Citibank 2013 Annual Report Download - page 292

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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, 2013 and December 31, 2012. 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, 2013 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 $ — $172,848 $ 3,566 $176,414 $ (34,933) $141,481
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed $ — $ 22,861 $ 1,094 $ 23,955 $ — $ 23,955
Residential — 1,223 2,854 4,077 — 4,077
Commercial — 2,318 256 2,574 — 2,574
Total trading mortgage-backed securities $ — $ 26,402 $ 4,204 $ 30,606 $ — $ 30,606
U.S. Treasury and federal agency securities $ 12,080 $ 2,757 $ — $ 14,837 $ — $ 14,837
State and municipal — 2,985 222 3,207 — 3,207
Foreign government 49,220 25,220 416 74,856 — 74,856
Corporate — 28,699 1,835 30,534 — 30,534
Equity securities 58,761 1,958 1,057 61,776 — 61,776
Asset-backed securities — 1,274 4,342 5,616 — 5,616
Other trading assets — 8,491 3,184 11,675 — 11,675
Total trading non-derivative assets $120,061 $ 97,786 $ 15,260 $233,107 $ — $233,107
Trading derivatives
Interest rate contracts $ 11 $624,902 $ 3,467 $628,380
Foreign exchange contracts 40 91,189 1,325 92,554
Equity contracts 5,793 17,611 1,473 24,877
Commodity contracts 506 7,775 801 9,082
Credit derivatives — 37,336 3,010 40,346
Total trading derivatives $ 6,350 $778,813 $ 10,076 $795,239
Cash collateral paid (3) $ 6,073
Netting agreements $(713,598)
Netting of cash collateral received (34,893)
Total trading derivatives $ 6,350 $778,813 $ 10,076 $801,312 $(748,491) $ 52,821
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed $ — $ 41,810 $ 187 $ 41,997 $ — $ 41,997
Residential — 10,103 102 10,205 — 10,205
Commercial — 453 — 453 — 453
Total investment mortgage-backed securities $ — $ 52,366 $ 289 $ 52,655 $ — $ 52,655
U.S. Treasury and federal agency securities $ 69,139 $ 18,449 $ 8 $ 87,596 $ — $ 87,596
State and municipal $ — $ 17,297 $ 1,643 $ 18,940 $ — $ 18,940
Foreign government 35,179 60,948 344 96,471 — 96,471
Corporate 4 10,841 285 11,130 — 11,130
Equity securities 2,583 336 815 3,734 — 3,734
Asset-backed securities — 13,314 1,960 15,274 — 15,274
Other debt securities — 661 50 711 — 711
Non-marketable equity securities — 358 4,347 4,705 — 4,705
Total investments $106,905 $174,570 $ 9,741 $291,216 $ — $291,216