Citibank 2010 Annual Report Download - page 244

242
Mortgage Securitizations—Citi Holdings
The following tables summarize selected cash flow information related to Citi Holdings mortgage securitizations for the years ended December 31, 2010, 2009
and 2008:
2010 2009
U.S. agency-
sponsored mortgages
Non-agency-
sponsored mortgages
Agency- and non-agency-
sponsored mortgages
Discount rate 12.8% to 15.4% N/A 7.9% to 15.0%
Constant prepayment rate 11.5% to 16.3% N/A 2.8% to 18.2%
Anticipated net credit losses NM N/A 0.0% to 0.1%
NM Not meaningful
N/A Not applicable
At December 31, 2010, 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, 2010
U.S. agency-
sponsored mortgages
Non-agency-
sponsored mortgages
Discount rate 12.1% to 15.1 % 2.2% to 44.8%
Constant prepayment rate 13.2% to 25.0% 2.0% to 40.4%
Anticipated net credit losses NM 0.1% to 85.0%
Weighted average life 6.4 years 0.1 to 9.4 years
In millions of dollars
U.S. agency-
sponsored mortgages
Non-agency-
sponsored mortgages
Carrying value of retained
interests $2,327 $732
Discount rates
Adverse change of 10% $ (98) $ (27)
Adverse change of 20% (188) (47)
Constant prepayment rate
Adverse change of 10% $ (116) $ (32)
Adverse change of 20% (224) (64)
Anticipated net credit losses
Adverse change of 10% $ (26) $ (31)
Adverse change of 20% (51) (53)
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
2010 2009 2008
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 $0.6 $ — $70.1 $81.7
Contractual servicing fees received 0.7 0.1 1.4 1.4
Cash flows received on retained interests and other net cash flows 0.1 — 0.4 0.7
The Company did not recognize gains (losses) on the securitization
of U.S. agency- and non-agency-sponsored mortgages in the years ended
December 31, 2010 and 2009. There were gains from the securitization of
agency- and non-agency-sponsored mortgages of $73 million in the year
ended December 31, 2008.
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, 2010 and 2009 are as follows:
The range in the key assumptions is due to the different characteristics
of the interests retained by the Company. The interests retained 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.