Citigroup Inc.

Items Measured at Fair Value on a Recurring BasisThe following tables present for each of the fair value hierarchy levelsthe Company’s assets and liabilities that are measured at fair value on arecurring basis at December 31, 2010 and 2009. The Company often hedgespositions that have been classified in the Level 3 category with financialinstruments that have been classified as Level 1 or Level 2. In addition,the Company also hedges items classified in the Level 3 category withinstruments classified in Level 3 of the fair value hierarchy. The effects ofthese hedges are presented gross in the following table.In millions of dollars at December 31, 2010 Level 1 Level 2 Level 3GrossNetinventory Netting (1) balanceAssetsFederal funds sold and securities borrowed or purchased underagreements to resell $ — $ 131,831 $ 4,911 $ 136,742 $ (49,230) $ 87,512Trading securitiesTrading mortgage-backed securitiesU.S. government-sponsored agency guaranteed — 26,296 831 27,127 — 27,127Prime — 920 594 1,514 — 1,514Alt-A — 1,117 385 1,502 — 1,502Subprime — 911 1,125 2,036 — 2,036Non-U.S. residential — 828 224 1,052 — 1,052Commercial — 883 418 1,301 — 1,301Total trading mortgage-backed securities $ — $ 30,955 $ 3,577 $ 34,532 $ — $ 34,532U.S. Treasury and federal agencies securitiesU.S. Treasury $ 18,449 $ 1,719 $ — $ 20,168 $ — $ 20,168Agency obligations 6 3,340 72 3,418 — 3,418Total U.S. Treasury and federal agencies securities $ 18,455 $ 5,059 $ 72 $ 23,586 $ — $ 23,586State and municipal $ — $ 7,285 $ 208 $ 7,493 $ — $ 7,493Foreign government 64,096 23,649 566 88,311 — 88,311Corporate — 45,580 6,006 51,586 — 51,586Equity securities 33,509 4,291 776 38,576 — 38,576Asset-backed securities — 1,141 6,618 7,759 — 7,759Other debt securities — 13,911 1,305 15,216 — 15,216Total trading securities $116,060 $ 131,871 $19,128 $ 267,059 $ — $267,059DerivativesInterest rate contracts $ 509 $ 473,579 $ 2,584 $ 476,672Foreign exchange contracts 11 83,465 1,025 84,501Equity contracts 2,581 11,807 1,758 16,146Commodity contracts 590 10,973 1,045 12,608Credit derivatives — 52,270 12,771 65,041Total gross derivatives $ 3,691 $ 632,094 $19,183 $ 654,968Cash collateral paid 50,302Netting agreements and market value adjustments $(655,057)Total derivatives $ 3,691 $ 632,094 $19,183 $ 705,270 $(655,057) $ 50,213InvestmentsMortgage-backed securitiesU.S. government-sponsored agency guaranteed $ 70 $ 23,531 $ 22 $ 23,623 $ — $ 23,623Prime — 1,660 166 1,826 — 1,826Alt-A — 47 1 48 — 48Subprime — 119 — 119 — 119Non-U.S. residential — 316 — 316 — 316Commercial — 47 527 574 — 574Total investment mortgage-backed securities $ 70 $ 25,720 $ 716 $ 26,506 $ — $ 26,506U.S. Treasury and federal agency securitiesU.S. Treasury $ 14,031 $ 44,417 $ — $ 58,448 $ — $ 58,448Agency obligations — 43,597 17 43,614 — 43,614Total U.S. Treasury and federal agency $ 14,031 $ 88,014 $ 17 $ 102,062 $ — $102,062264