FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2012

FAIR VALUE MEASUREMENT

Items measured at fair value on a recurring basis

Fair Value Levels
In millions of dollars at June 30, 2012	Level 1(1)		Level 2(1)		Level 3		Gross inventory		Netting(2)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	200,787	$	4,414	$	205,201	$	(37,228	)	$	167,973
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	29,852	$	895	$	30,747	$	—		$	30,747
Prime		—		245		1,069		1,314		—			1,314
Alt-A		—		552		273		825		—			825
Subprime		—		301		487		788		—			788
Non-U.S. residential		—		288		116		404		—			404
Commercial		—		1,850		416		2,266		—			2,266
Total trading mortgage-backed securities	$	—	$	33,088	$	3,256	$	36,344	$	—		$	36,344
U.S. Treasury and federal agency securities
U.S. Treasury	$	18,171	$	2,065	$	—	$	20,236	$	—		$	20,236
Agency obligations		—		2,535		13		2,548		—			2,548
Total U.S. Treasury and federal agency securities	$	18,171	$	4,600	$	13	$	22,784	$	—		$	22,784
State and municipal	$	—	$	6,426	$	223	$	6,649	$	—		$	6,649
Foreign government		55,607		28,217		333		84,157		—			84,157
Corporate		—		32,709		2,189		34,898		—			34,898
Equity securities		40,101		1,932		217		42,250		—			42,250
Asset-backed securities		—		1,110		4,835		5,945		—			5,945
Other debt securities		—		14,177		2,266		16,443		—			16,443
Total trading securities	$	113,879	$	122,259	$	13,332	$	249,470	$	—		$	249,470
Trading account derivatives
Interest rate contracts		2		833,094		1,974		835,070
Foreign exchange contracts		10		80,133		908		81,051
Equity contracts		3,068		15,838		1,348		20,254
Commodity contracts		825		11,873		790		13,488
Credit derivatives		—		66,259		6,171		72,430
Total trading account derivatives	$	3,905	$	1,007,197	$	11,191	$	1,022,293
Gross cash collateral paid							$	57,740
Netting agreements and market value adjustments									$	(1,019,257	)
Total trading account derivatives	$	3,905	$	1,007,197	$	11,191	$	1,080,033	$	(1,019,257	)	$	60,776
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	52	$	44,482	$	1,399	$	45,933	$	—		$	45,933
Prime		—		104		2		106		—			106
Alt-A		—		14		3		17		—			17
Subprime		—		—		6		6		—			6
Non-U.S. residential		—		6,523		300		6,823		—			6,823
Commercial		—		491		5		496		—			496
Total investment mortgage-backed securities	$	52	$	51,614	$	1,715	$	53,381	$	—		$	53,381
U.S. Treasury and federal agency securities
U.S. Treasury	$	14,208	$	42,775	$	—	$	56,983	$	—		$	56,983
Agency obligations		—		32,489		—		32,489		—			32,489
Total U.S. Treasury and federal agency securities	$	14,208	$	75,264	$	—	$	89,472	$	—		$	89,472

