Citibank 2015 Annual Report Download - page 281
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263
As of December 31, 2015
Fair value (1)
Methodology Input Low (2)(3) High (2)(3)
Weighted
average (4)
(in millions)
Commodity contracts (gross) $4,061 Model-based Forward price 35.09% 299.32% 112.98%
Commodity volatility 5.00% 83.00% 24.00%
Commodity correlation (57.00)% 91.00% 30.00%
Credit derivatives (gross) $5,849 Model-based Recovery rate 1.00% 75.00% 32.49%
1,424 Price-based Credit correlation 5.00% 90.00% 43.48%
Price $ 0.33 $ 101.00 $ 61.52
Credit spread 1bps 967bps 133 bps
Upfront points 7.00% 99.92% 66.75%
Nontrading derivatives and other financial assets
and liabilities measured on a recurring basis
(gross) (6) $ 194 Model-based Recovery rate 7.00% 40.00% 10.72%
Redemption rate 27.00% 99.50% 74.80%
Interest rate 5.26% 5.28% 5.27%
Loans $ 750 Price-based Yield 1.50% 4.50% 2.52%
892 Model-based Price $ — $ 106.98 $ 40.69
524 Cash flow Credit spread 29bps 500bps 105bps
Mortgage servicing rights $1,690 Cash flow Yield —% 23.32% 6.83%
WAL 3.38 years 7.48 years 5.5 years
Liabilities
Interest-bearing deposits $ 434 Model-based Equity-IR correlation 23.00% 39.00% 34.51%
Forward price 35.09% 299.32% 112.72%
Commodity correlation (57.00)% 91.00% 30.00%
Commodity volatility 5.00% 83.00% 24.00%
Federal funds purchased and securities
loaned or sold under agreements
to repurchase $1,245 Model-based Interest rate 1.27% 2.02% 1.92%
Trading account liabilities
Securities sold, not yet purchased $ 152 Price-based Price $ — $ 217.00 $ 87.78
Short-term borrowings and long-term debt $7,004 Model-based Mean reversion (5.52)% 20.00% 7.80%
Equity volatility 9.55% 42.56% 22.26%
Equity forward 82.72% 100.80% 94.48%
Equity-equity correlation (80.54)% 100.00% 49.16%
Forward price 35.09% 299.32% 106.32%
Equity-FX correlation (88.20)% 56.85% (31.76)%