Citibank 2012 Annual Report Download - page 254

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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 and the
sensitivity of the fair value to such adverse changes, each as of December 31,
2012 and 2011, is set forth in the tables 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.
December 31, 2012
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.6% to 17.2% 1.2% to 24.0% 1.1% to 29.2%
Weighted average discount rate 6.1% 9.0% 13.8%
Constant prepayment rate 9.0% to 57.8% 1.9% to 22.8% 0.5% to 29.4%
Weighted average constant prepayment rate 27.7% 12.3% 10.0%
Anticipated net credit losses (2) NM 0.1% to 80.2% 33.4% to 90.0%
Weighted average anticipated net credit losses NM 47.0% 54.1%
December 31, 2011
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 1.3% to 16.4% 2.2% to 24.4% 1.3% to 28.1%
Weighted average discount rate 8.1% 9.6% 13.5%
Constant prepayment rate 18.9% to 30.6% 1.7% to 51.8% 0.6% to 29.1%
Weighted average constant prepayment rate 28.7% 26.2% 10.5%
Anticipated net credit losses (2) NM 0.0% to 77.9% 29.3% to 90.0%
Weighted average anticipated net credit losses NM 37.6% 57.2%
(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.
In millions of dollars at December 31, 2012
U.S. agency-sponsored
mortgages
Non-agency-sponsored mortgages (1)
Senior interests Subordinated interests
Carrying value of retained interests $1,987 $88 $466
Discount rates
Adverse change of 10% $ (46) $ (2) $ (31)
Adverse change of 20% (90) (4) (59)
Constant prepayment rate
Adverse change of 10% (110) (1) (11)
Adverse change of 20% (211) (3) (22)
Anticipated net credit losses
Adverse change of 10% (11) (1) (13)
Adverse change of 20% (21) (3) (24)
(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.