Citibank 2013 Annual Report Download - page 293

275
In millions of dollars at December 31, 2013 Level 1 (1) Level 2 (1) Level 3
Gross
inventory Netting (2)
Net
balance
Loans (4) $ — $ 886 $ 4,143 $ 5,029 $ — $ 5,029
Mortgage servicing rights — — 2,718 2,718 — 2,718
Non-trading derivatives and other financial assets measured
on a recurring basis, gross $ — $ 9,811 $ 181 $ 9,992
Cash collateral paid $ 82
Netting of cash collateral received $ (2,951)
Non-trading derivatives and other financial assets measured
on a recurring basis $ — $ 9,811 $ 181 $ 10,074 $ (2,951) $ 7,123
Total assets $233,316 $1,234,714 $45,685 $1,519,870 $(786,375) $733,495
Total as a percentage of gross assets (5) 15.4% 81.6% 3.0%
Liabilities
Interest-bearing deposits $ — $ 787 $ 890 $ 1,677 $ — $ 1,677
Federal funds purchased and securities loaned or sold under
agreements to repurchase $ — $ 85,576 $ 902 $ 86,478 $ (34,933) $ 51,545
Trading account liabilities
Securities sold, not yet purchased 51,035 9,883 590 61,508 61,508
Trading derivatives
Interest rate contracts $ 12 $ 614,586 $ 2,628 $ 617,226
Foreign exchange contracts 29 87,978 630 88,637
Equity contracts 5,783 26,178 2,331 34,292
Commodity contracts 363 8,646 1,161 10,170
Credit derivatives — 37,510 3,284 40,794
Total trading derivatives $ 6,187 $ 774,898 $10,034 $ 791,119
Cash collateral received (6) $ 8,827
Netting agreements $(713,598)
Netting of cash collateral paid (39,094)
Total trading derivatives $ 6,187 $ 774,898 $10,034 $ 799,946 $(752,692) $ 47,254
Short-term borrowings $ — $ 3,663 $ 29 $ 3,692 $ — $ 3,692
Long-term debt — 20,080 6,797 26,877 — 26,877
Non-trading derivatives and other financial liabilities measured
on a recurring basis, gross $ — $ 1,719 $ 10 $ 1,729
Cash collateral received (7) $ 282
Total non-trading derivatives and other financial liabilities measured
on a recurring basis $ — $ 1,719 $ 10 $ 2,011 $ 2,011
Total liabilities $ 57,222 $ 896,606 $19,252 $ 982,189 $ (787,625) $194,564
Total as a percentage of gross liabilities (5) 5.9% 92.1% 2.0%
(1) For the year ended December 31, 2013, the Company transferred assets of approximately $2.5 billion from Level 1 to Level 2, primarily related to foreign government securities, which were not traded with sufficient
frequency to constitute an active market. During the year ended December 31, 2013, the Company transferred assets of approximately $49.3 billion from Level 2 to Level 1, substantially all related to U.S. Treasury
securities held across the Company’s major investment portfolios where Citi obtained additional information from its external pricing sources to meet the criteria for Level 1 classification. During the year ended
December 31, 2013, the Company transferred liabilities of $30 million from Level 1 to Level 2, and liabilities of $75 million from Level 2 to Level 1.
(2) Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by
a qualifying master netting agreement and cash collateral offsetting.
(3) This is the net amount of the $45,167 million of gross cash collateral paid, of which $39,094 million was used to offset derivative liabilities.
(4) There is no allowance for loan losses recorded for loans reported at fair value.
(5) Because the amount of the cash collateral received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring
basis, excluding the cash collateral paid/received on derivatives.
(6) This is the net amount of the $43,720 million of gross cash collateral received, of which $34,893 million was used to offset derivative assets.
(7) This is the net amount of the $3,233 million of gross cash collateral received, of which $2,951 million was used to offset derivative assets.