Citibank 2013 Annual Report Download - page 268

250
December 31, 2013
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests (2)
Discount rate 0.0% to 49.3% 9.9% —
Weighted average discount rate 9.5% 9.9% —
Constant prepayment rate 9.6% to 26.2% 12.3% to 27.3% —
Weighted average constant prepayment rate 20.0% 15.6% —
Anticipated net credit losses NM 0.3% —
Weighted average anticipated net credit losses NM 0.3% —
Weighted average life 2.3 to 7.6 years 5.2 years —
December 31, 2012
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.0% to 52.7 % 4.1% to 29.2 % 3.4% to 12.4%
Weighted average discount rate 9.7 % 4.2 % 8.0%
Constant prepayment rate 8.2% to 37.4 % 21.7% to 26.0 % 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 2.2 to 7.8 years 2.1 to 4.4 years 6.0 to 7.4 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.
(2) Citi Holdings held no subordinated interests in mortgage securitizations as of December 31, 2013.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
In millions of dollars at December 31, 2013
U.S. agency-
sponsored mortgages
Non-agency-sponsored mortgages (1)
Senior
interests
Subordinated
interests
Carrying value of retained interests $585 $ 50 $—
Discount rates
Adverse change of 10% $ (16) $ (3) $—
Adverse change of 20% (32) (5) —
Constant prepayment rate
Adverse change of 10% (33) (3) —
Adverse change of 20% (65) (6) —
Anticipated net credit losses
Adverse change of 10% NM (5) —
Adverse change of 20% NM (11) —
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 $ 618 $ 39 $16
Discount rates
Adverse change of 10% $ (22) $ — $ (1)
Adverse change of 20% (42) (1) (2)
Constant prepayment rate
Adverse change of 10% (57) (3) —
Adverse change of 20% (109) (7) (1)
Anticipated net credit losses
Adverse change of 10% NM (9) (2)
Adverse change of 20% NM (19) (4)
(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.