Citibank 2012 Annual Report Download - page 253

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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, 2012 and 2011 were as follows:
December 31, 2012
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.2% to 14.4% 1.2% to 24.0% 1.1% to 29.2%
Weighted average discount rate 11.4% 8.1% 13.8%
Constant prepayment rate 6.7% to 36.4% 1.9% to 22.8% 1.6% to 29.4%
Weighted average constant prepayment rate 10.2% 9.3% 10.1%
Anticipated net credit losses (2) NM 37.5% to 80.2% 33.4% to 90.0%
Weighted average anticipated net credit losses NM 60.3% 54.1%
December 31, 2011
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.6% to 28.3% 2.4% to 10.0% 8.4% to 17.6%
Weighted average discount rate 12.0% 4.5% 11.0%
Constant prepayment rate 2.2% to 30.6% 1.0% to 2.2% 5.2% to 22.1%
Weighted average constant prepayment rate 7.9% 1.9% 17.3%
Anticipated net credit losses (2) NM 35.0% to 72.0% 11.4% to 58.6%
Weighted average anticipated net credit losses NM 45.3% 25.0%
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not
represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.