FAIR VALUE MEASUREMENT (Tables)

12 Months Ended

Dec. 31, 2012

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

Fair Value Levels
									Gross					Net
In millions of dollars at December 31, 2012	Level 1		(1)	Level 2		(1)	Level 3		inventory		Netting		(2)	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		$	901,809		$	1,710	$	903,521
Foreign exchange contracts		18			75,712			902		76,632
Equity contracts		2,359			14,193			1,741		18,293
Commodity contracts		410			9,802			695		10,907
Credit derivatives		—			50,109			4,166		54,275
Total trading account derivatives	$	2,789		$	1,051,625		$	9,214	$	1,063,628
Gross cash collateral paid										61,152
Netting agreements and market value adjustments											$	(1,070,160	)
Total trading account derivatives	$	2,789		$	1,051,625		$	9,214	$	1,124,780	$	(1,070,160	)	$	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

										Gross						Net
In millions of dollars at December 31, 2012	Level 1		(1)	Level 2		(1)	Level 3			inventory			Netting		(2)	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
Gross cash collateral paid											214
Netting agreements and market value adjustments													$	(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		$	1,619,372		$	49,312		$	1,914,061		$	(1,117,552	)	$	796,509
Total as a percentage of gross assets (4)		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			891,138			1,529			892,668
Foreign exchange contracts		10			81,209			902			82,121
Equity contracts		2,664			26,014			3,189			31,867
Commodity contracts		317			10,359			1,466			12,142
Credit derivatives		—			47,792			4,508			52,300
Total trading account derivatives	$	2,992		$	1,056,512		$	11,594		$	1,071,098
Gross cash collateral received											46,833
Netting agreements and market value adjustments													$	(1,066,180	)
Total trading account derivatives	$	2,992		$	1,056,512		$	11,594		$	1,117,931		$	(1,066,180	)	$	51,751
Short-term borrowings		—			706			112			818			—			818
Long-term debt		—			23,038			6,726			29,764			—			29,764
Nontrading derivatives and other financial liabilities measured
on a recurring basis, gross	$	—		$	2,228		$	24		$	2,252
Gross cash collateral received										$	5,318
Netting agreements and market value adjustments													$	(4,660	)
Nontrading derivatives and other financial liabilities measured
on a recurring basis	$	—		$	2,228		$	24		$	7,570		$	(4,660	)	$	2,910
Total liabilities	$	58,137		$	1,250,013		$	20,448		$	1,380,749		$	(1,113,572	)	$	267,177
Total as a percentage of gross liabilities (4)		4.4	%		94.1	%		1.5	%		100.0	%

(1)	For the year ended December 31, 2012, the Company transferred assets of $1.7 billion from Level 1 to Level 2, primarily related to foreign government bonds, which were not traded with enough frequency to constitute an active market. During the year ended December 31, 2012, the Company transferred assets of $1.2 billion from Level 2 to Level 1 primarily related to foreign government bonds, which were traded with sufficient frequency to constitute an active market. During the year ended December 31, 2012, the Company transferred liabilities of $70 million, from Level 1 to Level 2, and liabilities of $150 million from Level 2 to Level 1.
(2)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement, cash collateral and the market value adjustment.
(3)	There is no allowance for loan losses recorded for loans reported at fair value.
(4)	Percentage is calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding collateral paid/received on derivatives.

