Citibank 2011 Annual Report Download - page 268

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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, 2011 and December 31, 2010. The
Company’s hedging of positions that have been classified in the Level 3
category is not limited to other financial instruments that have been
classified as Level 3, but also instruments classified as Level 1 or Level 2 of
the fair value hierarchy. The effects of these hedges are presented gross in the
following table.
In millions of dollars at December 31, 2011 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 $ — $ 188,034 $ 4,701 $ 192,735 $ (49,873) $142,862
Trading securities
Trading mortgage-backed securities
53æGOVERNMENTSPONSOREDæAGENCYæGUARANTEED $ — $ 26,674 $ 861 $ 27,535 $ — $ 27,535
0RIME — 118 759 877 — 877
!LT! — 444 165 609 — 609
3UBPRIME — 524 465 989 — 989
.ON53æRESIDENTIAL — 276 120 396 — 396
#OMMERCIAL — 1,715 618 2,333 — 2,333
Total trading mortgage-backed securities $ — $ 29,751 $ 2,988 $ 32,739 $ — $ 32,739
U.S. Treasury and federal agency securities
53æ4REASURY $ 15,612 $ 2,615 $ — $ 18,227 $ — $ 18,227
!GENCYæOBLIGATIONS — 1,169 3 1,172 — 1,172
Total U.S. Treasury and federal agency securities $ 15,612 $ 3,784$3$19,399 $ — $ 19,399
State and municipal $ — $ 5,112 $ 252 $ 5,364 $ — $ 5,364
Foreign government 52,429 26,601 521 79,551 — 79,551
Corporate — 33,786 3,240 37,026 — 37,026
Equity securities 29,707 3,279 244 33,230 — 33,230
Asset-backed securities — 1,270 5,801 7,071 — 7,071
Other debt securities — 12,818 2,209 15,027 — 15,027
Total trading securities $ 97,748 $ 116,401 $15,258 $ 229,407 $ — $229,407
Trading account derivatives
)NTERESTæRATEæCONTRACTS $ 67 $ 755,473 $ 1,947 $ 757,487
&OREIGNæEXCHANGEæCONTRACTS — 93,536 781 94,317
%QUITYæCONTRACTS 2,240 16,376 1,619 20,235
#OMMODITYæCONTRACTS 958 11,940 865 13,763
#REDITæDERIVATIVES — 81,123 9,301 90,424
Total trading account derivatives $ 3,265 $ 958,448 $14,513 $ 976,226
Gross cash collateral paid 57,815
Netting agreements and market value adjustments $ (971,714)
Total trading account derivatives $ 3,265 $ 958,448 $14,513 $1,034,041 $ (971,714) $ 62,327
Investments
Mortgage-backed securities
53æGOVERNMENTSPONSOREDæAGENCYæGUARANTEED $ 59 $ 45,043 $ 679 $ 45,781 $ — $ 45,781
0RIME — 105 8 113 — 113
!LT! —1—1—1
3UBPRIME ———— ——
.ON53æRESIDENTIAL — 4,658 — 4,658 — 4,658
#OMMERCIAL — 472 — 472 — 472
Total investment mortgage-backed securities $ 59 $ 50,279 $ 687 $ 51,025 $ — $ 51,025
U.S. Treasury and federal agency securities
53æ4REASURY $ 11,642 $ 38,587 $ — $ 50,229 $ — $ 50,229
!GENCYæOBLIGATIONS — 34,834 75 34,909 — 34,909
Total U.S. Treasury and federal agency securities $ 11,642 $ 73,421 $ 75 $ 85,138 $ — $ 85,138