FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2013

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

Fair Value Levels

In millions of dollars at September 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	$	—	$	228,301	$	3,767	$	232,068	$	(57,053	)	$	175,015
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	25,593	$	1,240	$	26,833	$	—		$	26,833
Residential		—		1,291		2,695		3,986		—			3,986
Commercial		—		1,735		379		2,114		—			2,114
Total trading mortgage-backed securities	$	—	$	28,619	$	4,314	$	32,933	$	—		$	32,933
U.S. Treasury and federal agency securities	$	16,267	$	4,718	$	54	$	21,039	$	—		$	21,039
State and municipal		—		3,365		255		3,620		—			3,620
Foreign government		53,506		25,870		242		79,618		—			79,618
Corporate		—		29,623		1,401		31,024		—			31,024
Equity securities		50,389		2,652		557		53,598		—			53,598
Asset-backed securities		—		1,405		4,068		5,473		—			5,473
Other debt securities		—		9,843		2,825		12,668		—			12,668
Total trading securities	$	120,162	$	106,095	$	13,716	$	239,973	$	—		$	239,973
Trading account derivatives
Interest rate contracts		39		665,957		3,755		669,751
Foreign exchange contracts		31		85,317		1,363		86,711
Equity contracts		5,940		18,247		1,011		25,198
Commodity contracts		750		8,588		701		10,039
Credit derivatives		—		41,907		3,135		45,042
Total trading account derivatives	$	6,760	$	820,016	$	9,965	$	836,741
Gross cash collateral paid(3)							$	5,349
Netting agreements									$	(755,725	)
Netting of cash collateral received										(34,616	)
Total trading account derivatives	$	6,760	$	820,016	$	9,965	$	842,090	$	(790,341	)	$	51,749
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	43,468	$	124	$	43,592	$	—		$	43,592
Residential		—		10,476		—		10,476		—			10,476
Commercial		—		414		4		418		—			418
Total investment mortgage-backed securities	$	—	$	54,358	$	128	$	54,486	$	—		$	54,486
U.S. Treasury and federal agency securities	$	62,455	$	20,141	$	9	$	82,605	$	—		$	82,605

In millions of dollars at September 30, 2013	Level 1(1)			Level 2(1)			Level 3			Gross inventory			Netting(2)			Net balance
State and municipal	$	—		$	17,271		$	726		$	17,997		$	—		$	17,997
Foreign government		36,965			55,991			326			92,282			—			92,282
Corporate		5			11,063			472			11,540			—			11,540
Equity securities		2,934			594			799			4,327			—			4,327
Asset-backed securities		—			14,431			1,843			16,274			—			16,274
Other debt securities		—			366			—			366			—			366
Non-marketable equity securities		—			333			5,102			5,435			—			5,435
Total investments	$	101,359		$	174,548		$	9,405		$	285,312		$	—		$	285,312
Loans(4)	$	—		$	865		$	4,333		$	5,198		$	—		$	5,198
Mortgage servicing rights		—			—			2,580			2,580			—			2,580
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	11,472		$	270		$	11,742
Cash collateral paid										$	326
Netting of cash collateral received													$	(3,384	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	11,472		$	270		$	12,068		$	(3,384	)	$	8,684
Total assets	$	228,281		$	1,341,297		$	44,036		$	1,619,289		$	(850,778	)	$	768,511
Total as a percentage of gross assets(5)		14.2	%		83.1	%		2.7	%		100.0	%
Liabilities
Interest-bearing deposits		—			779			868			1,647			—			1,647
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			175,585			895			176,480			(57,053	)		119,427
Trading account liabilities
Securities sold, not yet purchased		61,123			10,306			476			71,905						71,905
Trading account derivatives
Interest rate contracts		31			653,656			2,420			656,107
Foreign exchange contracts		4			86,077			962			87,043
Equity contracts		5,654			26,235			2,342			34,231
Commodity contracts		680			9,107			1,198			10,985
Credit derivatives		—			41,544			3,175			44,719
Total trading account derivatives	$	6,369		$	816,619		$	10,097		$	833,085
Cash collateral received(6)											8,985
Netting agreements													$	(755,725	)
Netting of cash collateral paid														(36,202	)
Total trading account derivatives	$	6,369		$	816,619		$	10,097		$	842,070		$	(791,927	)	$	50,143
Short-term borrowings		—			4,332			163			4,495			—			4,495
Long-term debt		—			20,451			6,173			26,624			—			26,624
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,132		$	17		$	2,149
Cash collateral received(7)										$	276
Total nontrading derivatives and other financial liabilities measured on a recurring basis		—			2,132			17			2,425						2,425
Total liabilities	$	67,492		$	1,030,204		$	18,689		$	1,125,646		$	(848,980	)	$	276,666
Total as a percentage of gross liabilities(5)		6.0	%		92.3	%		1.7	%		100.0	%

