Citibank 2015 Annual Report Download - page 288

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Estimated Fair Value of Financial Instruments Not
Carried at Fair Value
The table below presents the carrying value and fair value of Citigroup’s
financial instruments that are not carried at fair value. The table below
therefore excludes items measured at fair value on a recurring basis
presented in the tables above.
The disclosure also excludes leases, affiliate investments, pension
and benefit obligations and insurance policy claim reserves. In addition,
contract-holder fund amounts exclude certain insurance contracts. Also, as
required, the disclosure excludes the effect of taxes, any premium or discount
that could result from offering for sale at one time the entire holdings of a
particular instrument, excess fair value associated with deposits with no fixed
maturity, and other expenses that would be incurred in a market transaction.
In addition, the table excludes the values of non-financial assets and
liabilities, as well as a wide range of franchise, relationship and intangible
values, which are integral to a full assessment of Citigroup’s financial
position and the value of its net assets.
The fair value represents management’s best estimates based on a
range of methodologies and assumptions. The carrying value of short-term
financial instruments not accounted for at fair value, as well as receivables
and payables arising in the ordinary course of business, approximates fair
value because of the relatively short period of time between their origination
and expected realization. Quoted market prices are used when available
for investments and for liabilities, such as long-term debt not carried
at fair value. For loans not accounted for at fair value, cash flows are
discounted at quoted secondary market rates or estimated market rates if
available. Otherwise, sales of comparable loan portfolios or current market
origination rates for loans with similar terms and risk characteristics are
used. Expected credit losses are either embedded in the estimated future
cash flows or incorporated as an adjustment to the discount rate used. The
value of collateral is also considered. For liabilities such as long-term debt
not accounted for at fair value and without quoted market prices, market
borrowing rates of interest are used to discount contractual cash flows.
December 31, 2015 Estimated fair value
In billions of dollars Carrying value Estimated fair value Level 1 Level 2 Level 3
Assets
Investments $ 41.7 $ 42.7 $3.5 $ 36.4 $ 2.8
Federal funds sold and securities borrowed or purchased under agreements to resell 81.7 81.7 — 77.4 4.3
Loans (1)(2) 597.5 595.7 — 6.0 589.7
Other financial assets (2)(3) 186.5 186.5 6.9 126.2 53.4
Liabilities
Deposits $906.3 $ 896.7 $ — $749.4 $147.3
Federal funds purchased and securities loaned or sold under agreements to repurchase 109.7 109.7 — 109.4 0.3
Long-term debt (4) 176.0 180.8 — 153.8 27.0
Other financial liabilities (5) 97.6 97.6 — 18.0 79.6
December 31, 2014 Estimated fair value
In billions of dollars Carrying value Estimated fair value Level 1 Level 2 Level 3
Assets
Investments $ 30.5 $ 32.2 $4.5 $ 25.2 $ 2.5
Federal funds sold and securities borrowed or purchased under agreements to resell 98.4 98.4 — 89.7 8.7
Loans (1)(2) 620.0 617.6 — 5.6 612.0
Other financial assets (2)(3) 213.8 213.8 8.3 151.9 53.6
Liabilities
Deposits $ 897.6 $ 894.4 $ — $ 766.7 $127.7
Federal funds purchased and securities loaned or sold under agreements to repurchase 136.7 136.7 — 136.5 0.2
Long-term debt (4) 196.9 202.5 — 172.7 29.8
Other financial liabilities (5) 136.2 136.2 — 41.4 94.8
(1) The carrying value of loans is net of the Allowance for loan losses of $12.6 billion for December 31, 2015 and $16.0 billion for December 31, 2014. In addition, the carrying values exclude $2.4 billion and $2.7 billion
of lease finance receivables at December 31, 2015 and December 31, 2014, respectively.
(2) Includes items measured at fair value on a nonrecurring basis.
(3) Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the
carrying value is a reasonable estimate of fair value.
(4) The carrying value includes long-term debt balances under qualifying fair value hedges.
(5) Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the
carrying value is a reasonable estimate of fair value.