Citibank 2008 Annual Report Download - page 203
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Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair-value hierarchy levels the
Company’s assets and liabilities that are measured at fair value on a
recurring basis at December 31, 2008 and December 31, 2007. The
Company often hedges positions that have been classified in the Level 3
category with financial instruments that have been classified as Level 1 or
Level 2. In addition, the Company also hedges items classified in the Level 3
category with instruments classified in Level 3 of the fair value hierarchy.
The effects of these hedges are presented gross in the following table.
In millions of dollars at December 31, 2008 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 $ — $ 96,524 $ — $ 96,524 $ (26,219) $ 70,305
Trading account assets
Trading securities and loans 90,530 121,043 50,773 262,346 — 262,346
Derivatives 9,675 1,102,252 60,725 1,172,652 (1,057,363) 115,289
Investments 44,342 111,836 28,273 184,451 — 184,451
Loans (2) — 2,572 160 2,732 — 2,732
Mortgage servicing rights — — 5,657 5,657 — 5,657
Other financial assets measured on a recurring basis — 9,890 359 10,249 (4,527) 5,722
Total assets $144,547 $1,444,117 $145,947 $1,734,611 $(1,088,109) $646,502
8.3% 83.3% 8.4% 100.0%
Liabilities
Interest-bearing deposits $ — $ 2,552 $ 54 $ 2,606 $ — $ 2,606
Federal funds purchased and securities loaned or sold under agreements to repurchase — 153,918 11,167 165,085 (26,219) 138,866
Trading account liabilities
Securities sold, not yet purchased 36,848 13,192 653 50,693 — 50,693
Derivatives 10,038 1,096,113 57,139 1,163,290 (1,046,505) 116,785
Short-term borrowings — 16,278 1,329 17,607 — 17,607
Long-term debt — 16,065 11,198 27,263 — 27,263
Other financial liabilities measured on a recurring basis — 8,222 1 8,223 (4,527) 3,696
Total liabilities $ 46,886 $1,306,340 $ 81,541 $1,434,767 $(1,077,251) $357,516
3.3% 91.0% 5.7% 100.0%
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