Citibank 2012 Annual Report Download - page 255

233
Mortgage Securitizations—Citi Holdings
The following tables summarize selected cash flow information related to Citi Holdings mortgage securitizations for the years ended December 31, 2012, 2011
and 2010:
2012 2011 2010
In billions of dollars
U.S. agency-
sponsored mortgages
Agency- and
non-agency-
sponsored mortgages
Agency- and
non-agency-
sponsored mortgages
Proceeds from new securitizations $0.4 $1.1 $0.6
Contractual servicing fees received 0.4 0.6 0.8
Cash flows received on retained interests and other net cash flows — 0.1 0.1
Gains recognized on the securitization of U.S. agency-sponsored
mortgages were $45 million and $78 million for the years ended
December 31, 2012 and 2011, respectively. The Company did not securitize
non-agency-sponsored mortgages during the years ended December 31, 2012
and 2011.
Similar to Citicorp mortgage securitizations discussed above, 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 9.7% 4.1% to 10.0% 3.4% to 12.4%
Weighted average discount rate 9.7% 4.2% 8.0%
Constant prepayment rate 28.6% 21.7% 12.7% to 18.7%
Weighted average constant prepayment rate 28.6% 21.7% 15.7%
Anticipated net credit losses NM 0.5% 50.0% to 50.1%
Weighted average anticipated net credit losses NM 0.5% 50.1%
Weighted average life 4.1 years 4.4 years 6.0 to 7.4 years
December 31, 2011
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 6.9% 2.9% to 18.0% 6.7% to 18.2%
Weighted average discount rate 6.9% 9.8% 9.2%
Constant prepayment rate 30.0% 38.8% 2.0% to 9.6%
Weighted average constant prepayment rate 30.0% 38.8% 8.1%
Anticipated net credit losses NM 0.4% 57.2% to 90.0%
Weighted average anticipated net credit losses NM 0.4% 63.2%
Weighted average life 3.7 years 3.3 to 4.7 years 0.0 to 8.1 years
(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.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.