FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2013

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

Fair Value Levels
In millions of dollars at March 31, 2013	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	$	—	$	230,606	$	4,349	$	234,955	$	(67,207	)	$	167,748
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	28,447	$	1,278	$	29,725	$	—		$	29,725
Residential		—		1,604		2,112		3,716		—			3,716
Commercial		—		2,262		410		2,672		—			2,672
Total trading mortgage-backed securities	$	—	$	32,313	$	3,800	$	36,113	$	—		$	36,113
U.S. Treasury and federal agency securities	$	13,166	$	5,816	$	—	$	18,982	$	—		$	18,982
State and municipal	$	—	$	4,468	$	209	$	4,677	$	—		$	4,677
Foreign government		52,154		32,897		228		85,279		—			85,279
Corporate		—		31,718		1,736		33,454		—			33,454
Equity securities		50,768		3,415		279		54,462		—			54,462
Asset-backed securities		—		978		4,410		5,388		—			5,388
Other debt securities		—		12,406		2,260		14,666		—			14,666
Total trading securities	$	116,088	$	124,011	$	12,922	$	253,021	$	—		$	253,021
Trading account derivatives
Interest rate contracts		1		799,710		4,138		803,849
Foreign exchange contracts		19		76,458		1,346		77,823
Equity contracts		2,793		15,203		1,676		19,672
Commodity contracts		391		9,608		712		10,711
Credit derivatives		—		47,600		3,498		51,098
Total trading account derivatives	$	3,204	$	948,579	$	11,370	$	963,153
Gross cash collateral paid							$	54,469
Netting agreements									$	(962,322	)
Total trading account derivatives	$	3,204	$	948,579	$	11,370	$	1,017,622	$	(962,322	)	$	55,300
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	43	$	46,076	$	2,526	$	48,645	$	—		$	48,645
Residential		—		8,886		186		9,072		—			9,072
Commercial		—		435		—		435		—			435
Total investment mortgage-backed securities	$	43	$	55,397	$	2,712	$	58,152	$	—		$	58,152
U.S. Treasury and federal agency securities	$	64,778	$	23,127	$	11	$	87,916	$	—		$	87,916

In millions of dollars at March 31, 2013	Level 1(1)			Level 2(1)			Level 3			Gross inventory			Netting(2)			Net balance
State and municipal	$	—		$	17,898		$	748		$	18,646		$	—		$	18,646
Foreign government		33,339			53,515			268			87,122			—			87,122
Corporate		5			9,700			345			10,050			—			10,050
Equity securities		4,021			101			767			4,889			—			4,889
Asset-backed securities		—			10,902			3,815			14,717			—			14,717
Other debt securities		—			205			52			257			—			257
Non-marketable equity securities		—			303			5,287			5,590			—			5,590
Total investments	$	102,186		$	171,148		$	14,005		$	287,339		$	—		$	287,339
Loans(3)	$	—		$	474		$	4,514		$	4,988		$	—		$	4,988
Mortgage servicing rights		—			—			2,203			2,203			—			2,203
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	14,429		$	2,428		$	16,857
Gross cash collateral paid										$	339
Netting agreements													$	(3,527	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	14,429		$	2,428		$	17,196		$	(3,527	)	$	13,669
Total assets	$	221,478		$	1,489,247		$	51,791		$	1,817,324		$	(1,033,056	)	$	784,268
Total as a percentage of gross assets(4)		12.6	%		84.5	%		2.9	%		100.0	%
Liabilities
Interest-bearing deposits		—			722			834			1,556			—			1,556
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			191,008			1,053			192,061			(67,207	)		124,854
Trading account liabilities
Securities sold, not yet purchased		58,356			8,750			335			67,441						67,441
Trading account derivatives
Interest rate contracts		—			792,263			3,525			795,788
Foreign exchange contracts		1			78,626			1,206			79,833
Equity contracts		2,655			26,796			3,150			32,601
Commodity contracts		285			9,789			1,349			11,423
Credit derivatives		—			46,056			3,654			49,710
Total trading account derivatives	$	2,941		$	953,530		$	12,884		$	969,355
Gross cash collateral received											45,752
Netting agreements													$	(962,322	)
Total trading account derivatives	$	2,941		$	953,530		$	12,884		$	1,015,107		$	(962,322	)	$	52,785
Short-term borrowings		—			862			53			915			—			915
Long-term debt		—			21,304			6,847			28,151			—			28,151
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,424		$	16		$	2,440
Gross cash collateral received										$	3,808
Netting agreements													$	(3,527	)
Nontrading derivatives and other financial liabilities measured on a recurring basis		—			2,424			16			6,248			(3,527	)		2,721
Total liabilities	$	61,297		$	1,178,600		$	22,022		$	1,311,479		$	(1,033,056	)	$	278,423
Total as a percentage of gross liabilities(4)		4.9	%		93.4	%		1.7	%		100.0	%

