Level 3 assets are primarily comprised of:

• mortgage related positions, both residential and commercial, within trading assets of $9.3 billion, derivative assets of $20.6 billion and loans measured at fair value on a non-recurring basis of $12.5 billion;
• credit derivatives of $18.0 billion on corporate and other non-mortgage underlyings that incorporate unobservable correlation;
• corporate bonds and loans within trading assets of $6.2 billion (including $1.6 billion of auction rate securities);
• private equity and principal investment positions of $4.3 billion within investment securities;
• equity, currency and commodity derivative contracts of $7.6 billion, that are long-dated and/or have unobservable correlation.

Level 3 liabilities are primarily comprised of:

• mortgage related derivative liabilities, both residential and commercial, of $25.0 billion;
• credit derivatives of $16.9 billion on corporate and other non-mortgage underlyings that incorporate unobservable correlation;
• equity and currency derivative contracts of $7.5 billion that are long-dated and/or have unobservable correlation;
• structured notes classified as long term borrowings of $5.7 billion with embedded equity and commodity derivatives that are long-dated and/or have unobservable correlation; and
• non-recourse debt arrangements classified as long term borrowings of $1.7 billion related to certain non-recourse long-term borrowings issued by consolidated SPEs.

Re: Banks are required to disclose their off-balance-sheet assets in annual reports. According to Citigroup’s most recent financial statement, filed in May, the bank’s $1.1 trillion of off-the-books assets as of March 31 included $760 billion of QSPEs and $363 billion of unconsolidated VIEs.