FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2013

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

Fair Value Levels

In millions of dollars at June 30, 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	$	—	$	223,686	$	4,177	$	227,863	$	(63,697	)	$	164,166
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	29,924	$	1,704	$	31,628	$	—		$	31,628
Residential		—		1,801		2,938		4,739		—			4,739
Commercial		—		2,150		326		2,476		—			2,476
Total trading mortgage-backed securities	$	—	$	33,875	$	4,968	$	38,843	$	—		$	38,843
U.S. Treasury and federal agency securities	$	18,339	$	4,783	$	—	$	23,122	$	—		$	23,122
State and municipal		—		4,206		241		4,447		—			4,447
Foreign government		54,352		27,671		240		82,263		—			82,263
Corporate		—		29,738		1,688		31,426		—			31,426
Equity securities		49,861		2,591		190		52,642		—			52,642
Asset-backed securities		—		1,138		4,259		5,397		—			5,397
Other debt securities		—		9,357		2,276		11,633		—			11,633
Total trading securities	$	122,552	$	113,359	$	13,862	$	249,773	$	—		$	249,773
Trading account derivatives
Interest rate contracts		38		669,070		3,520		672,628
Foreign exchange contracts		41		95,663		1,363		97,067
Equity contracts		3,921		17,399		1,667		22,987
Commodity contracts		836		10,133		882		11,851
Credit derivatives		—		42,007		3,060		45,067
Total trading account derivatives	$	4,836	$	834,272	$	10,492	$	849,600
Gross cash collateral paid(3)								5,088
Netting agreements									$	(764,620	)
Netting of cash collateral received										(33,271	)
Total trading account derivatives	$	4,836	$	834,272	$	10,492	$	854,688	$	(797,891	)	$	56,797
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	48,988	$	420	$	49,408	$	—		$	49,408
Residential		—		8,938		—		8,938		—			8,938
Commercial		—		449		3		452		—			452
Total investment mortgage-backed securities	$	—	$	58,375	$	423	$	58,798	$	—		$	58,798
U.S. Treasury and federal agency securities	$	63,245	$	21,308	$	9	$	84,562	$	—		$	84,562

In millions of dollars at June 30, 2013	Level 1(1)			Level 2(1)			Level 3			Gross inventory			Netting(2)			Net balance
State and municipal	$	—		$	16,645		$	684		$	17,329		$	—		$	17,329
Foreign government		32,518			53,422			367			86,307			—			86,307
Corporate		6			9,940			404			10,350			—			10,350
Equity securities		2,545			568			779			3,892			—			3,892
Asset-backed securities		—			14,126			1,758			15,884			—			15,884
Other debt securities		—			205			51			256			—			256
Non-marketable equity securities		—			357			5,363			5,720			—			5,720
Total investments	$	98,314		$	174,946		$	9,838		$	283,098		$	—		$	283,098
Loans(4)	$	—		$	547		$	4,321		$	4,868		$	—		$	4,868
Mortgage servicing rights		—			—			2,524			2,524			—			2,524
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	13,229		$	245		$	13,474
Cash collateral paid										$	7
Netting of cash collateral received													$	(2,960	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	13,229		$	245		$	13,481		$	(2,960	)	$	10,521
Total assets	$	225,702		$	1,360,039		$	45,459		$	1,636,295		$	(864,548	)	$	771,747
Total as a percentage of gross assets(5)		13.8	%		83.4	%		2.8	%		100.0	%
Liabilities
Interest-bearing deposits	$	—		$	680		$	831		$	1,511		$	—		$	1,511
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			183,202			1,007			184,209			(63,697	)		120,512
Trading account liabilities
Securities sold, not yet purchased		59,423			11,227			450			71,100						71,100
Trading account derivatives
Interest rate contracts	$	36		$	661,570		$	2,437		$	664,043
Foreign exchange contracts		3			95,508			996			96,507
Equity contracts		3,947			26,722			2,759			33,428
Commodity contracts		641			10,647			1,100			12,388
Credit derivatives		—			40,454			3,101			43,555
Total trading account derivatives	$	4,627		$	834,901		$	10,393		$	849,921
Cash collateral received(6)											8,814
Netting agreements													$	(764,620	)
Netting of cash collateral paid														(42,193	)
Total trading account derivatives	$	4,627		$	834,901		$	10,393		$	858,735		$	(806,813	)	$	51,922
Short-term borrowings		—			4,158			335			4,493			—			4,493
Long-term debt		—			20,346			6,811			27,157			—			27,157
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,257		$	95		$	2,352
Cash collateral received(7)										$	313
Nontrading derivatives and other financial liabilities measured on a recurring basis		—			2,257			95			2,665			—			2,665
Total liabilities	$	64,050		$	1,056,771		$	19,922		$	1,149,870		$	(870,510	)	$	279,358
Total as a percentage of gross liabilities(5)		5.6	%		92.7	%		1.7	%		100.0	%

(1)

For the three and six months ended June 30, 2013, the Company transferred assets of approximately $0.5 billion and $0.9 billion, respectively, from Level 1 to Level 2. During the three and six months ended June 30, 2013, the Company transferred assets of approximately $0.2 billion and $49 billion, respectively, from Level 2 to Level 1. Almost all of the transfers during the six months ended June 2013 were 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. During the three and six months ended June 30, 2013, the Company transferred liabilities of $14 million and $25 million, respectively, from Level 1 to Level 2, and $33 million and $54 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 and cash collateral offsetting.

