expected cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are held at fair value, they are classified within Level 2 of the fair value hierarchy as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.

Trading account assets and liabilities—trading securities and trading loans

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

For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte Carlo simulation. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being

valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero.

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

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

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

The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchange rates, volatilities and correlation. The Company uses overnight indexed swap (OIS) curves as fair value measurement inputs for the valuation of certain collateralized interest-rate related derivatives. The instrument is classified in either Level 2 or Level 3 depending upon the observability of the significant inputs to the model.

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

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

The investments category includes available-for-sale debt and marketable equity securities, whose fair value is generally determined by utilizing similar procedures described for trading securities above or, in some cases, using consensus pricing as the primary source.

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

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

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

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

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

are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.

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

The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and discounted cash flows. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators.

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

The following tables present for each of the fair value hierarchy levels the Company's assets and liabilities that are measured at fair value on a recurring basis at September 30, 2012 and December 31, 2011. The Company's hedging of positions that have been classified in the Level 3 category is not limited to other financial instruments that have been classified as Level 3, but also instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following table.

Fair Value Levels

*In millions of dollars at September 30, 2012*	Level 1(1)		Level 2(1)		Level 3		Gross inventory		Netting(2)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	205,398	$	4,677	$	210,075	$	(43,569	)	$	166,506
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	31,418	$	684	$	32,102	$	—		$	32,102
Prime		—		304		943		1,247		—			1,247
Alt-A		—		493		309		802		—			802
Subprime		—		187		566		753		—			753
Non-U.S. residential		—		401		53		454		—			454
Commercial		—		1,276		524		1,800		—			1,800

Total trading mortgage-backed securities	$	—	$	34,079	$	3,079	$	37,158	$	—		$	37,158

U.S. Treasury and federal agency securities
U.S. Treasury	$	14,592	$	2,755	$	—	$	17,347	$	—		$	17,347
Agency obligations		—		3,030		—		3,030		—			3,030

Total U.S. Treasury and federal agency securities	$	14,592	$	5,785	$	—	$	20,377	$	—		$	20,377

State and municipal	$	—	$	5,226	$	248	$	5,474	$	—		$	5,474
Foreign government		59,790		29,394		198		89,382		—			89,382
Corporate		—		32,556		2,351		34,907		—			34,907
Equity securities		47,491		2,835		243		50,569		—			50,569
Asset-backed securities		—		1,051		5,122		6,173		—			6,173
Other debt securities		—		11,594		2,414		14,008		—			14,008

Total trading securities	$	121,873	$	122,520	$	13,655	$	258,048	$	—		$	258,048

Trading account derivatives
Interest rate contracts		—		906,612		2,107		908,719
Foreign exchange contracts		12		71,082		731		71,825
Equity contracts		3,100		15,290		1,556		19,946
Commodity contracts		646		9,893		890		11,429
Credit derivatives		—		54,630		4,055		58,685

Total trading account derivatives	$	3,758	$	1,057,507	$	9,339	$	1,070,604
Gross cash collateral paid							$	61,151
Netting agreements and market value adjustments									$	(1,074,602	)

Total trading account derivatives	$	3,758	$	1,057,507	$	9,339	$	1,131,755	$	(1,074,602	)	$	57,153

Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	50	$	42,963	$	1,204	$	44,217	$	—		$	44,217
Prime		—		124		2		126		—			126
Alt-A		—		113		36		149		—			149
Subprime		—		—		—		—		—			—
Non-U.S. residential		—		5,727		1,551		7,278		—			7,278
Commercial		—		474		—		474		—			474

Total investment mortgage-backed securities	$	50	$	49,401	$	2,793	$	52,244	$	—		$	52,244

U.S. Treasury and federal agency securities
U.S. Treasury	$	13,454	$	43,893	$	75	$	57,422	$	—		$	57,422
Agency obligations		—		26,974		12		26,986		—			26,986

Total U.S. Treasury and federal agency securities	$	13,454	$	70,867	$	87	$	84,408	$	—		$	84,408

Fair Value Levels

*In millions of dollars at September 30, 2012*	Level 1(1)			Level 2(1)			Level 3			Gross inventory			Netting(2)			Net balance
State and municipal	$	—		$	17,512		$	591		$	18,103		$	—		$	18,103
Foreign government		36,823			53,860			381			91,064			—			91,064
Corporate		—			9,430			337			9,767			—			9,767
Equity securities		2,399			153			1,058			3,610			—			3,610
Asset-backed securities		—			8,659			3,352			12,011			—			12,011
Other debt securities		—			—			54			54			—			54
Non-marketable equity securities		—			444			4,784			5,228			—			5,228

