Citibank 2013 Annual Report Download - page 302

284
As of December 31, 2013
Fair Value
(in millions)
(1)
Methodology Input Low (2)(3) High (2)(3)
Weighted
Average (4)
Commodity contracts (gross) $1,955 Model-based Commodity volatility 4.00% 146.00% 15.00%
Commodity correlation (75.00)% 90.00% 32.00%
Forward price 23.00% 242.00% 105.00%
Credit derivatives (gross) $4,767 Model-based Recovery rate 20.00% 64.00% 38.11%
1,520 Price-based Credit correlation 5.00% 95.00% 47.43%
Price $ 0.02 $ 115.20 $ 29.83
Credit spread 3 bps 1,335 bps 203 bps
Upfront points 2.31 100.00 57.69
Nontrading derivatives and other financial
assets and liabilities measured on a
recurring basis (gross) (6) $ 82 Price-based EBITDA multiples 5.20x 12.60x 12.08x
60 Comparables analysis PE ratio 6.90x 6.90x 6.90x
38 Model-based Price-to-book Ratio 1.05x 1.05x 1.05x
Price $ 0.00 $ 105.10 $ 71.25
Fund NAV $ 1.00 $ 10,688,600 $ 9,706,488
Discount to price —% 35.00% 16.36%
Loans $2,153 Price-based Price $ — $ 103.75 $ 91.19
1,422 Model-based Yield 1.60% 4.50% 2.10%
549 Yield analysis Credit spread 49 bps 1,600 bps 302 bps
Mortgage servicing rights $2,625 Cash flow Yield 3.64% 12.00% 7.19%
WAL 2.27 years 9.44 years 6.12 years
Liabilities
Interest-bearing deposits $ 890 Model-based Equity volatility 14.79% 42.15% 27.74%
Mean reversion 1.00% 20.00% 10.50%
Equity-IR correlation 9.00% 20.50% 19.81%
Forward price 23.00% 242.00% 105.00%
Commodity correlation (75.00)% 90.00% 32.00%
Commodity volatility 4.00% 146.00% 15.00%
Federal funds purchased and
securities loaned or sold under
agreements to repurchase $ 902 Model-based Interest rate 0.47% 3.66% 2.71%
Trading account liabilities
Securities sold, not yet purchased $ 289 Model-based Credit spread 166 bps 180 bps 175 bps
$ 273 Price-based Credit IR correlation (68.00)% 5.00% (50.00)%
Price $ — $ 124.25 $ 99.75
Short-term borrowings and
long-term debt $5,957 Model-based IR lognormal volatility 10.60% 87.20% 20.97%
868 Price-based Equity forward 79.10% 141.00% 99.51%
Equity volatility 10.70% 57.20% 19.41%
Equity-FX correlation (70.00)% 55.00% 0.60%
Equity-equity correlation (81.30)% 99.40% 48.30%
Interest rate 4.00% 10.00% 5.00%
Price $ 0.63 $ 103.75 $ 80.73
(1) The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2) Some inputs are shown as zero due to rounding.
(3) When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to one large position only.
(4) Where provided, weighted averages are calculated based on the fair value of the instrument.
(5) For equity securities, the price input is expressed on an absolute basis, not as a percentage of the notional amount.
(6) Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7) Includes hybrid products.