(3)

This is the net amount of the $47,281 million of gross cash collateral paid, of which $42,193 million was used to offset derivative liabilities.

(4)

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

(5)

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

(6)

This is the net amount of the $42,085 million of gross cash collateral received, of which $33,271 million was used to offset derivative assets.

(7)

This is the net amount of the $3,273 million of gross cash collateral received, of which $2,960 million was used to offset derivative assets.

Fair Value Levels

In millions of dollars at December 31, 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	$	—	$	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(3)								5,597
Netting agreements									$	(990,782	)
Netting of cash collateral received										(38,910	)
Total trading account derivatives	$	2,789	$	1,046,712	$	9,214	$	1,064,312	$	(1,009,692	)	$	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(1)			Level 2(1)			Level 3			Gross inventory			Netting(2)			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(3)	$	—		$	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
Cash collateral paid											214
Netting of cash collateral received													$	(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		$	1,853,593		$	(1,057,084	)	$	796,509
Total as a percentage of gross assets(5)		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
Cash collateral received(6)											7,923
Netting agreements													$	(970,782	)
Netting of cash collateral paid														(55,555	)
Total trading account derivatives	$	2,992		$	1,055,579		$	11,594		$	1,078,088		$	(1,026,337	)	$	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
Cash collateral received(7)										$	658
Nontrading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,228		$	24		$	2,910		$	—		$	2,910
Total liabilities	$	58,137		$	1,249,080		$	20,448		$	1,336,246		$	(1,069,069	)	$	267,177
Total as a percentage of gross liabilities(5)		4.4	%		94.1	%		1.5	%		100.0	%

(1)

For both the three months and six months ended June 30, 2012, the Company transferred assets of $1.0 billion from Level 1 to Level 2, primarily related to foreign government bonds which were traded with less frequency. During the three months and six months ended June 30, 2012, the Company transferred assets of $46 million and $0.4 billion, respectively, from Level 2 to Level 1 related primarily to equity securities, which are now traded with sufficient frequency to constitute a liquid market. During the three months and six months ended June 30, 2012, the Company transferred liabilities of $18 million and $19 million, respectively, from Level 1 to Level 2, and $28 million and $36 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 and cash collateral offsetting.

(3)

This is the net amount of the $61,152 million of gross cash collateral paid, of which $55,555 million was used to offset derivative liabilities.

(4)

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

(5)

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

(6)

This is the net amount of the $46,833 million of gross cash collateral received, of which $38,910 million was used to offset derivative assets.

(7)

This is the net amount of the $5,318 million of gross cash collateral received, of which $4,660 million was used to offset derivative liabilities.

Changes in level 3 fair value category

			Net realized/unrealized gains (losses) included in
																									Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2013		Principal transactions			Other(1)(2)		Transfers Into Level 3		Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,349	$	(150	)	$	—	$	—	$	(39	)	$	17	$	—	$	—		$	—		$	4,177	$	365
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,278	$	27		$	—	$	345	$	(303	)	$	689	$	29	$	(339	)	$	(22	)	$	1,704	$	(9	)
Residential		2,112		187			—		219		(36	)		1,171		—		(715	)		—			2,938		44
Commercial		410		38			—		66		(148	)		79		—		(119	)		—			326		7
Total trading mortgage-backed securities	$	3,800	$	252		$	—	$	630	$	(487	)	$	1,939	$	29	$	(1,173	)	$	(22	)	$	4,968	$	42
State and municipal	$	209	$	18		$	—	$	—	$	—		$	56	$	—	$	(42	)	$	—		$	241	$	(6	)
Foreign government		228		(4	)		—		47		(25	)		52		—		(58	)		—			240		(2	)
Corporate		1,736		74			—		62		(83	)		811		—		(376	)		(536	)		1,688		65
Equity securities		279		(33	)		—		25		(96	)		62		—		(47	)		—			190		(24	)
Asset-backed securities		4,410		144			—		48		(23	)		1,449		—		(1,552	)		(217	)		4,259		(2	)
Other debt securities		2,260		8			—		369		(571	)		789		—		(480	)		(99	)		2,276		(3	)
Total trading securities	$	12,922	$	459		$	—	$	1,181	$	(1,285	)	$	5,158	$	29	$	(3,728	)	$	(874	)	$	13,862	$	70