(1)

For the three months ended March 31, 2013, the Company transferred assets of $0.5 billion from Level 1 to Level 2, primarily related to foreign government bonds which were traded with less frequency. During the three months ended March 31, 2013, the Company transferred assets of $49 billion from Level 2 to Level 1, almost all of which related to U.S. Treasury securities held across the Company's major investment portfolios where Citi obtained additional information from its external pricing sources to meet the criteria for Level 1 classification as of March 31, 2013. During the three months ended March 31, 2013, the Company transferred liabilities of $11 million from Level 1 to Level 2, and $21 million 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 and cash collateral offsetting.

(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, 2012	Level 1		Level 2		Level 3		Gross inventory		Netting(1)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	198,278	$	5,043	$	203,321	$	(42,732	)	$	160,589
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed		—		29,835		1,325		31,160		—			31,160
Residential		—		1,663		1,805		3,468		—			3,468
Commercial		—		1,322		1,119		2,441		—			2,441
Total trading mortgage-backed securities	$	—	$	32,820	$	4,249	$	37,069	$	—		$	37,069
U.S. Treasury and federal agency securities	$	15,416	$	4,940	$	—	$	20,356	$	—		$	20,356
State and municipal		—		3,611		195		3,806		—			3,806
Foreign government		57,831		31,097		311		89,239		—			89,239
Corporate		—		33,194		2,030		35,224		—			35,224
Equity securities		54,640		2,094		264		56,998		—			56,998
Asset-backed securities		—		899		4,453		5,352		—			5,352
Other debt securities		—		15,944		2,321		18,265		—			18,265
Total trading securities	$	127,887	$	124,599	$	13,823	$	266,309	$	—		$	266,309
Trading account derivatives
Interest rate contracts	$	2	$	897,635	$	1,710	$	899,347
Foreign exchange contracts		18		75,358		902		76,278
Equity contracts		2,359		14,109		1,741		18,209
Commodity contracts		410		9,752		695		10,857
Credit derivatives		—		49,858		4,166		54,024
Total trading account derivatives	$	2,789	$	1,046,712	$	9,214	$	1,058,715
Gross cash collateral paid								61,152
Netting agreements									$	(1,065,247	)
Total trading account derivatives	$	2,789	$	1,046,712	$	9,214	$	1,119,867	$	(1,065,247	)	$	54,620
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	46	$	45,841	$	1,458	$	47,345	$	—		$	47,345
Residential		—		7,472		205		7,677		—			7,677
Commercial		—		449		—		449		—			449
Total investment mortgage-backed securities	$	46	$	53,762	$	1,663	$	55,471	$	—		$	55,471
U.S. Treasury and federal agency securities	$	13,204	$	78,625	$	12	$	91,841	$	—		$	91,841

