Citibank 2012 Annual Report Download - page 276

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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, 2012 and 2011. The Company’s hedging
of฀positions฀that฀have฀been฀classified฀in฀the฀Level฀3฀category฀is฀not฀limited฀
to other financial instruments (hedging 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.
Fair Value Levels
In millions of dollars at December 31, 2012 Level 1 (1) Level 2 (1) Level 3
Gross
inventory Netting (2)
Net
balance
Assets
Federal funds sold and securities borrowed or purchased under
agreements to resell $ — $ 198,278 $ 5,043 $ 203,321 $ (42,732) $160,589
Trading securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed — 29,835 1,325 31,160 — 31,160
Residential — 1,663 1,805 3,468 — 3,468
Commercial — 1,322 1,119 2,441 — 2,441
Total trading mortgage-backed securities $ — $ 32,820 $ 4,249 $ 37,069 $ — $ 37,069
U.S. Treasury and federal agency securities $ 15,416 $ 4,940 $ — $ 20,356 $ — $ 20,356
State and municipal — 3,611 195 3,806 — 3,806
Foreign government 57,831 31,097 311 89,239 — 89,239
Corporate — 33,194 2,030 35,224 — 35,224
Equity securities 54,640 2,094 264 56,998 — 56,998
Asset-backed securities — 899 4,453 5,352 — 5,352
Other debt securities — 15,944 2,321 18,265 — 18,265
Total trading securities $127,887 $ 124,599 $ 13,823 $ 266,309 $ — $266,309
Trading account derivatives
Interest rate contracts $ 2 $ 901,809 $ 1,710 $ 903,521
Foreign exchange contracts 18 75,712 902 76,632
Equity contracts 2,359 14,193 1,741 18,293
Commodity contracts 410 9,802 695 10,907
Credit derivatives — 50,109 4,166 54,275
Total trading account derivatives $ 2,789 $1,051,625 $ 9,214 $1,063,628
Gross cash collateral paid 61,152
Netting agreements and market value adjustments $(1,070,160)
Total trading account derivatives $ 2,789 $1,051,625 $ 9,214 $1,124,780 $(1,070,160) $ 54,620
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed $ 46 $ 45,841 $ 1,458 $ 47,345 $ — $ 47,345
Residential — 7,472 205 7,677 — 7,677
Commercial — 449 — 449 — 449
Total investment mortgage-backed securities $ 46 $ 53,762 $ 1,663 $ 55,471 $ — $ 55,471
U.S. Treasury and federal agency securities $ 13,204 $ 78,625 $ 12 $ 91,841 $ — $ 91,841
See footnotes on the next page.