Citibank 2013 Annual Report Download - page 294

276
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 non-derivative assets
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 trading assets — 15,944 2,321 18,265 — 18,265
Total trading non-derivative assets $127,887 $ 124,599 $13,823 $ 266,309 $ — $266,309
Trading derivatives
Interest rate contracts $ 2 $ 897,635 $ 1,710 $ 899,347
Foreign exchange contracts 18 75,358 902 76,278
Equity contracts 2,359 14,109 1,741 18,209
Commodity contracts 410 9,752 695 10,857
Credit derivatives — 49,858 4,166 54,024
Total trading derivatives $ 2,789 $1,046,712 $ 9,214 $1,058,715
Cash collateral paid (3) $ 5,597
Netting agreements $ (970,782)
Netting of cash collateral received (38,910)
Total trading derivatives $ 2,789 $1,046,712 $ 9,214 $1,064,312 $(1,009,692) $ 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
State and municipal $ — $ 17,483 $ 849 $ 18,332 $ — $ 18,332
Foreign government 36,048 57,616 383 94,047 — 94,047
Corporate — 9,289 385 9,674 — 9,674
Equity securities 4,037 132 773 4,942 — 4,942
Asset-backed securities — 11,910 2,220 14,130 — 14,130
Other debt securities — — 258 258 — 258
Non-marketable equity securities — 404 5,364 5,768 — 5,768
Total investments $ 53,335 $ 229,221 $11,907 $ 294,463 $ — $294,463