In millions of dollars at December 31, 2012	Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance
State and municipal	$	—		$	17,483		$	849		$	18,332		$	—		$	18,332
Foreign government		36,048			57,616			383			94,047			—			94,047
Corporate		—			9,289			385			9,674			—			9,674
Equity securities		4,037			132			773			4,942			—			4,942
Asset-backed securities		—			11,910			2,220			14,130			—			14,130
Other debt securities		—			—			258			258			—			258
Non-marketable equity securities		—			404			5,364			5,768			—			5,768
Total investments	$	53,335		$	229,221		$	11,907		$	294,463		$	—		$	294,463
Loans(2)	$	—		$	356		$	4,931		$	5,287		$	—		$	5,287
Mortgage servicing rights		—			—			1,942			1,942			—			1,942
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	15,293		$	2,452		$	17,745
Gross cash collateral paid											214
Netting agreements													$	(4,660	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	15,293		$	2,452		$	17,959		$	(4,660	)	$	13,299
Total assets	$	184,011		$	1,614,459		$	49,312		$	1,909,148		$	(1,112,639	)	$	796,509
Total as a percentage of gross assets(3)		9.9	%		87.4	%		2.7	%		100.0	%
Liabilities
Interest-bearing deposits	$	—		$	661		$	786		$	1,447		$	—		$	1,447
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			158,580			841			159,421			(42,732	)		116,689
Trading account liabilities
Securities sold, not yet purchased		55,145			8,288			365			63,798						63,798
Trading account derivatives
Interest rate contracts		1			890,362			1,529			891,892
Foreign exchange contracts		10			81,137			902			82,049
Equity contracts		2,664			25,986			3,189			31,839
Commodity contracts		317			10,348			1,466			12,131
Credit derivatives		—			47,746			4,508			52,254
Total trading account derivatives	$	2,992		$	1,055,579		$	11,594		$	1,070,165
Gross cash collateral received											46,833
Netting agreements													$	(1,065,247	)
Total trading account derivatives	$	2,992		$	1,055,579		$	11,594		$	1,116,998		$	(1,065,247	)	$	51,751
Short-term borrowings		—			706			112			818			—			818
Long-term debt		—			23,038			6,726			29,764			—			29,764
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,228		$	24		$	2,252
Gross cash collateral received										$	5,318
Netting agreements													$	(4,660	)
Nontrading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,228		$	24		$	7,570		$	(4,660	)	$	2,910
Total liabilities	$	58,137		$	1,249,080		$	20,448		$	1,379,816		$	(1,112,639	)	$	267,177
Total as a percentage of gross liabilities(3)		4.4	%		94.1	%		1.5	%		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 and cash collateral offsetting.

(2)

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

(3)

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

Changes in level 3 fair value category

			Net realized/unrealized gains (losses) included in
																									Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2012		Principal transactions			Other(1)(2)		Transfers Into Level 3		Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	5,043	$	(13	)	$	—	$	598	$	(1,279	)	$	—	$	—	$	—		$	—		$	4,349	$	(43	)
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,325	$	49		$	—	$	392	$	(402	)	$	280	$	26	$	(368	)	$	(24	)	$	1,278	$	30
Residential		1,805		171			—		98		(176	)		727		—		(506	)		(7	)		2,112		56
Commercial		1,119		54			—		89		(36	)		67		—		(866	)		(17	)		410		1
Total trading mortgage-backed securities	$	4,249	$	274		$	—	$	579	$	(614	)	$	1,074	$	26	$	(1,740	)	$	(48	)	$	3,800	$	87
State and municipal	$	195	$	1		$	—	$	—	$	—		$	19	$	—	$	(6	)	$	—		$	209	$	2
Foreign government		311		2			—		6		(36	)		65		—		(120	)		—			228		1
Corporate		2,030		(104	)		—		76		(17	)		568		—		(443	)		(374	)		1,736		(303	)
Equity securities		264		37			—		23		(63	)		78		—		(60	)		—			279		23
Asset-backed securities		4,453		224			—		38		(32	)		1,583		—		(1,856	)		—			4,410		(53	)
Other debt securities		2,321		98			—		139		(427	)		744		—		(516	)		(99	)		2,260		(7	)
Total trading securities	$	13,823	$	532		$	—	$	861	$	(1,189	)	$	4,131	$	26	$	(4,741	)	$	(521	)	$	12,922	$	(250	)

