Citibank 2015 Annual Report Download - page 286

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Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring
basis and therefore are not included in the tables above. These include
assets measured at cost that have been written down to fair value during the
periods as a result of an impairment. In addition, these assets include loans
held-for-sale and other real estate owned that are measured at the lower
of cost or market.
The following table presents the carrying amounts of all assets that were
still held for which a nonrecurring fair value measurement was recorded:
In millions of dollars Fair value Level 2 Level 3
December 31, 2015
Loans held-for-sale $10,326 $6,752 $3,574
Other real estate owned 107 15 92
Loans (1) 1,173 836 337
Total assets at fair value on a
nonrecurring basis $11,606 $7,603 $4,003
In millions of dollars Fair value Level 2 Level 3
December 31, 2014
Loans held-for-sale $4,152 $1,084 $3,068
Other real estate owned 102 21 81
Loans (1) 3,367 2,881 486
Total assets at fair value on a
nonrecurring basis $7,621 $3,986 $3,635
(1) Represents impaired loans held for investment whose carrying amount is based on the fair value of
the underlying collateral, primarily real estate secured loans.
The fair value of loans-held-for-sale is determined where possible using
quoted secondary-market prices. If no such quoted price exists, the fair value
of a loan is determined using quoted prices for a similar asset or assets,
adjusted for the specific attributes of that loan. Fair value for the other real
estate owned is based on appraisals. For loans whose carrying amount is
based on the fair value of the underlying collateral, the fair values depend
on the type of collateral. Fair value of the collateral is typically estimated
based on quoted market prices if available, appraisals or other internal
valuation techniques.
Where the fair value of the related collateral is based on an unadjusted
appraised value, the loan is generally classified as Level 2. Where significant
adjustments are made to the appraised value, the loan is classified as Level 3.
Additionally, for corporate loans, appraisals of the collateral are often based
on sales of similar assets; however, because the prices of similar assets require
significant adjustments to reflect the unique features of the underlying
collateral, these fair value measurements are generally classified as Level 3.
Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant
unobservable inputs used in those measurements:
Fair Value (1) Weighted
average
As of December 31, 2015 (In millions of dollars) Methodology Input Low (5) High (2)
Loans held-for-sale $3,486 Price-based Price $ — $ 100.00 $ 81.05
Other real estate owned $ 90 Price-based Discount to price (4) 0.34% 13.00% 2.86%
2Appraised Value $ — $8,518,230 $3,813,045
Loans (3) $ 157 Recovery analysis Recovery rate 11.79% 60.00% 23.49%
87 Price-based Discount to price (4) 13.00% 34.00% 7.99%
(1) The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2) Weighted averages are calculated based on the fair values of the instruments.
(3) Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.
(4) Includes estimated costs to sell.
(5) Some inputs are shown as zero due to rounding.