Citibank 2013 Annual Report Download - page 267

249
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% NM (1) (13)
Adverse change of 20% NM (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.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
Mortgage Securitizations—Citi Holdings
The following table summarizes selected cash flow information related to Citi Holdings mortgage securitizations for the years ended December 31, 2013, 2012
and 2011:
2013 2012 2011
In billions of dollars
U.S. agency-
sponsored mortgages
Non-agency-
sponsored mortgages
Agency- and
non-agency-
sponsored mortgages
Agency- and
non-agency-
sponsored mortgages
Proceeds from new securitizations $ 0.2 $— $ 0.4 $ 1.1
Contractual servicing fees received 0.3 — 0.4 0.6
Cash flows received on retained interests and other net cash flows — — — 0.1
Gains recognized on the securitization of U.S. agency-sponsored
mortgages during 2013 were $20 million. Agency securitization gains for
the years ended December 31, 2012 and 2011 were $45 million and $78
million, respectively.
The Company did not securitize non-agency-sponsored mortgages for the
years ended December 31, 2013, 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.
At December 31, 2013 and 2012, 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, are 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.