Citibank 2011 Annual Report Download - page 193

171
Fair Value Disclosure
For information on fair value measurements, including descriptions of Level 1, 2 and 3 of the fair value hierarchy and the valuation methodology utilized by
the Company, see “Significant Accounting Policies and Significant Estimates” and Note 25 to the Consolidated Financial Statements.
Certain investments may transfer between the fair value hierarchy classifications during the year due to changes in valuation methodology and pricing
sources. There were no significant transfers of investments between level 1 and level 2 during the years ended December 31, 2011 and 2010.
Plan assets by detailed asset categories and the fair value hierarchy are as follows:
In millions of dollars U.S. pension and postretirement benefit plans (1)
Fair value measurement at December 31, 2011
Asset categories Level 1 Level 2 Level 3 Total
%QUITYæSECURITIES æ
53æEQUITY $ 572 $ 5 $ 51 $ 628
.ON53æEQUITY 229 — 19 248
-UTUALæFUNDS 137 — — 137
#OMMINGLEDæFUNDS 440 594 — 1,034
$EBTæSECURITIES
53æ4REASURIES 1,760 — — 1,760
53æAGENCY — 120 — 120
53æCORPORATEæBONDSæ 2 1,073 5 1,080
.ON53æGOVERNMENTæDEBT — 352 — 352
.ON53æCORPORATEæBONDSæ 4 271 — 275
3TATEæANDæMUNICIPALæDEBT — 122 — 122
(EDGEæFUNDS — 1,087 870 1,957
!SSETBACKEDæSECURITIES —19— 19
-ORTGAGEBACKEDæSECURITIES —32— 32
!NNUITYæCONTRACTS — — 155 155
0RIVATEæEQUITY — — 2,474 2,474
$ERIVATIVES 691 36 — 727
/THERæINVESTMENTSæ 92 20 121 233
4OTALæINVESTMENTSæATæFAIRæVALUE $ 3,927 $ 3,731 $ 3,695 $ 11,353
#ASHæANDæSHORTTERMæINVESTMENTS $ 412 $ 402 $ — $ 814
/THERæINVESTMENTæRECEIVABLES — 393 221 614
Total assets $ 4,339 $ 4,526 $3,916 $ 12,781
/THERæINVESTMENTæLIABILITIES $ (683) $ (33) $ — $ (716)
Total net assets $ 3,656 $ 4,493 $3,916 $ 12,065
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