Citibank 2009 Annual Report Download - page 238

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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, 2009 and 2008. 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, 2009 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 $ — $ 138,550 $ — $ 138,550 $ (50,713) $ 87,837
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed $ — $ 19,666 $ 972 $ 20,638 $ — $ 20,638
Prime — 772 384 1,156 — 1,156
Alt-A — 842 387 1,229 — 1,229
Subprime — 736 8,998 9,734 — 9,734
Non-U.S. residential — 1,796 572 2,368 — 2,368
Commercial — 1,004 2,451 3,455 — 3,455
Total trading mortgage-backed securities $ — $ 24,816 $ 13,764 $ 38,580 $ — $ 38,580
U.S. Treasury and federal agencies securities
U.S. Treasury $ 27,943 $ 995 $ — $ 28,938 $ — $ 28,938
Agency obligations — 2,041 — 2,041 — 2,041
Total U.S. Treasury and federal agencies securities $ 27,943 $ 3,036 $ — $ 30,979 $ — $ 30,979
Other trading securities
State and municipal $ — $ 6,925 $ 222 $ 7,147 $ — $ 7,147
Foreign government 59,229 13,081 459 72,769 — 72,769
Corporate — 43,365 8,620 51,985 — 51,985
Equity securities 33,754 11,827 640 46,221 — 46,221
Other debt securities — 19,976 16,237 36,213 — 36,213
Total trading securities $120,926 $ 123,026 $ 39,942 $ 283,894 $ — $283,894
Derivatives $ 4,002 $ 671,532 $ 27,685 $ 703,219 $(644,340) $ 58,879
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed $ 89 $ 20,823 $ 2 $ 20,914 $ — $ 20,914
Prime — 5,742 736 6,478 — 6,478
Alt-A — 572 55 627 — 627
Subprime — — 1 1 — 1
Non-U.S. residential — 255 — 255 — 255
Commercial — 47 746 793 — 793
Total investment mortgage-backed securities $ 89 $ 27,439 $ 1,540 $ 29,068 $ — $ 29,068
U.S. Treasury and federal agency securities
U.S. Treasury $ 5,943 $ 20,619 $ — $ 26,562 $ — $ 26,562
Agency obligations — 27,531 21 27,552 — 27,552
Total U.S. Treasury and federal agency $ 5,943 $ 48,150 $ 21 $ 54,114 $ — $ 54,114
State and municipal $ — $ 15,393 $ 217 $ 15,610 $ — $ 15,610
Foreign government 60,484 41,765 270 102,519 — 102,519
Corporate — 19,056 1,257 20,313 — 20,313
Equity securities 3,056 237 2,513 5,806 — 5,806
Other debt securities — 3,337 8,832 12,169 — 12,169
Non-marketable equity securities — 77 6,753 6,830 — 6,830
Total investments $ 69,572 $ 155,454 $ 21,403 $ 246,429 $ — $246,429
Loans (2) $ — $ 1,226 $ 213 $ 1,439 $ — $ 1,439
Mortgage servicing rights — — 6,530 6,530 — 6,530
Other financial assets measured on a recurring basis — 15,787 1,101 16,888 (4,224) 12,664
Total assets $194,500 $1,105,575 $ 96,874 $1,396,949 $(699,277) $697,672
13.9% 79.2% 6.9% 100.0%