FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2014

Items measured at fair value on a recurring basis

In millions of dollars at March 31, 2014	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	$	—	$	186,439	$	3,451	$	189,890	$	(50,067	)	$	139,823
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	20,596	$	788	$	21,384	$	—		$	21,384
Residential	—		1,627		2,744		4,371		—			4,371
Commercial	—		2,341		241		2,582		—			2,582
Total trading mortgage-backed securities	$	—	$	24,564	$	3,773	$	28,337	$	—		$	28,337
U.S. Treasury and federal agency securities	$	15,990	$	4,145	$	—	$	20,135	$	—		$	20,135
State and municipal	—		2,969		121		3,090		—			3,090
Foreign government	49,760		27,094		373		77,227		—			77,227
Corporate	—		29,215		1,665		30,880		—			30,880
Equity securities	50,719		2,068		1,385		54,172		—			54,172
Asset-backed securities	—		1,262		3,441		4,703		—			4,703
Other trading assets	—		8,527		3,452		11,979		—			11,979
Total trading non-derivative assets	$	116,469	$	99,844	$	14,210	$	230,523	$	—		$	230,523
Trading derivatives
Interest rate contracts	$	159	$	510,360	$	3,093	$	513,612
Foreign exchange contracts	44		76,753		1,344		78,141
Equity contracts	2,779		17,951		1,754		22,484
Commodity contracts	246		8,406		663		9,315
Credit derivatives	—		35,711		4,097		39,808
Total trading derivatives	$	3,228	$	649,181	$	10,951	$	663,360
Cash collateral paid(3)							$	5,690
Netting agreements									$	(585,240	)
Netting of cash collateral received									(36,153		)
Total trading derivatives	$	3,228	$	649,181	$	10,951	$	669,050	$	(621,393	)	$	47,657
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	41,603	$	199	$	41,802	$	—		$	41,802
Residential	—		9,791		30		9,821		—			9,821
Commercial	—		472		1		473		—			473
Total investment mortgage-backed securities	$	—	$	51,866	$	230	$	52,096	$	—		$	52,096
U.S. Treasury and federal agency securities	$	82,846	$	14,641	$	7	$	97,494	$	—		$	97,494
State and municipal	$	—	$	17,212	$	1,903	$	19,115	$	—		$	19,115
Foreign government	33,345		56,818		274		90,437		—			90,437
Corporate	8		10,543		531		11,082		—			11,082
Equity securities	3,651		414		831		4,896		—			4,896
Asset-backed securities	—		13,230		1,877		15,107		—			15,107
Other debt securities	—		611		99		710		—			710
Non-marketable equity securities	—		351		4,108		4,459		—			4,459
Total investments	$	119,850	$	165,686	$	9,860	$	295,396	$	—		$	295,396

In millions of dollars at March 31, 2014	Level 1(1)			Level 2(1)			Level 3			Gross inventory		Netting(2)			Net balance
Loans(4)	$	—		$	1,587		$	4,142		$	5,729	$	—		$	5,729
Mortgage servicing rights	—			—			2,586			2,586		—			2,586
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,180		$	179		$	9,359
Cash collateral paid										$	73
Netting of cash collateral received												$	(3,020	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,180		$	179		$	9,432	$	(3,020	)	$	6,412
Total assets	$	239,547		$	1,111,917		$	45,379		$	1,402,606	$	(674,480	)	$	728,126
Total as a percentage of gross assets(5)	17.1		%	79.7		%	3.2		%
Liabilities
Interest-bearing deposits	$	—		$	833		$	935		$	1,768	$	—		$	1,768
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	—		$	89,464		$	940		$	90,404	$	(50,067	)	$	40,337
Trading account liabilities
Securities sold, not yet purchased	68,084			11,362			482			79,928					79,928
Trading derivatives
Interest rate contracts	$	149		$	496,938		$	2,860		$	499,947
Foreign exchange contracts	9			74,866			515			75,390
Equity contracts	2,863			25,646			2,990			31,499
Commodity contracts	258			8,288			1,992			10,538
Credit derivatives	—			35,773			4,354			40,127
Total trading derivatives	$	3,279		$	641,511		$	12,711		$	657,501
Cash collateral received(6)										$	10,163
Netting agreements												$	(585,240	)
Netting of cash collateral paid												(38,312		)
Total trading derivatives	$	3,279		$	641,511		$	12,711		$	667,664	$	(623,552	)	$	44,112
Short-term borrowings	$	—		$	4,072		$	27		$	4,099	$	—		$	4,099
Long-term debt	—			19,208			8,646			27,854		—			27,854
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	2,000		$	3		$	2,003
Cash collateral received(7)										$	292
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	2,000		$	3		$	2,295				$	2,295
Total liabilities	$	71,363		$	768,450		$	23,744		$	874,012	$	(673,619	)	$	200,393
Total as a percentage of gross liabilities(5)	8.3		%	89.0		%	2.7		%