				Net realized/unrealized gains (losses) included in
																														Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2013			Principal transactions			Other(1)(2)			Transfers Into Level 3			Transfers out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2013
Trading derivatives, net(4)
Interest rate contracts		298			339			—			235			275			52			—		(67	)		(49	)		1,083			434
Foreign exchange contracts		140			213			—			20			13			6			—		(1	)		(24	)		367			(64	)
Equity contracts		(1,474	)		169			—			(2	)		265			67			—		5			(122	)		(1,092	)		(389	)
Commodity contracts		(637	)		357			—			(1	)		7			12			—		(18	)		62			(218	)		528
Credit derivatives		(156	)		(43	)		—			102			(49	)		4			—		—			101			(41	)		7
Total trading derivatives, net(4)	$	(1,829	)	$	1,035		$	—		$	354		$	511		$	141		$	—	$	(81	)	$	(32	)	$	99		$	516
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	2,526		$	—		$	(1	)	$	264		$	(2,319	)	$	(1	)	$	—	$	—		$	(49	)	$	420		$	5
Residential		186			—			14			—			(60	)		—			—		(140	)		—			—			—
Commercial		—			—			—			3			(12	)		12			—		—			—			3			—
Total investment mortgage-backed securities	$	2,712		$	—		$	13		$	267		$	(2,391	)	$	11		$	—	$	(140	)	$	(49	)	$	423		$	5
U.S. Treasury and federal agency securities	$	11		$	—		$	—		$	—		$	—		$	—		$	—	$	(2	)	$	—		$	9		$	—
State and municipal		748			—			15			—			—			126			—		(80	)		(125	)		684			13
Foreign government		268			—			(5	)		83			(27	)		159			—		(84	)		(27	)		367			—
Corporate		345			—			(4	)		191			(104	)		2			—		(4	)		(22	)		404			1
Equity securities		767			—			(5	)		17			—			—			—		—			—			779			(38	)
Asset-backed securities		3,815			—			12			—			(1,684	)		233			—		—			(618	)		1,758			6
Other debt securities		52			—			—			—			—			—			—		(1	)		—			51			—
Non-marketable equity securities		5,287			—			109			—			—			513			—		(62	)		(484	)		5,363			72
Total investments	$	14,005		$	—		$	135		$	558		$	(4,206	)	$	1,044		$	—	$	(373	)	$	(1,325	)	$	9,838		$	59

			Net realized/unrealized gains (losses) included in
																											Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2013		Principal transactions			Other(1)(2)			Transfers Into Level 3		Transfers out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2013
Loans	$	4,514	$	—		$	(3	)	$	353	$	—		$	(36	)	$	6	$	57		$	(570	)	$	4,321	$	—
Mortgage servicing rights	$	2,203	$	—		$	227		$	—	$	—		$	—		$	205	$	—		$	(111	)	$	2,524	$	228
Other financial assets measured on a recurring basis	$	2,428	$	—		$	(30	)	$	—	$	—		$	78		$	50	$	(2,005	)	$	(276	)	$	245	$	(35	)
Liabilities
Interest-bearing deposits	$	834	$	—		$	(51	)	$	—	$	—		$	—		$	38	$	—		$	(92	)	$	831	$	(23	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,053		33			—			—		(15	)		—			—		2			—			1,007		29
Trading account liabilities
Securities sold, not yet purchased		335		(8	)		—			4		(6	)		—			—		130			(21	)		450		(40	)
Short-term borrowings		53		(16	)		—			—		(4	)		—			290		—			(20	)		335		(45	)
Long-term debt		6,847		380			36			730		(549	)		—			621		—			(422	)		6,811		(464	)
Other financial liabilities measured on a recurring basis		16		—			(186	)		3		—			(1	)		88		—			(197	)		95		(196	)

(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 June 30, 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, 2012			Principal transactions			Other(1)(2)		Transfers Into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	5,043		$	(163	)	$	—	$	598		$	(1,318	)	$	17	$	—	$	—		$	—		$	4,177		$	123
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,325		$	76		$	—	$	737		$	(705	)	$	969	$	55	$	(707	)	$	(46	)	$	1,704		$	43
Residential		1,805			358			—		317			(212	)		1,898		—		(1,221	)		(7	)		2,938			99
Commercial		1,119			92			—		155			(184	)		146		—		(985	)		(17	)		326			8
Total trading mortgage-backed securities	$	4,249		$	526		$	—	$	1,209		$	(1,101	)	$	3,013	$	55	$	(2,913	)	$	(70	)	$	4,968		$	150
State and municipal	$	195		$	19		$	—	$	—		$	—		$	75	$	—	$	(48	)	$	—		$	241		$	(6	)
Foreign government		311			(2	)		—		53			(61	)		117		—		(178	)		—			240			(2	)
Corporate		2,030			(30	)		—		138			(100	)		1,379		—		(819	)		(910	)		1,688			(406	)
Equity securities		264			4			—		48			(159	)		140		—		(107	)		—			190			286
Asset-backed securities		4,453			368			—		86			(55	)		3,032		—		(3,408	)		(217	)		4,259			13
Other debt securities		2,321			106			—		508			(998	)		1,533		—		(996	)		(198	)		2,276			13
Total trading securities	$	13,823		$	991		$	—	$	2,042		$	(2,474	)	$	9,289	$	55	$	(8,469	)	$	(1,395	)	$	13,862		$	48
Trading derivatives, net(4)
Interest rate contracts		181			312			—		749			108			143		—		(82	)		(328	)		1,083			983
Foreign exchange contracts		—			311			—		30			3			15		—		(8	)		16			367			(151	)
Equity contracts		(1,448	)		261			—		(24	)		346			116		—		(56	)		(287	)		(1,092	)		(589	)
Commodity contracts		(771	)		411			—		7			5			15		—		(25	)		140			(218	)		669
Credit derivatives		(342	)		(146	)		—		110			(178	)		12		—		—			503			(41	)		217
Total trading derivatives, net(4)	$	(2,380	)	$	1,149		$	—	$	872		$	284		$	301	$	—	$	(171	)	$	44		$	99		$	1,129