Fair Value Levels
In millions of dollars at June 30, 2012	Level 1(1)			Level 2(1)			Level 3			Gross inventory			Netting(2)			Net balance
State and municipal	$	—		$	16,233		$	480		$	16,713		$	—		$	16,713
Foreign government		36,209			59,034			329			95,572			—			95,572
Corporate		—			8,940			421			9,361			—			9,361
Equity securities		2,380			73			1,180			3,633			—			3,633
Asset-backed securities		—			8,628			2,771			11,399			—			11,399
Other debt securities		—			—			55			55			—			55
Non-marketable equity securities		—			469			6,278			6,747			—			6,743
Total investments	$	52,849		$	220,255		$	13,229		$	286,333		$	—		$	286,334
Loans(3)	$	—		$	352		$	4,737		$	5,089		$	—		$	5,089
Mortgage servicing rights		—			—			2,117			2,117			—			2,117
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	12,599		$	2,375		$	14,974
Gross cash collateral paid										$	238
Netting agreements and market value adjustments														(3,345	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	12,599		$	2,375		$	15,212		$	(3,345	)	$	11,867
Total assets	$	170,633		$	1,563,449		$	51,395		$	1,843,455		$	(1,059,830	)	$	783,625
Total as a percentage of gross assets(4)		9.6	%		87.5	%		2.9	%		100.0	%
Liabilities
Interest-bearing deposits		—			717			698			1,415			—			1,415
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			168,820			1,045			169,865			(37,228	)		132,637
Trading account liabilities
Securities sold, not yet purchased		61,680			8,731			148			70,559						70,559
Trading account derivatives
Interest rate contracts		1			815,810			1,355			817,166
Foreign exchange contracts		—			85,838			906			86,744
Equity contracts		3,394			27,007			2,935			33,336
Commodity contracts		1,006			12,303			1,692			15,001
Credit derivatives		—			63,228			5,873			69,101
Total trading account derivatives	$	4,401		$	1,004,186		$	12,761		$	1,021,348
Gross cash collateral received											51,431
Netting agreements and market value adjustments													$	(1,014,520	)
Total trading account derivatives	$	4,401		$	1,004,186		$	12,761		$	1,072,779		$	(1,014,520	)	$	58,259
Short-term borrowings		—			676			367			1,043			—			1,043
Long-term debt		—			20,565			5,952			26,517			—			26,517
Nontrading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	3,191		$	2		$	3,193
Gross cash collateral received										$	3,942
Netting agreements and market value adjustments													$	(3,345	)
Nontrading derivatives and other financial liabilities measured on a recurring basis		—			3,191			2			7,135			(3,345	)		3,790
Total liabilities	$	66,081		$	1,206,886		$	20,973		$	1,349,313		$	(1,055,093	)	$	294,220
Total as a percentage of gross liabilities(4)		5.1	%		93.3	%		1.6	%		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, cash collateral and the market value adjustment.

(3)

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

(4)

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

Fair Value Levels

In millions of dollars at December 31, 2011	Level 1		Level 2		Level 3		Gross inventory		Netting(1)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	188,034	$	4,701	$	192,735	$	(49,873	)	$	142,862
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	26,674	$	861	$	27,535	$	—		$	27,535
Prime		—		118		759		877		—			877
Alt-A		—		444		165		609		—			609
Subprime		—		524		465		989		—			989
Non-U.S. residential		—		276		120		396		—			396
Commercial		—		1,715		618		2,333		—			2,333
Total trading mortgage-backed securities	$	—	$	29,751	$	2,988	$	32,739	$	—		$	32,739
U.S. Treasury and federal agency securities
U.S. Treasury	$	15,612	$	2,615	$	—	$	18,227	$	—		$	18,227
Agency obligations		—		1,169		3		1,172		—			1,172
Total U.S. Treasury and federal agency securities	$	15,612	$	3,784	$	3	$	19,399	$	—		$	19,399
State and municipal	$	—	$	5,112	$	252	$	5,364	$	—		$	5,364
Foreign government		52,429		26,601		521		79,551		—			79,551
Corporate		—		33,786		3,240		37,026		—			37,026
Equity securities		29,707		3,279		244		33,230		—			33,230
Asset-backed securities		—		1,270		5,801		7,071		—			7,071
Other debt securities		—		12,284		2,743		15,027		—			15,027
Total trading securities	$	97,748	$	115,867	$	15,792	$	229,407	$	—		$	229,407
Trading account derivatives
Interest rate contracts	$	67	$	755,473	$	1,947	$	757,487
Foreign exchange contracts		—		93,536		781		94,317
Equity contracts		2,240		16,376		1,619		20,235
Commodity contracts		958		11,940		865		13,763
Credit derivatives		—		81,123		9,301		90,424
Total trading account derivatives	$	3,265	$	958,448	$	14,513	$	976,226
Gross cash collateral paid								57,815
Netting agreements and market value adjustments									$	(971,714	)
Total trading account derivatives	$	3,265	$	958,448	$	14,513	$	1,034,041	$	(971,714	)	$	62,327
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	59	$	45,043	$	679	$	45,781	$	—		$	45,781
Prime		—		105		8		113		—			113
Alt-A		—		1		—		1		—			1
Subprime		—		—		—		—		—			—
Non-U.S. residential		—		4,658		—		4,658		—			4,658
Commercial		—		472		—		472		—			472
Total investment mortgage-backed securities	$	59	$	50,279	$	687	$	51,025	$	—		$	51,025
U.S. Treasury and federal agency securities
U.S. Treasury	$	11,642	$	38,587	$	—	$	50,229	$	—		$	50,229
Agency obligations		—		34,834		75		34,909		—			34,909
Total U.S. Treasury and federal agency securities	$	11,642	$	73,421	$	75	$	85,138	$	—		$	85,138