				Net realized/unrealized gains (losses) included in
																													Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2012			Principal transactions			Other(1)(2)			Transfers Into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2013
Trading derivatives, net(4)
Interest rate contracts		181			(27	)		—			829			(167	)		91		—		(15	)		(279	)		613			(43	)
Foreign exchange contracts		—			98			—			10			(10	)		9		—		(7	)		40			140			(128	)
Equity contracts		(1,448	)		92			—			(22	)		81			49		—		(61	)		(165	)		(1,474	)		(101	)
Commodity contracts		(771	)		54			—			8			(2	)		3		—		(7	)		78			(637	)		137
Credit derivatives		(342	)		(103	)		—			8			(129	)		8		—		—			402			(156	)		106
Total trading derivatives, net(4)	$	(2,380	)	$	114		$	—		$	833		$	(227	)	$	160	$	—	$	(90	)	$	76		$	(1,514	)	$	(29	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,458		$	—		$	3		$	1,633		$	(1,031	)	$	471	$	—	$	—		$	(8	)	$	2,526		$	3
Residential		205			—			9			60			(205	)		117		—		—			—			186			9
Total investment mortgage-backed securities	$	1,663		$	—		$	12		$	1,693		$	(1,236	)	$	588	$	—	$	—		$	(8	)	$	2,712		$	12
U.S. Treasury and federal agency securities	$	12		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	11		$	—
State and municipal		849			—			(17	)		7			(117	)		81		—		(55	)		—			748			(40	)
Foreign government		383			—			1			22			(174	)		130		—		(67	)		(27	)		268			(4	)
Corporate		385			—			1			100			(12	)		14		—		(143	)		—			345			—
Equity securities		773			—			2			—			—			1		—		(9	)		—			767			1
Asset-backed securities		2,220			—			38			1,192			—			692		—		(17	)		(310	)		3,815			(70	)
Other debt securities		258			—			—			—			(205	)		—		—		(1	)		—			52			—
Non-marketable equity securities		5,364			—			69			—			—			40		—		(21	)		(165	)		5,287			136
Total investments	$	11,907		$	—		$	106		$	3,014		$	(1,744	)	$	1,546	$	—	$	(314	)	$	(510	)	$	14,005		$	35

			Net realized/unrealized gains (losses) included in
																											Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2012		Principal transactions			Other(1)(2)			Transfers into Level 3		Transfers out of Level 3			Purchases			Issuances		Sales			Settlements			Mar. 31, 2013
Loans	$	4,931	$	—		$	(75	)	$	—	$	—		$	95		$	7	$	(63	)	$	(381	)	$	4,514	$	(26	)
Mortgage servicing rights	$	1,942	$	—		$	190		$	—	$	—		$	—		$	172	$	(1	)	$	(100	)	$	2,203	$	191
Other financial assets measured on a recurring basis	$	2,452	$	—		$	36		$	1	$	—		$	138		$	290	$	(5	)	$	(484	)	$	2,428	$	32
Liabilities
Interest-bearing deposits	$	786	$	—		$	(16	)	$	22	$	—		$	—		$	25	$	—		$	(15	)	$	834	$	(56	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		841		27			—			201		—			—			—		38			—			1,053		14
Trading account liabilities
Securities sold, not yet purchased		365		19			—			20		(5	)		—			—		46			(72	)		335		125
Short-term borrowings		112		42			—			—		—			—			1		—			(18	)		53		(19	)
Long-term debt		6,726		(9	)		33			635		(465	)		—			284		(1	)		(308	)		6,847		(113	)
Other financial liabilities measured on a recurring basis		24		—			1			2		(2	)		(2	)		2		—			(7	)		16		—

(1)

Changes in fair value for available-for-sale investments (debt securities) are recorded in Accumulated other comprehensive income (loss), unless other-than-temporarily impaired, 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 March 31, 2013.

(4)

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

				Net realized/unrealized gains (losses) included in
																												Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011			Principal transactions			Other(1)(2)		Transfers Into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2012
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,701		$	33		$	—	$	25		$	(262	)	$	—	$	—	$	—		$	—		$	4,497		$	32
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	861		$	50		$	—	$	379		$	(127	)	$	183	$	31	$	(225	)	$	(37	)	$	1,115		$	22
Residential		1,509			19			—		30			(180	)		692		—		(721	)		(2	)		1,347			12
Commercial		618			(67	)		—		36			(108	)		211		—		(142	)		—			548			2
Total trading mortgage-backed securities	$	2,988		$	2		$	—	$	445		$	(415	)	$	1,086	$	31	$	(1,088	)	$	(39	)	$	3,010		$	36
U.S. Treasury and federal agency securities	$	3		$	—		$	—	$	—		$	—		$	—	$	—	$	(3	)	$	—		$	—		$	—
State and municipal	$	252		$	(3	)	$	—	$	—		$	—		$	22	$	—	$	(48	)	$	—		$	223		$	(4	)
Foreign government		521			3			—		2			(263	)		710		—		(140	)		—			833			4
Corporate		3,240			119			—		327			(125	)		1,496		—		(595	)		(699	)		3,763			121
Equity securities		244			4			—		18			(9	)		78		—		(120	)		(24	)		191			(3	)
Asset-backed securities		5,801			335			—		17			(36	)		2,651		—		(3,054	)		(59	)		5,655			66
Other debt securities		2,743			(31	)		—		211			(249	)		955		—		(574	)		(42	)		3,013			(22	)
Total trading securities	$	15,792		$	429		$	—	$	1,020		$	(1,097	)	$	6,998	$	31	$	(5,622	)	$	(863	)	$	16,688		$	198
Trading derivatives, net(4)
Interest rate contracts		726			(217	)		—		342			(17	)		199		—		(129	)		(213	)		691			(456	)
Foreign exchange contracts		(562	)		173			—		(5	)		(8	)		129		—		(107	)		10			(370	)		29
Equity contracts		(1,737	)		474			—		3			436			134		—		(175	)		(212	)		(1,077	)		(135	)
Commodity contracts		(934	)		74			—		(5	)		9			45		—		(68	)		20			(859	)		2
Credit derivatives		1,728			(1,235	)		—		(204	)		(53	)		111		—		(10	)		(109	)		228			(1,030	)
Total trading derivatives, net(4)	$	(779	)	$	(731	)	$	—	$	131		$	367		$	618	$	—	$	(489	)	$	(504	)	$	(1,387	)	$	(1,590	)

