Citibank 2012 Annual Report Download - page 278

256
Fair Value Levels
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
U.S. government-sponsored agency guaranteed $ — $ 26,674 $ 861 $ 27,535 $ — $ 27,535
Residential — 1,362 1,509 2,871 — 2,871
Commercial — 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 $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 — 12,284 2,743 15,027 — 15,027
Total trading securities $97,748 $115,867 $15,792 $ 229,407 $ — $229,407
Trading account derivatives
Interest rate contracts $ 67 $755,473 $ 1,947 $ 757,487
Foreign exchange contracts — 93,536 781 94,317
Equity contracts 2,240 16,376 1,619 20,235
Commodity contracts 958 11,940 865 13,763
Credit derivatives — 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
U.S. government-sponsored agency guaranteed $ 59 $ 45,043 $ 679 $ 45,781 $ — $ 45,781
Residential — 4,764 8 4,772 — 4,772
Commercial — 472 — 472 — 472
Total investment mortgage-backed securities $ 59 $ 50,279 $ 687 $ 51,025 $ — $ 51,025
U.S. Treasury and federal agency securities $11,642 $ 73,421 $ 75 $ 85,138 $ — $ 85,138
See footnotes on the next page.