Total investments	$	52,726		$	210,326		$	13,437		$	276,489		$	—		$	276,489

Loans(3)	$	—		$	295		$	5,064		$	5,359		$	—		$	5,359
Mortgage servicing rights		—			—			1,920			1,920			—			1,920

Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,775		$	2,665		$	12,440
Gross cash collateral paid										$	389
Netting agreements and market value adjustments													$	(4,403	)

Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	9,775		$	2,665		$	12,829		$	(4,403	)	$	8,426

Total assets	$	178,357		$	1,605,821		$	50,757		$	1,896,475		$	(1,122,574	)	$	773,901
Total as a percentage of gross assets(4)		9.7	%		87.5	%		2.8	%		100.0	%

Liabilities
Interest-bearing deposits	$	—		$	1,103		$	761		$	1,864		$	—		$	1,864
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			166,187			841			167,028			(43,569	)		123,459
Trading account liabilities
Securities sold, not yet purchased		64,654			9,492			125			74,271						74,271
Trading account derivatives
Interest rate contracts		—			892,809			2,229			895,038
Foreign exchange contracts		8			78,315			1,321			79,644
Equity contracts		3,581			27,922			3,185			34,688
Commodity contracts		731			10,113			1,804			12,648
Credit derivatives		—			51,894			4,516			56,410

Total trading account derivatives	$	4,320		$	1,061,053		$	13,055		$	1,078,428
Gross cash collateral received											47,584
Netting agreements and market value adjustments													$	(1,070,293	)

Total trading account derivatives	$	4,320		$	1,061,053		$	13,055		$	1,126,012		$	(1,070,293	)	$	55,719
Short-term borrowings		—			662			99			761			—			761
Long-term debt		—			20,870			6,466			27,336			—			27,336

Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,797		$	3		$	2,800
Gross cash collateral received										$	5,010
Netting agreements and market value adjustments													$	(4,403	)

Nontrading derivatives and other financial liabilities measured on a recurring basis		—			2,797			3			7,810			(4,403	)		3,407

Total liabilities	$	68,974		$	1,262,164		$	21,350		$	1,405,082		$	(1,118,265	)	$	286,817
Total as a percentage of gross liabilities(4)		5.1	%		93.3	%		1.6	%		100.0	%

*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		—		12,284		2,743		15,027		—			15,027

Total trading securities	$	97,748	$	115,867	$	15,792	$	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		$	1,482,566		$	61,299		$	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		—			146,524			1,061			147,585			(49,873	)		97,712
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		—			96,020			1,343			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		$	950,926		$	15,292		$	969,950
Gross cash collateral received											52,811
Netting agreements and market value adjustments													$	(966,488	)

Total trading account derivatives	$	3,732		$	950,926		$	15,292		$	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		$	1,130,968		$	24,602		$	1,274,211		$	(1,019,823	)	$	254,388
Total as a percentage of gross liabilities(3)		5.1	%		92.9	%		2.0	%		100.0	%

The following tables present the changes in the Level 3 fair value category for the three and nine months ended September 30, 2012 and 2011. The Company classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

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

				Net realized/unrealized gains (losses) included in

				Net realized/unrealized gains (losses) included in																								Unrealized gains (losses) still held(3)
*In millions of dollars*	Jun. 30, 2012			Principal transactions			Other(1)(2)		Transfers into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30. 2012			Unrealized gains (losses) still held(3)
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	4,414		$	5		$	—	$	258		$	—		$	—	$	—	$	—		$	—		$	4,677		$	—
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	895		$	(12	)	$	—	$	135		$	(199	)	$	97	$	17	$	(217	)	$	(32	)	$	684		$	(21	)
Prime		1,069			53			—		83			(38	)		36		—		(259	)		(1	)		943			2
Alt-A		273			21			—		42			(2	)		15		—		(39	)		(1	)		309			7
Subprime		487			34			—		111			(19	)		29		—		(74	)		(2	)		566			7
Non-U.S. residential		116			8			—		7			(19	)		4		—		(63	)		—			53			2
Commercial		416			(1	)		—		163			(29	)		38		—		(63	)		—			524			1

Total trading mortgage-backed securities	$	3,256		$	103		$	—	$	541		$	(306	)	$	219	$	17	$	(715	)	$	(36	)	$	3,079		$	(2	)

U.S. Treasury and federal agency securities
U.S. Treasury	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		13			—			—		—			—			—		—		(13	)		—			—			—