Fair Value Levels

In millions of dollars at December 31, 2011	Level 1			Level 2			Level 3			Gross inventory			Netting(1)			Net balance
State and municipal	$	—		$	13,732		$	667		$	14,399		$	—		$	14,399
Foreign government		33,544			50,523			447			84,514			—			84,514
Corporate		—			9,268			989			10,257			—			10,257
Equity securities		6,634			98			1,453			8,185			—			8,185
Asset-backed securities		—			6,962			4,041			11,003			—			11,003
Other debt securities		—			563			120			683			—			683
Non-marketable equity securities		—			518			8,318			8,836			—			8,836
Total investments	$	51,879		$	205,364		$	16,797		$	274,040		$	—		$	274,040
Loans(2)	$	—		$	583		$	4,682		$	5,265		$	—		$	5,265
Mortgage servicing rights		—			—			2,569			2,569			—			2,569
Nontrading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	14,270		$	2,245		$	16,515
Gross cash collateral paid											307
Netting agreements and market value adjustments													$	(3,462	)
Nontrading derivatives and other financial assets measured on a recurring basis	$	—		$	14,270		$	2,245		$	16,822		$	(3,462	)	$	13,360
Total assets	$	152,892		$	1,482,566		$	61,299		$	1,754,879		$	(1,025,049	)	$	729,830
Total as a percentage of gross assets(3)		9.0	%		87.4	%		3.6	%		100.0	%
Liabilities
Interest-bearing deposits	$	—		$	895		$	431		$	1,326		$	—		$	1,326
Federal funds purchased and securities loaned or sold under agreements to repurchase		—			161,582			1,061			162,643			(49,873	)		112,770
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		—			96,549			814			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		$	951,455		$	14,763		$	969,950
Gross cash collateral received											52,811
Netting agreements and market value adjustments													$	(966,488	)
Total trading account derivatives	$	3,732		$	951,455		$	14,763		$	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		$	1,146,555		$	24,073		$	1,289,269		$	(1,019,823	)	$	269,446
Total as a percentage of gross liabilities(3)		5.0	%		93.0	%		2.0	%		100.0	%

(1)

Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement, cash collateral and the market value adjustment.

(2)

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

(3)

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

Changes in level 3 fair value category

				Net realized/unrealized gains (losses) included in
																													Unrealized gains (losses) still held(3)
In millions of dollars	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
Fed 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	)
Prime		744			20			—			354			(24	)		180		—		(205	)		—			1,069			(1	)
Alt-A		106			8			—			4			(18	)		194		—		(21	)		—			273			3
Subprime		375			22			—			35			(55	)		218		—		(107	)		(1	)		487			(8	)
Non-U.S. residential		122			11			—			37			(23	)		33		—		(64	)		—			116			(2	)
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
U.S. Treasury	$	—		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		—			—			—			—			—			13		—		—			—			13			—
Total 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		56			(27	)		—			(46	)		54			59		—		(90	)		(4	)		2			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)	$	(961	)	$	(273	)	$	—		$	(230	)	$	(87	)	$	176	$	—	$	(270	)	$	75		$	(1,570	)	$	(491	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	932		$	—		$	(13	)	$	—		$	(880	)	$	1,360	$	—	$	—		$	—		$	1,399		$	(9	)
Prime		2			—			—			—			—			—		—		—			—			2			—
Alt-A		—			—			—			—			—			3		—		—			—			3			—
Subprime		—			—			—			—			—			6		—		—			—			6			(1	)
Non-U.S. residential		—			—			—			—			—			300		—		—			—			300			—
Commercial		6			—			—			—			(6	)		5		—		—			—			5			—