			Net realized/unrealized gains (losses) included in
																									Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011		Principal transactions		Other(1)(2)			Transfers Into Level 3		Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2012
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	679	$	—	$	9		$	—	$	(641	)	$	885	$	—	$	—		$	—		$	932	$	4
Residential		8		—		—			—		(6	)		—		—		—			—			2		—
Commercial		—		—		—			—		—			6		—		—			—			6		—
Total investment mortgage-backed securities	$	687	$	—	$	9		$	—	$	(647	)	$	891	$	—	$	—		$	—		$	940	$	4
U.S. Treasury and federal agency securities	$	75	$	—	$	—		$	—	$	(75	)	$	—	$	—	$	—		$	—		$	—	$	—
State and municipal		667		—		(1	)		—		—			32		—		(16	)		—			682		(7	)
Foreign government		447		—		3			—		(17	)		89		—		(80	)		(67	)		375		1
Corporate		989		—		(4	)		—		—			87		—		(7	)		(3	)		1,062		1
Equity securities		1,453		—		45			—		—			—		—		(172	)		—			1,326		16
Asset-backed securities		4,041		—		3			—		(43	)		—		—		(7	)		(921	)		3,073		—
Other debt securities		120		—		—			—		—			—		—		(64	)		(1	)		55		—
Non-marketable equity securities		8,318		—		196			—		—			138		—		(8	)		(357	)		8,287		231
Total investments	$	16,797	$	—	$	251		$	—	$	(782	)	$	1,237	$	—	$	(354	)	$	(1,349	)	$	15,800	$	246

			Net realized/unrealized gains (losses) included in
																											Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2012		Principal transactions			Other(1)(2)			Transfers into Level 3		Transfers out of Level 3			Purchases			Issuances		Sales			Settlements			Mar. 31, 2013
Loans	$	4,682	$	—		$	(37	)	$	—	$	(25	)	$	86		$	—	$	(8	)	$	(420	)	$	4,278	$	300
Mortgage servicing rights	$	2,569	$	—		$	187		$	—	$	—		$	2		$	142	$	(5	)	$	(204	)	$	2,691	$	184
Other financial assets measured on a recurring basis	$	2,245	$	—		$	7		$	8	$	(1	)	$	1		$	276	$	(38	)	$	(176	)	$	2,322	$	14
Liabilities
Interest-bearing deposits	$	431	$	—		$	(5	)	$	83	$	—		$	—		$	8	$	—		$	(69	)	$	458	$	(58	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,061		27			—			—		—			—			—		—			(9	)		1,025		—
Trading account liabilities
Securities sold, not yet purchased		412		(72	)		—			4		(7	)		—			—		71			(375	)		177		(75	)
Short-term borrowings		499		(56	)		—			—		(9	)		—			126		—			(249	)		423		(2	)
Long-term debt		6,904		(78	)		29			159		(416	)		—			287		—			(464	)		6,519		(203	)
Other financial liabilities measured on a recurring basis		3		—			(1	)		—		—			(1	)		—		—			(1	)		2		(1	)

(1)

Changes in fair value for available-for-sale investments (debt securities) are recorded in Accumulated other comprehensive income (loss) unless other-than-temporarily impaired, 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. See Note 12 to the Consolidated Financial Statements for a discussion of other-than-temporary impairment.

