Citibank 2011 Annual Report Download - page 245

223
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,
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, 2011 and 2010.
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.
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, 2011, 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:
æDecember 31, 2011
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
$ISCOUNTæRATE 1.3% to 16.4% 2.2% to 24.4% 1.3% to 28.1%
7EIGHTEDæAVERAGEæDISCOUNTæRATE 8.1% 9.6% 13.5%
#ONSTANTæPREPAYMENTæRATE 18.9% to 30.6% 1.7% to 51.8% 0.6% to 29.1%
7EIGHTEDæAVERAGEæCONSTANTæPREPAYMENTæRATE 28.7% 26.2% 10.5%
!NTICIPATEDæNETæCREDITæLOSSESæ NM 0.0% to 77.9% 29.3% to 90.0%
7EIGHTEDæAVERAGEæANTICIPATEDæNETæCREDITæLOSSES NM 37.6% 57.2%
æ $ISCLOSUREæOFæNONAGENCYSPONSOREDæMORTGAGESæASæSENIORæANDæSUBORDINATEDæINTERESTSæISæINDICATIVEæOFæTHEæINTERESTSæPOSITIONæINæTHEæCAPITALæSTRUCTUREæOFæTHEæSECURITIZATION
æ !NTICIPATEDæNETæCREDITæLOSSESæREPRESENTæESTIMATEDæLOSSæSEVERITYæASSOCIATEDæWITHæDEFAULTEDæMORTGAGEæLOANSæUNDERLYINGæTHEæMORTGAGEæSECURITIZATIONSæDISCLOSEDæABOVEæ!NTICIPATEDæNETæCREDITæLOSSESæINæTHISæINSTANCEæDOæNOTæ
REPRESENTæTOTALæCREDITæLOSSESæINCURREDæTOæDATEæNORæDOæTHEYæREPRESENTæCREDITæLOSSESæEXPECTEDæONæRETAINEDæINTERESTSæINæMORTGAGEæSECURITIZATIONS
.-æ .OTæMEANINGFULæ!NTICIPATEDæNETæCREDITæLOSSESæAREæNOTæMEANINGFULæDUEæTOæ53æAGENCYæGUARANTEES
In millions of dollars
U.S. agency-sponsored
mortgages
Non-agency-sponsored mortgages (1)
Senior interests Subordinated interests
Carrying value of retained interests $ 2,182 $ 88 $ 396
$ISCOUNTæRATES
!DVERSEæCHANGEæOFæ $ (52) $ (3) $ (26)
!DVERSEæCHANGEæOFæ (101) (6) (49)
#ONSTANTæPREPAYMENTæRATE
!DVERSEæCHANGEæOFæ $ (129) $ (6) $ (8)
!DVERSEæCHANGEæOFæ (249) (13) (18)
!NTICIPATEDæNETæCREDITæLOSSES
!DVERSEæCHANGEæOFæ $ (12) $ (2) $ (10)
!DVERSEæCHANGEæOFæ (23) (3) (19)
ææ $ISCLOSUREæOFæNONAGENCYSPONSOREDæMORTGAGESæASæSENIORæANDæSUBORDINATEDæINTERESTSæISæINDICATIVEæOFæTHEæINTERESTSæPOSITIONæINæTHEæCAPITALæSTRUCTUREæOFæTHEæSECURITIZATION
Mortgage Securitizations—Citi Holdings
The following tables summarize selected cash flow information related to Citi Holdings 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
SPONSOREDæMORTGAGES
!GENCYæANDææ
NONAGENCYææ
SPONSOREDæMORTGAGES
0ROCEEDSæFROMæNEWæSECURITIZATIONS $1.1 $ —  
#ONTRACTUALæSERVICINGæFEESæRECEIVED 0.5 0.1  
#ASHæFLOWSæRECEIVEDæONæRETAINEDæINTERESTSæANDæOTHERæNETæCASHæFLOWS 0.1 —  