(1) For the three months ended March 31, 2014, the Company transferred assets of approximately $1.2 billion and liabilities of approximately $1.4 billion from Level 1 to Level 2 primarily due to Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the three months ended March 31, 2014, the Company transferred assets of approximately $2.1 billion from Level 2 to Level 1, almost all related to foreign government bonds, reflecting trading in liquid markets.

(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) Reflects the net amount of $44,002 million of gross cash collateral paid, of which $38,312 million was used to offset derivative liabilities.

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

(5) Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

(6) Reflects the net amount of $46,316 million of gross cash collateral received, of which $36,153 million was used to offset derivative assets.

(7) Reflects the net amount of $3,312 million of gross cash collateral received, of which $3,020 million was used to offset derivative assets.

In millions of dollars at December 31, 2013	Level 1(1)		Level 2(1)		Level 3		Gross inventory		Netting(2)			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	172,848	$	3,566	$	176,414	$	(34,933	)	$	141,481
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		22,861		1,094		23,955		—			23,955
Residential	—		1,223		2,854		4,077		—			4,077
Commercial	—		2,318		256		2,574		—			2,574
Total trading mortgage-backed securities	$	—	$	26,402	$	4,204	$	30,606	$	—		$	30,606
U.S. Treasury and federal agency securities	$	12,080	$	2,757	$	—	$	14,837	$	—		$	14,837
State and municipal	—		2,985		222		3,207		—			3,207
Foreign government	49,220		25,220		416		74,856		—			74,856
Corporate	—		28,699		1,835		30,534		—			30,534
Equity securities	58,761		1,958		1,057		61,776		—			61,776
Asset-backed securities	—		1,274		4,342		5,616		—			5,616
Other trading assets	—		8,491		3,184		11,675		—			11,675
Total trading non-derivative assets	$	120,061	$	97,786	$	15,260	$	233,107	$	—		$	233,107
Trading derivatives
Interest rate contracts	$	11	$	624,902	$	3,467	$	628,380
Foreign exchange contracts	40		91,189		1,325		92,554
Equity contracts	5,793		17,611		1,473		24,877
Commodity contracts	506		7,775		801		9,082
Credit derivatives	—		37,336		3,010		40,346
Total trading derivatives	$	6,350	$	778,813	$	10,076	$	795,239
Cash collateral paid(3)							$	6,073
Netting agreements									$	(713,598	)
Netting of cash collateral received									(34,893		)
Total trading derivatives	$	6,350	$	778,813	$	10,076	$	801,312	$	(748,491	)	$	52,821
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	41,810	$	187	$	41,997	$	—		$	41,997
Residential	—		10,103		102		10,205		—			10,205
Commercial	—		453		—		453		—			453
Total investment mortgage-backed securities	$	—	$	52,366	$	289	$	52,655	$	—		$	52,655
U.S. Treasury and federal agency securities	$	69,139	$	18,449	$	8	$	87,596	$	—		$	87,596
State and municipal	$	—	$	17,297	$	1,643	$	18,940	$	—		$	18,940
Foreign government	35,179		60,948		344		96,471		—			96,471
Corporate	4		10,841		285		11,130		—			11,130
Equity securities	2,583		336		815		3,734		—			3,734
Asset-backed securities	—		13,314		1,960		15,274		—			15,274
Other debt securities	—		661		50		711		—			711
Non-marketable equity securities	—		358		4,347		4,705		—			4,705
Total investments	$	106,905	$	174,570	$	9,741	$	291,216	$	—		$	291,216

