Citibank 2012 Annual Report Download - page 284
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262
Valuation Techniques and Inputs for Level 3 Fair Value
Measurements
The Company’s Level 3 inventory consists of both cash securities and
derivatives of varying complexities. The valuation methodologies applied
to measure the fair value of these positions include discounted cash
flow analyses, internal models and comparative analysis. A position is
classified within Level 3 of the fair value hierarchy when at least one input
is unobservable and is considered significant to its valuation. The specific
reason an input is deemed unobservable varies. For example, at least one
significant input to the pricing model is not observable in the market, at least
one significant input has been adjusted to make it more representative of the
position being valued, or the price quote available does not reflect sufficient
trading activities.
The following table presents the valuation techniques covering the
majority of Level 3 inventory and the most significant unobservable inputs
used in Level 3 fair value measurements as of December 31, 2012. Differences
between this table and amounts presented in the Level 3 Fair Value
Rollforward table represent individually immaterial items that have been
measured using a variety of valuation techniques other than those listed.