Total U.S. Treasury and federal agency securities	$	13		$	—		$	—	$	—		$	—		$	—	$	—	$	(13	)	$	—		$	—		$	—

State and municipal	$	223		$	13		$	—	$	4		$	—		$	20	$	—	$	(12	)	$	—		$	248		$	5
Foreign government		333			1			—		14			(124	)		39		—		(65	)		—			198			3
Corporate		2,189			—			—		43			(58	)		392		—		(215	)		—			2,351			1
Equity securities		217			13			—		30			(4	)		52		—		(21	)		(44	)		243			(7	)
Asset-backed securities		4,835			212			—		24			(43	)		2,030		—		(1,933	)		(3	)		5,122			162
Other debt securities		2,266			(7	)		—		324			(143	)		781		—		(749	)		(58	)		2,414			2

Total trading securities	$	13,332		$	335		$	—	$	980		$	(678	)	$	3,533	$	17	$	(3,723	)	$	(141	)	$	13,655		$	164

Trading derivatives, net(4)
Interest rate contracts		619			(188	)		—		172			(275	)		23		—		(19	)		(454	)		(122	)		194
Foreign exchange contracts		(517	)		50			—		(70	)		(17	)		2		—		(6	)		(32	)		(590	)		(85	)
Equity contracts		(1,587	)		—			—		(84	)		20			101		—		(163	)		84			(1,629	)		(328	)
Commodity contracts		(902	)		(12	)		—		(15	)		—			25		—		(2	)		(8	)		(914	)		216
Credit derivatives		298			(775	)		—		45			(70	)		2		—		—			39			(461	)		(80	)

Total trading derivatives, net(4)	$	(2,089	)	$	(925	)	$	—	$	48		$	(342	)	$	153	$	—	$	(190	)	$	(371	)	$	(3,716	)	$	(83	)

Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,399		$	—		$	10	$	472		$	(1,257	)	$	580	$	—	$	—		$	—		$	1,204		$	55
Prime		2			—			—		—			—			—		—		—			—			2			—
Alt-A		3			—			—		—			—			37		—		(4	)		—			36			—

			Net realized/unrealized gains (losses) included in

			Net realized/unrealized gains (losses) included in																							Unrealized gains (losses) still held(3)
*In millions of dollars*	Jun. 30, 2012		Principal transactions			Other(1)(2)			Transfers into Level 3		Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30. 2012		Unrealized gains (losses) still held(3)
Subprime		6		—			1			—		—			—		—		(7	)		—			—		—
Non-U.S. residential		300		—			2			—		—			1,249		—		—			—			1,551		—
Commercial		5		—			—			—		(5	)		—		—		—			—			—		—

Total investment mortgage-backed debt securities	$	1,715	$	—		$	13		$	472	$	(1,262	)	$	1,866	$	—	$	(11	)	$	—		$	2,793	$	55

U.S. Treasury and federal agency securities	$	—	$	—		$	—		$	75	$	—		$	12	$	—	$	—		$	—		$	87	$	—
State and municipal		480		—			(4	)		—		—			118		—		(3	)		—			591		6
Foreign government		329		—			(3	)		68		(80	)		127		—		(26	)		(34	)		381		1
Corporate		421		—			(6	)		23		(2	)		7		—		(66	)		(40	)		337		(4	)
Equity securities		1,180		—			52			—		—			—		—		(54	)		(120	)		1,058		28
Asset-backed securities		2,771		—			(170	)		402		(11	)		755		—		(27	)		(368	)		3,352		(170	)
Other debt securities		55		—			(53	)		—		—			52		—		—			—			54		—
Non-marketable equity securities		6,278		—			232			—		—			76		—		(1,734	)		(68	)		4,784		34

Total investments	$	13,229	$	—		$	61		$	1,040	$	(1,355	)	$	3,013	$	—	$	(1,921	)	$	(630	)	$	13,437	$	(50	)

Loans	$	4,737	$	—		$	79		$	87	$	—		$	142	$	415	$	(144	)	$	(252	)	$	5,064	$	15
Mortgage servicing rights	$	2,117	$	—		$	(169	)	$	—	$	—		$	—	$	101	$	—		$	(129	)	$	1,920	$	(169	)
Other financial assets measured on a recurring basis	$	2,375	$	—		$	207		$	13	$	—		$	1	$	635	$	(4	)	$	(562	)	$	2,665	$	207

