Citibank 2013 Annual Report Download - page 303

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285
As of December 31, 2012
Fair Value
(in millions)
(1)
Methodology Input Low (2)(3) High (2)(3)
Assets
Federal funds sold and securities
borrowed or purchased under
agreements to resell $ 4,786 Cash flow Interest rate 1.09% 1.50%
Trading and investment securities
Mortgage-backed securities $ 4,402 Price-based Price $ — $ 135.00
1,148 Yield analysis Yield —% 25.84%
Prepayment period 2.16 years 7.84 years
State and municipal, foreign government,
corporate and other debt securities $ 4,416 Price-based Price $ 0.00 $ 159.63
1,231 Cash flow Yield 0.00% 30.00%
787 Yield analysis Credit spread 35 bps 300 bps
Equity securities $ 792 Cash flow Yield 9.00% 10.00%
147 Price-based Prepayment period 3 years 3 years
Price $ 0.00 $ 750.00
Asset-backed securities $ 4,253 Price-based Price $ — $ 137
1,775 Internal model Yield —% 27.00%
561 Cash flow Credit correlation 15.00% 90.00%
Weighted average life (WAL) 0.34 years 16.07 years
Non-marketable equity $ 2,768 Price-based Fund NAV $ 1.00 $456,773,838
1,803 Comparables analysis EBITDA multiples 4.70x 14.39x
Price-to-book ratio 0.77x 1.50x
709 Cash flow Discount to price —% 75.00%
Derivatives—Gross (4)
Interest rate contracts (gross) $3,202 Internal model Interest rate (IR)-IR correlation (98.00)% 90.00%
Credit spread 0 bps 550.27 bps
IR volatility 0.09% 100.00%
Interest rate —% 15.00%
Foreign exchange contracts (gross) $ 1,542 Internal model Foreign exchange (FX) volatility 3.20% 67.35%
IR-FX correlation 40.00% 60.00%
Credit spread 0 bps 376 bps
Equity contracts (gross) (5) $ 4,669 Internal model Equity volatility 1.00% 185.20%
Equity forward 74.94% 132.70%
Equity-equity correlation 1.00% 99.90%
Commodity contracts (gross) $2,160 Internal model Forward price 37.45% 181.50%
Commodity correlation (77.00)% 95.00%
Commodity volatility 5.00% 148.00%
Credit derivatives (gross) $4,777 Internal model Price $ 0.00 $ 121.16
3,886 Price-based Recovery rate 6.50% 78.00%
Credit correlation 5.00% 99.00%
Credit spread 0 bps 2,236 bps
Upfront points 3.62 100.00