7.3 billion - Citigroup

Items Measured at Fair Value on a Nonrecurring BasisCertain assets and liabilities are measured at fair value on anonrecurring basis and therefore are not included in the tablesabove. These include assets measured at cost that have beenwritten down to fair value during the periods as a result of animpairment. In addition, these assets include loans held-forsaleand other real estate owned that are measured at the lowerof cost or market (LOCOM).The following table presents the carrying amounts of allassets that were still held as of March 31, 2012 and December31, 2011, and for which a nonrecurring fair valuemeasurement was recorded during the twelve months thenended:In millions of dollars Fair value Level 2 Level 3March 31, 2012Loans held-for-sale $2,177 $ 816 $1,361Other real estate owned 307 66 241Loans (1) 4,094 3,551 543Total assets at fair value on anonrecurring basis $6,578 $4,433 $2,145(1) Represents loans held for investment whose carrying amount is based onthe fair value of the underlying collateral, including primarily real-estatesecured loans.In millions of dollars Fair value Level 2 Level 3December 31, 2011Loans held-for-sale $2,644 $1,668 $ 976Other real estate owned 271 88 183Loans (1) 3,911 3,185 726Total assets at fair value on anonrecurring basis $6,826 $4,941 $1,885(1) Represents loans held for investment whose carrying amount is based onthe fair value of the underlying collateral, including primarily real-estatesecured loans.The fair value of loans-held-for-sale is determined wherepossible using quoted secondary-market prices. If no suchquoted price exists, the fair value of a loan is determined usingquoted prices for a similar asset or assets, adjusted for thespecific attributes of that loan. Fair value for the other realestate owned is based on appraisals. For loans whose carryingamount is based on the fair value of the underlying collateral,the fair values depend on the type of collateral. Fair value ofthe collateral is typically estimated based on quoted marketprices if available, appraisals or other internal valuationtechniques.Nonrecurring Fair Value ChangesThe following table presents total nonrecurring fair valuemeasurements for the period, included in earnings, attributableto the change in fair value relating to assets that are still heldat March 31, 2012 and December 31, 2011.In millions of dollars March 31, 2012Loans held-for-sale $ (50)Other real estate owned (14)Loans (1) (769)Total nonrecurring fair value gains (losses) $(833)(1) Represents loans held for investment whose carrying amount is based onthe fair value of the underlying collateral, including primarily real-estateloans.In millions of dollars March 31, 2011Total nonrecurring fair value gains (losses) (1) $(111)(1) Excludes loans held for investment whose carrying amount is based onthe fair value of underlying collateral.Estimated Fair Value of Financial Instruments NotCarried at Fair ValueThe table below presents the carrying value and fair value ofCitigroup‘s financial instruments which are not carried at fairvalue. The table below therefore excludes items measured atfair value on a recurring basis presented in the tables above.The disclosure also excludes leases, affiliate investments,pension and benefit obligations and insurance policy claimreserves. In addition, contract-holder fund amounts excludecertain insurance contracts. Also, as required, the disclosureexcludes the effect of taxes, any premium or discount thatcould result from offering for sale at one time the entireholdings of a particular instrument, excess fair valueassociated with deposits with no fixed maturity and otherexpenses that would be incurred in a market transaction. Inaddition, the table excludes the values of non-financial assetsand liabilities, as well as a wide range of franchise,relationship and intangible values, which are integral to a fullassessment of Citigroup‘s financial position and the value ofits net assets.The fair value represents management‘s best estimatesbased on a range of methodologies and assumptions. Thecarrying value of short-term financial instruments notaccounted for at fair value, as well as receivables and payablesarising in the ordinary course of business, approximates fairvalue because of the relatively short period of time betweentheir origination and expected realization. Quoted marketprices are used when available for investments and forliabilities, such as long-term debt not carried at fair value. Forloans not accounted for at fair value, cash flows are discountedat quoted secondary market rates or estimated market rates ifavailable. Otherwise, sales of comparable loan portfolios orcurrent market origination rates for loans with similar termsand risk characteristics are used. Expected credit losses areeither embedded in the estimated future cash flows orincorporated as an adjustment to the discount rate used. Thevalue of collateral is also considered. For liabilities such aslong-term debt not accounted for at fair value and without174CITIGROUP – 2012 FIRST QUARTER 10-Q