			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			Jun. 30, 2013
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,458	$	—	$	2		$	1,897	$	(3,350	)	$	470	$	—	$	—		$	(57	)	$	420	$	2
Residential		205		—		23			60		(265	)		117		—		(140	)		—			—		—
Commercial		—		—		—			3		(12	)		12		—		—			—			3		—
Total investment mortgage-backed securities	$	1,663	$	—	$	25		$	1,960	$	(3,627	)	$	599	$	—	$	(140	)	$	(57	)	$	423	$	2
U.S. Treasury and federal agency securities	$	12	$	—	$	—		$	—	$	—		$	—	$	—	$	(3	)	$	—		$	9	$	—
State and municipal		849		—		(2	)		7		(117	)		207		—		(135	)		(125	)		684		(6	)
Foreign government		383		—		(4	)		105		(201	)		289		—		(151	)		(54	)		367		(6	)
Corporate		385		—		(3	)		291		(116	)		16		—		(147	)		(22	)		404		3
Equity securities		773		—		(3	)		17		—			1		—		(9	)		—			779		(38	)
Asset-backed securities		2,220		—		50			1,192		(1,684	)		925		—		(17	)		(928	)		1,758		6
Other debt securities		258		—		—			—		(205	)		—		—		(2	)		—			51		—
Non-marketable equity securities		5,364		—		178			—		—			553		—		(83	)		(649	)		5,363		207
Total investments	$	11,907	$	—	$	241		$	3,572	$	(5,950	)	$	2,590	$	—	$	(687	)	$	(1,835	)	$	9,838	$	168

			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			Jun. 30, 2013
Loans	$	4,931	$	—	$	(78	)	$	353	$	—		$	59		$	13	$	(6	)	$	(951	)	$	4,321	$	178
Mortgage servicing rights	$	1,942	$	—	$	417		$	—	$	—		$	—		$	377	$	(1	)	$	(211	)	$	2,524	$	191
Other financial assets measured on a recurring basis	$	2,452	$	—	$	6		$	1	$	—		$	216		$	340	$	(2,010	)	$	(760	)	$	245	$	194
Liabilities
Interest-bearing deposits	$	786	$	—	$	(67	)	$	22	$	—		$	—		$	63	$	—		$	(107	)	$	831	$	(164	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		841		60		—			201		(15	)		—			—		40			—			1,007		41
Trading account liabilities
Securities sold, not yet purchased		365		11		—			24		(11	)		—			—		176			(93	)		450		88
Short-term borrowings		112		26		—			—		(4	)		—			291		—			(38	)		335		(44	)
Long-term debt		6,726		371		69			1,365		(1,014	)		—			905		(1	)		(730	)		6,811		(907	)
Other financial liabilities measured on a recurring basis		24		—		(185	)		5		(2	)		(3	)		90		—			(204	)		95		(198	)

(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 June 30, 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	Mar. 31, 2012			Principal transactions			Other(1)(2)		Transfers Into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2012
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,497		$	32		$	—	$	—		$	(115	)	$	—	$	—	$	—		$	—		$	4,414		$	33
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,115		$	(17	)	$	—	$	159		$	(218	)	$	72	$	14	$	(189	)	$	(41	)	$	895		$	(42	)
Residential		1,347			61			—		430			(120	)		625		—		(397	)		(1	)		1,945			(8	)
Commercial		548			(3	)		—		55			(80	)		104		—		(208	)		—			416			(2	)
Total trading mortgage-backed securities	$	3,010		$	41		$	—	$	644		$	(418	)	$	801	$	14	$	(794	)	$	(42	)	$	3,256		$	(52	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	13	$	—	$	—		$	—		$	13		$	—
State and municipal	$	223		$	20		$	—	$	—		$	(7	)	$	6	$	—	$	(19	)	$	—		$	223		$	8
Foreign government		833			1			—		10			(477	)		132		—		(166	)		—			333			(1	)
Corporate		3,763			(110	)		—		21			(266	)		260		—		(804	)		(675	)		2,189			(70	)
Equity securities		191			(75	)		—		1			(4	)		126		—		(22	)		—			217			(10	)
Asset-backed securities		5,655			(113	)		—		148			(25	)		1,009		—		(1,239	)		(600	)		4,835			(139	)
Other debt securities		3,013			53			—		429			(1,174	)		407		—		(307	)		(155	)		2,266			116
Total trading securities	$	16,688		$	(183	)	$	—	$	1,253		$	(2,371	)	$	2,754	$	14	$	(3,351	)	$	(1,472	)	$	13,332		$	(148	)
Trading derivatives, net(4)
Interest rate contracts		691			359			—		(219	)		(102	)		17		—		(10	)		(117	)		619			167
Foreign exchange contracts		(370	)		(93	)		—		(77	)		54			59		—		(90	)		—			(517	)		24
Equity contracts		(1,077	)		(275	)		—		(39	)		(69	)		69		—		(160	)		(36	)		(1,587	)		(260	)
Commodity contracts		(859	)		(113	)		—		—			36			28		—		(10	)		16			(902	)		(97	)
Credit derivatives		228			(217	)		—		74			(6	)		3		—		—			216			298			(325	)
Total trading derivatives, net(4)	$	(1,387	)	$	(339	)	$	—	$	(261	)	$	(87	)	$	176	$	—	$	(270	)	$	79		$	(2,089	)	$	(491	)

