Citibank 2011 Annual Report Download - page 272

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Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the
twelve months ended December 31, 2011 and December 31, 2010. The Company
classifies financial instruments in Level 3 of the fair value hierarchy when there is
reliance on at least one significant unobservable input to the valuation model. In
addition to these unobservable inputs, the valuation models for Level 3 financial
instruments typically also rely on a number of inputs that are readily observable
either directly or indirectly. Thus, the gains and losses presented below include
changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are
classified in a different level. For example, the gains and losses for assets
and liabilities in the Level 3 category presented in the tables below do not
reflect the effect of offsetting losses and gains on hedging instruments that
have been classified by the Company in the Level 1 and Level 2 categories. In
addition, the Company hedges items classified in the Level 3 category with
instruments also classified in Level 3 of the fair value hierarchy. The effects of
these hedges are presented gross in the following tables.
Net realized/unrealized
gains (losses) included in
(1)(2)
Transfers
in and/or
out of
Level 3 Purchases Issuances Sales Settlements
Dec. 31,
2011
Unrealized
gains
(losses)
still held (3) In millions of dollars
Dec. 31,
2010
Principal
transactions Other
Assets
Fed funds sold and securities borrowed or
purchased under agreements to resell   $ 90 $ — $ (300) $ — $ — $ — $ — $ 4,701 $ 89
Trading securities
Trading mortgage-backed securities
53æGOVERNMENTSPONSOREDæ
AGENCYæGUARANTEED   $ (62) $ — $ 169 $ 677 $ 73 $ (686) $ (141) $ 861 $ (100)
0RIME  125 — 59 1,608 — (1,608) (19) 759 48
!LT!  19 — (8) 1,638 — (1,849) (20) 165 2
3UBPRIME  (2) — (148) 550 — (1,021) (39) 465 103
.ON53æRESIDENTIAL  6 — (41) 354 — (423) — 120 (35)
#OMMERCIAL  33 — 345 418 — (570) (26) 618 (57)
Total trading mortgage-backed securities   $ 119 $ — $ 376 $ 5,245 $ 73 $ (6,157) $ (245) $ 2,988 $ (39)
U.S. Treasury and federal agency securities
53æ4REASURY   $— $ — $— $ — $—$ — $ —$ — $ —
!GENCYæOBLIGATIONS  9 — (45) 8 — (41) — 3 —
Total U.S. Treasury and federal
agency securities  $ 9 $ — $ (45) $ 8 $ — $ (41) $ — $ 3 $ —
State and municipal   $ 67 $ — $ 102 $ 1,128 $ — $ (1,243) $ (10) $ 252 $ (35)
Foreign government  (33) — (243) 1,556 — (797) (528) 521 (22)
Corporate  (60) — 1,452 3,272 — (3,864) (2,564) 3,240 (680)
Equity securities  (202) — (145) 191 — (376) — 244 (143)
Asset-backed securities  128 — 606 5,198 — (6,069) (1,682) 5,801 (779)
Other debt securities  (170) — 185 1,573 — (680) (4) 2,209 68
Total trading securities  $ (142) $ — $ 2,288 $ 18,171 $ 73 $(19,227) $(5,033) $15,258 $(1,630)
Derivatives, net (4)
)NTERESTæRATEæCONTRACTS   $ (242) $ — $ 1,549 $ 111 $ — $ (21) $ 59 $ 726 $ 52
&OREIGNæEXCHANGEæCONTRACTS  31 — (83) 11 — (3) (153) (33) (100)
%QUITYæCONTRACTS  471 — (28) 362 — (242) (661) (1,737) (1,139)
#OMMODITYæCONTRACTS  426 — (83) 2 — (104) (152) (934) (48)
#REDITæDERIVATIVES  520 — 183 8 — (1) (1,278) 1,728 1,615
Total derivatives, net (4)   $ 1,206 $ — $ 1,538 $ 494 $ — $ (371) $(2,185) $ (250) $ 380
Investments
Mortgage-backed securities
53æGOVERNMENTSPONSOREDæ
AGENCYæGUARANTEED   $ — $ (22) $ 416 $ 270 $ — $ (7) $ — $ 679 $ (38)
0RIME  — (1) (109) 7 — (54) (1) 8 —
!LT!  — (1) — — — — — — —
3UBPRIME  —————————
#OMMERCIAL  — (4) (513) 42 — (52) — — —
Total investment mortgage-backed
debt securities   $ — $ (28) $ (206) $ 319 $ — $ (113) $ (1) $ 687 $ (38)
U.S. Treasury and federal agency securities  $ — $ — $ 60 $ — $ — $ (2) $ — $ 75 $ —
State and municipal  — (10) (59) 324 — (92) — 667 (20)
Foreign government   $ — $ 13 $ (21) $ 352 $ — $ (67) $ (188) $ 447 $ 6
Corporate  — (106) 199 732 — (56) (305) 989 6
Equity securities  — (38) (31) — — (84) (449) 1,453 —
Asset-backed securities  — 43 55 106 — (460) (1,127) 4,041 5
Other debt securities  — 26 121 35 — (289) (500) 120 (2)
Non-marketable equity securities  — 862 (886) 4,881 — (1,838) (1,661) 8,318 580
Total investments  $ — $ 762 $ (768) $ 6,749 $ — $ (3,001) $(4,231) $16,797 $ 537