Level 3 Fair Value Rollforward

			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
Total investment mortgage-backed debt 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	)
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	)

Level 3 Fair Value Rollforward

				Net realized/unrealized gains (losses) included in
																													Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2011			Principal transactions			Other(1)(2)			Transfers into Level 3			Transfers out of Level 3			Purchases		Issuances		Sales			Settlements			Jun. 30. 2012
Assets
Fed 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	)
Prime		759			66			—			359			(127	)		534		—		(521	)		(1	)		1,069			11
Alt-A		165			26			—			7			(60	)		263		—		(128	)		—			273			—
Subprime		465			(28	)		—			55			(75	)		419		—		(347	)		(2	)		487			(11	)
Non-U.S. residential		120			16			—			39			(38	)		101		—		(122	)		—			116			(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
U.S. Treasury	$	—		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		3			—			—			—			—			13		—		(3	)		—			13			—
Total 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		$	112
Trading derivatives, net(4)
Interest rate contracts		726			142			—			123			(119	)		216		—		(139	)		(330	)		619			(118	)
Foreign exchange contracts		(33	)		70			—			(51	)		46			188		—		(197	)		(21	)		2			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)	$	(250	)	$	(1,080	)	$	—		$	(99	)	$	280		$	794	$	—	$	(759	)	$	(456	)	$	(1,570	)	$	(2,255	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	679		$	—		$	(4	)	$	—		$	(1,521	)	$	2,245	$	—	$	—		$	—		$	1,399		$	(8	)
Prime		8			—			—			—			(6	)		—		—		—			—			2			—
Alt-A		—			—			—			—			—			3		—		—			—			3			(1	)
Subprime		—			—			—			—			—			6		—		—			—			6			(1	)
Non-U.S. residential		—			—			—			—			—			300		—		—			—			300			—
Commercial		—			—			—			—			(6	)		11		—		—			—			5			—
Total investment mortgage-backed debt 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			—