Fair Value Levels
							Gross					Net
In millions of dollars at December 31, 2011	Level 1		Level 2		Level 3		inventory		Netting		(1)	balance
Assets
Federal funds sold and securities borrowed or purchased under
agreements to resell	$	—	$	188,034	$	4,701	$	192,735	$	(49,873	)	$	142,862
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	26,674	$	861	$	27,535	$	—		$	27,535
Residential		—		1,362		1,509		2,871		—			2,871
Commercial		—		1,715		618		2,333		—			2,333
Total trading mortgage-backed securities	$	—	$	29,751	$	2,988	$	32,739	$	—		$	32,739
U.S. Treasury and federal agency securities	$	15,612	$	3,784	$	3	$	19,399	$	—		$	19,399
State and municipal		—		5,112		252		5,364		—			5,364
Foreign government		52,429		26,601		521		79,551		—			79,551
Corporate		—		33,786		3,240		37,026		—			37,026
Equity securities		29,707		3,279		244		33,230		—			33,230
Asset-backed securities		—		1,270		5,801		7,071		—			7,071
Other debt securities		—		12,284		2,743		15,027		—			15,027
Total trading securities	$	97,748	$	115,867	$	15,792	$	229,407	$	—		$	229,407
Trading account derivatives
Interest rate contracts	$	67	$	755,473	$	1,947	$	757,487
Foreign exchange contracts		—		93,536		781		94,317
Equity contracts		2,240		16,376		1,619		20,235
Commodity contracts		958		11,940		865		13,763
Credit derivatives		—		81,123		9,301		90,424
Total trading account derivatives	$	3,265	$	958,448	$	14,513	$	976,226
Gross cash collateral paid								57,815
Netting agreements and market value adjustments									$	(971,714	)
Total trading account derivatives	$	3,265	$	958,448	$	14,513	$	1,034,041	$	(971,714	)	$	62,327
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	59	$	45,043	$	679	$	45,781	$	—		$	45,781
Residential		—		4,764		8		4,772		—			4,772
Commercial		—		472		—		472		—			472
Total investment mortgage-backed securities	$	59	$	50,279	$	687	$	51,025	$	—		$	51,025
U.S. Treasury and federal agency securities	$	11,642	$	73,421	$	75	$	85,138	$	—		$	85,138

										Gross						Net
In millions of dollars at December 31, 2011	Level 1			Level 2			Level 3			inventory			Netting		(1)	balance
State and municipal	$	—		$	13,732		$	667		$	14,399		$	—		$	14,399
Foreign government		33,544			50,523			447			84,514			—			84,514
Corporate		—			9,268			989			10,257			—			10,257
Equity securities		6,634			98			1,453			8,185			—			8,185
Asset-backed securities		—			6,962			4,041			11,003			—			11,003
Other debt securities		—			563			120			683			—			683
Non-marketable equity securities		—			518			8,318			8,836			—			8,836
Total investments	$	51,879		$	205,364		$	16,797		$	274,040		$	—		$	274,040
Loans (2)	$	—		$	583		$	4,682		$	5,265		$	—		$	5,265
Mortgage servicing rights		—			—			2,569			2,569			—			2,569
Nontrading derivatives and other financial assets measured
on a recurring basis, gross	$	—		$	14,270		$	2,245		$	16,515
Gross cash collateral paid											307
Netting agreements and market value adjustments													$	(3,462	)
Nontrading derivatives and other financial assets measured
on a recurring basis	$	—		$	14,270		$	2,245		$	16,822		$	(3,462	)	$	13,360
Total assets	$	152,892		$	1,482,566		$	61,299		$	1,754,879		$	(1,025,049	)	$	729,830
Total as a percentage of gross assets (3)		9.0	%		87.4	%		3.6	%		100.0	%
Liabilities
Interest-bearing deposits	$	—		$	895		$	431		$	1,326		$	—		$	1,326
Federal funds purchased and securities loaned or sold under
agreements to repurchase		—			146,524			1,061			147,585			(49,873	)		97,712
Trading account liabilities
Securities sold, not yet purchased		58,456			10,941			412			69,809						69,809
Trading account derivatives
Interest rate contracts	$	37		$	738,833		$	1,221		$	740,091
Foreign exchange contracts		—			96,020			1,343			97,363
Equity contracts		2,822			26,961			3,356			33,139
Commodity contracts		873			11,959			1,799			14,631
Credit derivatives		—			77,153			7,573			84,726
Total trading account derivatives	$	3,732		$	950,926		$	15,292		$	969,950
Gross cash collateral received											52,811
Netting agreements and market value adjustments													$	(966,488	)
Total trading account derivatives	$	3,732		$	950,926		$	15,292		$	1,022,761		$	(966,488	)	$	56,273
Short-term borrowings		—			855			499			1,354			—			1,354
Long-term debt		—			17,268			6,904			24,172			—			24,172
Nontrading derivatives and other financial liabilities measured
on a recurring basis, gross	$	—		$	3,559		$	3		$	3,562
Gross cash collateral received										$	3,642
Netting agreements and market value adjustments													$	(3,462	)
Nontrading derivatives and other financial liabilities measured
on a recurring basis	$	—		$	3,559		$	3		$	7,204		$	(3,462	)	$	3,742
Total liabilities	$	62,188		$	1,130,968		$	24,602		$	1,274,211		$	(1,019,823	)	$	254,388
Total as a percentage of gross liabilities (3)		5.1	%		92.9	%		2.0	%		100.0	%

(1)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement, cash collateral and the market value adjustment.
(2)	There is no allowance for loan losses recorded for loans reported at fair value.
(3)	Percentage is calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding collateral paid/received on derivatives.

