Citibank 2013 Annual Report Download - page 264

246
Managed Loans
After securitization of credit card receivables, the Company continues to
maintain credit card customer account relationships and provides servicing
for receivables transferred to the trusts. As a result, the Company considers
the securitized credit card receivables to be part of the business it manages.
As Citigroup consolidates the credit card trusts, all managed securitized card
receivables are on-balance sheet.
Funding, Liquidity Facilities and Subordinated Interests
As noted above, Citigroup securitizes credit card receivables through two
securitization trusts—Master Trust, which is part of Citicorp, and Omni
Trust, which is also substantially part of Citicorp. The liabilities of the trusts
are included in the Consolidated Balance Sheet, excluding those retained
by Citigroup.
Master Trust issues fixed- and floating-rate term notes. Some of the term
notes are issued to multi-seller commercial paper conduits. The weighted
average maturity of the term notes issued by the Master Trust was 3.1 years as
of December 31, 2013 and 3.8 years as of December 31, 2012.
Master Trust Liabilities (at par value)
In billions of dollars
Dec. 31,
2013
Dec. 31,
2012
Term notes issued to third parties $27.9 $18.6
Term notes retained by Citigroup affiliates 6.2 4.8
Total Master Trust liabilities $34.1 $23.4
The Omni Trust issues fixed- and floating-rate term notes, some of which
are purchased by multi-seller commercial paper conduits. The weighted
average maturity of the third-party term notes issued by the Omni Trust was
0.7 years as of December 31, 2013 and 1.7 years as of December 31, 2012.
Omni Trust Liabilities (at par value)
In billions of dollars
Dec. 31,
2013
Dec. 31,
2012
Term notes issued to third parties $ 4.4 $ 4.4
Term notes retained by Citigroup affiliates 1.9 7.1
Total Omni Trust liabilities $ 6.3 $11.5
Mortgage Securitizations
The Company provides a wide range of mortgage loan products to a diverse
customer base. Once originated, the Company often securitizes these loans
through the use of SPEs. These SPEs are funded through the issuance of trust
certificates backed solely by the transferred assets. These certificates have
the same life as the transferred assets. In addition to providing a source of
liquidity and less expensive funding, securitizing these assets also reduces
the Company’s credit exposure to the borrowers. These mortgage loan
securitizations are primarily non-recourse, thereby effectively transferring
the risk of future credit losses to the purchasers of the securities issued by
the trust. However, the Company’s Consumer business generally retains
the servicing rights and in certain instances retains investment securities,
interest-only strips and residual interests in future cash flows from the trusts
and also provides servicing for a limited number of Securities and Banking
securitizations. Securities and Banking and Citi Holdings do not retain
servicing for their mortgage securitizations.
The Company securitizes mortgage loans generally through either a
government-sponsored agency, such as Ginnie Mae, Fannie Mae 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 (i) the power to direct the
activities and (ii) the obligation to either absorb losses or the right to receive
benefits that could be potentially significant to its non-agency-sponsored
mortgage securitizations and, therefore, is the primary beneficiary and thus
consolidates the SPE.