Liabilities
Interest-bearing deposits	$	698	$	—		$	(85	)	$	—	$	(36	)	$	—	$	71	$	—		$	(57	)	$	761	$	—
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,045		(24	)		—			—		(14	)		—		—		(215	)		1			841		4
Trading account liabilities
Securities sold, not yet purchased		148		16			—			13		(12	)		—		—		24			(32	)		125		9
Short-term borrowings		367		(20	)		—			43		—			—		66		—			(397	)		99		(10	)
Long-term debt		5,952		(135	)		8			363		(216	)		—		648		—			(408	)		6,466		(245	)
Other financial liabilities measured on a recurring basis		2		—			(3	)		—		—			—		1		(1	)		(2	)		3		(3	)

				Net realized/unrealized gains (losses) included in

				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			Sept. 30. 2012			Unrealized gains (losses) still held(3)
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	4,701		$	70		$	—		$	283		$	(377	)	$	—	$	—	$	—		$	—		$	4,677		$	—
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	861		$	21		$	—		$	673		$	(544	)	$	352	$	62	$	(631	)	$	(110	)	$	684		$	(27	)
Prime		759			119			—			442			(165	)		570		—		(780	)		(2	)		943			6
Alt-A		165			47			—			49			(62	)		278		—		(167	)		(1	)		309			4
Subprime		465			6			—			166			(94	)		448		—		(421	)		(4	)		566			2
Non-U.S. residential		120			24			—			46			(57	)		105		—		(185	)		—			53			1
Commercial		618			(71	)		—			254			(217	)		353		—		(413	)		—			524			12

Total trading mortgage-backed securities	$	2,988		$	146		$	—		$	1,630		$	(1,139	)	$	2,106	$	62	$	(2,597	)	$	(117	)	$	3,079		$	(2	)

U.S. Treasury and federal agency securities
U.S. Treasury	$	—		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		3			—			—			—			—			13		—		(16	)		—			—			—

Total U.S. Treasury and federal agency securities	$	3		$	—		$	—		$	—		$	—		$	13	$	—	$	(16	)	$	—		$	—		$	—

State and municipal	$	252		$	30		$	—		$	4		$	(7	)	$	48	$	—	$	(79	)	$	—		$	248		$	3
Foreign government		521			5			—			26			(864	)		881		—		(371	)		—			198			2
Corporate		3,240			9			—			391			(449	)		2,148		—		(1,614	)		(1,374	)		2,351			(40	)
Equity securities		244			(58	)		—			49			(17	)		256		—		(163	)		(68	)		243			(27	)
Asset-backed securities		5,801			434			—			189			(104	)		5,690		—		(6,226	)		(662	)		5,122			126
Other debt securities		2,743			15			—			964			(1,566	)		2,143		—		(1,630	)		(255	)		2,414			—

Total trading securities	$	15,792		$	581		$	—		$	3,253		$	(4,146	)	$	13,285	$	62	$	(12,696	)	$	(2,476	)	$	13,655		$	62

Trading derivatives, net(4)
Interest rate contracts		726			(46	)		—			295			(394	)		239		—		(158	)		(784	)		(122	)		(169	)
Foreign exchange contracts		(562	)		130			—			(152	)		29			190		—		(203	)		(22	)		(590	)		(14	)
Equity contracts		(1,737	)		199			—			(120	)		387			304		—		(498	)		(164	)		(1,629	)		(581	)
Commodity contracts		(934	)		(51	)		—			(20	)		45			98		—		(80	)		28			(914	)		(55	)
Credit derivatives		1,728			(2,227	)		—			(85	)		(129	)		116		—		(10	)		146			(461	)		(926	)

Total trading derivatives, net(4)	$	(779	)	$	(1,995	)	$	—		$	(82	)	$	(62	)	$	947	$	—	$	(949	)	$	(796	)	$	(3,716	)	$	(1,745	)

Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	679		$	—		$	6		$	472		$	(2,778	)	$	2,825	$	—	$	—		$	—		$	1,204		$	55
Prime		8			—			—			—			(6	)		—		—		—			—			2			—
Alt-A		—			—			—			—			—			40		—		(4	)		—			36			—
Subprime		—			—			1			—			—			6		—		(7	)		—			—			—
Non-U.S. residential		—			—			2			—			—			1,549		—		—			—			1,551			—
Commercial		—			—			—			—			(11	)		11		—		—			—			—			—

Total investment mortgage-backed debt securities	$	687		$	—		$	9		$	472		$	(2,795	)	$	4,431	$	—	$	(11	)	$	—		$	2,793		$	55