			Net realized/unrealized gains (losses) included in
																									Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2012		Principal transactions		Other(1)(2)			Transfers Into Level 3		Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30, 2012
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	932	$	—	$	(13	)	$	—	$	(880	)	$	1,360	$	—	$	—		$	—		$	1,399	$	(9	)
Residential		2		—		—			—		—			309		—		—			—			311		(1	)
Commercial		6		—		—			—		(6	)		5		—		—			—			5		—
Total investment mortgage-backed securities	$	940	$	—	$	(13	)	$	—	$	(886	)	$	1,674	$	—	$	—		$	—		$	1,715	$	(10	)
U.S. Treasury and federal agency securities	$	—	$	—	$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	—	$	—
State and municipal		682		—		14			—		(151	)		126		—		(191	)		—			480		(7	)
Foreign government		375		—		13			80		(139	)		112		—		(110	)		(2	)		329		—
Corporate		1,062		—		(1	)		45		(696	)		42		—		(29	)		(2	)		421		5
Equity securities		1,326		—		4			—		—			—		—		(2	)		(148	)		1,180		2
Asset-backed securities		3,073		—		7			—		—			12		—		(43	)		(278	)		2,771		1
Other debt securities		55		—		—			—		—			—		—		—			—			55		—
Non-marketable equity securities		8,287		—		(17	)		—		—			129		—		(1,462	)		(659	)		6,278		(161	)
Total investments	$	15,800	$	—	$	7		$	125	$	(1,872	)	$	2,095	$	—	$	(1,837	)	$	(1,089	)	$	13,229	$	(170	)

			Net realized/unrealized gains (losses) included in
																											Unrealized gains (losses) still held(3)
In millions of dollars	Mar. 31, 2012		Principal transactions			Other(1)(2)			Transfers into Level 3		Transfers out of Level 3			Purchases			Issuances		Sales			Settlements			Jun. 30, 2012
Loans	$	4,278	$	—		$	(25	)	$	917	$	—		$	21		$	515	$	(87	)	$	(882	)	$	4,737	$	43
Mortgage servicing rights	$	2,691	$	—		$	(480	)	$	—	$	—					$	79				$	(173	)	$	2,117	$	(479	)
Other financial assets measured on a recurring basis	$	2,322	$	—		$	91		$	—	$	(30	)	$	1		$	353	$	(4	)	$	(358	)	$	2,375	$	86
Liabilities
Interest-bearing deposits	$	458	$	—		$	(15	)	$	130	$	—		$	—		$	172	$	—		$	(77	)	$	698	$	(109	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,025		(92	)		—			—		—			—			—		4			(76	)		1,045		118
Trading account liabilities
Securities sold, not yet purchased		177		12			—			1		(24	)		—			—		69			(63	)		148		1
Short-term borrowings		423		—			—			3		(2	)		—			69		—			(126	)		367		40
Long-term debt		6,519		219			52			190		(490	)		—			888		—			(884	)		5,952		(174	)
Other financial liabilities measured on a recurring basis		2		—			(1	)		—		—			(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 June 30, 2012.

(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			Jun. 30, 2012
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,701		$	65		$	—	$	25		$	(377	)	$	—	$	—	$	—		$	—		$	4,414		$	65
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	861		$	33		$	—	$	538		$	(345	)	$	255	$	45	$	(414	)	$	(78	)	$	895		$	(17	)
Residential		1,509			80			—		460			(300	)		1,317		—		(1,118	)		(3	)		1,945			(2	)
Commercial		618			(70	)		—		91			(188	)		315		—		(350	)		—			416			—
Total trading mortgage-backed securities	$	2,988		$	43		$	—	$	1,089		$	(833	)	$	1,887	$	45	$	(1,882	)	$	(81	)	$	3,256		$	(19	)
U.S. Treasury and federal agency securities	$	3		$	—		$	—	$	—		$	—		$	13	$	—	$	(3	)	$	—		$	13		$	—
State and municipal	$	252		$	17		$	—	$	—		$	(7	)	$	28	$	—	$	(67	)	$	—		$	223		$	2
Foreign government		521			4			—		12			(740	)		842		—		(306	)		—			333			(1	)
Corporate		3,240			9			—		348			(391	)		1,756		—		(1,399	)		(1,374	)		2,189			83
Equity securities		244			(71	)		—		19			(13	)		204		—		(142	)		(24	)		217			(14	)
Asset-backed securities		5,801			222			—		165			(61	)		3,660		—		(4,293	)		(659	)		4,835			(76	)
Other debt securities		2,743			22			—		640			(1,423	)		1,362		—		(881	)		(197	)		2,266			118
Total trading securities	$	15,792		$	246		$	—	$	2,273		$	(3,468	)	$	9,752	$	45	$	(8,973	)	$	(2,335	)	$	13,332		$	93
Trading derivatives, net(4)
Interest rate contracts		726			142			—		123			(119	)		216		—		(139	)		(330	)		619			(118	)
Foreign exchange contracts		(562	)		80			—		(82	)		46			188		—		(197	)		10			(517	)		71
Equity contracts		(1,737	)		199			—		(36	)		367			203		—		(335	)		(248	)		(1,587	)		(476	)
Commodity contracts		(934	)		(39	)		—		(5	)		45			73		—		(78	)		36			(902	)		(308	)
Credit derivatives		1,728			(1,452	)		—		(130	)		(59	)		114		—		(10	)		107			298			(1,424	)
Total trading derivatives, net(4)	$	(779	)	$	(1,070	)	$	—	$	(130	)	$	280		$	794	$	—	$	(759	)	$	(425	)	$	(2,089	)	$	(2,255	)

