Citibank 2014 Annual Report Download - page 259

242
The following table summarizes selected cash flow information related
to asset-based financings for the years ended December 31, 2014, 2013
and 2012:
In billions of dollars 2014 2013 2012
Proceeds from new securitizations $0.5 $0.5 $ —
Cash flows received on retained
interest and other net cash flows $0.2 $0.7 $0.3
The key assumption used to value retained interests and the sensitivity
of the fair value to adverse changes of 10% and 20% is set forth in the tables
below for the following periods presented:
Dec. 31, 2014 Dec. 31, 2013
Discount rate N/A 3.0%
December 31, 2013
In millions of dollars
Asset-based
financing
Carrying value of retained interests (1) $1,316
Value of underlying portfolio
Adverse change of 10% $ (11)
Adverse change of 20% (23)
(1) Citicorp held no retained interests in asset-based financings as of December 31, 2014.
Asset-Based Financing—Citi Holdings
The primary types of Citi Holdings’ asset-based financing, total assets of
the unconsolidated VIEs with significant involvement and the Company’s
maximum exposure to loss at December 31, 2014 and 2013 are shown below.
For the Company to realize the maximum loss, the VIE (borrower) would
have to default with no recovery from the assets held by the VIE.
December 31, 2014
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate $ 168 $ 50
Corporate loans — —
Airplanes, ships and other assets 1,153 76
Total $ 1,321 $ 126
December 31, 2013
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate $ 774 $ 298
Corporate loans 112 96
Airplanes, ships and other assets 2,619 496
Total $ 3,505 $ 890
The following table summarizes selected cash flow information related
to asset-based financings for the years ended December 31, 2014, 2013
and 2012:
In billions of dollars 2014 2013 2012
Cash flows received on retained
interest and other net cash flows $0.1 $0.2 $1.7
At December 31, 2014 and 2013, the effects of adverse changes of 10% and
20% in the discount rate used to determine the fair value of retained interests
are set forth in the tables below:
December 31, 2013
In millions of dollars
Asset-based
financing
Carrying value of retained interests (1) $95
Value of underlying portfolio
Adverse change of 10% $—
Adverse change of 20% —
(1) Citi Holdings held no retained interests in asset-based financings as of December 31, 2014.