In millions of dollars at December 31, 2013	Level 1(1)			Level 2(1)			Level 3			Gross inventory		Netting(2)			Net balance
Loans(4)	$	—		$	886		$	4,143		$	5,029	$	—		$	5,029
Mortgage servicing rights	—			—			2,718			2,718		—			2,718
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,811		$	181		$	9,992
Cash collateral paid										$	82
Netting of cash collateral received												$	(2,951	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,811		$	181		$	10,074	$	(2,951	)	$	7,123
Total assets	$	233,316		$	1,234,714		$	45,685		$	1,519,870	$	(786,375	)	$	733,495
Total as a percentage of gross assets(5)	15.4		%	81.6		%	3.0		%
Liabilities
Interest-bearing deposits	$	—		$	787		$	890		$	1,677	$	—		$	1,677
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			85,576			902			86,478		(34,933		)	51,545
Trading account liabilities
Securities sold, not yet purchased	51,035			9,883			590			61,508					61,508
Trading account derivatives
Interest rate contracts	$	12		$	614,586		$	2,628		$	617,226
Foreign exchange contracts	29			87,978			630			88,637
Equity contracts	5,783			26,178			2,331			34,292
Commodity contracts	363			7,613			2,194			10,170
Credit derivatives	—			37,510			3,284			40,794
Total trading derivatives	$	6,187		$	773,865		$	11,067		$	791,119
Cash collateral received(6)										$	8,827
Netting agreements												$	(713,598	)
Netting of cash collateral paid												(39,094		)
Total trading derivatives	$	6,187		$	773,865		$	11,067		$	799,946	$	(752,692	)	$	47,254
Short-term borrowings	—			3,663			29			3,692		—			3,692
Long-term debt	—			19,256			7,621			26,877		—			26,877
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,719		$	10		$	1,729
Cash collateral received(7)										$	282
Non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,719		$	10		$	2,011				$	2,011
Total liabilities	$	57,222		$	894,749		$	21,109		$	982,189	$	(787,625	)	$	194,564
Total as a percentage of gross liabilities(5)	5.9		%	91.9		%	2.2		%

(1) For the three months ended March 31, 2013, the Company transferred assets of $0.5 billion from Level 1 to Level 2, primarily related to foreign government bonds, which were traded with less frequency. During the three months ended March 31, 2013, the Company transferred assets of $49.0 billion from Level 2 to Level 1, almost all of which related to U.S. Treasury securities held across the Company’s major investment portfolios where Citi obtained additional information from its external pricing sources to meet the criteria for Level 1 classification as of March 31, 2013. During the three months ended March 31, 2013, the Company transferred liabilities of $11 million from Level 1 to Level 2, and liabilities of $21 million from Level 2 to Level 1.

(3) Reflects the net amount of $45,167 million of gross cash collateral paid, of which $39,094 million was used to offset derivative liabilities.

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

(6) Reflects the net amount of $43,720 million of gross cash collateral received, of which $34,893 million was used to offset derivative assets.

(7) Reflects the net amount of $3,233 million of gross cash collateral received, of which $2,951 million was used to offset derivative assets.

Changes in level 3 fair value category

				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains
In millions of dollars	Dec. 31, 2013			Principal transactions			Other(1)(2)		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2014			(losses) still held(3)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	(1	)	$	—	$	51		$	—		$	—	$	—	$	—		$	(165	)	$	3,451		$	(1	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,094		$	81		$	—	$	179		$	(385	)	$	154	$	3	$	(321	)	$	(17	)	$	788		$	10
Residential	2,854			157			—		74			(153		)	976		—		(1,164		)	—			2,744			41
Commercial	256			5			—		35			(24		)	32		—		(63		)	—			241			5
Total trading mortgage-backed securities	$	4,204		$	243		$	—	$	288		$	(562	)	$	1,162	$	3	$	(1,548	)	$	(17	)	$	3,773		$	56
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	222			2			—		11			(104		)	9		—		(19		)	—			121			3
Foreign government	416			(6		)	—		49			(85		)	138		—		(139		)	—			373			(5		)
Corporate	1,835			27			—		187			(145		)	592		—		(828		)	(3		)	1,665			(30		)
Equity securities	1,057			(171		)	—		35			(5		)	532		—		(63		)	—			1,385			267
Asset-backed securities	4,342			269			—		33			(175		)	943		—		(1,971		)	—			3,441			164
Other trading assets	3,184			23			—		575			(464		)	1,064		—		(864		)	(66		)	3,452			21
Total trading non-derivative assets	$	15,260		$	387		$	—	$	1,178		$	(1,540	)	$	4,440	$	3	$	(5,432	)	$	(86	)	$	14,210		$	476
Trading derivatives, net(4)
Interest rate contracts	839			(348		)	—		36			9			18		—		(46		)	(275		)	233			(367		)
Foreign exchange contracts	695			138			—		(11		)	19			1		—		—			(13		)	829			211
Equity contracts	(858		)	152			—		(518		)	52			150		—		(94		)	(120		)	(1,236		)	(225		)
Commodity contracts	(1,393		)	75			—		30			31			—		—		—			(72		)	(1,329		)	67
Credit derivatives	(274		)	(63		)	—		(61		)	(30		)	1		—		(3		)	173			(257		)	(234		)
Total trading derivatives, net(4)	$	(991	)	$	(46	)	$	—	$	(524	)	$	81		$	170	$	—	$	(143	)	$	(307	)	$	(1,760	)	$	(548	)