U.S. Treasury and federal agency securities	$	75		$	—		$	—		$	75		$	(75	)	$	12	$	—	$	—		$	—		$	87		$	—
State and municipal		667			—			9			—			(151	)		276		—		(210	)		—			591			(3	)
Foreign government		447			—			13			148			(236	)		328		—		(216	)		(103	)		381			3
Corporate		989			—			(11	)		68			(698	)		136		—		(102	)		(45	)		337			5
Equity securities		1,453			—			101			—			—			—		—		(228	)		(268	)		1,058			16
Asset-backed securities		4,041			—			(160	)		402			(54	)		767		—		(77	)		(1,567	)		3,352			1
Other debt securities		120			—			(53	)		—			—			52		—		(64	)		(1	)		54			—

			Net realized/unrealized gains (losses) included in

			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			Sept. 30. 2012		Unrealized gains (losses) still held(3)
Non-marketable equity securities		8,318		—			411			—		—			343			—		(3,204	)		(1,084	)		4,784		139

Total investments	$	16,797	$	—		$	319		$	1,165	$	(4,009	)	$	6,345		$	—	$	(4,112	)	$	(3,068	)	$	13,437	$	216

Loans	$	4,682	$	—		$	17		$	1,004	$	(25	)	$	249		$	930	$	(239	)	$	(1,554	)	$	5,064	$	65
Mortgage servicing rights	$	2,569	$	—		$	(462	)	$	—	$	—		$	2		$	322	$	(5	)	$	(506	)	$	1,920	$	(464	)
Other financial assets measured on a recurring basis	$	2,245	$	—		$	305		$	21	$	(31	)	$	3		$	1,264	$	(46	)	$	(1,096	)	$	2,665	$	235

Liabilities
Interest-bearing deposits	$	431	$	—		$	(105	)	$	213	$	(36	)	$	—		$	251	$	—		$	(203	)	$	761	$	(142	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,061		(89	)		—			—		(14	)		—			—		(211	)		(84	)		841		36
Trading account liabilities
Securities sold, not yet purchased		412		(44	)		—			18		(43	)		—			—		164			(470	)		125		(40	)
Short-term borrowings		499		(76	)		—			46		(11	)		—			261		—			(772	)		99		(26	)
Long-term debt		6,904		6			89			712		(1,122	)		—			1,823		—			(1,756	)		6,466		(534	)
Other financial liabilities measured on a recurring basis		3		—			(5	)		—		—			(2	)		2		(1	)		(4	)		3		(2	)

				Net realized/unrealized gains (losses) included in

																										Unrealized gains (losses) still held(3)
										Transfers in and/or out of Level 3
*In millions of dollars*	Jun. 30, 2011			Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			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		4,680			(120	)		—			244			507		—		(888	)		(318	)		4,105			(86	)
Equity securities		648			(172	)		—			(81	)		33		—		(162	)		—			266			(77	)
Asset-backed securities		6,609			(240	)		—			287			660		—		(1,040	)		(2	)		6,274			(235	)
Other debt securities		2,322			(128	)		—			727			795		—		(699	)		(4	)		3,013			3

Total trading securities	$	18,877		$	(803	)	$	—		$	1,447		$	3,051	$	35	$	(3,856	)	$	(406	)	$	18,345		$	(610	)

Trading derivatives, net(4)
Interest rate contracts		201			7			—			393			4		—		(4	)		(66	)		535			115
Foreign exchange contracts		(539	)		(72	)		—			62			11		—		(2	)		35			(505	)		(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 trading derivatives, net(4)	$	(3,032	)	$	2,053		$	—		$	662		$	139	$	—	$	(71	)	$	(392	)	$	(641	)	$	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	)		—			—		—		—			—			—			—
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		993			—			(107	)		(11	)		56		—		(37	)		(88	)		806			(83	)
Equity securities		1,621			—			4			(5	)		—		—		(4	)		(110	)		1,506			(14	)

			Net realized/unrealized gains (losses) included in

																								Unrealized gains (losses) still held(3)
									Transfers in and/or out of Level 3
*In millions of dollars*	Jun. 30, 2011		Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2011
Asset-backed securities		4,475		—			(2	)		(23	)		19		—		—			(223	)		4,246		—
Other debt securities		653		—			8			—			—		—		(285	)		(103	)		273		(24	)
Non-marketable equity securities		8,181		—			(143	)		(24	)		804		—		(616	)		(457	)		7,745		(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		7,287		59			106			(276	)		—		228		—			(355	)		6,719		(50	)
Other financial liabilities measured on a recurring basis		16		—			(1	)		2			—		1		—			(13	)		7		(3	)