Level 3 Fair Value Rollforward

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

				Net realized/unrealized gains (losses) included in
										Transfers in and/or out of Level 3																Unrealized gains (losses) still held(3)
In millions of dollars	March 31, 2011			Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			June 30, 2011
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	3,266		$	23		$	—		$	142		$	—	$	—	$	—		$	—		$	3,431		$	—
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,024		$	28		$	—		$	(147	)	$	261			$	(162	)	$	(57	)	$	947		$	22
Prime		1,602			(14	)		—			(27	)		162		—		(1,066	)		(6	)		651			(53	)
Alt-A		1,946			(1	)		—			(87	)		26		—		(1,643	)		(12	)		229			(2	)
Subprime		1,116			(48	)		—			50			142		—		(499	)		(38	)		723			57
Non-U.S. residential		290			5			—			(53	)		169		—		(88	)		—			323			(2	)
Commercial		585			32			—			69			99		—		(235	)		—			550			22
Total trading mortgage-backed securities	$	6,563		$	2		$	—		$	(195	)	$	859	$	—	$	(3,693	)	$	(113	)	$	3,423		$	44
U.S. Treasury and federal agencies securities
U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		31			1			—			17			2		—		(5	)		—			46			2
Total U.S. Treasury and federal agencies securities	$	31		$	1		$	—		$	17		$	2	$	—	$	(5	)	$	—		$	46		$	2
State and municipal	$	1,115		$	(10	)	$	—		$	112		$	76	$	—	$	(1,047	)	$	—		$	246		$	40
Foreign government		907			6			—			165			341		—		(129	)		(387	)		903			5
Corporate		5,043			(29	)		—			1,709			670		—		(1,128	)		(1,585	)		4,680			(153	)
Equity securities		305			15			—			342			23		—		(37	)		—			648			17
Asset-backed securities		6,768			333			—			273			2,398		—		(2,232	)		(931	)		6,609			(60	)
Other debt securities		1,942			(18	)		—			(168	)		860		—		(294	)		—			2,322			(9	)
Total trading securities	$	22,674		$	300			—		$	2,255		$	5,229	$	—	$	(8,565	)	$	(3,016	)	$	18,877		$	(114	)
Trading derivatives, net(4)
Interest rate contracts	$	4		$	128		$	—		$	(15	)	$	4	$	—	$	(11	)	$	91		$	201		$	(4	)
Foreign exchange contracts		239			(28	)		—			(93	)		—		—		—			(136	)		(18	)		(62	)
Equity contracts		(2,568	)		173			—			678			56		—		(160	)		(24	)		(1,845	)		(390	)
Commodity contracts		(1,296	)		212			—			(12	)		2		—		(60	)		95			(1,059	)		66
Credit derivatives		164			(45	)		—			(89	)		—		—		—			180			210			39
Total trading derivatives, net(4)	$	(3,457	)	$	440		$	—		$	469		$	62	$	—	$	(231	)	$	206		$	(2,511	)	$	(351	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	362		$	—		$	11		$	(307	)	$	—	$	—	$	(7	)	$	—		$	59		$	4
Prime		150			—			(1	)		(122	)		7		—		(11	)		—			23			—
Alt-A		2			—			—			(1	)		—		—		—			—			1			—
Subprime		—			—			—			—			—		—		—			—			—			—
Commercial		527			—			—			(539	)		24		—		(12	)		—			—			—
Total investment mortgage-backed debt securities	$	1,041		$	—		$	10		$	(969	)	$	31	$	—	$	(30	)	$	—		$	83		$	4
U.S. Treasury and federal agencies securities	$	16		$	—		$	—		$	(15	)	$	—	$	—	$	(1	)	$	—		$	—		$	—
State and municipal		381			—			(23	)		38			12		—		(53	)		—			355			(27	)
Foreign government		426			—			(10	)		(40	)		56		—		(10	)		(93	)		329			(7	)
Corporate		584			—			(1	)		(13	)		444		—		(5	)		(16	)		993			3
Equity securities		1,829			—			(28	)		—			—		—		(9	)		(171	)		1,621			(16	)
Asset-backed securities		5,002			—			(5	)		10			51		—		(204	)		(379	)		4,475			(1	)
Other debt securities		672			—			22			—			2		—		(2	)		(41	)		653			26

			Net realized/unrealized gains (losses) included in
									Transfers in and/or out of Level 3															Unrealized gains (losses) still held(3)
In millions of dollars	March 31, 2011		Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			June 30, 2011
Non-marketable equity securities	$	9,443	$	—		$	123		$	(518	)	$	158	$	—	$	(273	)	$	(752	)	$	8,181		106
Total investments	$	19,394	$	—		$	88		$	(1,507	)	$	754	$	—	$	(587	)	$	(1,452	)	$	16,690	$	88
Loans	$	3,152	$	—		$	(66	)	$	(226	)	$	248	$	688	$	—		$	(206	)	$	3,590	$	59
Mortgage servicing rights		4,690		—			(307	)		—			—		—		—			(125	)		4,258		(307	)
Other financial assets measured on a recurring basis		2,485		—			7			(25	)		57		142		(58	)		(159	)		2,449		14
Liabilities
Interest-bearing deposits	$	585	$	—		$	7		$	(9	)	$	—	$	29	$	—		$	(12	)	$	586	$	(41	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,168		(7	)		—			10			—		—		—			(107	)		1,078		—
Trading account liabilities
Securities sold, not yet purchased		109		30			—			281			—		—		147			(60	)		447		28
Short-term borrowings		391		(34	)		—			163			—		143		—			(120	)		611		(13	)
Long-term debt		8,792		(6	)		70			(397	)		—		470		—			(1,514	)		7,287		13
Other financial liabilities measured on a recurring basis		9		—			(13	)		—			1		8		(1	)		(14	)		16		(19	)