(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 March 31, 2012.

(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

As of March 31, 2013	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,099	Cash flow	Interest rate		1.22	%		1.67	%
Trading and investment securities
Mortgage-backed securities	$	5,137	Price-based	Price	$	0.00		$	126.12
		988	Yield analysis	Yield		0.00	%		28.57	%
State and municipal, foreign government, corporate and other debt securities	$	3,086	Price-based	Price	$	0.00		$	135.98
		1,234	Cash flow	Yield		0.00	%		11.90	%
		861	Yield analysis
Equity securities	$	785	Cash flow	Yield		9.00	%		9.00	%
		175	Price-based	Weighted average life		3 years			3 years
				Price(4)	$	1.00		$	17,123,129
Asset-backed securities	$	6,133	Price-based	Price	$	0.00		$	118.09
		1,696	Model-based
Non-marketable equity	$	2,701	Price-based	Fund NAV	$	611		$	477,311,897
		1,696	Comparables analysis	EBITDA multiple		4.5			13.5
		797	Cash flow	Price-to-book ratio		0.77			1.5
				Discount to price		0.00	%		75.00	%
				Price-earnings ratio		8.7			14.1
				Cost of capital		9.00	%		20.00	%
Derivatives—Gross(5)
Interest rate contracts (gross)	$	7,585	Model-based	Interest rate (IR) volatility		40.00	%		85.00	%
				Credit spread		73 bps			375 bps
Foreign exchange contracts (gross)	$	2,504	Model-based	Foreign exchange (FX) volatility		11.00	%		20.00	%
				Interest rate		3.75	%		15.00	%
				IR-FX correlation		40.00	%		60.00	%
				IR-IR correlation		40.00	%		40.00	%
				Credit spread		28 bps			419 bps
Equity contracts (gross)(6)	$	4,553	Model-based	Equity volatility		10.20	%		77.68	%
				Equity-equity correlation		1.00	%		99.90	%
				Equity forward		87.08	%		118.53	%
				Equity-FX correlation		(95.00	)%		78.00	%
Commodity contracts (gross)	$	2,060	Model-based	Commodity volatility		5.00	%		124.00	%
				Forward price		70.30	%		233.80	%
				Commodity correlation		(77.00	)%		95.00	%
Credit derivatives (gross)	$	5,007	Model-based	Price	$	0.00		$	134.16
		2,133	Price-based	Credit correlation		5.00	%		95.00	%
				Credit spread		0 bps			2,542 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(5)	$	2,306	Model-based	Price	$	100.00		$	100.00
				Redemption rate		7.50	%		99.50	%
Loans	$	2,239	Price-based	Price	$	0.00		$	105.35
		1,418	Yield analysis	Credit spread		47 bps			350 bps
		585	Model-based
Mortgage servicing rights	$	2,119	Cash flow	Yield		0.00	%		51.48	%
				Weighted average life		3.71 years			7.16 years

	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)
Liabilities
Interest-bearing deposits	$	834	Model-based	Equity volatility		11.78	%		70.77	%
				Forward price		70.30	%		233.80	%
				Commodity correlation		(77.00	)%		95.00	%
				Commodity volatility		5.00	%		124.00	%
				Equity forward		87.08	%		118.53	%
				Equity-IR correlation		25.00	%		54.50	%
				Equity-equity correlation		50.00	%		98.00	%
				Mean reversion		1.00	%		20.00	%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	853	Model-based	Interest rate		0.70	%		2.77	%
		201	Cash flow
Trading account liabilities
Securities sold, not yet purchased	$	264	Model-based	Price	$	0.00		$	135.98
		69	Price-based
Short-term borrowings and long-term debt	$	5,194	Model-based	Credit spread		7 bps			300 bps
		1,029	Price-based	IR volatility		0.07	%		85.00	%
		674	Yield analysis	Interest rate		4.43	%		15.00	%
				Equity volatility		7.81	%		64.97	%
				Equity-FX correlation		(86.38	)%		60.00	%
				Price	$	0.00		$	104.42

(1)

The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.

(2)

Some inputs are shown as zero due to rounding.

(3)

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.

(4)

For equity securities, the price input is expressed on an absolute basis, not as a percentage of the notional amount.