				Net realized/unrealized gains (losses) included in

				Net realized/unrealized gains (losses) included in						Transfers in and/or out of Level 3																Unrealized gains (losses) still held(3)
*In millions of dollars*	Dec. 31, 2010			Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2011			Unrealized gains (losses) still held(3)
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		5,004			20			—			1,469			2,985		—		(3,258	)		(2,115	)		4,105			(237	)
Equity securities		776			(101	)		—			(250	)		161		—		(320	)		—			266			(85	)
Asset-backed securities		7,620			311			—			501			4,398		—		(5,173	)		(1,383	)		6,274			(361	)
Other debt securities		1,833			(147	)		—			591			2,115		—		(1,375	)		(4	)		3,013			1

Total trading securities	$	19,656		$	298		$	—		$	3,081		$	16,876	$	35	$	(17,517	)	$	(4,084	)	$	18,345		$	(699	)

Trading derivatives, net(4)
Interest rate contracts		(730	)		(108	)		—			1,102			8		—		(15	)		278			535			258
Foreign exchange contracts		(336	)		8			—			(76	)		11		—		(2	)		(110	)		(505	)		(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 trading derivatives, net(4)	$	(1,432	)	$	1,785		$	—		$	801		$	201	$	—	$	(302	)	$	(1,694	)	$	(641	)	$	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		525			—			(101	)		13			527		—		(54	)		(104	)		806			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		6,960			—			437			(862	)		4,152		—		(1,733	)		(1,209	)		7,745			111

			Net realized/unrealized gains (losses) included in

			Net realized/unrealized gains (losses) included in						Transfers in and/or out of Level 3															Unrealized gains (losses) still held(3)
*In millions of dollars*	Dec. 31, 2010		Principal transactions			Other(1)(2)			Transfers in and/or out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2011		Unrealized gains (losses) still held(3)
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

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		8,494		(18	)		272			(648	)		—		1,161		—			(2,034	)		6,719		69
Other financial liabilities measured on a recurring basis		19		—			(18	)		9			1		13		(1	)		(52	)		7		(9	)

The following were the significant Level 3 transfers for the period June 30, 2012 to September 30, 2012:

In addition, the period from June 30, 2012 to September 30, 2012 included sales of non-marketable equity securities classified as Investments of $1.5 billion relating to the sale of EMI Music.

The following were the significant Level 3 transfers for the period December 31, 2011 to September 30, 2012:

In addition, the period from December 31, 2011 to September 30, 2012 included sales of non-marketable equity securities classified as Investments of $2.8 billion relating to the sale of EMI Music and EMI Music Publishing.

The following were the significant Level 3 transfers for the period June 30, 2011 to September 30, 2011:

The following were the significant Level 3 transfers for the period December 31, 2010 to September 30, 2011:

In addition to the Level 3 transfers, the Level 3 roll-forward table above for the period December 31, 2010 to September 30, 2011 included:

The Company's Level 3 inventory consists of both cash securities and derivatives of varying complexities. The valuation methodologies applied to measure the fair value of these positions include discounted cash flow analyses, internal models and comparative analysis. A position is classified within Level 3 of the fair value hierarchy when at least one input is unobservable and is considered significant to its valuation. The specific reason for why an input is deemed unobservable varies. For example, at least one significant input to the pricing model is not observable in the market, at least one significant input has been adjusted to make it more representative of the position being valued, or the price quote available does not reflect sufficient trading activities.

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 September 30, 2012. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

	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	$	4,677	Cash flow	Interest Rate		0.97	%		1.39	%
Trading and investment securities
Mortgage-backed securities	$	5,872	Price-based	Price	$	0.00		$	122.69
			Cash flow	Yield		0.00	%		27.88	%
State and municipal, foreign government, corporate, and other debt securities	$	6,661	Price-based	Price	$	0.00		$	159.63
			Yield Analysis	Yield		0.00	%		30.00	%
			Internal model	Credit Spread		0 bps			723 bps
			Comparables Analysis	Recovery Rate		0.00	%		100.00	%
			Cash flow
Equity securities	$	1,301	Cash flow	Yield		9.00	%		10.00	%
			Price-based	Price	$	0.00		$	650.00
Asset-backed securities	$	8,474	Price-based	Price	$	0.00		$	128.64
			Cash flow	Yield		0.00	%		29.72	%
				Weighted Average Life (WAL)		2.1 years			24.8 years
Non-marketable equity	$	4,784	Price-based	Discount to price	$	0.00		$	36.00
			Comparables Analysis	Fund NAV	$	0.00		$	310,794,142
			Cash flow	EBITDA Multiples		4.00			14.50
				Price-to-book ratio		0.9			1.56
				Cost of capital		8.50	%		25.00	%