			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains
In millions of dollars	Dec. 31, 2013		Principal transactions			Other(1)(2)			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2014		(losses) still held(3)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187	$	—		$	48		$	24	$	(37	)	$	17	$	—	$	(39	)	$	(1	)	$	199	$	—
Residential	102		—			23			13		—			17		—		(125		)	—			30		2
Commercial	—		—			—			1		—			—		—		—			—			1		—
Total investment mortgage-backed securities	$	289	$	—		$	71		$	38	$	(37	)	$	34	$	—	$	(164	)	$	(1	)	$	230	$	2
U.S. Treasury and federal agency securities	$	8	$	—		$	—		$	—	$	—		$	—	$	—	$	(1	)	$	—		$	7	$	—
State and municipal	1,643		—			36			254		(285		)	373		—		(118		)	—			1,903		26
Foreign government	344		—			2			22		(42		)	49		—		(78		)	(23		)	274		(4		)
Corporate	285		—			(1		)	2		(1		)	247		—		(1		)	—			531		(2		)
Equity securities	815		—			16			6		—			1		—		(7		)	—			831		(4		)
Asset-backed securities	1,960		—			8			—		(42		)	48		—		(97		)	—			1,877		1
Other debt securities	50		—			(1		)	—		—			50		—		—			—			99		—
Non-marketable equity securities	4,347		—			49			67		—			252		—		(83		)	(524		)	4,108		1
Total investments	$	9,741	$	—		$	180		$	389	$	(407	)	$	1,054	$	—	$	(549	)	$	(548	)	$	9,860	$	20
Loans	$	4,143	$	—		$	(28	)	$	—	$	—		$	153	$	50	$	(79	)	$	(97	)	$	4,142	$	(108	)
Mortgage servicing rights	2,718		—			(114		)	—		—			—		50		28			(96		)	2,586		(115		)
Other financial assets measured on a recurring basis	181		—			(2		)	—		—			—		36		(4		)	(32		)	179		(4		)
Liabilities
Interest-bearing deposits	$	890	$	—		$	(70	)	$	—	$	—		$	—	$	—	$	—		$	(25	)	$	935	$	(19	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		(7		)	—			—		—			31		—		—			—			940		(9		)
Trading account liabilities
Securities sold, not yet purchased	590		10			—			18		(29		)	—		—		150			(237		)	482		(13		)
Short-term borrowings	29		(17		)	—			—		—			—		1		—			(20		)	27		—
Long-term debt	7,621		(284		)	25			959		(854		)	—		940		—			(279		)	8,646		(118		)
Other financial liabilities measured on a recurring basis	10		—			—			—		—			—		1		(3		)	(5		)	3		(1		)

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

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

(3) Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value for available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2014.