			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			Jun. 30, 2012
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	679	$	—	$	(4	)	$	—	$	(1,521	)	$	2,245	$	—	$	—		$	—		$	1,399	$	(8	)
Residential		8		—		—			—		(6	)		309		—		—			—			311		(2	)
Commercial		—		—		—			—		(6	)		11		—		—			—			5		—
Total investment mortgage-backed securities	$	687	$	—	$	(4	)	$	—	$	(1,533	)	$	2,565	$	—	$	—		$	—		$	1,715	$	(10	)
U.S. Treasury and federal agency securities	$	75	$	—	$	—		$	—	$	(75	)	$	—	$	—	$	—		$	—		$	—	$	—
State and municipal		667		—		13			—		(151	)		158		—		(207	)		—			480		(9	)
Foreign government		447		—		16			80		(156	)		201		—		(190	)		(69	)		329		1
Corporate		989		—		(5	)		45		(696	)		129		—		(36	)		(5	)		421		8
Equity securities		1,453		—		49			—		—			—		—		(174	)		(148	)		1,180		(6	)
Asset-backed securities		4,041		—		10			—		(43	)		12		—		(50	)		(1,199	)		2,771		1
Other debt securities		120		—		—			—		—			—		—		(64	)		(1	)		55		—
Non-marketable equity securities		8,318		—		179			—		—			267		—		(1,470	)		(1,016	)		6,278		73
Total investments	$	16,797	$	—	$	258		$	125	$	(2,654	)	$	3,332	$	—	$	(2,191	)	$	(2,438	)	$	13,229	$	58

			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			Jun. 30, 2012
Loans	$	4,682	$	—		$	(62	)	$	917	$	(25	)	$	107		$	515	$	(95	)	$	(1,302	)	$	4,737	$	54
Mortgage servicing rights	$	2,569	$	—		$	(293	)	$	—	$	—		$	2		$	221	$	(5	)	$	(377	)	$	2,117	$	(295	)
Other financial assets measured on a recurring basis	$	2,245	$	—		$	98		$	8	$	(31	)	$	2		$	629	$	(42	)	$	(534	)	$	2,375	$	99
Liabilities
Interest-bearing deposits	$	431	$	—		$	(20	)	$	213	$	—		$	—		$	180	$	—		$	(146	)	$	698	$	(329	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,061		(65	)		—			—		—			—			—		4			(85	)		1,045		118
Trading account liabilities
Securities sold, not yet purchased		412		(60	)		—			5		(31	)		—			—		140			(438	)		148		(53	)
Short-term borrowings		499		(56	)		—			3		(11	)		—			195		—			(375	)		367		38
Long-term debt		6,904		141			81			349		(906	)		—			1,175		—			(1,348	)		5,952		(332	)
Other financial liabilities measured on a recurring basis		3		—			(2	)		—		—			(2	)		1		—			(2	)		2		—

(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 June 30, 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 June 30, 2013	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,924	Cash flow	Interest rate		1.87	%		2.13	%		2.03	%
Trading and investment securities
Mortgage-backed securities	$	3,446	Price-based	Price	$	0.01		$	122.54		$	75.09
		1,634	Yield analysis	Yield		0.03	%		23.78	%		7.33	%
State and municipal, foreign government, corporate and other debt securities	$	4,096	Price-based	Price	$	0.00		$	123.97		$	81.67
		1,143	Cash flow	Credit spread		0 bps			600 bps			78.99 bps
				Yield		0.15	%		12.80	%		5.37	%
Equity securities	$	780	Cash flow	Yield		4.00	%		5.00	%		4.5	%
		186	Price-based	Weighted average life (WAL)		0.01 years			3.6 years			1.85 years
				Price(5)	$	0.00		$	923.26		$	44.62
Asset-backed securities	$	4,385	Price-based	Price	$	0.00		$	108.13		$	72.02
	$	1,301	Model-based
Non-marketable equity	$	2,866	Price-based	Fund NAV	$	611		$	494,842,539		$	156,238,214
		1,817	Comparables analysis	EBITDA multiples		4.4	x		17.5	x		9.69	x
		663	Cash flow	Price-to-book ratio		0.8	x		2.1	x		1.39	x
				Discount to price		0.00	%		75.00	%		7.29	%
				PE ratio		9.40	%		15.40	%		11.70	%
				Cost of capital		9.50	%		15.98	%		10.87	%
Derivatives—Gross(6)
Interest rate contracts (gross)	$	5,484	Model-based	Interest rate (IR) volatility		15.00	%		90.00	%
				Mean reversion		1.00	%		20.00	%
Foreign exchange contracts (gross)	$	2,316	Model-based	Foreign exchange (FX) volatility		4.00	%		20.00	%
				IR-FX correlation		40.00	%		60.00	%
				IR-IR correlation		40.00	%		40.00	%
Equity contracts (gross)(7)	$	4,143	Model-based	Equity volatility		12.65	%		72.53	%
				Equity-equity correlation		(81.33	)%		99.45	%
				Equity forward		84.92	%		116.70	%
				Equity-FX correlation		(75.00	)%		40.00	%
Commodity contracts (gross)	$	1,977	Model-based	Commodity volatility		3.00	%		124.00	%
				Commodity correlation		(75.00	)%		93.00	%
				Forward price		98.00	%		124.00	%
Credit derivatives (gross)	$	4,633	Model-based	Recovery rate		7.18	%		65.00	%
		1,517	Price-based	Price	$	0.00		$	114.15
				Credit correlation		5.00	%		95.00	%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)	$	145	Model-based	Redemption rate		43.55	%		99.50	%
		113	Price-based	EBITDA multiples		6.2	x		13.8	x
		84	Comparables analysis	PE ratio		10.3	x		10.3	x
				Price-to-book ratio		1.1	x		1.2	x
				Discount to price		0.00	%		30.00	%
Loans	$	2,022	Price-based	Price	$	0.25		$	105.20		$	88.48
		1,037	Yield analysis	Credit spread		48 bps			390.29 bps			110.31 bps
		665	Model-based	Yield		1.60	%		3.00	%		2.14	%
		596	Cash flow
Mortgage servicing rights	$	2,438	Cash flow	Yield		2.07	%		8.64	%		7.04	%
				WAL		3.89 years			9.33 years			6.23 years

