Citibank 2010 Annual Report Download - page 266

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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, 2010 and 2009. 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, 2010 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 $ — $ 131,831 $ 4,911 $ 136,742 $ (49,230) $ 87,512
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed — 26,296 831 27,127 — 27,127
Prime — 920 594 1,514 — 1,514
Alt-A — 1,117 385 1,502 — 1,502
Subprime — 911 1,125 2,036 — 2,036
Non-U.S. residential — 828 224 1,052 — 1,052
Commercial — 883 418 1,301 — 1,301
Total trading mortgage-backed securities $ — $ 30,955 $ 3,577 $ 34,532 $ — $ 34,532
U.S. Treasury and federal agencies securities
U.S. Treasury $ 18,449 $ 1,719 $ — $ 20,168 $ — $ 20,168
Agency obligations 6 3,340 72 3,418 — 3,418
Total U.S. Treasury and federal agencies securities $ 18,455 $ 5,059 $ 72 $ 23,586 $ — $ 23,586
State and municipal $ — $ 7,285 $ 208 $ 7,493 $ — $ 7,493
Foreign government 64,096 23,649 566 88,311 — 88,311
Corporate — 45,580 6,006 51,586 — 51,586
Equity securities 33,509 4,291 776 38,576 — 38,576
Asset-backed securities — 1,141 6,618 7,759 — 7,759
Other debt securities — 13,911 1,305 15,216 — 15,216
Total trading securities $116,060 $ 131,871 $19,128 $ 267,059 $ — $267,059
Derivatives
Interest rate contracts $ 509 $ 473,579 $ 2,584 $ 476,672
Foreign exchange contracts 11 83,465 1,025 84,501
Equity contracts 2,581 11,807 1,758 16,146
Commodity contracts 590 10,973 1,045 12,608
Credit derivatives — 52,270 12,771 65,041
Total gross derivatives $ 3,691 $ 632,094 $19,183 $ 654,968
Cash collateral paid 50,302
Netting agreements and market value adjustments $(655,057)
Total derivatives $ 3,691 $ 632,094 $19,183 $ 705,270 $(655,057) $ 50,213
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed $ 70 $ 23,531 $ 22 $ 23,623 $ — $ 23,623
Prime — 1,660 166 1,826 — 1,826
Alt-A — 47 1 48 — 48
Subprime — 119 — 119 — 119
Non-U.S. residential — 316 — 316 — 316
Commercial — 47 527 574 — 574
Total investment mortgage-backed securities $ 70 $ 25,720 $ 716 $ 26,506 $ — $ 26,506
U.S. Treasury and federal agency securities
U.S. Treasury $ 14,031 $ 44,417 $ — $ 58,448 $ — $ 58,448
Agency obligations — 43,597 17 43,614 — 43,614
Total U.S. Treasury and federal agency $ 14,031 $ 88,014 $ 17 $ 102,062 $ — $102,062