(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
In millions of dollars	Dec. 31, 2012			Principal transactions			Other(1)(2)			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2013			(losses) still held(3)
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	5,043		$	(13	)	$	—		$	598		$	(1,279	)	$	—	$	—	$	—		$	—		$	4,349		$	(43	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,325		$	49		$	—		$	392		$	(402	)	$	280	$	26	$	(368	)	$	(24	)	$	1,278		$	30
Residential	1,805			171			—			98			(176		)	727		—		(506		)	(7		)	2,112			56
Commercial	1,119			54			—			89			(36		)	67		—		(866		)	(17		)	410			1
Total trading mortgage-backed securities	$	4,249		$	274		$	—		$	579		$	(614	)	$	1,074	$	26	$	(1,740	)	$	(48	)	$	3,800		$	87
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	195			1			—			—			—			19		—		(6		)	—			209			2
Foreign government	311			2			—			6			(36		)	65		—		(120		)	—			228			1
Corporate	2,030			(104		)	—			76			(17		)	568		—		(443		)	(374		)	1,736			(303		)
Equity securities	264			37			—			23			(63		)	78		—		(60		)	—			279			23
Asset-backed securities	4,453			224			—			38			(32		)	1,583		—		(1,856		)	—			4,410			(53		)
Other trading assets	2,321			98			—			139			(427		)	744		—		(516		)	(99		)	2,260			(7		)
Total trading non-derivative assets	$	13,823		$	532		$	—		$	861		$	(1,189	)	$	4,131	$	26	$	(4,741	)	$	(521	)	$	12,922		$	(250	)
Trading derivatives, net(4)
Interest rate contracts	181			(27		)	—			514			(167		)	91		—		(15		)	(279		)	298			(43		)
Foreign exchange contracts	—			98			—			10			(10		)	9		—		(7		)	40			140			(128		)
Equity contracts	(1,448		)	92			—			(22		)	81			49		—		(61		)	(165		)	(1,474		)	(101		)
Commodity contracts	(771		)	54			—			8			(2		)	3		—		(7		)	78			(637		)	137
Credit derivatives	(342		)	(103		)	—			8			(129		)	8		—		—			402			(156		)	106
Total trading derivatives, net(4)	$	(2,380	)	$	114		$	—		$	518		$	(227	)	$	160	$	—	$	(90	)	$	76		$	(1,829	)	$	(29	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	1,458		$	—		$	3		$	1,633		$	(1,031	)	$	471	$	—	$	—		$	(8	)	$	2,526		$	3
Residential	205			—			9			60			(205		)	117		—		—			—			186			9
Commercial	—			—			—			—			—			—		—		—			—			—			—
Total investment mortgage-backed securities	$	1,663		$	—		$	12		$	1,693		$	(1,236	)	$	588	$	—	$	—		$	(8	)	$	2,712		$	12
U.S. Treasury and federal agency securities	$	12		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	11		$	—
State and municipal	849			—			(17		)	7			(117		)	81		—		(55		)	—			748			(40		)
Foreign government	383			—			1			22			(174		)	130		—		(67		)	(27		)	268			(4		)
Corporate	385			—			1			100			(12		)	14		—		(143		)	—			345			—
Equity securities	773			—			2			—			—			1		—		(9		)	—			767			1
Asset-backed securities	2,220			—			38			1,192			—			692		—		(17		)	(310		)	3,815			(70		)
Other debt securities	258			—			—			—			(205		)	—		—		(1		)	—			52			—
Non-marketable equity securities	5,364			—			69			—			—			40		—		(21		)	(165		)	5,287			136
Total investments	$	11,907		$	—		$	106		$	3,014		$	(1,744	)	$	1,546	$	—	$	(314	)	$	(510	)	$	14,005		$	35