        See footnotes on the next page.

As of June 30, 2013	Fair Value(1) (in millions)		Methodology	Input	Low(2)(3)			High(2)(3)			Weighted Average(4)
Liabilities
Interest-bearing deposits	$	831	Model-based	Equity volatility		13.93	%		52.62	%		26.48	%
				Equity-IR correlation		21.00	%		25.00	%		22.52	%
				Forward price		98.00	%		124.00	%		111.00	%
				Commodity correlation		(75.00	)%		93.00	%		9.00	%
				Commodity volatility		3.00	%		124.00	%		63.50	%
				Mean reversion		1.00	%		20.00	%		10.50	%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	806	Model-based	Interest rate		1.26	%		3.16	%		2.55	%
		200	Cash flow
Trading account liabilities
Securities sold, not yet purchased	$	285	Model-based	Credit spread		98 bps			250 bps			230 bps
		143	Price-based	Price	$	0.00		$	115.00		$	82.95
Short-term borrowings and long-term debt	$	5,160	Model-based	Price	$	0.25		$	113.69
		1,220	Price-based	Credit spread		16 bps			300 bps
		765	Yield analysis	Interest rate		4.00	%		10.00	%
				Equity volatility		10.55	%		72.13	%
				Equity forward		88.42	%		117.46	%
				Equity-FX correlation		(75.00	)%		40.00	%
				Equity-equity correlation		(81.33	)%		99.45	%
				IR-IR correlation		(51.00	)%		(51.00	)%

(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)

Where provided, weighted averages are calculated based on the fair value of the instrument.

(5)

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

(6)

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

(7)

Includes hybrid products.

As of December 31, 2012	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	$	4,786	Cash flow	Interest rate		1.09	%		1.50	%
Trading and investment securities
Mortgage-backed securities	$	4,402	Price-based	Price	$	0.00		$	135.00
		1,148	Yield analysis	Yield		0.00	%		25.84	%
				Prepayment period		2.16 years			7.84 years
State and municipal, foreign	$	4,416	Price-based	Price	$	0.00		$	159.63
government, corporate and		1,231	Cash flow	Yield		0.00	%		30.00	%
other debt securities		787	Yield analysis	Credit spread		35 bps			300 bps
Equity securities	$	792	Cash flow	Yield		9.00	%		10.00	%
		147	Price-based	Prepayment period		3 years			3 years
				Price	$	0.00		$	750.00
Asset-backed securities	$	4,253	Price-based	Price	$	0.00		$	136.63
		1,775	Internal model	Yield		0.00	%		27.00	%
		561	Cash flow	Credit correlation		15.00	%		90.00	%
				Weighted average life (WAL)		0.34 years			16.07 years
Non-marketable equity	$	2,768	Price-based	Fund NAV	$	1.00		$	456,773,838
		1,803	Comparables analysis	EBITDA multiples		4.70	x		14.39	x
				Price-to-book ratio		0.77	x		1.50	x
		709	Cash flow	Discount to price		0.00	%		75.00	%
Derivatives—Gross(4)
Interest rate contracts (gross)	$	3,202	Internal model	Interest rate (IR)-IR correlation		(98.00	)%		90.00	%
				Credit spread		0 bps			550.27 bps
				IR volatility		0.09	%		100.00	%
				Interest rate		0	%		15.00	%
Foreign exchange contracts (gross)	$	1,542	Internal model	Foreign exchange (FX) volatility		3.20	%		67.35	%
				IR-FX correlation		40.00	%		60.00	%
				Credit spread		0 bps			376 bps
Equity contracts (gross)(5)	$	4,669	Internal model	Equity volatility		1.00	%		185.20	%
				Equity forward		74.94	%		132.70	%
				Equity-equity correlation		1.00	%		99.90	%
Commodity contracts (gross)	$	2,160	Internal model	Forward price		37.45	%		181.50	%
				Commodity correlation		(77.00	)%		95.00	%
				Commodity volatility		5.00	%		148.00	%
Credit derivatives (gross)	$	4,777	Internal model	Price	$	0.00		$	121.16
		3,886	Price-based	Recovery rate		6.50	%		78.00	%
				Credit correlation		5.00	%		99.00	%
				Credit spread		0 bps			2,236 bps
				Upfront points		3.62			100.00
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(4)	$	2,000	External model	Price	$	100.00		$	100.00
		461	Internal model	Redemption rate		30.79	%		99.50	%
Loans	$	2,447	Price-based	Price	$	0.00		$	103.32
		1,423	Yield analysis	Credit spread		55 bps			600.19 bps
		888	Internal model
Mortgage servicing rights	$	1,858	Cash flow	Yield		0.00	%		53.19	%
				Prepayment period		2.16 years			7.84 years
Liabilities
Interest-bearing deposits	$	785	Internal model	Equity volatility		11.13	%		86.10	%
				Forward price		67.80	%		182.00	%
				Commodity correlation		(76.00	)%		95.00	%
				Commodity volatility		5.00	%		148.00	%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	841	Internal model	Interest rate		0.33	%		4.91	%
Trading account liabilities
Securities sold, not yet purchased	$	265	Internal model	Price	$	0.00		$	166.47
		75	Price-based
Short-term borrowings and long-term debt	$	5,067	Internal model	Price	$	0.00		$	121.16
		1,112	Price-based	Equity volatility		12.40	%		185.20	%
		649	Yield analysis	Equity forward		75.40	%		132.70	%
				Equity-equity correlation		1.00	%		99.90	%
				Equity-FX correlation		(80.50	)%		50.40	%