Derivatives—Gross(3)
Interest rate contracts (gross)	$	4,482	Internal Model	Interest Rate (IR) Volatility		0.10	%		100.00	%
			Cash flow	Yield		0.05	%		3.00	%
				Credit Spread		0 bps			750 bps
				Interest Rate		0.00	%		13.00	%
				Mean Reversion		20.00	%		20.00	%
Foreign exchange contracts (gross)	$	2,052	Internal Model	IR Volatility		0.10	%		0.63	%
				Foreign Exchange (FX) Volatility		2.00	%		51.02	%
				IR-FX Correlation		40.00	%		60.00	%
				FX-Credit Correlation		65.00	%		100.00	%
				Recovery Rate		20.00	%		40.00	%
Equity contracts (gross)(4)	$	4,747	Internal Model	Equity Volatility		3.86	%		113.83	%
			Cash flow	Equity Forward		77.00	%		111.10	%
				Equity-Equity Correlation		10.00	%		99.90	%
				Equity-IR Correlation		23.50	%		49.00	%
				Price	$	0.00		$	36,109.13
Commodity contracts (gross)	$	2,694	Internal Model	Forward Price		37.45	%		112.13	%
				Commodity Correlation		(77.00	)%		95.00	%
				Commodity Volatility		5.00	%		136.00	%
Credit derivatives (gross)	$	8,618	Internal Model	Price	$	0.00		$	124.78
			Price-based	Recovery Rate		9.00	%		78.00	%
				Credit Correlation		5.00	%		95.00	%
				Credit Spread		0 bps			2,980 bps
				Upfront Points		3.50			100.00
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(3)	$	2,668	Comparables Analysis	Price	$	100.00		$	100.00
			Internal Model	Redemption Rate		30.62	%		99.50	%

Loans	$	4,917	Price-based	Price	$	0.44		$	103.05
			Yield Analysis	Credit Spread		0 bps			723 bps
			Internal Model	Future Evolution of NAV	$	0.00		$	100.00
Mortgage servicing rights	$	1,920	Cash flow	Yield		0.00	%		38.10
				Prepayment Period		2.2 yrs			7.5 yrs

	Fair Value *(in millions)*		Methodology	Input	Low(1)(2)			High(1)(2)

Liabilities
Interest-bearing deposits	$	761	Internal Model	Equity Volatility		11.32	%		72.70	%
				Forward Price		37.45	%		112.13	%
				Equity Forward		98.60	%		111.10	%
				Equity-IR Correlation		23.50	%		49.00	%
				Equity-Equity Correlation		63.00	%		98.00	%
Federal funds purchased and securities loaned or sold under agreements to repurchase		841	Internal Model	Interest Rate		0.23	%		5.18	%
Trading account liabilities
Securities sold, not yet purchased		125	Price-based	Price	$	0.00		$	500.00
			Cash flow	WAL		2.1 years			24.8 years
				Yield		0.00	%		21.54	%
Short-term borrowings and long-term debt	$	6,669	Internal Model	Equity Volatility		12.50	%		44.70	%
			Price-based	Equity Forward		77.00	%		110.10	%
			Yield Analysis	IR Volatility		0.10	%		0.63	%
				Price	$	0.44		$	103.05
				Equity-Equity Correlation		10.00	%		99.90	%

Sensitivity to Unobservable Inputs and Interrelationships between Unobservable Inputs

The impact of key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the impact on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging, and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.

The following section describes the sensitivities and interrelationships of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation is a measure of the co-movement between two variables. A variety of correlation-related assumptions are required for a wide range of instruments including equity and credit baskets, foreign-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be estimated using historical information. Estimating correlation can be especially difficult where it may vary over time. Extracting correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example, swaption markets). Changes in correlation levels can have a major impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche because highly correlated instruments produce larger losses in the event of default and a part of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure.

Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Typically, instruments can become more expensive if volatility increases. For example, as an index becomes more volatile, the cost to Citi of maintaining a given level of exposure increases because more frequent rebalancing of the portfolio is required. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable. The general relationship between changes in the value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an at the money option would experience a larger percentage change in its fair value than a deep in the money option. In addition, the fair value of an option with more than one underlying security (for example, an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.

Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.

Sometimes, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. In other situations, the estimated yield may not represent sufficient market liquidity and must be adjusted as well. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.

Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayment—in speed or magnitude—generally creates losses for the holder of these securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayment and high delinquencies amplify each input's negative impact on mortgage securities' valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.

Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (such as asset-backed securities), there is no directly observable market input for recovery, but indications of recovery levels are available from pricing services. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. The recovery rate impacts the valuation of credit securities. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and as a result, decreases the fair value of the security.

Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency, and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high yield bond as compared to an investment grade bond. Generally, the credit spread for an investment grade bond is also more observable and less volatile than its high yield counterpart.

A number of financial instruments require an estimate of the rate at which the interest rate reverts to its long term average. Changes in this estimate can significantly affect the fair value of these instruments. However, sometimes there is insufficient external market data to calibrate this parameter, especially when pricing more complex instruments. The level of mean reversion affects the correlation between short- and long-term interest rates. The fair values of more complex instruments, such as Bermudan swaptions (options with multiple exercise dates) and constant maturity spread options, are more sensitive to the changes in this correlation as compared to less complex instruments, such as caps and floors.

The following section describes the ranges of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. The level of aggregation and the diversity of instruments held by the Company lead to a wide range of unobservable inputs that may not be evenly distributed across the Level 3 inventory.

There are many different types of correlation inputs, for example, credit correlation, cross-asset correlation (such as equity-interest rate correlation), and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Generally, same-asset correlation inputs have a narrower range than cross-asset correlation inputs. However, due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Similar to correlation, asset-specific volatility inputs vary widely by asset type. For example, ranges for foreign exchange volatility are generally lower and narrower than equity volatility. Equity volatilities are wider due to the nature of the equities market and the terms of certain exotic instruments. For most instruments, the interest rate volatility input is on the lower end of the range; however, for certain structured or exotic instruments (such as market-linked deposits or exotic interest rate derivatives) the range is much wider.

Ranges for the yield inputs vary significantly depending upon the type of security. For example, securities that typically have lower yields, such as municipal bonds, will fall on the lower end of the range, while more illiquid securities or securities with lower credit quality, such as certain residual tranche asset-backed securities, will have much higher yield inputs.

Credit spread is relevant primarily for fixed income and credit instruments; however, the ranges for the credit spread input can vary across instruments. For example, certain fixed income instruments, such as certificates of deposit, typically

have lower credit spreads, whereas certain derivative instruments with high-risk counterparties are typically subject to higher credit spreads when they are uncollateralized or have a longer tenor. Other instruments, such as credit default swaps, also have credit spreads that vary with the attributes of the underlying obligor. Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads.

The price input is relevant for both fixed income and equity instruments. Generally, for fixed income instruments, the price input ranges from zero to 100. Relatively illiquid assets that have experienced significant losses since issuance, such as certain asset-backed securities, are at the lower end of the range, whereas most investment grade corporate bonds will fall in the middle to the higher end of the range. For certain structured debt securities with embedded derivatives, the price input may be above 100 to reflect the unique terms of the instrument. For equity securities, the range of price inputs varies depending on the nature of the position, the number of shares outstanding and other factors.

Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market (LOCOM).

The following table presents the carrying amounts of all assets that were still held as of September 30, 2012 and December 31, 2011, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended:

The fair value of loans-held-for-sale is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.

Where the fair value of the related collateral is based on an unadjusted appraised value, the loan is generally classified as Level 2. Where significant adjustments are made to the appraised value, the loan is classified as Level 3. Additionally, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

The following table presents the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements as of September 30, 2012:

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2012 and 2011:

The table below presents the carrying value and fair value of Citigroup's financial instruments which are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.

The disclosure also excludes leases, affiliate investments, pension and benefit obligations and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup's financial position and the value of its net assets.

The fair value represents management's best estimates based on a range of methodologies and assumptions. The carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality, and market perceptions of value and as existing assets and liabilities run off and new transactions are entered into.

The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans, and premium values at origination of certain loans. The carrying values (reduced by the Allowance for loan losses) exceeded the estimated fair values of Citigroup's loans, in aggregate, by $10.4 billion and by $10.6 billion at September 30, 2012 and December 31, 2011, respectively. At September 30, 2012, the carrying values, net of allowances, exceeded the estimated fair values by $8.7 billion and $1.7 billion for Consumer loans and Corporate loans, respectively.

The estimated fair values of the Company's corporate unfunded lending commitments at September 30, 2012 and December 31, 2011 were liabilities of $6.2 billion and $4.7 billion, respectively, which are substantially fair valued at Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.