Citigroup Inc.

In millions of dollars at December 31, 2009 Level 1 Level 2 Level 3GrossNetinventory Netting (1) balanceU.S. Treasury and federal agencies securitiesU.S. Treasury $ 27,943 $ 995 $ — $ 28,938 $ — $ 28,938Agency obligations — 2,041 — 2,041 — 2,041Total U.S. Treasury and federal agencies securities $ 27,943 $ 3,036 $ — $ 30,979 $ — $ 30,979Other trading securitiesState and municipal $ — $ 6,925 $ 222 $ 7,147 $ — $ 7,147Foreign government 59,229 13,081 459 72,769 — 72,769Corporate — 43,758 8,620 52,378 — 52,378Equity securities 33,754 11,827 640 46,221 — 46,221Other debt securities — 19,976 16,237 36,213 — 36,213Total trading securities $120,926 $ 123,026 $39,942 $ 283,894 $ — $283,894Derivatives $ 4,002 $ 671,532 $27,685 $ 703,219 $ (644,340) $ 58,879InvestmentsMortgage-backed securitiesU.S. government-sponsored agency guaranteed $ 89 $ 20,823 $ 2 $ 20,914 $ — $ 20,914Prime — 5,742 736 6,478 — 6,478Alt-A — 572 55 627 — 627Subprime — — 1 1 — 1Non-U.S. residential — 255 — 255 — 255Commercial — 47 746 793 — 793Total investment mortgage-backed securities $ 89 $ 27,439 $ 1,540 $ 29,068 $ — $ 29,068U.S. Treasury and federal agency securitiesU.S. Treasury $ 5,943 $ 20,619 $ — $ 26,562 $ — $ 26,562Agency obligations — 27,531 21 27,552 — 27,552Total U.S. Treasury and federal agency $ 5,943 $ 48,150 $ 21 $ 54,114 $ — $ 54,114State and municipal $ — $ 15,393 $ 217 $ 15,610 $ — $ 15,610Foreign government 60,484 41,765 270 102,519 — 102,519Corporate — 19,056 1,257 20,313 — 20,313Equity securities 3,056 237 2,513 5,806 — 5,806Other debt securities — 3,337 8,832 12,169 — 12,169Non-marketable equity securities — 77 6,753 6,830 — 6,830Total investments $ 69,572 $ 155,454 $21,403 $ 246,429 $ — $246,429Loans (2) $ — $ 1,226 $ 213 $ 1,439 $ — $ 1,439Mortgage servicing rights — — 6,530 6,530 — 6,530Other financial assets measured on a recurring basis — 15,787 1,101 16,888 (4,224) 12,664Total assets $194,500 $1,105,550 $96,874 $1,396,924 $ (699,277) $697,647Total as a percentage of gross assets (3) 13.9% 79.2% 6.9% 100%LiabilitiesInterest-bearing deposits $ — $ 1,517 $ 28 $ 1,545 $ — $ 1,545Federal funds purchased and securities loaned or sold underagreements to repurchase — 152,687 2,056 154,743 (50,713) 104,030Trading account liabilitiesSecurities sold, not yet purchased 52,399 20,233 774 73,406 — 73,406Derivatives 4,980 669,384 24,577 698,941 (634,835) 64,106Short-term borrowings — 408 231 639 — 639Long-term debt — 16,288 9,654 25,942 — 25,942Other financial liabilities measured on a recurring basis — 15,753 13 15,766 (4,224) 11,542Total liabilities $ 57,379 $ 876,270 $37,333 $ 970,982 $ (689,772) $281,210Total as a percentage of gross liabilities (3) 5.9% 90.2% 3.8% 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.266