(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)

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

(5)

Includes hybrid products.

Items measured at fair value of a nonrecurring basis

In millions of dollars	Fair value		Level 2		Level 3
June 30, 2013
Loans held-for-sale	$	4,764	$	3,931	$	833
Other real estate owned		168		26		142
Loans(1)		4,758		4,095		663
Total assets at fair value on a nonrecurring basis	$	9,690	$	8,052	$	1,638

(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.

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 then-remaining 35% investment in the Morgan Stanley Smith Barney joint venture whose carrying amount was the agreed purchase price. See Note 12 to the Consolidated Financial Statements.

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

As of June 30, 2013	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	800	Price-based	Price	$	35.00		$	100.00		$	93.00
				Discount to price		11.00	%		24.00	%		20.00	%
Other real estate owned	$	136	Price-based	Discount to price		24.00	%		57.00	%		35.39	%
				Price	$	54.63		$	100.00		$	98.05
				Appraised value	$	0.00		$	5,000,000		$	472,023
Loans(3)	$	381	Price-based	Appraised value	$	433,649		$	133,074,154		$	58,648,490
		131	Model-based	Discount to price		24.00	%		34.00	%		31.55	%
		77	Recovery analysis	Recovery rate		45.00	%		65.00	%		53.80	%

(1)

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

(2)

Weighted averages are calculated based on the fair value of the instrument.

(3)

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

As of December 31, 2012	Fair Value(1) (in millions)		Methodology	Input	Low			High
Loans held-for-sale	$	747	Price-based	Price	$	63.42		$	100.00
		485	External model	Credit spread		40 bps			40 bps
		174	Recovery analysis
Other real estate owned		165	Price-based	Discount to price		11.00	%		50.00	%
				Price(2)	$	39,774		$	15,457,452
Loans(3)		351	Price-based	Discount to price		25.00	%		34.00	%
		111	Internal model	Price(2)	$	6,272,242		$	86,200,000
				Discount rate		6.00	%		16.49	%

(1)

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

(2)

Prices are based on appraised values.

(3)

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 June 30,
In millions of dollars	2013			2012
Loans held-for-sale	$	(63	)	$	(52	)
Other real estate owned		(6	)		(11	)
Loans(1)		(177	)		(138	)
Total nonrecurring fair value gains (losses)	$	(246	)	$	(201	)

(1)

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

	Six months ended June 30,
In millions of dollars	2013			2012
Loans held-for-sale	$	(63	)	$	(51	)
Other real estate owned		(10	)		(19	)
Loans(1)		(343	)		(677	)
Total nonrecurring fair value gains (losses)	$	(416	)	$	(747	)

(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

	June 30, 2013
					Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	17.2	$	17.7	$	4.1	$	12.4	$	1.2
Federal funds sold and securities borrowed or purchased under agreements to resell		99.0		99.0		—		90.6		8.4
Loans(1)(2)		614.5		605.1		—		4.6		600.5
Other financial assets(2)(3)		257.0		257.0		11.1		182.0		63.9
Liabilities
Deposits	$	936.9	$	935.1	$	—	$	759.2	$	175.9
Federal funds purchased and securities loaned or sold under agreements to repurchase		97.7		97.7		—		93.1		4.6
Long-term debt(4)		193.8		199.4		—		142.8		56.6
Other financial liabilities(5)		146.9		146.9		—		23.3		123.6

	December 31, 2012
					Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					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 $21.6 billion for June 30, 2013 and $25.5 billion for December 31, 2012. In addition, the carrying values exclude $2.8 billion and $2.8 billion of lease finance receivables at June 30, 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.