				Net realized/unrealized gains (losses) included in
										Transfers in and/or out of Level 3																Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2010			Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			June 30, 2011
Assets
Fed funds sold and securities borrowed or purchased under agreements to resell	$	4,911		$	(129	)	$	—		$	(1,351	)	$	—	$	—	$	—		$	—		$	3,431		$	—
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	831		$	81		$	—		$	89		$	355	$	—	$	(352	)	$	(57	)	$	947		$	63
Prime		594			84			—			(3	)		1,315		—		(1,333	)		(6	)		651			(24	)
Alt-A		385			11			—			(16	)		1,577		—		(1,716	)		(12	)		229			2
Subprime		1,125			(12	)		—			63			451		—		(866	)		(38	)		723			31
Non-U.S. residential		224			37			—			32			291		—		(261	)		—			323			1
Commercial		418			96			—			64			339		—		(367	)		—			550			65
Total trading mortgage-backed securities	$	3,577		$	297		$	—		$	229		$	4,328	$	—	$	(4,895	)	$	(113	)	$	3,423		$	138
U.S. Treasury and federal agencies securities
U.S. Treasury	$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
Agency obligations		72			2			—			3			5		—		(36	)		—			46			1
Total U.S. Treasury and federal agencies securities	$	72		$	2		$	—		$	3		$	5	$	—	$	(36	)	$	—		$	46			1
State and municipal	$	208		$	52		$	—		$	107		$	969	$	—	$	(1,090	)	$	—		$	246		$	44
Foreign government		566			7			—			161			859		—		(303	)		(387	)		903			8
Corporate		5,004			140			—			1,225			2,478		—		(2,370	)		(1,797	)		4,680			(201	)
Equity securities		776			71			—			(169	)		128		—		(158	)		—			648			54
Asset-backed securities		7,620			551			—			214			3,738		—		(4,133	)		(1,381	)		6,609			(117	)
Other debt securities		1,833			(19	)		—			(136	)		1,320		—		(676	)		—			2,322			12
Total trading securities	$	19,656		$	1,101		$	—		$	1,634		$	13,825	$	—	$	(13,661	)	$	(3,678	)	$	18,877		$	(61	)
Trading derivatives, net(4)
Interest rate contracts	$	(730	)	$	(115	)	$	—		$	709		$	4	$	—	$	(11	)	$	344		$	201		$	117
Foreign exchange contracts		164			113			—			(135	)		—		—		—			(160	)		(18	)		(82	)
Equity contracts		(1,639	)		197			—			(65	)		56		—		(160	)		(234	)		(1,845	)		(781	)
Commodity contracts		(1,023	)		153			—			(100	)		2		—		(60	)		(31	)		(1,059	)		(49	)
Credit derivatives		2,296			(583	)		—			(267	)		—		—		—			(1,236	)		210			(714	)
Total trading derivatives, net(4)	$	(932	)	$	(235	)	$	—		$	142		$	62	$	—	$	(231	)	$	(1,317	)	$	(2,511	)	$	(1,509	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	22		$	—		$	2		$	37		$	5	$	—	$	(7	)	$	—		$	59		$	(14	)
Prime		166			—			1			(122	)		7		—		(29	)		—			23			—
Alt-A		1			—			—			—			—		—		—			—			1			—
Subprime		—			—			—			—			—		—		—			—			—			—
Commercial		527			—			3			(539	)		39		—		(30	)		—			—			—
Total investment mortgage-backed debt securities	$	716		$	—		$	6		$	(624	)	$	51	$	—	$	(66	)	$	—		$	83		$	(14	)
U.S. Treasury and federal agencies securities	$	17		$	—		$	—		$	(15	)	$	—	$	—	$	(2	)	$	—		$	—		$	—
State and municipal		504			—			(47	)		(55	)		33		—		(80	)		—			355			(58	)
Foreign government		358			—			(3	)		24			106		—		(63	)		(93	)		329			(4	)
Corporate		525			—			6			24			471		—		(17	)		(16	)		993			—
Equity securities		2,055			—			(57	)		(29	)		—		—		(9	)		(339	)		1,621			11
Asset-backed securities		5,424			—			41			53			87		—		(447	)		(683	)		4,475			5
Other debt securities		727			—			(11	)		67			35		—		(2	)		(163	)		653			(7	)
Non-marketable equity securities		6,960			—			580			(838	)		3,348		—		(1,117	)		(752	)		8,181			641