(1)

For the three and nine months ended September 30, 2013, the Company transferred assets of approximately $47 million and $1.0 billion, respectively, from Level 1 to Level 2. During the three and nine months ended September 30, 2013, the Company transferred assets of approximately $33 million and $49.1 billion, respectively, from Level 2 to Level 1. Almost all of the transfers during the nine months ended September 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 nine months ended September 30, 2013, the Company transferred liabilities of $2 million and $27 million, respectively, from Level 1 to Level 2, and $5 million and $60 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 $41,551 million of gross cash collateral paid, of which $36,202 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 $43,601 million of gross cash collateral received, of which $34,616 million was used to offset derivative assets.

(7)

This is the net amount of the $3,660 million of gross cash collateral received, of which $3,384 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									$	(970,782	)
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 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 and $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 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) incl. in
								Transfers
																									Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2013		Principal transactions			Other(1)(2)		into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2013
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,177	$	70		$	—	$	29	$	(534	)	$	25	$	—	$	—		$	—		$	3,767	$	(5	)
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,704	$	43		$	—	$	295	$	(453	)	$	160	$	6	$	(320	)	$	(195	)	$	1,240	$	4
Residential		2,938		99			—		61		(132	)		1,049		—		(1,320	)		—			2,695		16
Commercial		326		24			—		109		(54	)		58		—		(84	)		—			379		(48	)
Total trading mortgage-backed securities	$	4,968	$	166		$	—	$	465	$	(639	)	$	1,267	$	6	$	(1,724	)	$	(195	)	$	4,314	$	(28	)
U.S. Treasury and federal agency securities	$	—	$	—		$	—	$	54	$	—		$	—	$	—	$	—		$	—		$	54	$	2
State and municipal		241		9			—		2		—			11		—		(8	)		—			255		4
Foreign government		240		(3	)		—		7		—			83		—		(85	)		—			242		1
Corporate		1,688		62			—		129		(240	)		408		—		(642	)		(4	)		1,401		44
Equity securities		190		(38	)		—		132		(25	)		331		—		(33	)		—			557		72
Asset-backed securities		4,259		99			—		14		(88	)		748		—		(964	)		—			4,068		100
Other debt securities		2,276		59			—		2		(84	)		721		—		(98	)		(51	)		2,825		12
Total trading securities	$	13,862	$	354		$	—	$	805	$	(1,076	)	$	3,569	$	6	$	(3,554	)	$	(250	)	$	13,716	$	207

				Net realized/unrealized gains (losses) incl. in
										Transfers
																													Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2013			Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2013
Trading derivatives, net(4)
Interest rate contracts		1,083			232			—			(47	)		(121	)		65		—		(33	)		156			1,335			530
Foreign exchange contracts		367			39			—			(1	)		(9	)		6		—		(1	)		—			401			(15	)
Equity contracts		(1,092	)		(224	)		—			(13	)		(46	)		60		—		(69	)		53			(1,331	)		(814	)
Commodity contracts		(218	)		(223	)		—			(12	)		32			—		—		—			(76	)		(497	)		(332	)
Credit derivatives		(41	)		(108	)		—			24			(6	)		7		—		—			84			(40	)		(475	)
Total trading derivatives, net(4)	$	99		$	(284	)	$	—		$	(49	)	$	(150	)	$	138	$	—	$	(103	)	$	217		$	(132	)	$	(1,106	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	420		$	—		$	(12	)	$	80		$	(371	)	$	44	$	—	$	(37	)	$	—		$	124		$	9
Residential		—			—			—			—			—			—		—		—			—			—			—
Commercial		3			—			—			1			—			—		—		—			—			4			—
Total investment mortgage-backed securities	$	423		$	—		$	(12	)	$	81		$	(371	)	$	44	$	—	$	(37	)	$	—		$	128		$	9
U.S. Treasury and federal agency securities	$	9		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	9		$	—
State and municipal		684			—			6			5			—			54		—		(23	)		—			726			2
Foreign government		367			—			3			63			(55	)		105		—		(140	)		(17	)		326			(28	)
Corporate		404			—			17			42			—			85		—		(75	)		(1	)		472			8
Equity securities		779			—			34			—			(1	)		—		—		(13	)		—			799			33
Asset-backed securities		1,758			—			14			—			—			180		—		(14	)		(95	)		1,843			29
Other debt securities		51			—			—			—			—			—		—		(51	)		—			—			—
Non-marketable equity securities		5,363			—			111			—			—			68		—		—			(440	)		5,102			100
Total investments	$	9,838		$	—		$	173		$	191		$	(427	)	$	536	$	—	$	(353	)	$	(553	)	$	9,405		$	153