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

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

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

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

As of March 31, 2014	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	$	3,232	Model-based	Interest rate	1.44		%	2.13		%	1.99		%
Mortgage-backed securities	$	2,945	Price-based	Price	$	0.03		$	127.21		$	74.90
	773		Yield analysis	Yield	0.02		%	22.15		%	9.17		%
State and municipal, foreign government, corporate and other debt securities	$	5,746	Price-based	Price	$	—		$	140.00		$	88.12
	1,421		Model-based	Credit spread	60		bps	600		bps	221		bps
	875		Cash flow
Equity securities(5)	$	1,302	Price-based	Price (5)	$	—		$	1,249.93		$	172.30
	836		Cash Flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.23 years			1.35 years
Asset-backed securities	$	3,839	Price-based	Price	$	—		$	100.00		$	71.43
	1,296		Model-based	Credit spread	294		bps	294		bps	294		bps
Non-marketable equity	$	1,953	Price-based	Fund NAV	$	83		$	161,948,031		$	59,774,099
	1,619		Comparables analysis	EBITDA multiples	4.20		x	16.60		x	9.84		x
	520		Cash flow	Discount to price	—		%	90.00		%	4.00		%
				Price-to-book ratio	0.90		x	1.02		x	1.00		x
				PE ratio	8.60		x	9.48		x	9.05		x
Derivatives—Gross(6)
Interest rate contracts (gross)	$	5,808	Model-based	Interest rate (IR) lognormal volatility	11.70		%	86.32		%	21.52		%
Foreign exchange contracts (gross)	$	1,563	Model-based	Foreign exchange (FX) volatility	2.00		%	26.00		%	12.48		%
	296		Cash flow	IR-FX correlation	(29.05		)%	60.00		%	48.48		%
				IR-IR correlation	40.00		%	68.41		%	40.55		%
				Credit spread	13		bps	419		bps	145		bps
				Interest rate	3.95		%	9.61		%	6.22		%
Equity contracts (gross)(7)	$	4,257	Model-based	Equity volatility	2.30		%	77.86		%	26.24		%
	456		Price-based	Equity forward	77.40		%	132.00		%	97.32		%
				Equity-equity correlation	(81.30		)%	99.40		%	45.30		%
				Equity-FX correlation	(70.00		)%	65.00		%	(14.64		)%
				Price	$	—		$	120.25		$	79.67
Commodity contracts (gross)	$	2,646	Model-based	Commodity volatility	5.00		%	146.00		%	15.00		%
				Commodity correlation	(75.00		)%	90.00		%	29.00		%
				Forward price	72.07		%	117.26		%	99.52		%
Credit derivatives (gross)	$	6,698	Model-based	Recovery rate	7.00		%	68.50		%	28.32		%
	1,743		Price-based	Credit correlation	5.00		%	95.00		%	53.57		%
				Price	$	—		$	120.25		$	37.39
				Credit spread	1		bps	1,378		bps	120		bps
				Upfront points	3.80			97.41			79.98
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)	$	92	Price-based	EBITDA multiples	5.10		x	12.30		x	11.74		x
	52		Comparables analysis	PE ratio	9.00		x	9.00		x	9.00		x
	38		Model-based	Price-to-book Ratio	1.02		x	1.02		x	1.02		x
				Price	$	108.70		$	108.70		$	108.70
				Fund NAV	$	1.00		$	9,895,008		$	8,470,964
				Discount to price	—		%	35.00		%	10.71		%
				Redemption Rate	3.00		%	99.50		%	68.25		%
Loans	$	2,111	Price-based	Price	$	0.02		$	105.17		$	91.48
	1,155		Cash flow	Yield	1.60		%	4.50		%	2.10		%
	463		Yield analysis	Credit spread	42		bps	1,600		bps	386		bps
Mortgage servicing rights	$	2,492	Cash flow	Yield	—		%	52.75		%	7.13		%
				WAL	3.54 years			11.59 years			5.83 years
Liabilities
Interest-bearing deposits	$	935	Model-based	Equity volatility	13.80		%	39.79		%	26.05		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity-IR correlation	25.00		%	29.00		%	25.82		%
				Forward price	72.07		%	117.26		%	99.52		%
				Commodity correlation	(75.00		)%	90.00		%	29.00		%
				Commodity volatility	5.00		%	146.00		%	15.00		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	941	Model-based	Interest rate	1.01		%	2.99		%	2.54		%
Trading account liabilities
Securities sold, not yet purchased	$	296	Model-based	Credit-IR correlation	(70.49		)%	7.47		%	(41.41		)%
	$	172	Price-based	Price	$	—		$	113.75		$	91.96
Short-term borrowings and long-term debt	$	5,870	Model-based	IR lognormal volatility	11.70		%	86.32		%	21.44		%
	1,957		Cash flow	Equity forward	77.40		%	132.00		%	97.74		%
	844		Price-based	Equity volatility	2.30		%	42.00		%	15.51		%
				Commodity correlation	(75.00		)%	90.00		%	29.00		%
				Commodity volatility	5.00		%	146.00		%	15.00		%
				Price	$	0.22		$	105.17		$	82.37
				Forward Price	72.07		%	117.26		%	99.52		%