Changes in level 3 fair value category

				Net realized/unrealized																									Unrealized
				gains (losses) included in						Transfers			Transfers																gains
	Dec. 31,			Principal						into			out of													Dec. 31,			(losses)
In millions of dollars	2011			transactions			Other		(1)(2)	Level 3			Level 3			Purchases		Issuances		Sales			Settlements			2012			still held		(3)
Assets
Federal funds sold
and securities
borrowed or      purchased under      agreements to      resell	$	4,701		$	306		$	—		$	540		$	(444	)	$	—	$	—	$	—		$	(60	)	$	5,043		$	317
Trading securities
Trading mortgage-
backed           securities
U.S. government-
sponsored                agency                guaranteed		861			38			—			1,294			(735	)		657		79		(735	)		(134	)		1,325			(16	)
Residential		1,509			204			—			848			(499	)		1,652		—		(1,897	)		(12	)		1,805			(27	)
Commercial		618			(32	)		—			327			(305	)		1,056		—		(545	)		—			1,119			28
Total trading      mortgage-backed
securities	$	2,988		$	210		$	—		$	2,469		$	(1,539	)	$	3,365	$	79	$	(3,177	)	$	(146	)	$	4,249		$	(15	)
U.S. Treasury and
federal agency           securities	$	3		$	—		$	—		$	—		$	—		$	13	$	—	$	(16	)	$	—		$	—		$	—
State and           municipal	$	252		$	24		$	—		$	19		$	(18	)	$	61	$	—	$	(143	)	$	—		$	195		$	(2	)
Foreign           government		521			25			—			89			(875	)		960		—		(409	)		—			311			5
Corporate		3,240			(90	)		—			464			(558	)		2,622		—		(1,942	)		(1,706	)		2,030			(28	)
Equity securities		244			(25	)		—			121			(47	)		231		—		(192	)		(68	)		264			(5	)
Asset-backed           securities		5,801			503			—			222			(114	)		6,873		—		(7,823	)		(1,009	)		4,453			(173	)
Other debt           securities		2,743			(8	)		—			1,126			(2,089	)		2,954		—		(2,092	)		(313	)		2,321			376
Total trading      securities	$	15,792		$	639		$	—		$	4,510		$	(5,240	)	$	17,079	$	79	$	(15,794	)	$	(3,242	)	$	13,823		$	158
Trading derivatives,      net (4)
Interest rate                contracts	$	726		$	(101	)	$	—		$	682		$	(438	)	$	311	$	—	$	(194	)	$	(805	)	$	181		$	(298	)
Foreign                exchange                contracts		(562	)		440			—			(1	)		25			196		—		(213	)		115			—			(190	)
Equity contracts		(1,737	)		326			—			(34	)		443			428		—		(657	)		(217	)		(1,448	)		(506	)
Commodity               contracts		(934	)		145			—			(66	)		5			100		—		(89	)		68			(771	)		114
Credit                derivatives		1,728			(2,355	)		—			32			(188	)		117		—		(11	)		335			(342	)		(692	)
Total trading      derivatives, net (4)	$	(779	)	$	(1,545	)	$	—		$	613		$	(153	)	$	1,152	$	—	$	(1,164	)	$	(504	)	$	(2,380	)	$	(1,572	)
Investments
Mortgage-backed           securities
U.S. government-
sponsored                agency                guaranteed	$	679		$	—		$	7		$	894		$	(3,742	)	$	3,622	$	—	$	—		$	(2	)	$	1,458		$	43
Residential		8			—			6			205			(6	)		46		—		(54	)		—			205			—
Commercial		—			—			—			—			(11	)		11		—		—			—			—			—
Total investment
mortgage-           backed           securities	$	687		$	—		$	13		$	1,099		$	(3,759	)	$	3,679	$	—	$	(54	)	$	(2	)	$	1,663		$	43
U.S. Treasury and
federal agency           securities	$	75		$	—		$	—		$	75		$	(150	)	$	12	$	—	$	—		$	—		$	12		$	—
State and           municipal		667			—			12			129			(153	)		412		—		(218	)		—			849			(20	)
Foreign           government		447			—			20			193			(297	)		519		—		(387	)		(112	)		383			1
Corporate		989			—			(6	)		68			(698	)		224		—		(144	)		(48	)		385			8
Equity           securities		1,453			—			119			—			—			—		—		(308	)		(491	)		773			(34	)
Asset-backed           securities		4,041			—			(98	)		—			(730	)		930		—		(77	)		(1,846	)		2,220			1
Other debt           securities		120			—			(53	)		—			—			310		—		(118	)		(1	)		258			—
Non-marketable
equity securities		8,318			—			453			—			—			1,266		—		(3,373	)		(1,300	)		5,364			313
Total investments	$	16,797		$	—		$	460		$	1,564		$	(5,787	)	$	7,352	$	—	$	(4,679	)	$	(3,800	)	$	11,907		$	312

