Citibank 2014 Annual Report Download - page 288

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271
As of December 31, 2014
Fair Value
(in millions)
(1)
Methodology Input Low (2)(3) High (2)(3)
Weighted
Average (4)
Commodity contracts (gross) $3,606 Model-based Commodity volatility 5.00% 83.00% 24.00%
Commodity correlation (57.00)% 91.00% 30.00%
Forward price 35.34% 268.77% 101.74%
Credit derivatives (gross) $4,944 Model-based Recovery rate 13.97% 75.00% 37.62%
1,584 Price-based Credit correlation —% 95.00% 58.76%
Price $ 1.00 $ 144.50 $ 53.86
Credit spread 1 bps 3,380 bps 180 bps
Upfront points 0.39 100.00 52.26
Nontrading derivatives and other financial
assets and liabilities measured on a
recurring basis (gross) (6) $ 74 Model-based Redemption rate 13.00% 99.50% 68.73%
11 Price-based Forward Price 107.00% 107.10% 107.05%
Fund NAV $ 12,974 $10,087,963 $ 9,308,012
Loans $1,095 Cash flow Yield 1.60% 4.50% 2.23%
832 Model-based Price $ 4.72 $ 106.55 $ 98.56
740 Price-based Credit spread 35 bps 500 bps 199 bps
441 Yield analysis
Mortgage servicing rights $1,750 Cash flow Yield 5.19% 21.40% 10.25%
WAL 3.31 years 7.89 years 5.17 years
Liabilities
Interest-bearing deposits $ 486 Model-based Equity-IR correlation 34.00% 37.00% 35.43%
Commodity correlation (57.00)% 91.00% 30.00%
Commodity volatility 5.00% 83.00% 24.00%
Forward price 35.34% 268.77% 101.74%
Federal funds purchased and securities
loaned or sold under agreements
to repurchase $1,043 Model-based Interest rate 0.74% 2.26% 1.90%
Trading account liabilities
Securities sold, not yet purchased $ 251 Model-based Credit-IR correlation (70.49)% 8.81% 47.17%
$ 142 Price-based Price $ — $ 117.00 $ 70.33
Short-term borrowings and
long-term debt $7,204 Model-based IR lognormal volatility 18.05% 90.65% 30.21%
Mean reversion 1.00% 20.00% 10.50%
Equity volatility 10.18% 69.65% 23.72%
Credit correlation 87.50% 87.50% 87.50%
Equity forward 89.50% 100.80% 95.80%
Forward price 35.34% 268.77% 101.80%
Commodity correlation (57.00)% 91.00% 30.00%
Commodity volatility 5.00% 83.00% 24.00%
Table and notes continue on the next pages.