7.3 billion - Citigroup

Changes in Level 3 Fair Value CategoryThe following tables present the changes in the Level 3 fairvalue category for the three months ended March 31, 2012 andMarch 31, 2011. The Company classifies financial instrumentsin Level 3 of the fair value hierarchy when there is reliance on atleast one significant unobservable input to the valuation model.In addition to these unobservable inputs, the valuation modelsfor Level 3 financial instruments typically also rely on a numberof inputs that are readily observable either directly or indirectly.Thus, the gains and losses presented below include changes inthe fair value related to both observable and unobservable inputs.The Company often hedges positions with offsettingpositions that are classified in a different level. For example, thegains and losses for assets and liabilities in the Level 3 categorypresented in the tables below do not reflect the effect ofoffsetting losses and gains on hedging instruments that havebeen classified by the Company in the Level 1 and Level 2categories. In addition, the Company hedges items classified inthe Level 3 category with instruments also classified in Level 3of the fair value hierarchy. The effects of these hedges arepresented gross in the following tables.In millions of dollarsDec. 31,2011Net realized/unrealizedgains (losses) includedinPrincipaltransactions Other (1)(2)TransfersintoLevel 3UnrealizedTransfersout ofLevel 3 Purchases Issuances Sales SettlementsMar. 31.2012gains(losses)still held (3)AssetsFed funds sold and securitiesborrowed or purchased underagreements to resell $ 4,701 $ 33 $ — $ 25 $ (262) $ — $ — $ — $ — $ 4,497 $ 32Trading securitiesTrading mortgage-backedsecuritiesU.S. government-sponsoredagency guaranteed $ 861 $ 50 $ — $ 379 $ (127) $ 183 $ 31 $ (225) $ (37) $ 1,115 $ 22Prime 759 46 — 5 (103) 354 — (316) (1) 744 11Alt-A 165 18 — 3 (42) 69 — (107) — 106 (3)Subprime 465 (50) — 20 (20) 201 — (240) (1) 375 1Non-U.S. residential 120 5 — 2 (15) 68 — (58) — 122 3Commercial 618 (67) — 36 (108) 211 — (142) — 548 2Total trading mortgage-backedsecurities $ 2,988 $ 2 $ — $ 445 $ (415) $ 1,086 $ 31 $ (1,088) $ (39) $ 3,010 $ 36U.S. Treasury and federalagency securitiesU.S. Treasury $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ —Agency obligations 3 — — — — — — (3) — — —Total U.S. Treasury andfederal agency securities $ 3 $ — $ — $ — $ — $ — $ — $ (3) $ — $ — $ —State and municipal $ 252 $ (3) $ — $ — $ — $ 22 $ — $ (48) $ — $ 223 $ (4)Foreign government 521 3 — 2 (263) 710 — (140) — 833 4Corporate 3,240 119 — 327 (125) 1,496 — (595) (699) 3,763 121Equity securities 244 4 — 18 (9) 78 — (120) (24) 191 (3)Asset-backed securities 5,801 335 — 17 (36) 2,651 — (3,054) (59) 5,655 66Other debt securities 2,209 (40) — 154 (65) 904 — (520) (55) 2,587 (22)Total trading securities $15,258 $ 420 $ — $ 963 $ (913) $ 6,947 $ 31 $ (5,568) $ (876) $ 16,262 $ 198Derivatives, net (4)Interest rate contracts 726 (217) — 342 (17) 199 — (129) (213) 691 (456)Foreign exchange contracts (33) 97 — (5) (8) 129 — (107) (17) 56 29Equity contracts (1,737) 474 — 3 436 134 — (175) (212) (1,077) (135)Commodity contracts (934) 74 — (5) 9 45 — (68) 20 (859) 2Credit derivatives 1,728 (1,235) — (204) (53) 111 — (10) (109) 228 (1,030)Total derivatives, net (4) $ (250) $ (807) $ — $ 131 $ 367 $ 618 $ — $ (489) $ (531) $ (961) $ (1,590)InvestmentsMortgage-backed securitiesU.S. government-sponsoredagency guaranteed $ 679 $ — $ 9 $ — $ (641) $ 885 $ — $ — $ — $ 932 $ 4Prime 8 — — — (6) — — — — 2 —Alt-A — — — — — — — — — — —Subprime — — — — — — — — — — —Commercial — — — — — 6 — — — 6 —Total investment mortgagebackeddebt securities $ 687 $ — $ 9 $ — $ (647) $ 891 $ — $ — $ — $ 940 $ 4166CITIGROUP – 2012 FIRST QUARTER 10-Q