Citibank 2014 Annual Report Download - page 279

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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, 2014 and December 31, 2013. 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, 2014 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 $ — $187,922 $ 3,398 $191,320 $ (47,129) $144,191
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed $ — $ 25,968 $ 1,085 $ 27,053 $ — $ 27,053
Residential — 2,158 2,680 4,838 — 4,838
Commercial — 3,903 440 4,343 — 4,343
Total trading mortgage-backed securities $ — $ 32,029 $ 4,205 $ 36,234 $ — $ 36,234
U.S. Treasury and federal agency securities $ 15,991 $ 4,483 $ — $ 20,474 $ — $ 20,474
State and municipal — 3,161 241 3,402 — 3,402
Foreign government 39,332 26,736 206 66,274 — 66,274
Corporate — 25,640 820 26,460 — 26,460
Equity securities 51,346 4,281 2,219 57,846 — 57,846
Asset-backed securities — 1,252 3,294 4,546 — 4,546
Other trading assets — 9,221 4,372 13,593 — 13,593
Total trading non-derivative assets $106,669 $106,803 $15,357 $228,829 $ — $228,829
Trading derivatives
Interest rate contracts $ 74 $634,318 $ 4,061 $638,453
Foreign exchange contracts — 154,744 1,250 155,994
Equity contracts 2,748 19,969 2,035 24,752
Commodity contracts 647 21,850 1,023 23,520
Credit derivatives — 40,618 2,900 43,518
Total trading derivatives $ 3,469 $871,499 $11,269 $886,237
Cash collateral paid (3) $ 6,523
Netting agreements $(777,178)
Netting of cash collateral received (7) (47,625)
Total trading derivatives $ 3,469 $871,499 $11,269 $892,760 $(824,803) $ 67,957
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed $ — $ 36,053 $ 38 $ 36,091 $ — $ 36,091
Residential — 8,355 8 8,363 — 8,363
Commercial — 553 1 554 — 554
Total investment mortgage-backed securities $ — $ 44,961 $ 47 $ 45,008 $ — $ 45,008
U.S. Treasury and federal agency securities $110,710 $ 12,974 $ 6 $123,690 $ — $123,690
State and municipal $ — $ 10,519 $ 2,180 $ 12,699 $ — $ 12,699
Foreign government 39,014 51,005 678 90,697 — 90,697
Corporate 5 11,480 672 12,157 — 12,157
Equity securities 1,770 274 681 2,725 — 2,725
Asset-backed securities — 11,957 549 12,506 — 12,506
Other debt securities — 661 — 661 — 661
Non-marketable equity securities — 233 2,525 2,758 — 2,758
Total investments $151,499 $144,064 $ 7,338 $302,901 $ — $302,901