			Net realized/unrealized gains (losses) included in
									Transfers in and/or out of Level 3															Unrealized gains (losses) still held(3)
In millions of dollars	Dec. 31, 2010		Principal transactions			Other(1)(2)						Purchases		Issuances		Sales			Settlements			June 30, 2011
Total investments	$	17,286	$	—		$	515		$	(1,393	)	$	4,131	$	—	$	(1,803	)	$	(2,046	)	$	16,690	$	574
Loans	$	3,213	$	—		$	(153	)	$	(245	)	$	248	$	1,029	$	—		$	(502	)	$	3,590	$	(49	)
Mortgage servicing rights		4,554		—			(99	)		—			—		—		—			(197	)		4,258		(99	)
Other financial assets measured on a recurring basis		2,509		—			(9	)		(44	)		57		343		(58	)		(349	)		2,449		18
Liabilities
Interest-bearing deposits	$	277	$	—		$	(27	)	$	51		$	—	$	244	$	—		$	(13	)	$	586	$	(218	)
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,261		11			—			100			—		—		(165	)		(107	)		1,078		—
Trading account liabilities
Securities sold, not yet purchased		187		93			—			199			—		—		147			7			447		15
Short-term borrowings		802		144			—			122			—		168		—			(337	)		611		(50	)
Long-term debt		8,494		(77	)		166			(372	)		—		933		—			(1,679	)		7,287		62
Other financial liabilities measured on a recurring basis		19		—			(17	)		7			1		12		(1	)		(39	)		16		(19	)

(1)

Changes in fair value for available-for-sale investments (debt securities) are recorded in Accumulated other comprehensive income (loss), while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.

(2)

Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.

(3)

Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value for available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2012 and 2011.

(4)

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

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

The following table presents the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements as of June 30, 2012.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

	Fair Value (in millions)		Methodology	Input	Low(1)(2)			High(1)(2)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	4,414	Cash flow	Interest Rate		1.15	%		1.52	%
Trading and investment securities
Mortgage-backed securities	$	4,971	Price-based	Price	$	0.00		$	113.89
			Cash flow	Yield		2.31	%		30.00	%
				Prepayment Period		2.25yrs			7.79yrs
State and municipal, foreign government, corporate, and other debt securities		6,309	Price-based	Price	$	0.00		$	159.63
				Yield		0.00	%		23.42	%
			Cash flow	Credit Spread		100bps			200bps
Equity securities		1,397	Cash flow	Yield		9.00	%		25.00	%
Asset-backed securities		7,606	Price-based	Price	$	0.00		$	115.48
			Cash flow	Yield		0.00	%		76.10	%
Non-marketable equity		6,278	Price-based	Adjustment factor		0.00			0.50
			Comparables Analysis	EBITDA Multiples		0.00			14.50
				Fund NAV	$	7,962		$	353,130,553
				Price	$	0.00		$	3.70
Derivatives—Gross(3)
Interest rate contracts (gross)	$	3,329	Internal Model	Mean Reversion		1.00	%		20.00	%
			Cash flow	Credit Spread		3bps			675bps
			Price-based	Interest Rate-Interest Rate (IR-IR) Correlation		(50.00	%)		100.00	%
				Price	$	0.00		$	145.00
				Yield		1.75	%		2.60	%
Foreign exchange contracts (gross)		1,814	Internal Model	IR Volatility		8.59	%		62.92	%
Equity contracts (gross)(4)		4,283	Internal Model	Equity Volatility		8.19	%		108.60	%
				Equity-Equity Correlation		25.30	%		98.00	%
Commodity contracts (gross)		2,482	Internal Model	Forward Price	$	0.43		$	4.23
				Commodity Volatility		4.00	%		128.00	%
				Commodity Correlation		(76.00	)%		95.00	%
Credit derivatives (gross)		12,044	Internal Model	Recovery Rate		9.00	%		75.00	%
			Price-based	Price	$	0.00		$	145.00
				Credit Correlation		5.00	%		95.00	%
				Credit Spread		1bps			1,164bps
				Upfront Points		5.00			45.00
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(3)		2,377	Price-based	Price	$	100.00		$	100.00
Loans	$	4,737	Price-based	Price	$	0.00		$	104.19
			Internal Model	Yield		0.90	%		4.93	%
				Credit Spread		32bps			486bps
Mortgage servicing rights	$	2,117	Cash flow	Yield		0.00	%		29.60	%
				Prepayment Period		2.25yrs			7.79yrs
Liabilities
Interest-bearing deposits	$	698	Internal Model	Mean Reversion		1.00	%		20.00	%
				Forward Price	$	0.43		$	4.23
				Commodity Volatility		4.00	%		128.00	%
				Commodity Correlation		(76.00	)%		95.00	%
Federal funds purchased and securities loaned or sold under agreements to repurchase		1,045	Internal Model	Interest Rate		0.63	%		2.28	%
Trading account liabilities
Securities sold, not yet purchased		148	Internal Model	Equity Volatility		10.40	%		60.50	%
				Equity-Equity Correlation		25.30	%		94.80	%
				Equity Forward		0.74			1.43
				Equity-FX Correlation		(76.00	)%		60.00	%
Short-term borrowings and long-term debt		6,319	Internal Model	Mean Reversion		1.00	%		20.00	%
			Price-based	IR-IR Correlation		(98.00	)%		40.00	%
				IR Volatility		8.59	%		85.00	%
				Price	$	0.47		$	115.00
				Equity Volatility		10.40	%		101.21	%

