Citigroup Inc.

In millions of dollarsDecember 31,2008Net realized/unrealizedgains (losses) included inPrincipaltransactions Other (1)(2)Transfersin and/orout ofLevel 3Purchases,issuancesandsettlementsDecember 31,2009Unrealizedgains(losses)still held (3)State and municipal $ 222 $ — $ 2 $ (13) $ 6 $ 217 $ —Foreign government 571 — (6) (302) 7 270 (3)Corporate 1,019 — 13 762 (537) 1,257 16Equity securities 3,807 — (453) (146) (695) 2,513 41Other debt securities 11,324 — 279 (1,292) (1,479) 8,832 (81)Non-marketable equity securities 9,067 — (538) (137) (1,639) 6,753 69Total investments $28,273 $ — $ (379) $(1,505) $(4,986) $21,403 $ 467Loans $ 160 $ — $ 51 $ 7 $ (5) $ 213 $ 9Mortgage servicing rights 5,657 — 1,543 — (670) 6,530 1,582Other financial assets measured on arecurring basis 359 — 305 761 (324) 1,101 215LiabilitiesInterest-bearing deposits $ 54 $ — $ 2 $ (6) $ (18) $ 28 $ (14)Federal funds purchased and securitiesloaned or sold under agreementsto repurchase 11,167 359 — (8,601) (151) 2,056 250Trading account liabilitiesSecurities sold, not yet purchased 653 (11) — (180) 290 774 (52)Short-term borrowings 1,329 (48) — (775) (371) 231 (76)Long-term debt 11,198 (290) — (504) (1,330) 9,654 124Other financial liabilities measured on arecurring basis 1 — (75) — (63) 13 —(1) Changes in fair value for available-for-sale investments (debt securities) are recorded in Accumulated other comprehensive income (loss) on the Consolidated Balance Sheet, while gains and losses from sales arerecorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.(2) Unrealized gains (losses) on MSRs are recorded in Commissions and fees on the Consolidated Statement of Income.(3) Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value for available-for-sale investments), attributable to thechange in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2010 and 2009.(4) Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.The significant changes from December 31, 2009 to December 31, 2010 inLevel 3 assets and liabilities are due to:• A net decrease in Trading securities of $20.8 billion that was driven by:–– A net decrease of $10.2 billion in trading mortgage-backed securitiesdriven mainly by liquidations of subprime securities of $7.5 billionand commercial mortgage-backed securities of $1.8 billion;–– A net increase of $3.6 billion in asset-backed securities includingTransfers to Level 3 of $4.9 billion. Substantially all of these Level 3transfers related to the reclassification of certain securities to Tradingunder the fair value option upon adoption of ASU 2010-11 onJuly 1, 2010, as described in Note 1 to the Consolidated FinancialStatements. (For purposes of the Level 3 roll-forward table above,Level 3 investments that were reclassified to trading upon adoptionof ASU 2010-11 have been classified as transfers to Level 3 Tradingsecurities); and–– A decrease of $11.9 billion in Other debt securities, due primarily to theimpact of the consolidation of the credit card securitization trusts by theCompany upon adoption of SFAS 166/167 on January 1, 2010. Uponconsolidation of the trusts, the Company recorded the underlying creditcard receivables on its balance sheet as Loans accounted for at amortizedcost. At January 1, 2010, the Company’s investments in the trusts andother inter-company balances are eliminated. At January 1, 2010,the Company’s investment in these newly consolidated VIEs, which iseliminated for accounting purposes, included certificates issued by thesetrusts of $11.1 billion that were classified as Level 3 at December 31, 2009.The impact of the elimination of these certificates has been reflected asnet settlements in the Level 3 roll-forward table above.• The decrease in Derivatives of $4.5 billion includes net trading losses of$1.5 billion, net settlements of $2.4 billion and net transfers out of Level 3to Level 2 of $0.6 billion.• The net decrease in Level 3 Investments of $4.1 billion included net salesof asset-backed securities of $2.6 billion and sales of non-marketableequity securities of $1 billion.• The net increase in Loans of $3 billion is due largely to the Company’sconsolidation of certain VIEs upon the adoption of SFAS 167 onJanuary 1, 2010, for which the fair value option was elected. The impactfrom consolidation of these VIEs on Level 3 loans has been reflected aspurchases in the Level 3 roll-forward above.• The decrease in Mortgage servicing rights of $2 billion is due primarily tolosses of $1.1 billion, due to a reduction in interest rates.• The decrease in Long-term debt of $1.2 billion is driven mainly by$1.3 billion of net terminations of structured notes.269