As of December 31, 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	$	3,299	Model-based	Interest rate	1.33		%	2.19		%	2.04		%
Mortgage-backed securities	$	2,869	Price-based	Price	$	0.10		$	117.78		77.60
	1,241		Yield analysis	Yield	0.03		%	21.80		%	8.66		%
State and municipal, foreign government, corporate and other debt securities	$	5,361	Price-based	Price	$	—		$	126.49		$	87.47
	2,014		Cash flow	Credit spread	11		bps	375		bps	213		bps
Equity securities(5)	$	947	Price-based	Price (5)	$	0.31		$	93.66		$	86.90
	827		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.55 years			1.38 years
Asset-backed securities	$	4,539	Price-based	Price	$	—		$	135.83		$	70.89
	1,300		Model-based	Credit spread	25		bps	378		bps	302		bps
Non-marketable equity	$	2,324	Price-based	Fund NAV	$	612		$	336,559,340		$	124,080,454
	1,470		Comparables analysis	EBITDA multiples	4.20		x	16.90		x	9.78		x
	533		Cash flow	Discount to price	—		%	75.00		%	3.47		%
				Price-to-book ratio	0.90		x	1.05		x	1.02		x
				PE ratio	9.10		x	9.10		x	9.10		x
Derivatives—Gross(6)
Interest rate contracts (gross)	$	5,721	Model-based	Interest rate (IR) lognormal volatility	10.60		%	87.20		%	21.16		%
Foreign exchange contracts (gross)	$	1,727	Model-based	Foreign exchange (FX) volatility	1.00		%	28.00		%	13.45		%
	189		Cash flow	Interest rate	0.11		%	13.88		%	6.02		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
				IR-IR correlation	40.00		%	68.79		%	40.52		%
				Credit spread	25		bps	419		bps	162		bps
Equity contracts (gross)(7)	$	3,189	Model-based	Equity volatility	10.02		%	73.48		%	29.87		%
	563		Price-based	Equity forward	79.10		%	141.00		%	100.24		%
				Equity-equity correlation	(81.30		)%	99.40		%	48.45		%
				Equity-FX correlation	(70.00		)%	55.00		%	0.60		%
				Price	$	—		$	118.75		$	88.10
Commodity contracts (gross)	$	2,988	Model-based	Commodity volatility	4.00		%	146.00		%	15.00		%
				Commodity correlation	(75.00		)%	90.00		%	32.00		%
				Forward price	23.00		%	242.00		%	105.00		%
Credit derivatives (gross)	$	4,767	Model-based	Recovery rate	20.00		%	64.00		%	38.11		%
	1,520		Price-based	Credit correlation	5.00		%	95.00		%	47.43		%
				Price	$	0.02		$	115.20		$	29.83
				Credit spread	3		bps	1,335		bps	203		bps
				Upfront points	2.31			100.00			57.69
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)	$	82	Price-based	EBITDA multiples	5.20		x	12.60		x	12.08		x
	60		Comparables analysis	PE ratio	6.90		x	6.90		x	6.90		x
	38		Model-based	Price-to-book Ratio	1.05		x	1.05		x	1.05		x
				Price	$	—		$	105.10		$	71.25
				Fund NAV	$	1.00		$	10,688,600		$	9,706,488
				Discount to price	—		%	35.00		%	16.36		%

Loans	$	2,153	Price-based	Price	$	—		$	103.75		$	91.19
	1,422		Model-based	Yield	1.60		%	4.50		%	2.10		%
	549		Yield analysis	Credit spread	49		bps	1,600		bps	302		bps
Mortgage servicing rights	$	2,625	Cash flow	Yield	3.64		%	12.00		%	7.19		%
				WAL	2.27 years			9.44 years			6.12 years
Liabilities
Interest-bearing deposits	$	890	Model-based	Equity volatility	14.79		%	42.15		%	27.74		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity-IR correlation	9.00		%	20.50		%	19.81		%
				Forward price	23.00		%	242.00		%	105.00		%
				Commodity correlation	(75.00		)%	90.00		%	32.00		%
				Commodity volatility	4.00		%	146.00		%	15.00		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	902	Model-based	Interest rate	0.47		%	3.66		%	2.71		%
Trading account liabilities
Securities sold, not yet purchased	$	289	Model-based	Credit spread	166		bps	180		bps	175		bps
	$	273	Price-based	Credit-IR correlation	(68.00		)%	5.00		%	(50.00		)%
				Price	$	—		$	124.25		$	99.75
Short-term borrowings and long-term debt	$	6,781	Model-based	IR lognormal volatility	10.60		%	87.20		%	20.97		%
	868		Price-based	Equity forward	79.10		%	141.00		%	99.51		%
				Equity volatility	10.70		%	57.20		%	19.41		%
				Equity-FX correlation	(70.00		)%	55.00		%	0.60		%
				Equity-equity correlation	(81.30		)%	99.40		%	48.30		%
				Interest rate	4.00		%	10.00		%	5.00		%
				Price	$	0.63		$	103.75		$	80.73
				Forward price	23.00		%	242.00		%	101.00		%

(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) 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.