			Net realized/unrealized gains (losses) incl. in
									Transfers
																										Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2013		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2013
Loans	$	4,321	$	—		$	(19	)	$	—	$	—		$	—	$	631	$	—		$	(600	)	$	4,333	$	(33	)
Mortgage servicing rights	$	2,524	$	—		$	(6	)	$	—	$	—		$	—	$	166	$	—		$	(104	)	$	2,580	$	(10	)
Other financial assets measured on a recurring basis	$	245	$	—		$	45		$	—	$	—		$	—	$	107	$	(31	)	$	(96	)	$	270	$	41
Liabilities
Interest-bearing deposits	$	831	$	—		$	(19	)	$	—	$	—		$	—	$	23	$	—		$	(5	)	$	868	$	(8	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,007		14			—			15		—			—		—		—			(113	)		895		6
Trading account liabilities
Securities sold, not yet purchased		450		40			—			30		(10	)		—		—		182			(136	)		476		—
Short-term borrowings		335		(1	)		—			2		—			—		25		—			(200	)		163		(42	)
Long-term debt		6,811		(309	)		44			375		(1,016	)		—		54		—			(316	)		6,173		(349	)
Other financial liabilities measured on a recurring basis		95		—			(23	)		—		—			—		10		—			(111	)		17		(23	)

(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 September 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) incl. in					Transfers
In millions of dollars	Dec. 31, 2012			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2013			Unrealized gains (losses) still held(3)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	5,043		$	(93	)	$	—	$	627		$	(1,852	)	$	42	$	—	$	—		$	—		$	3,767		$	476
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,325		$	119		$	—	$	1,032		$	(1,158	)	$	1,129	$	61	$	(1,027	)	$	(241	)	$	1,240			47
Residential		1,805			457			—		378			(344	)		2,947		—		(2,541	)		(7	)		2,695			107
Commercial		1,119			116			—		264			(238	)		204		—		(1,069	)		(17	)		379			7
Total trading mortgage-backed securities	$	4,249		$	692		$	—	$	1,674		$	(1,740	)	$	4,280	$	61	$	(4,637	)	$	(265	)	$	4,314		$	161
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	54		$	—		$	—	$	—	$	—		$	—		$	54		$	2
State and municipal		195			28			—		2			—			86		—		(56	)		—			255			2
Foreign government		311			(5	)		—		60			(61	)		200		—		(263	)		—			242			1
Corporate		2,030			32			—		267			(340	)		1,787		—		(1,461	)		(914	)		1,401			(375	)
Equity securities		264			(34	)		—		180			(184	)		471		—		(140	)		—			557			347
Asset-backed securities		4,453			467			—		100			(143	)		3,780		—		(4,372	)		(217	)		4,068			80
Other debt securities		2,321			165			—		510			(1,082	)		2,254		—		(1,094	)		(249	)		2,825			6
Total trading securities	$	13,823		$	1,345		$	—	$	2,847		$	(3,550	)	$	12,858	$	61	$	(12,023	)	$	(1,645	)	$	13,716		$	224
Trading derivatives, net(4)
Interest rate contracts		181			544			—		702			(13	)		208		—		(115	)		(172	)		1,335		$	1,430
Foreign exchange contracts		—			350			—		29			(6	)		21		—		(9	)		16			401			(183	)
Equity contracts		(1,448	)		37			—		(37	)		300			176		—		(125	)		(234	)		(1,331	)		(1,652	)
Commodity contracts		(771	)		188			—		(5	)		37			15		—		(25	)		64			(497	)		108
Credit derivatives		(342	)		(254	)		—		134			(184	)		19		—		—			587			(40	)		(444	)
Total trading derivatives, net(4)	$	(2,380	)	$	865		$	—	$	823		$	134		$	439	$	—	$	(274	)	$	261		$	(132	)	$	(741	)

