Citibank 2014 Annual Report Download - page 280

263
In millions of dollars at December 31, 2014 Level 1 (1) Level 2 (1) Level 3
Gross
inventory Netting (2)
Net
balance
Loans (4) $ — $ 2,793 $ 3,108 $ 5,901 $ — $ 5,901
Mortgage servicing rights — — 1,845 1,845 — 1,845
Non-trading derivatives and other financial assets measured
on a recurring basis, gross $ — $ 9,352 $ 78 $ 9,430
Cash collateral paid (5) 123
Netting of cash collateral received (8) $ (1,791)
Non-trading derivatives and other financial assets measured
on a recurring basis $ — $ 9,352 $ 78 $ 9,553 $ (1,791) $ 7,762
Total assets $261,637 $1,322,433 $42,393 $1,633,109 $(873,723) $759,386
Total as a percentage of gross assets (6) 16.1% 81.3% 2.6%
Liabilities
Interest-bearing deposits $ — $ 1,198 $ 486 $ 1,684 $ — $ 1,684
Federal funds purchased and securities loaned or sold under
agreements to repurchase — 82,811 1,043 83,854 (47,129) 36,725
Trading account liabilities
Securities sold, not yet purchased 59,463 11,057 424 70,944 — 70,944
Trading derivatives
Interest rate contracts 77 617,933 4,272 622,282
Foreign exchange contracts — 158,354 472 158,826
Equity contracts 2,955 26,616 2,898 32,469
Commodity contracts 669 22,872 2,645 26,186
Credit derivatives — 39,787 3,643 43,430
Total trading derivatives $ 3,701 $ 865,562 $13,930 $ 883,193
Cash collateral received (7) $ 9,846
Netting agreements $(777,178)
Netting of cash collateral paid (47,769)
Total trading derivatives $ 3,701 $ 865,562 $13,930 $ 893,039 $ (824,947) $ 68,092
Short-term borrowings $ — $ 1,152 $ 344 $ 1,496 $ — $ 1,496
Long-term debt — 18,890 7,290 26,180 — 26,180
Non-trading derivatives and other financial liabilities measured
on a recurring basis, gross $ — $ 1,777 $ 7 $ 1,784
Cash collateral received (8) 7
Netting of cash collateral paid (5) $ (15)
Total non-trading derivatives and other financial liabilities measured
on a recurring basis $ — $ 1,777 $ 7 $ 1,791 $ (15) $ 1,776
Total liabilities $ 63,164 $ 982,447 $23,524 $1,078,988 $(872,091) $206,897
Total as a percentage of gross liabilities (6) 5.9% 91.9% 2.2%
(1) For the year ended December 31, 2014, the Company transferred assets of approximately $4.1 billion from Level 1 to Level 2, primarily related to foreign government securities not traded in active markets and
Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, the Company transferred assets of approximately $4.2 billion
from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute a liquid market. During the year ended December 31, 2014, the Company transferred liabilities of
approximately $1.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, there were no
material transfers of liabilities 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) Reflects the net amount of $54,292 million of gross cash collateral paid, of which $47,769 million was used to offset derivative liabilities.
(4) There is no allowance for loan losses recorded for loans reported at fair value.
(5) Reflects the net amount of $138 million of gross cash collateral paid, of which $15 million was used to offset non-trading derivative liabilities.
(6) Because the amount of the cash collateral paid/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.
(7) Reflects the net amount of $57,471 million of gross cash collateral received, of which $47,625 million was used to offset derivative assets.
(8) Reflects the net amount of $1,798 million of gross cash collateral received, of which $1,791 million was used to offset non-trading derivative assets.