Items measured at fair value of a nonrecurring basis

In millions of dollars	Fair value		Level 2		Level 3
March 31, 2014
Loans held-for-sale	$	3,623	$	2,309	$	1,314
Other real estate owned	131		18		113
Loans(1)	3,319		2,535		784
Total assets at fair value on a nonrecurring basis	$	7,073	$	4,862	$	2,211

(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, 2013
Loans held-for-sale	$	3,483	$	2,165	$	1,318
Other real estate owned	138		15		123
Loans(1)	4,713		3,947		766
Total assets at fair value on a nonrecurring basis	$	8,334	$	6,127	$	2,207

(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

As of March 31, 2014	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	1,084	Price-based	Price	$	87.50		$	100.00		$	98.95
	179		Cash flow	Credit spread	45		bps	70		bps	52		bps
Other real estate owned	$	90	Price-based	Appraised Value	$	362,658		$	8,518,230		$	5,602,488
				Discount to price(4)	34.00		%	60.00		%	42.00		%
Loans(3)	$	729	Price-based	Discount to price(4)	34.00		%	39.00		%	35.00		%

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

(2) 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.

(4) Includes estimated costs to sell.

As of December 31, 2013	Fair Value(1) (in millions)		Methodology	Input	Low			High			Weighted average(2)
Loans held-for-sale	$	912	Price-based	Price	$	60.00		$	100.00		$	98.77
	393		Cash flow	Credit spread	45		bps	80		bps	64		bps
Other real estate owned	$	98	Price-based	Discount to price(4)	34.00		%	59.00		%	39.00		%
	17		Cash Flow	Price	$	60.46		$	100.00		$	96.67
				Appraised Value	$	636,249		$	15,897,503		$	11,392,478
Loans(3)	$	581	Price-based	Discount to price(4)	34.00		%	39.00		%	35.00		%
	109		Model-based	Price	$	52.40		$	68.39		$	65.32
				Appraised Value	$	6,500,000		$	86,000,000		$	43,532,719

(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.

(4) Includes estimated costs to sell.

Changes in total nonrecurring fair value measurements

	Three Months Ended
In millions of dollars	March 31, 2014			March 31, 2013
Loans held-for-sale	$	74		$	(81	)
Other real estate owned	(7		)	(6		)
Loans(1)	(211		)	(249		)
Total nonrecurring fair value gains (losses)	$	(144	)	$	(336	)

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

Estimated Fair Value of Financial Instruments

March 31, 2014

Estimated fair value

In billions of dollars

Carrying
value

Estimated
fair value

Level 1

Level 2

Level 3

Assets

Investments

17.5

19.0

5.3

11.4

2.3

Federal funds sold and securities borrowed or purchased under agreements to resell

123.6

—

113.1

10.5

Loans(1)(2)

636.7

635.4

—

5.2

630.2

Other financial assets(2)(3)

268.0

9.6

197.1

61.3

Liabilities

Deposits

964.5

962.7

—

774.6

188.1

Federal funds purchased and securities loaned or sold under agreements to repurchase

150.3

—

144.3

6.0

Long-term debt(4)

194.9

201.4

—

174.8

26.6

Other financial liabilities(5)

143.6

—

40.6

103.0

	December 31, 2013				Estimated fair value
In billions of dollars	Carrying value		Estimated fair value		Level 1		Level 2		Level 3
Assets
Investments	$	17.8	$	19.3	$	5.3	$	11.9	$	2.1
Federal funds sold and securities borrowed or purchased under agreements to resell	115.6		115.6		—		105.5		10.1
Loans(1)(2)	637.9		635.1		—		5.6		629.5
Other financial assets(2)(3)	254.2		254.2		9.4		191.7		53.1
Liabilities
Deposits	$	966.6	$	965.6	$	—	$	776.4	$	189.2
Federal funds purchased and securities loaned or sold under agreements to repurchase	152.0		152.0		—		147.1		4.9
Long-term debt(4)	194.2		201.3		—		175.6		25.7
Other financial liabilities(5)	136.2		136.2		—		41.2		95.0

(1) The carrying value of loans is net of the Allowance for loan losses of $18.9 billion for March 31, 2014 and $19.6 billion for December 31, 2013. In addition, the carrying values exclude $2.9 billion and $2.9 billion of lease finance receivables at March 31, 2014 and December 31, 2013, 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 under qualifying fair value hedges.

(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.