			Net realized/unrealized gains (losses) incl. in					Transfers
In millions of dollars	Dec. 31, 2012		Principal transactions		Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2013		Unrealized gains (losses) still held(3)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,458	$	—	$	(10	)	$	1,977	$	(3,721	)	$	514	$	—	$	(37	)	$	(57	)	$	124	$	9
Residential		205		—		23			60		(265	)		117		—		(140	)		—			—		—
Commercial		—		—		—			4		(12	)		12		—		—			—			4		—
Total investment mortgage-backed securities	$	1,663	$	—	$	13		$	2,041	$	(3,998	)	$	643	$	—	$	(177	)	$	(57	)	$	128	$	9
U.S. Treasury and federal agency securities	$	12	$	—	$	—		$	—	$	—		$	—	$	—	$	(3	)	$	—		$	9		—
State and municipal		849		—		4			12		(117	)		261		—		(158	)		(125	)		726		(3	)
Foreign government		383		—		(1	)		168		(256	)		394		—		(291	)		(71	)		326		(36	)
Corporate		385		—		14			333		(116	)		101		—		(222	)		(23	)		472		4
Equity securities		773		—		31			17		(1	)		1		—		(22	)		—			799		30
Asset-backed securities		2,220		—		64			1,192		(1,684	)		1,105		—		(31	)		(1,023	)		1,843		4
Other debt securities		258		—		—			—		(205	)		—		—		(53	)		—			—		—
Non-marketable equity securities		5,364		—		289			—		—			621		—		(83	)		(1,089	)		5,102		271
Total investments	$	11,907	$	—	$	414		$	3,763	$	(6,377	)	$	3,126	$	—	$	(1,040	)	$	(2,388	)	$	9,405	$	279

			Net realized/unrealized gains (losses) incl. in					Transfers
In millions of dollars	Dec. 31, 2012		Principal transactions		Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Sep. 30, 2013		Unrealized gains (losses) still held(3)
Loans	$	4,931	$	—	$	(97	)	$	353	$	—		$	59		$	644	$	(6	)	$	(1,551	)	$	4,333	$	(99	)
Mortgage servicing rights	$	1,942	$	—	$	411		$	—	$	—		$	—		$	543	$	(1	)	$	(315	)	$	2,580		181
Other financial assets measured on a recurring basis	$	2,452	$	—	$	51		$	1	$	—		$	216		$	447	$	(2,041	)	$	(856	)	$	270		266
Liabilities
Interest-bearing deposits	$	786	$	—	$	(86	)	$	22	$	—		$	—		$	86	$	—		$	(112	)	$	868		(298	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		841		74		—			216		(15	)		—			—		40			(113	)		895		35
Trading account liabilities
Securities sold, not yet purchased		365		51		—			54		(21	)		—			—		358			(229	)		476		132
Short-term borrowings		112		25		—			2		(4	)		—			316		—			(238	)		163		(40	)
Long-term debt		6,726		62		113			1,740		(2,030	)		—			959		(1	)		(1,046	)		6,173		(1,027	)
Other financial liabilities measured on a recurring basis		24		—		(208	)		5		(2	)		(3	)		100		—			(315	)		17		(26	)

(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 September 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) incl. in
									Transfers
																												Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2012			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2012
Assets
Federal 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	)
Residential		1,945			116			—		243			(78	)		84		—		(435	)		(4	)		1,871			18
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	$	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	)

			Net realized/unrealized gains (losses) incl. in
								Transfers
																									Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2012		Principal transactions		Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2012
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,399	$	—	$	10		$	472	$	(1,257	)	$	580	$	—	$	—		$	—		$	1,204	$	55
Residential		11		—		3			203		—			37		—		(11	)		—			243		—
Commercial		5		—		—			—		(5	)		—		—		—			—			—		—
Total investment mortgage-backed securities	$	1,415	$	—	$	13		$	675	$	(1,262	)	$	617	$	—	$	(11	)	$	—		$	1,447	$	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	$	12,929	$	—	$	61		$	1,243	$	(1,355	)	$	1,764	$	—	$	(1,921	)	$	(630	)	$	12,091	$	(50	)

			Net realized/unrealized gains (losses) incl. in
									Transfers
																										Unrealized gains (losses) still held(3)
In millions of dollars	Jun. 30, 2012		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2012
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	)

(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 September 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) incl. in
									Transfers
																												Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2012
Assets
Federal 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	)
Residential		1,509			196			—		703			(378	)		1,401		—		(1,553	)		(7	)		1,871			13
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	$	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	)

