Citibank 2011 Annual Report Download - page 244

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The Company securitizes mortgage loans generally through either a
government-sponsored agency, such as Ginnie Mae, FNMA or Freddie Mac
(U.S. agency-sponsored mortgages), or private label (non-agency-sponsored
mortgages) securitization. The Company is not the primary beneficiary of
its U.S. agency-sponsored mortgage securitizations, because Citigroup does
not have the power to direct the activities of the SPE that most significantly
impact the entity’s economic performance. Therefore, Citi does not
consolidate these U.S. agency-sponsored mortgage securitizations.
The Company does not consolidate certain non-agency-sponsored
mortgage securitizations because Citi is either not the servicer with the power
to direct the significant activities of the entity or Citi is the servicer but the
servicing relationship is deemed to be a fiduciary relationship and, therefore,
Citi is not deemed to be the primary beneficiary of the entity.
In certain instances, the Company has (1) the power to direct the
activities and (2) the obligation to either absorb losses or right to receive
benefits that could be potentially significant to its non-agency-sponsored
mortgage securitizations and, therefore, is the primary beneficiary and
consolidates the SPE.
Mortgage Securitizations—Citicorp
The following tables summarize selected cash flow information related to mortgage securitizations for the years ended December 31, 2011, 2010 and 2009:
2011  
In billions of dollars
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
!GENCYæANDææ
NONAGENCYææ
SPONSOREDæ
MORTGAGES
!GENCYæANDææ
NONAGENCYææ
SPONSOREDæ
MORTGAGES
0ROCEEDSæFROMæNEWæSECURITIZATIONS $57.1 $0.2  
#ONTRACTUALæSERVICINGæFEESæRECEIVED 0.5 —  
#ASHæFLOWSæRECEIVEDæONæRETAINEDæINTERESTSæANDæOTHERæNETæCASHæFLOWS 0.1 —  
Gains (losses) recognized on the securitization of U.S. agency-sponsored
mortgages during 2011 were $(8) million. For the year ended December 31,
2011, gains (losses) recognized on the securitization of non-agency-
sponsored mortgages were $(1) million.
Agency and non-agency mortgage securitization gains (losses) for
the years ended December 31, 2010 and 2009 were $(5) million and
$18 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, 2011 and 2010 are as follows:
æDecember 31, 2011 $ECEMBERææ
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
!GENCYæANDæNONAGENCYæ
SPONSOREDæMORTGAGES
$ISCOUNTæRATE 0.6% to 28.3% 2.4% to 10.0% 8.4% to 17.6% æTOæ
7EIGHTEDæAVERAGEæDISCOUNTæRATE 12.0% 4.5% 11.0%
#ONSTANTæPREPAYMENTæRATE 2.2% to 30.6% 1.0% to 2.2% 5.2% to 22.1% æTOæ
7EIGHTEDæAVERAGEæCONSTANTæPREPAYMENTæRATE 7.9% 1.9% 17.3%
!NTICIPATEDæNETæCREDITæLOSSESæ NM 35.0% to 72.0% 11.4% to 58.6% æTOæ
7EIGHTEDæAVERAGEæANTICIPATEDæNETæCREDITæLOSSES NM 45.3% 25.0%
æ $ISCLOSUREæOFæNONAGENCYSPONSOREDæMORTGAGESæASæSENIORæANDæSUBORDINATEDæINTERESTSæISæINDICATIVEæOFæTHEæINTERESTSæPOSITIONæINæTHEæCAPITALæSTRUCTUREæOFæTHEæSECURITIZATION
æ !NTICIPATEDæNETæCREDITæLOSSESæREPRESENTæESTIMATEDæLOSSæSEVERITYæASSOCIATEDæWITHæDEFAULTEDæMORTGAGEæLOANSæUNDERLYINGæTHEæMORTGAGEæSECURITIZATIONSæDISCLOSEDæABOVEæ!NTICIPATEDæNETæCREDITæLOSSESæINæTHISæINSTANCEæDOæNOTæ
REPRESENTæTOTALæCREDITæLOSSESæINCURREDæTOæDATEæNORæDOæTHEYæREPRESENTæCREDITæLOSSESæEXPECTEDæONæRETAINEDæINTERESTSæINæMORTGAGEæSECURITIZATIONS
.-æ .OTæMEANINGFULæ!NTICIPATEDæNETæCREDITæLOSSESæAREæNOTæMEANINGFULæDUEæTOæ53æAGENCYæGUARANTEES