			Net realized/unrealized																								Unrealized
			gains (losses) included in						Transfers		Transfers																gains
	Dec. 31,		Principal						into		out of														Dec. 31,		(losses)
In millions of dollars	2011		transactions			Other		(1)(2)	Level 3		Level 3			Purchases			Issuances		Sales			Settlements			2012		still held		(3)
Loans	$	4,682	$	—		$	(34	)	$	1,051	$	(185	)	$	301		$	930	$	(251	)	$	(1,563	)	$	4,931	$	156
Mortgage servicing rights		2,569		—			(426	)		—		—			2			421		(5	)		(619	)		1,942		(427	)
Other financial assets      measured on a
recurring basis		2,245		—			366			21		(35	)		4			1,700		(50	)		(1,799	)		2,452		101
Liabilities
Interest-bearing deposits	$	431	$	—		$	(141	)	$	213	$	(36	)	$	—		$	268	$	—		$	(231	)	$	786	$	(414	)
Federal funds purchased
and securities loaned
or sold under agreements      to repurchase		1,061		(64	)		—			—		(14	)		—			—		(179	)		(91	)		841		43
Trading account liabilities
Securities sold, not yet           purchased		412		(1	)		—			294		(47	)		—			—		216			(511	)		365		(42	)
Short-term borrowings		499		(108	)		—			47		(20	)		—			268		—			(790	)		112		(57	)
Long-term debt		6,904		98			119			2,548		(2,694	)		—			2,480		—			(2,295	)		6,726		(688	)
Other financial liabilities
measured on a      recurring basis		3		—			(31	)		2		(2	)		(4	)		6		—			(12	)		24		(13	)

(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 December 31, 2012 and 2011.
(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

