Citibank 2013 Annual Report Download - page 206

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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 Note 1 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, 2013 and 2012.
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, 2013
Asset categories Level 1 Level 2 Level 3 Total
Equity securities
U.S. equity $ 864 $ — $ — $ 864
Non-U.S. equity 441 — — 441
Mutual funds 203 — — 203
Commingled funds — 895 — 895
Debt securities
U.S. Treasuries 1,112 — — 1,112
U.S. agency — 91 — 91
U.S. corporate bonds — 1,385 — 1,385
Non-U.S. government debt — 344 — 344
Non-U.S. corporate bonds — 403 — 403
State and municipal debt — 137 — 137
Hedge funds — 2,014 1,180 3,194
Asset-backed securities — 61 — 61
Mortgage-backed securities — 64 — 64
Annuity contracts — — 91 91
Private equity — — 2,106 2,106
Derivatives 8 601 — 609
Other investments — 100 157 257
Total investments at fair value $2,628 $6,095 $3,534 $12,257
Cash and short-term investments $ 107 $ 957 $ — $ 1,064
Other investment receivables — 49 52 101
Total assets $2,735 $7,101 $3,586 $13,422
Other investment liabilities $ (9) $ (650) $ — $ (659)
Total net assets $2,726 $6,451 $3,586 $12,763
(1) The investments of the U.S. pension and postretirement benefit plans are commingled in one trust. At December 31, 2013, the allocable interests of the U.S. pension and postretirement benefit plans were 99.7% and
0.3%, respectively.