			Net realized/unrealized gains (losses) incl. in
								Transfers
																									Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011		Principal transactions		Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2012
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	679	$	—	$	6		$	472	$	(2,778	)	$	2,825	$	—	$	—		$	—		$	1,204	$	55
Residential		8		—		3			203		(6	)		46		—		(11	)		—			243		—
Commercial		—		—		—			—		(11	)		11		—		—			—			—		—
Total investment mortgage-backed securities	$	687	$	—	$	9		$	675	$	(2,795	)	$	2,882	$	—	$	(11	)	$	—		$	1,447	$	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		—
Non-marketable equity securities		8,318		—		411			—		—			343		—		(3,204	)		(1,084	)		4,784		139
Total investments	$	16,797	$	—	$	319		$	1,368	$	(4,009	)	$	4,796	$	—	$	(4,112	)	$	(3,068	)	$	12,091	$	216

			Net realized/unrealized gains (losses) incl. in
									Transfers
																											Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Sep. 30, 2012
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	)

(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 September 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

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

As of September 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	$	3,491	Cash flow	Interest rate		1.14	%		2.17	%		1.87	%
				Yield		1.60	%		4.50	%		2.10	%
Trading and investment securities	$	2,906	Price-based	Price	$	0.10		$	149.16		$	75.75
Mortgage-backed securities		1,231	Yield analysis	Yield		0.01	%		23.17	%		6.37	%
State and municipal, foreign government, corporate and other debt securities	$	4,393	Price-based	Price	$	0.00		$	116.75		$	79.10
		1,109	Cash flow	Credit spread		25 bps			600 bps			256 bps
Equity securities	$	814	Cash flow	Weighted-average life (WAL)		0.01 years			3.53 years			1.37 years
		534	Price-based	Yield		4.00	%		5.00	%		4.50	%
				Price(5)	$	0.00		$	100.00		$	72.79
Asset-backed securities	$	4,337	Price-based	Price	$	0.00		$	133.32		$	69.17
		1,271	Model-based	Credit spread		298 bps			298 bps			298 bps
Non-marketable equity	$	2,739	Price-based	Fund NAV	$	612		$	511,647,716		$	170,404,146
		1,726	Comparables analysis	EBITDA Multiples		4.30	x		18.30	x		9.56	x
		510	Cash flow	Discount to price		0.00	%		75.00	%		2.87	%
				Price-to-book ratio		0.80	x		2.50	x		1.54	x
				PE ratio		9.90	x		16.90	x		12.55	x
				Cost of capital		9.50	%		15.98	%		10.96	%
Derivatives—Gross(6)
Interest rate contracts (gross)	$	6,014	Model-based	Interest rate (IR) volatility		11.00	%		90.00	%		20.79	%
Foreign exchange contracts (gross)	$	2,228	Model-based	Foreign exchange (FX) volatility		4.00	%		21.00	%		12.59	%
				IR-IR correlation		39.51	%		61.76	%		40.30	%
				IR-FX correlation		40.00	%		60.00	%		48.51	%
Equity contracts (gross)(7)	$	3,182	Model-based	Equity volatility		4.96	%		72.72	%		27.95	%
				Equity forward		85.98	%		155.88	%		101.54	%
				Equity-equity correlation		(81.30	)%		99.40	%		27.00	%
				Equity-FX correlation		(67.50	)%		45.00	%		(7.10	)%
				Price	$	0.00		$	141.71		$	80.03
Commodity contracts (gross)	$	1,888	Model-based	Commodity volatility		5.00	%		124.00	%		16.00	%
				Commodity correlation		(75.00	)%		91.00	%		30.00	%
				Forward price		30.00	%		186.00	%		108.00	%
Credit derivatives (gross)	$	4,658	Model-based	Recovery rate		20.00	%		65.00	%		39.76	%
		1,645	Price-based	Price	$	0.00		$	116.75		$	36.16
				Credit correlation		5.00	%		95.00	%		45.19	%
				Credit spread		0 bps			1,496 bps			276 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)	$	122	Model-based	Redemption rate		19.19	%		99.50	%		77.54	%
		83	Price-based	EBITDA multiples		6.80	x		13.80	x		12.03	x
		81	Comparables analysis	PE ratio		8.90	x		8.90	x		8.90	x
				Price-to-book ratio		0.70	x		1.10	x		1.02	x
				Price	$	0.01		$	100.00		$	100.00
Loans	$	1,904	Price-based	Price	$	0.13		$	104.76		$	90.09
		1,134	Cash flow	Credit spread		4 bps			400 bps			104 bps
		769	Model-based	Yield		1.60	%		4.50	%		2.10	%
		526	Yield analysis
Mortgage servicing rights	$	2,488	Cash flow	Yield		2.96	%		12.00	%		8.61	%
				WAL		2.27 years			9.39 years			5.95 years

