Citigroup Inc.

In millions of dollars at December 31, 2010 Level 1 Level 2 Level 3GrossNetinventory Netting (1) balanceState and municipal $ — $ 12,731 $ 504 $ 13,235 $ — $ 13,235Foreign government 51,419 47,902 358 99,679 — 99,679Corporate — 15,152 1,018 16,170 — 16,170Equity securities 3,721 184 2,055 5,960 — 5,960Asset-backed securities — 3,624 5,424 9,048 — 9,048Other debt securities — 1,185 727 1,912 — 1,912Non-marketable equity securities — 135 6,467 6,602 — 6,602Total investments $ 69,241 $ 194,647 $17,286 $ 281,174 $ — $281,174Loans (2) $ — $ 1,159 $ 3,213 $ 4,372 $ — $ 4,372Mortgage servicing rights — — 4,554 4,554 — 4,554Other financial assets measured on a recurring basis — 19,425 2,509 21,934 (2,615) 19,319Total assets $188,992 $1,111,027 $70,784 $1,421,105 $(706,902) $714,203Total as a percentage of gross assets (3) 13.8% 81.0% 5.2% 100%LiabilitiesInterest-bearing deposits $ — $ 988 $ 277 $ 1,265 $ — $ 1,265Federal funds purchased and securities loaned or sold underagreements to repurchase — 169,162 1,261 170,423 (49,230) 121,193Trading account liabilitiesSecurities sold, not yet purchased 59,968 9,169 187 69,324 — 69,324DerivativesInterest rate contracts 489 472,936 3,314 476,739Foreign exchange contracts 2 87,411 861 88,274Equity contracts 2,551 27,486 3,397 33,434Commodity contracts 482 10,968 2,068 13,518Credit derivatives — 48,535 10,926 59,461Total gross derivatives $ 3,524 $ 647,336 $20,566 $ 671,426Cash collateral received 38,319Netting agreements and market value adjustments (650,015)Total derivatives $ 3,524 $ 647,336 $20,566 $ 709,745 $(650,015) $ 59,730Short-term borrowings — 1,627 802 2,429 — 2,429Long-term debt — 17,612 8,385 25,997 — 25,997Other financial liabilities measured on a recurring basis — 12,306 19 12,325 (2,615) 9,710Total liabilities $ 63,492 $ 858,200 $31,497 $ 991,508 $(701,860) $289,648Total as a percentage of gross liabilities (3) 6.7% 90.0% 3.3% 100%(1) 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 bya qualifying master netting agreement, cash collateral, and the market value adjustment.(2) There is no allowance for loan losses recorded for loans reported at fair value.(3) Percentage is calculated based on total assets and liabilities at fair value, excluding collateral paid/received on derivatives.In millions of dollars at December 31, 2009 Level 1 Level 2 Level 3GrossNetinventory Netting (1) balanceAssetsFederal funds sold and securities borrowed or purchased underagreements to resell $ — $ 138,525 $ — $ 138,525 $ (50,713) $ 87,812Trading securitiesTrading mortgage-backed securitiesU.S. government-sponsored agency guaranteed — 19,666 972 20,638 — 20,638Prime — 772 384 1,156 — 1,156Alt-A — 842 387 1,229 — 1,229Subprime — 736 8,998 9,734 — 9,734Non-U.S. residential — 1,796 572 2,368 — 2,368Commercial — 611 2,451 3,062 — 3,062Total trading mortgage-backed securities $ — $ 24,423 $13,764 $ 38,187 $ — $ 38,187265