Citibank 2015 Annual Report Download - page 276

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Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category
for the years ended December 31, 2015 and 2014. As discussed above,
the Company classifies financial instruments as Level 3 of the fair value
hierarchy when there is reliance on at least one significant unobservable
input to the valuation model. In addition to these unobservable inputs, the
valuation models for Level 3 financial instruments typically also rely on a
number of inputs that are readily observable either directly or indirectly. The
gains and losses presented below include changes in the fair value related to
both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are
classified in a different level. For example, the gains and losses for assets
and liabilities in the Level 3 category presented in the tables below do not
reflect the effect of offsetting losses and gains on hedging instruments that
have been classified by the Company in the Level 1 and Level 2 categories. In
addition, the Company hedges items classified in the Level 3 category with
instruments also classified in Level 3 of the fair value hierarchy. The effects of
these hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward
In millions of dollars
Dec. 31,
2014
Net realized/unrealized
gains (losses) incl. in Transfers
Purchases Issuances Sales Settlements
Dec. 31,
2015
Unrealized
gains
(losses)
still held (3)
Principal
transactions Other (1)(2)
into
Level 3
out of
Level 3
Assets
Federal funds sold and securities
borrowed or purchased under
agreements to resell $ 3,398 $ (147) $ — $ 279 $(2,856) $ 784 $ — $ — $ (121) $ 1,337 $ (5)
Trading non-derivative assets
Trading mortgage-backed
securities
U.S. government-sponsored
agency guaranteed 1,085 24 — 872 (1,277) 796 — (756) — 744 (4)
Residential 2,680 254 — 370 (480) 1,574 — (3,072) — 1,326 (101)
Commercial 440 18 — 252 (157) 697 — (733) — 517 (7)
Total trading mortgage-
backed securities $ 4,205 $ 296 $ — $1,494 $(1,914) $ 3,067 $ — $ (4,561) $ — $ 2,587 $ (112)
U.S. Treasury and federal
agency securities $ — $ — $ — $ 2 $ (1) $ 1 $ — $ (1) $ — $ 1 $ —
State and municipal 241 — — 67 (35) 183 — (105) — 351 (7)
Foreign government 206 (10) — 53 (100) 271 — (169) (54) 197 6
Corporate 820 111 — 186 (288) 802 — (1,244) (11) 376 (29)
Equity securities 2,219 547 — 344 (371) 1,377 — (432) — 3,684 464
Asset-backed securities 3,294 141 — 663 (282) 4,426 — (5,503) — 2,739 (174)
Other trading assets 4,372 180 — 968 (3,290) 2,504 51 (2,110) (192) 2,483 (45)
Total trading non-derivative assets $15,357 $1,265 $ — $ 3,777 $(6,281) $12,631 $ 51 $(14,125) $ (257) $12,418 $ 103
Trading derivatives, net (4)
Interest rate contracts $ (211) $ (492) $ — $ (124) $ 15 $ 24 $ — $ 141 $ 152 $ (495) $ 553
Foreign exchange contracts 778 (245) — (11) 27 393 — (381) 59 620 (12)
Equity contracts (863) 148 — (126) 66 496 — (334) (187) (800) 41
Commodity contracts (1,622) (753) — 214 (28) — — — 328 (1,861) (257)
Credit derivatives (743) 555 — 9 61 1 — (3) 427 307 442
Total trading derivatives, net (4) $ (2,661) $ (787) $ — $ (38) $ 141 $ 914 $ — $ (577) $ 779 $ (2,229) $ 767
Table and notes continue on the next page.