Liabilities
Interest-bearing deposits	$	868	Model-based	Equity volatility		4.96	%		46.92	%		28.57	%
				Equity-IR correlation		15.00	%		19.00	%		18.33	%
				Mean reversion		1.00	%		20.00	%		10.50	%
				Forward price		30.00	%		186.00	%		108.00	%
				Commodity correlation		(75.00	)%		91.00	%		30.00	%
				Commodity volatility		5.00	%		124.00	%		16.00	%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	695	Model-based	Interest rate		0.43	%		3.37	%		2.45	%
		200	Cash flow
Trading account liabilities
Securities sold, not yet purchased	$	450	Price-based	Credit spread		81 bps			245 bps			231 bps
				Price	$	0.00		$	107.64		$	77.84
Short-term borrowings and long-term debt	$	5,154	Model-based	Price	$	0.13		$	112.41		$	87.06
		711	Price-based	IR-IR correlation		(51.00	)%		(51.00	)%		(51.00	)%
				IR volatility		11.00	%		90.00	%		21.00	%
				Interest rate		0.05	%		16.00	%		1.74	%
				Equity volatility		10.28	%		76.79	%		21.38	%
				Equity forward		87.80	%		106.30	%		99.91	%
				Equity-FX correlation		(67.50	)%		45.00	%		(7.10	)%
				Equity-equity correlation		(81.30	)%		99.40	%		27.00	%

(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 other		1,231	Cash flow	Yield		0.00	%		30.00	%
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		(98.00	)%		90.00	%
				correlation
				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
September 30, 2013
Loans held-for-sale	$	3,239	$	1,968	$	1,271
Other real estate owned		162		37		125
Loans(1)		4,543		3,963		580
Total assets at fair value on a nonrecurring basis	$	7,944	$	5,968	$	1,976

(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 September 30, 2013	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	1,160	Price-based	Price	$	60.00		$	104.95		$	95.84
Other real estate owned	$	121	Price-based	Discount to price		24.00	%		59.00	%		33.43	%
				Price	$	0.01		$	111.50		$	100.03
				Appraised value	$	0.00		$	2,801,660		$	1,324,975
Loans(3)	$	354	Price-based	Appraised value	$	6,500,000		$	195,314,528		$	117,837,538
		132	Model-based	Discount to price		24.00	%		34.00	%		32.69	%
		74	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 September 30,
In millions of dollars	2013			2012
Loans held-for-sale	$	(44	)	$	(12	)
Other real estate owned		(1	)		(7	)
Loans(1)		(186	)		(957	)
Other assets(2)		—			(3,340	)
Total nonrecurring fair value gains (losses)	$	(231	)	$	(4,316	)

(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)

The three months ended September 30, 2012 includes the recognition of a $3,340 million impairment charge related to the carrying value of Citi's then-remaining 35% interest in the Morgan Stanley Smith Barney joint venture (MSSB). See note 12 to the Consolidated Financial Statements.

	Nine months ended September 30,
In millions of dollars	2013			2012
Loans held-for-sale	$	(44	)	$	(11	)
Other real estate owned		(6	)		(22	)
Loans(1)		(444	)		(1,461	)
Other assets(2)		—			(3,340	)
Total nonrecurring fair value gains (losses)	$	(494	)	$	(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)

The nine months ended September 30, 2012 includes the recognition of a $3,340 million impairment charge related to the carrying value of Citi's then-remaining 35% interest in MSSB. See note 12 to the Consolidated Financial Statements.

Estimated Fair Value of Financial Instruments

	September 30, 2013
					Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	18.2	$	18.7	$	5.3	$	12.5	$	0.9
Federal funds sold and securities borrowed or purchased under agreements to resell		98.7		98.7		—		88.1		10.6
Loans(1)(2)		629.0		618.5		—		4.7		613.8
Other financial assets(2)(3)		260.9		260.9		10.7		196.8		53.4
Liabilities
Deposits	$	953.8	$	952.4	$	—	$	775.1	$	177.3
Federal funds purchased and securities loaned or sold under agreements to repurchase		97.0		97.0		—		92.1		4.9
Long-term debt(4)		195.0		201.5		—		176.3		25.2
Other financial liabilities(5)		141.5		141.5		—		23.7		117.8

	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 $20.6 billion for September 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 September 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.