Citibank 2015 Annual Report Download - page 275

257
In millions of dollars at December 31, 2014 Level 1 (1) Level 2 (1) Level 3
Gross
inventory Netting (2)
Net
balance
Loans (6) $ — $ 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 (7) 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 $41,328 $1,632,044 $ (873,723) $758,321
Total as a percentage of gross assets (7) 16.1% 81.4% 2.5%
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
Other trading liabilities — — — — — —
Total trading liabilities $ 59,463 $ 11,057 $ 424 $ 70,944 $ — $ 70,944
Trading account 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 (8) $ 9,846
Netting agreements $ (777,178)
Netting of cash collateral paid (3) (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 (9) 7
Netting of cash collateral paid (7) $ (15)
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 (4) 5.9% 91.9% 2.2%
(1) In 2014, the Company transferred assets of approximately $4.1 billion from Level 1 to Level 2, primarily related to foreign government securities not traded with sufficient frequency to constitute an active market
and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. In 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. In 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. In 2014, there were no material liability transfers 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 trading derivative liabilities.
(4) 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.
(5) Amounts exclude $1.1 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.
(6) There is no allowance for loan losses recorded for loans reported at fair value.
(7) Reflects the net amount of $138 million of gross cash collateral paid, of which $15 million was used to offset non-trading derivative liabilities.
(8) Reflects the net amount of $57,471 million of gross cash collateral received, of which $47,625 million was used to offset trading derivative assets.
(9) 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.