FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2012

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

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	%

(1)

For both the three months and nine months ended September 30, 2012, the Company transferred assets of $0.3 billion and $1.3 billion, respectively, from Level 1 to Level 2, primarily related to foreign government bonds which were traded with less frequency. During the three months and nine months ended September 30, 2012, the Company transferred assets of $0.5 billion, $1.0 billion, respectively, from Level 2 to Level 1 related primarily to foreign government bonds, which were traded with sufficient frequency to constitute a liquid market. During the three months and nine months ended September 30, 2012, the Company transferred liabilities of $5 million and $24 million, respectively, from Level 1 to Level 2, and $99 million and $134 million, respectively, from Level 2 to Level 1.

(2)

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.

(3)

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

(4)

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

Fair Value Levels

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

Fair Value Levels

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	%

(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	Jun. 30, 2012			Principal transactions			Other(1)(2)		Transfers into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30. 2012
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
																										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
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	)

Level 3 Fair Value Rollforward

				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
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			—

Level 3 Fair Value Rollforward

			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
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)						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)						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
										Transfers in and/or out of Level 3																Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2010			Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			Sept. 30, 2011
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	4,911		$	80		$	—		$	(301	)	$	—	$	—	$	—		$	—		$	4,690		$	79
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	831		$	(59	)	$	—		$	314		$	579	$	35	$	(529	)	$	(104	)	$	1,067		$	(113	)
Prime		594			93			—			16			1,435		—		(1,468	)		(10	)		660			43
Alt-A		385			11			—			28			1,607		—		(1,773	)		(19	)		239			1
Subprime		1,125			(5	)		—			(133	)		501		—		(961	)		(38	)		489			98
Non-U.S. residential		224			18			—			(48	)		328		—		(348	)		—			174			(26	)
Commercial		418			81			—			397			400		—		(440	)		(24	)		832			1
Total trading mortgage-backed securities	$	3,577		$	139		$	—		$	574		$	4,850	$	35	$	(5,519	)	$	(195	)	$	3,461		$	4
U.S. Treasury and federal agencies securities
U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		72			9			—			(45	)		5		—		(41	)		—			—			—
Total U.S. Treasury and federal agencies securities	$	72		$	9		$	—		$	(45	)	$	5	$	—	$	(41	)	$	—		$	—		$	—
State and municipal	$	208		$	56		$	—		$	110		$	1,048	$	—	$	(1,191	)	$	—		$	231		$	2
Foreign government		566			11			—			131			1,314		—		(640	)		(387	)		995			(23	)
Corporate		5,004			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
									Transfers in and/or out of Level 3															Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2010		Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			Sept. 30, 2011
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	)

(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 September 30, 2012 and 2011.

(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

	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	%

(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)

Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(4)

Includes hybrid products.

Items measured at fair value of a nonrecurring basis

In millions of dollars	Fair value		Level 2		Level 3
September 30, 2012
Loans held-for-sale	$	1,853	$	637	$	1,216
Other real estate owned		207		44		163
Loans(1)		5,296		4,830		466
Other assets(2)		4,725		4,725		—
Total assets at fair value on a nonrecurring basis	$	12,081	$	10,236	$	1,845

(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.

(2)

Represents Citi's remaining 35% investment in the Morgan Stanley Smith Barney joint venture whose carrying amount is the agreed purchase price. See Note 11 to the Consolidated Financial Statements.

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.

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

In millions of dollars	Fair Value		Methodology	Input	Low			High
Loans held-for-sale	$	1,216	Price-based	Price	$	38.96		$	100.00
			Cash flow	Yield		15.00	%		15.00	%
Other real estate owned		154	Price-based	Discount to price	$	11.00		$	40.00
				Price(1)	$	0.00		$	18,604,507
Loans(2)		466	Price-based	Discount to price	$	25.00		$	34.00
			Recovery Analysis	Recovery Rate		0.00	%		100.00	%

(1)

Prices for other real estate owned are based on appraised values.

(2)

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

Changes in total nonrecurring fair value measurements

In millions of dollars	Three Months Ended Sept. 30, 2012			Nine Months Ended Sept. 30, 2012
Loans held-for-sale	$	(12	)	$	(11	)
Other real estate owned		(7	)		(22	)
Loans(1)		(957	)		(1,461	)
Other assets(2)		(3,340	)		(3,340	)
Total nonrecurring fair value gains (losses)	$	(4,316	)	$	(4,834	)

(1)

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

(2)

Third quarter of 2012 includes the recognition of a $3,340 million impairment charge related to the carrying value of Citi's remaining 35% interest in the Morgan Stanley Smith Barney joint venture. See Note 11 to the Consolidated Financial Statements.

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

(1)

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

Estimated Fair Value of Financial Instruments

	September 30, 2012				Estimated fair value
In billions of dollars	Carrying value		Estimated fair value		Level 1		Level 2		Level 3
Assets
Investments	$	19.0	$	19.3	$	2.9	$	14.8	$	1.6
Federal funds sold and securities borrowed or purchased under agreements to resell		111.0		111.0		—		103.3		7.7
Loans(1)(2)		624.4		614.0		—		5.0		609.0
Other financial assets(2)(3)		266.5		266.5		9.5		195.0		62.0
Liabilities
Deposits	$	942.8	$	941.3	$	—	$	767.7	$	173.6
Federal funds purchased and securities loaned or sold under agreements to repurchase		100.9		100.9		—		100.8		0.1
Long-term debt		244.5		247.2		—		198.9		48.3
Other financial liabilities(4)		136.6		136.6		—		28.6		108.0

	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		245.7
Liabilities
Deposits	$	864.6	$	864.5
Federal funds purchased and securities loaned or sold under agreements to repurchase		100.7		100.7
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 $25.9 billion for September 30, 2012 and $30.1 billion for December 31, 2011. In addition, the carrying values exclude $2.7 billion and $2.5 billion of lease finance receivables at September 30, 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.