Citibank 2015 Annual Report Download - page 273

255
In millions of dollars at December 31, 2015 Level 1 (1) Level 2 (1) Level 3
Gross
inventory Netting (2)
Net
balance
Loans (5) $ — $ 2,839 $ 2,166 $ 5,005 $ — $ 5,005
Mortgage servicing rights — — 1,781 1,781 — 1,781
Non-trading derivatives and other financial assets measured
on a recurring basis, gross $ — $ 7,882 $ 180 $ 8,062
Cash collateral paid (6) 8
Netting of cash collateral received $ (1,949)
Non-trading derivatives and other financial assets measured
on a recurring basis $ — $ 7,882 $ 180 $ 8,070 $ (1,949) $ 6,121
Total assets $260,938 $1,013,230 $ 32,637 $1,311,724 $(610,568) $701,156
Total as a percentage of gross assets (7) 20.0% 77.5% 2.5%
Liabilities
Interest-bearing deposits $ — $ 1,156 $ 434 $ 1,590 $ — $ 1,590
Federal funds purchased and securities loaned or sold under
agreements to repurchase — 76,507 1,247 77,754 (40,911) 36,843
Trading account liabilities
Securities sold, not yet purchased 48,452 9,176 199 57,827 — 57,827
Other trading liabilities — 2,093 — 2,093 — 2,093
Total trading liabilities $ 48,452 $ 11,269 $ 199 $ 59,920 $ — $ 59,920
Trading derivatives
Interest rate contracts $ 5 $ 393,321 $ 2,578 $ 395,904
Foreign exchange contracts 6 133,404 503 133,913
Equity contracts 2,244 21,875 2,397 26,516
Commodity contracts 263 17,329 2,961 20,553
Credit derivatives — 30,682 3,486 34,168
Total trading derivatives $ 2,518 $ 596,611 $ 11,925 $ 611,054
Cash collateral received (8) $ 13,628
Netting agreements $(524,481)
Netting of cash collateral paid (42,609)
Total trading derivatives $ 2,518 $ 596,611 $ 11,925 $ 624,682 $(567,090) $ 57,592
Short-term borrowings $ — $ 1,198 $ 9 $ 1,207 $ — $ 1,207
Long-term debt — 18,342 6,951 25,293 — 25,293
Non-trading derivatives and other financial liabilities measured
on a recurring basis, gross $ — $ 1,626 $ 14 $ 1,640
Cash collateral received (9) 37
Netting of cash collateral paid $ (53)
Total non-trading derivatives and other financial liabilities measured
on a recurring basis $ — $ 1,626 $ 14 $ 1,677 $ (53) $ 1,624
Total liabilities $ 50,970 $ 706,709 $ 20,779 $ 792,123 $(608,054) $184,069
Total as a percentage of gross liabilities (7) 6.5% 90.8% 2.7%
(1) In 2015, the Company transferred assets of approximately $3.3 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015,
the Company transferred assets of approximately $4.4 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a
liquid market. In 2015, the Company transferred liabilities of approximately $0.6 billion from Level 2 to Level 1. In 2015, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2.
(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 $47,520 million of gross cash collateral paid, of which $42,609 million was used to offset trading derivative liabilities.
(4) Amounts exclude $0.9 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate
Net Asset Value per Share (or Its Equivalent). See Note 1 to the Consolidated Financial Statements.
(5) There is no allowance for loan losses recorded for loans reported at fair value.
(6) Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.
(7) 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.
(8) Reflects the net amount of $56,855 million of gross cash collateral received, of which $43,227 million was used to offset trading derivative assets.
(9) Reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million was used to offset non-trading derivative assets.