				Net realized/unrealized						Transfers																Unrealized
				gains (losses) included in						into and/or																gains
	Dec. 31,			Principal						out of													Dec. 31,			(losses)
In millions of dollars	2010			transactions			Other		(1)(2)	Level 3			Purchases		Issuances		Sales			Settlements			2011			still held		(3)
Assets
Federal funds sold and
securities borrowed or
purchased under      agreements to resell	$	4,911		$	90		$	—		$	(300	)	$	—	$	—	$	—		$	—		$	4,701		$	89
Trading securities
Trading mortgage-backed           securities
U.S. government-                sponsored agency
guaranteed	$	831		$	(62	)	$	—		$	169		$	677	$	73	$	(686	)	$	(141	)	$	861		$	(100	)
Residential		2,328			148			—			(138	)		4,150		—		(4,901	)		(78	)		1,509			118
Commercial		418			33			—			345			418		—		(570	)		(26	)		618			(57	)
Total trading mortgage-
backed securities	$	3,577		$	119		$	—		$	376		$	5,245	$	73	$	(6,157	)	$	(245	)	$	2,988		$	(39	)
U.S. Treasury and federal
agencies securities	$	72		$	9		$	—		$	(45	)	$	8	$	—	$	(41	)	$	—		$	3		$	—
State and municipal	$	208		$	67		$	—		$	102		$	1,128	$	—	$	(1,243	)	$	(10	)	$	252		$	(35	)
Foreign government		566			(33	)		—			(243	)		1,556		—		(797	)		(528	)		521			(22	)
Corporate		5,004			(60	)		—			1,452			3,272		—		(3,864	)		(2,564	)		3,240			(680	)
Equity securities		776			(202	)		—			(145	)		191		—		(376	)		—			244			(143	)
Asset-backed securities		7,620			128			—			606			5,198		—		(6,069	)		(1,682	)		5,801			(779	)
Other debt securities		1,833			(179	)		—			(17	)		2,810		—		(1,700	)		(4	)		2,743			68
Total trading securities	$	19,656		$	(151	)	$	—		$	2,086		$	19,408	$	73	$	(20,247	)	$	(5,033	)	$	15,792		$	(1,630	)
Trading derivatives, net (4)
Interest rate contracts	$	(730	)	$	(242	)	$	—		$	1,549		$	111	$	—	$	(21	)	$	59		$	726		$	52
Foreign exchange                contracts		(336	)		(134	)		—			(62	)		11		—		(3	)		(38	)		(562	)		(100	)
Equity contracts		(1,639	)		471			—			(28	)		362		—		(242	)		(661	)		(1,737	)		(1,139	)
Commodity contracts		(1,023	)		426			—			(83	)		2		—		(104	)		(152	)		(934	)		(48	)
Credit derivatives		2,296			520			—			183			8		—		(1	)		(1,278	)		1,728			1,615
Total trading derivatives, net (4)	$	(1,432	)	$	1,041		$	—		$	1,559		$	494	$	—	$	(371	)	$	(2,070	)	$	(779	)	$	380
Investments
Mortgage-backed securities
U.S. government-
sponsored agency                guaranteed	$	22		$	—		$	(22	)	$	416		$	270	$	—	$	(7	)	$	—		$	679		$	(38	)
Residential		167			—			(2	)		(109	)		7		—		(54	)		(1	)		8			—
Commercial		527			—			(4	)		(513	)		42		—		(52	)		—			—			—
Total investment mortgage-
backed securities	$	716		$	—		$	(28	)	$	(206	)	$	319	$	—	$	(113	)	$	(1	)	$	687		$	(38	)
U.S. Treasury and federal
agencies securities	$	17		$	—		$	—		$	60		$	—	$	—	$	(2	)	$	—		$	75		$	—
State and municipal		504			—			(10	)		(59	)		324		—		(92	)		—			667			(20	)
Foreign government		358			—			13			(21	)		352		—		(67	)		(188	)		447			6
Corporate		525			—			(106	)		199			732		—		(56	)		(305	)		989			6
Equity securities		2,055			—			(38	)		(31	)		—		—		(84	)		(449	)		1,453			—
Asset-backed securities		5,424			—			43			55			106		—		(460	)		(1,127	)		4,041			5
Other debt securities		727			—			26			121			35		—		(289	)		(500	)		120			(2	)
Non-marketable equity           securities		6,960			—			862			(886	)		4,881		—		(1,838	)		(1,661	)		8,318			580
Total investments	$	17,286		$	—		$	762		$	(768	)	$	6,749	$	—	$	(3,001	)	$	(4,231	)	$	16,797		$	537