(1)

Some inputs are shown as zero due to rounding.

(2)

When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to one large position only.

(3)

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

(4)

Includes hybrid products.

Items measured at fair value of a nonrecurring basis

In millions of dollars	Fair value		Level 2		Level 3
June 30, 2012
Loans held-for-sale	$	1,630	$	537	$	1,093
Other real estate owned		277		50		227
Loans(1)		4,374		3,848		526
Total assets at fair value on a nonrecurring basis	$	6,281	$	4,435	$	1,846

(1)

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

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

(1)

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

Changes in total nonrecurring fair value measurements

In millions of dollars	Three Months Ended June 30, 2012			Six Months Ended June 30, 2012
Loans held-for-sale	$	(52	)	$	(51	)
Other real estate owned		(11	)		(19	)
Loans(1)		(138	)		(677	)
Total nonrecurring fair value gains (losses)	$	(201	)	$	(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, 2012				Estimated fair value
In billions of dollars	Carrying value		Estimated fair value		Level 1		Level 2		Level 3
Assets
Investments	$	19.6	$	19.4	$	2.7	$	15.3	$	1.4
Federal funds sold and securities borrowed or purchased under agreements to resell		104.7		104.7		—		95.0		9.7
Loans(1)(2)		619.7		608.5		—		4.5		604.0
Other financial assets(2)(3)		255.9		255.9		9.7		179.8		66.4
Liabilities
Deposits	$	912.9	$	911.1	$	—	$	723.8	$	187.3
Federal funds purchased and securities loaned or sold under agreements to repurchase		82.2		82.2		—		81.0		1.2
Long-term debt		261.8		259.4		—		208.8		50.6
Other financial liabilities(4)		148.8		148.8		—		28.9		119.9

	December 31, 2011
In billions of dollars	Carrying value		Estimated fair value
Assets
Investments	$	19.4	$	18.4
Federal funds sold and securities borrowed or purchased under agreements to resell		133.0		133.0
Loans(1)(2)		609.3		598.7
Other financial assets(2)(3)		245.7		245.7
Liabilities
Deposits	$	864.6	$	864.5
Federal funds purchased and securities loaned or sold under agreements to repurchase		85.6		85.6
Long-term debt		299.3		289.7
Other financial liabilities(4)		141.1		141.1

(1)

The carrying value of loans is net of the Allowance for loan losses of $27.6 billion for June 30, 2012 and $30.1 billion for December 31, 2011. In addition, the carrying values exclude $2.6 billion and $2.5 billion of lease finance receivables at June 30, 2012 and December 31, 2011, respectively.

(2)

Includes items measured at fair value on a nonrecurring basis.

(3)

Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

(4)

Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.