Citibank 2009 Annual Report Download - page 215

205
Mortgage Securitizations—Citicorp
The following tables summarize selected cash flow information related to mortgage securitizations for the years ended December 31, 2009, 2008 and 2007:
2009 2008 2007
In billions of dollars
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
Agency- and
non-agency-
sponsored
mortgages
Agency- and
non-agency-
sponsored
mortgages
Proceeds from new securitizations $12.1 $3.6 $ 6.3 $40.1
Contractual servicing fees received — — — —
Cash flows received on retained interests and other net cash flows 0.1 — 0.2 0.3
Gains (losses) recognized on the securitization of U.S. agency-sponsored
mortgages during 2009 were $(2) million. For the year ended December
31, 2009, gains (losses) recognized on the securitization of non-agency-
sponsored mortgages were $20 million.
Agency and non-agency securitization gains (losses) for the years ended
December 31, 2008 and 2007 were $(15) million and $145 million, respectively.
Key assumptions used in measuring the fair value of retained interests at
the date of sale or securitization of mortgage receivables for the years ended
December 31, 2009 and 2008 are as follows:
December 31, 2009 December 31, 2008
U.S. agency-
sponsored mortgages
Non-agency-
sponsored mortgages
Agency- and non-agency-
sponsored mortgages
Discount rate 0.6% to 46.9% 0.4% to 52.2% 5.1% to 39.4%
Constant prepayment rate 0.5% to 60.3% 2.0% to 31.3% 2.0% to 18.2%
Anticipated net credit losses — 6.0% to 85.0% 40.0% to 85.0%
The range in the key assumptions for retained interests in Securities
and Banking is due to the different characteristics of the interests retained
by the Company. The interests retained by Securities and Banking range
from highly rated and/or senior in the capital structure to unrated and/or
residual interests.
The effect of adverse changes of 10% and 20% in each of the key
assumptions used to determine the fair value of retained interests is disclosed
below. The negative effect of each change is calculated independently,
holding all other assumptions constant. Because the key assumptions may
not in fact be independent, the net effect of simultaneous adverse changes
in the key assumptions may be less than the sum of the individual effects
shown below.
At December 31, 2009, the key assumptions used to value retained
interests and the sensitivity of the fair value to adverse changes of 10% and
20% in each of the key assumptions were as follows:
December 31, 2009
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
Discount rate 0.8% to 46.9% 1.4% to 39.2%
Constant prepayment rate 0.5% to 60.3% 3.0% to 30.7%
Anticipated net credit losses N/A 50.0% to 80.0%
N/A Not applicable
In millions of dollars
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
Carrying value of retained interests $651 $624
Discount rates
Adverse change of 10% $ (9) $ (17)
Adverse change of 20% (17) (33)
Constant prepayment rate
Adverse change of 10% $ (10) $ (3)
Adverse change of 20% (15) (6)
Anticipated net credit losses
Adverse change of 10% $ — $ (32)
Adverse change of 20% — (60)