			Net realized/unrealized						Transfers															Unrealized
			gains (losses) included in						into and/or															gains
	Dec. 31,		Principal						out of													Dec. 31,		(losses)
In millions of dollars	2010		transactions			Other		(1)(2)	Level 3			Purchases		Issuances		Sales			Settlements			2011		still held		(3)
Loans	$	3,213	$	—		$	(309	)	$	425		$	250	$	2,002	$	(85	)	$	(814	)	$	4,682	$	(265	)
Mortgage servicing rights		4,554		—			(1,465	)		—			—		408		(212	)		(716	)		2,569		(1,465	)
Other financial assets measured on a
recurring basis	$	2,509	$	—		$	109		$	(90	)	$	57	$	553	$	(172	)	$	(721	)	$	2,245	$	112
Liabilities
Interest-bearing deposits	$	277	$	—		$	86		$	(72	)	$	—	$	325	$	—		$	(13	)	$	431	$	(76	)
Federal funds purchased and securities
loaned or sold under agreements
to repurchase		1,261		(22	)		—			45			—		—		(117	)		(150	)		1,061		(64	)
Trading account liabilities
Securities sold, not yet purchased		187		48			—			438			—		—		413			(578	)		412		42
Short-term borrowings		802		190			—			(220	)		—		551		—			(444	)		499		39
Long-term debt		8,494		160			266			(509	)		—		1,485		—			(2,140	)		6,904		(225	)
Other financial liabilities measured
on a recurring basis		19		—			(19	)		7			1		13		(1	)		(55	)		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 15 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 December 31, 2012 and 2011.
(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Significant valuation techniques and most significant unobservable inputs used in Level 3 fair value measurements

	Fair Value		(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			14.39
					Price-to-book ratio		0.77			1.50
		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	$	2,000		External model	Price	$	100.00		$	100.00
liabilities measured on a recurring basis (gross) (4)		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.

Schedule of fixed income instruments weighted average price input

Mortgage-backed securities	$	86.02
State and municipal, foreign government, corporate,
and other debt securities		90.95
Asset-backed securities		79.71
Loans		91.25
Short-term borrowings and long-term debt		93.38

Items measured at fair value of a nonrecurring basis

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

(1)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate secured loans.
(2)	Represents Citi’s remaining 35% investment in the Morgan Stanley Smith Barney joint venture whose carrying amount is the agreed purchase price. See Note 15 to the Consolidated Financial Statements.

In millions of dollars	Fair value		Level 2		Level 3
December 31, 2011
Loans held-for-sale	$	2,644	$	1,668	$	976
Other real estate owned		271		88		183
Loans (1)		3,911		3,185		726
Total assets at fair value on a
nonrecurring basis	$	6,826	$	4,941	$	1,885

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

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

	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

In millions of dollars	December 31, 2012
Loans held-for-sale	$	(19	)
Other real estate owned		(29	)
Loans (1)		(1,489	)
Other assets (2)		(3,340	)
Total nonrecurring fair value gains (losses)	$	(4,877	)

(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)	Includes the recognition of a $3,340 million impairment charge related to the carrying value of Citi's remaining 35% interest in the Morgan Stanley Smith Barney joint venture. See Note 15 to the Consolidated Financial Statements.

In millions of dollars	December 31, 2011
Loans held-for-sale	$	(201	)
Other real estate owned		(71	)
Loans (1)		(973	)
Total nonrecurring fair value gains (losses)	$	(1,245	)

(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

	December 31, 2012				Estimated fair value
In billions of dollars	Carrying value		Estimated fair value		Level 1		Level 2		Level 3
Assets
Investments	$	17.9	$	18.4	$	3.0	$	14.3	$	1.1
Federal funds sold and securities borrowed or purchased under agreements to resell		100.7		100.7		—		94.8		5.9
Loans (1)(2)		621.9		612.2		—		4.2		608.0
Other financial assets (2)(3)		192.8		192.8		11.4		128.3		53.1
Liabilities
Deposits	$	929.1	$	927.4	$	—	$	765.5	$	161.9
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

	December 31, 2011
	Carrying		Estimated
In billions of dollars	value		fair value
Assets
Investments	$	19.4	$	18.4
Federal funds sold and securities borrowed or purchased
under agreements to resell		133.0		133.0
Loans (1)(2)		609.3		598.7
Other financial assets (2)(3)		245.7		245.7
Liabilities
Deposits	$	864.6	$	864.5
Federal funds purchased and securities loaned or sold
under agreements to repurchase		100.7		100.7
Long-term debt (4)		299.3		289.7
Other financial liabilities (5)		141.1		141.1

(1)	The carrying value of loans is net of the Allowance for loan losses of $25.5 billion for December 31, 2012 and $30.1 billion for December 31, 2011. In addition, the carrying values exclude $2.8 billion and $2.5 billion of lease finance receivables at December 31, 2012 and December 31, 2011, respectively.
(2)	Includes items measured at fair value on a nonrecurring basis.
(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)	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.