Citibank 2015 Annual Report Download - page 244

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Credit Card Securitizations
The Company securitizes credit card receivables through trusts established to
purchase the receivables. Citigroup transfers receivables into the trusts on a
non-recourse basis. Credit card securitizations are revolving securitizations;
as customers pay their credit card balances, the cash proceeds are used to
purchase new receivables and replenish the receivables in the trust.
Substantially all of the Company’s credit card securitization activity is
through two trusts—Citibank Credit Card Master Trust (Master Trust) and
the Citibank Omni Master Trust (Omni Trust), with the substantial majority
through the Master Trust. These trusts are consolidated entities because, as
servicer, Citigroup has the power to direct the activities that most significantly
impact the economic performance of the trusts, Citigroup holds a seller’s
interest and certain securities issued by the trusts, and also provides liquidity
facilities to the trusts, which could result in potentially significant losses or
benefits from the trusts. Accordingly, the transferred credit card receivables
remain on Citi’s Consolidated Balance Sheet with no gain or loss recognized.
The debt issued by the trusts to third parties is included on Citi’s Consolidated
Balance Sheet.
The Company utilizes securitizations as one of the sources of funding for
its business in North America. The following table reflects amounts related
to the Company’s securitized credit card receivables:
In billions of dollars December 31, 2015 December 31, 2014
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities $29.7 $37.0
Retained by Citigroup as trust-issued securities 9.4 10.1
Retained by Citigroup via non-certificated interests 16.5 14.2
Total $55.6 $61.3
The following tables summarize selected cash flow information related to
Citigroup’s credit card securitizations:
In billions of dollars 2015 2014 2013
Proceeds from new securitizations $ — $12.6 $ 11.7
Pay down of maturing notes (7.4) (7.8) (2.2)
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, substantially all of which is also part of Citicorp. The liabilities of
the trusts are included in the Consolidated Balance Sheet, excluding those
retained by Citigroup.
The 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
2.4 years as of December 31, 2015 and 2.8 years as of December 31, 2014.
Master Trust Liabilities (at Par Value)
In billions of dollars
Dec. 31,
2015
Dec. 31,
2014
Term notes issued to third parties $28.4 $35.7
Term notes retained by Citigroup affiliates 7.5 8.2
Total Master Trust liabilities $35.9 $43.9
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
0.9 years as of December 31, 2015 and 1.9 years as of December 31, 2014.
Omni Trust Liabilities (at Par Value)
In billions of dollars
Dec. 31,
2015
Dec. 31,
2014
Term notes issued to third parties $1.3 $1.3
Term notes retained by Citigroup affiliates 1.9 1.9
Total Omni Trust liabilities $3.2 $3.2