Citibank 2015 Annual Report Download - page 272

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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, 2015 and December 31, 2014. 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 tables:
Fair Value Levels
In millions of dollars at December 31, 2015 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 $ — $177,538 $ 1,337 $178,875 $ (40,911) $137,964
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed — 24,023 744 24,767 — 24,767
Residential — 1,059 1,326 2,385 — 2,385
Commercial — 2,338 517 2,855 — 2,855
Total trading mortgage-backed securities $ — $ 27,420 $ 2,587 $ 30,007 $ — $ 30,007
U.S. Treasury and federal agency securities $ 14,208 $ 3,587 $ 1 $ 17,796 $ — $ 17,796
State and municipal — 2,345 351 2,696 — 2,696
Foreign government 35,715 20,697 197 56,609 — 56,609
Corporate 302 13,759 376 14,437 — 14,437
Equity securities 50,429 2,382 3,684 56,495 — 56,495
Asset-backed securities — 1,217 2,739 3,956 — 3,956
Other trading assets — 9,293 2,483 11,776 — 11,776
Total trading non-derivative assets $100,654 $ 80,700 $12,418 $193,772 $ — $193,772
Trading derivatives
Interest rate contracts $ 9 $412,802 $ 2,083 $414,894
Foreign exchange contracts 5 128,189 1,123 129,317
Equity contracts 2,422 17,866 1,597 21,885
Commodity contracts 204 16,706 1,100 18,010
Credit derivatives — 31,082 3,793 34,875
Total trading derivatives $ 2,640 $606,645 $ 9,696 $618,981
Cash collateral paid (3) $ 4,911
Netting agreements $(524,481)
Netting of cash collateral received (43,227)
Total trading derivatives $ 2,640 $606,645 $ 9,696 $623,892 $(567,708) $ 56,184
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed $ — $ 39,575 $ 139 $ 39,714 $ — $ 39,714
Residential — 5,982 4 5,986 — 5,986
Commercial — 569 2 571 — 571
Total investment mortgage-backed securities $ — $ 46,126 $ 145 $ 46,271 $ — $ 46,271
U.S. Treasury and federal agency securities $111,536 $ 11,375 $ 4 $122,915 $ — $122,915
State and municipal — 9,267 2,192 11,459 — 11,459
Foreign government 42,073 49,868 260 92,201 — 92,201
Corporate 3,605 11,595 603 15,803 — 15,803
Equity securities 430 71 124 625 — 625
Asset-backed securities — 8,578 596 9,174 — 9,174
Other debt securities — 688 — 688 — 688
Non-marketable equity securities (4) — 58 1,135 1,193 — 1,193
Total investments $157,644 $137,626 $ 5,059 $300,329 $ — $300,329
Table and notes continue on the next page.