7.3 billion - Citigroup

Items Measured at Fair Value on a Recurring BasisThe following tables present for each of the fair value hierarchylevels the Company‘s assets and liabilities that are measured atfair value on a recurring basis at March 31, 2012 and December31, 2011. The Company‘s hedging of positions that have beenclassified in the Level 3 category is not limited to other financialinstruments that have been classified as Level 3, but alsoinstruments classified as Level 1 or Level 2 of the fair valuehierarchy. The effects of these hedges are presented gross in thefollowing table.In millions of dollars at March 31, 2012 Level 1 Level 2 Level 3Grossinventory Netting (1) NetbalanceAssetsFederal funds sold and securities borrowed orpurchased under agreements to resell $ — $ 216,275 $ 4,497 $ 220,772 $ (48,337) $ 172,435Trading securitiesTrading mortgage-backed securitiesU.S. government-sponsored agency guaranteed $ — $ 27,601 $ 1,115 $ 28,716 $ — $ 28,716Prime — 437 744 1,181 — 1,181Alt-A — 510 106 616 — 616Subprime — 262 375 637 — 637Non-U.S. residential — 499 122 621 — 621Commercial — 1,291 548 1,839 — 1,839Total trading mortgage-backed securities $ — $ 30,600 $ 3,010 $ 33,610 $ — $ 33,610U.S. Treasury and federal agency securitiesU.S. Treasury $ 14,479 $ 2,414 $ — $ 16,893 $ — $ 16,893Agency obligations — 2,649 — 2,649 — 2,649Total U.S. Treasury and federal agency securities $ 14,479 $ 5,063 $ — $ 19,542 $ — $ 19,542State and municipal $ — $ 5,747 $ 223 $ 5,970 $ — $ 5,970Foreign government 53,421 26,260 833 80,514 — 80,514Corporate — 36,059 3,763 39,822 — 39,822Equity securities 42,714 3,056 191 45,961 — 45,961Asset-backed securities — 1,638 5,655 7,293 — 7,293Other debt securities — 15,008 2,587 17,595 — 17,595Total trading securities $ 110,614 $ 123,431 $ 16,262 $ 250,307 $ — $ 250,307Trading account derivativesInterest rate contracts 2 684,823 2,112 686,937Foreign exchange contracts 1 73,182 772 73,955Equity contracts 2,834 16,089 1,741 20,664Commodity contracts 859 13,787 932 15,578Credit derivatives — 60,748 6,230 66,978Total trading account derivatives $ 3,696 $ 848,629 $ 11,787 $ 864,112Gross cash collateral paid $ 52,714Netting agreements and market value adjustments $ (860,083)Total trading account derivatives $ 3,696 $ 848,629 $ 11,787 $ 916,826 $ (860,083) $ 56,743InvestmentsMortgage-backed securitiesU.S. government-sponsored agency guaranteed $ 56 $ 44,114 $ 932 $ 45,102 $ — $ 45,102Prime — 115 2 117 — 117Alt-A — 1 — 1 — 1Subprime — — — — — —Non-U.S. residential — 6,426 — 6,426 — 6,426Commercial — 482 6 488 — 488Total investment mortgage-backed securities $ 56 $ 51,138 $ 940 $ 52,134 $ — $ 52,134U.S. Treasury and federal agency securitiesU.S. Treasury $ 11,212 $ 43,703 $ — $ 54,915 $ — $ 54,915Agency obligations — 34,259 — 34,259 — 34,259Total U.S. Treasury and federal agency securities $ 11,212 $ 77,962 $ — $ 89,174 $ — $ 89,174162CITIGROUP – 2012 FIRST QUARTER 10-Q