(5)

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

(6)

Includes hybrid products.

Schedule of fixed income instruments weighted average price input

Mortgage-backed securities	$	91.72
State and municipal, foreign government, corporate, and other debt securities		88.43
Asset-backed securities		82.61
Loans		90.26
Short-term borrowings and long-term debt		82.86

Items measured at fair value of a nonrecurring basis

In millions of dollars	Fair value		Level 2		Level 3
March 31, 2013
Loans held-for-sale	$	4,954	$	3,716	$	1,238
Other real estate owned		169		28		141
Loans(1)		4,330		3,773		557
Other assets(2)		4,725		4,725		—
Total assets at fair value on a nonrecurring basis	$	14,178	$	12,242	$	1,936

(1)

Represents impaired 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 12 to the Consolidated Financial Statements.

In millions of dollars	Fair value		Level 2		Level 3
December 31, 2012
Loans held-for-sale	$	2,647	$	1,159	$	1,488
Other real estate owned		201		22		179
Loans(1)		5,732		5,160		572
Other assets(2)		4,725		4,725		—
Total assets at fair value on a nonrecurring basis	$	13,305	$	11,066	$	2,239

(1)

Represents impaired 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 12 to the Consolidated Financial Statements.

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

	Fair Value(1) (in millions)		Methodology	Input	Low			High
Loans held-for-sale	$	1,226	Price-based	Price	$	37.00		$	100.00
Other real estate owned		141	Price-based	Discount to price		25.00	%		55.00	%
				Price	$	0.00		$	102.00
				Appraised value	$	39,774		$	5,379,477
Loans(2)		350	Price-based	Discount to price		25.00	%		34.00	%
		111	Model-based	Appraised value	$	436,610		$	86,000,000
		86	Cash flow	Yield		0.50	%		15.13	%

(1)

The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.

(2)

Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.

Changes in total nonrecurring fair value measurements

	Three Months Ended March 31,
In millions of dollars	2013			2012
Loans held-for-sale	$	(81	)	$	(50	)
Other real estate owned		(6	)		(14	)
Loans(1)		(249	)		(769	)
Total nonrecurring fair value gains (losses)	$	(336	)	$	(833	)

(1)

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

Estimated Fair Value of Financial Instruments

	March 31, 2013				Estimated fair value
In billions of dollars	Carrying value		Estimated fair value		Level 1		Level 2		Level 3
Assets
Investments	$	17.5	$	18.1	$	3.9	$	13.1	$	1.1
Federal funds sold and securities borrowed or purchased under agreements to resell		102.7		102.7		—		96.1		6.6
Loans(1)(2)		614.9		607.2		—		4.5		602.7
Other financial assets(2)(3)		234.1		234.1		9.8		168.3		56.0
Liabilities
Deposits	$	932.2	$	930.7	$	—	$	752.9	$	177.8
Federal funds purchased and securities loaned or sold under agreements to repurchase		97.2		97.2		—		92.6		4.6
Long-term debt(4)		206.2		213.7		—		183.0		30.7
Other financial liabilities(5)		139.5		139.5		—		25.8		113.7

	December 31, 2012				Estimated fair value
In billions of dollars	Carrying value		Estimated fair value		Level 1		Level 2		Level 3
Assets
Investments	$	17.9	$	18.4	$	3.0	$	14.3	$	1.1
Federal funds sold and securities borrowed or purchased under agreements to resell		100.7		100.7		—		94.8		5.9
Loans(1)(2)		621.9		612.2		—		4.2		608.0
Other financial assets(2)(3)		192.8		192.8		11.4		128.3		53.1
Liabilities
Deposits	$	929.1	$	927.4	$	—	$	748.7	$	178.7
Federal funds purchased and securities loaned or sold under agreements to repurchase		94.5		94.5		—		94.4		0.1
Long-term debt(4)		209.7		215.3		—		177.0		38.3
Other financial liabilities(5)		139.0		139.0		—		31.1		107.9

(1)

The carrying value of loans is net of the Allowance for loan losses of $23.7 billion for March 31, 2013 and $25.5 billion for December 31, 2012. In addition, the carrying values exclude $2.7 billion and $2.8 billion of lease finance receivables at March 31, 2013 and December 31, 2012, 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)

The carrying value includes long-term debt balances carried at fair value under fair value hedge accounting.

(5)

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.