Citibank 2015 Annual Report Download - page 246

228
December 31, 2014
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.0% to 14.7% 1.4% to 6.6% 2.6% to 9.1%
Weighted average discount rate 11.0% 4.2% 7.8%
Constant prepayment rate 0.0% to 23.1% 0.0% to 7.0% 0.5% to 8.9%
Weighted average constant prepayment rate 6.2% 5.4% 3.2%
Anticipated net credit losses (2) NM 40.0% to 67.1% 8.9% to 58.5%
Weighted average anticipated net credit losses NM 56.3% 43.1%
Weighted average life 0.0 to 9.7 years 2.6 to 11.1 years 3.0 to 14.5 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) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not
represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The interests retained by the Company range from highly rated and/or
senior in the capital structure to unrated and/or residual interests.
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 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.
December 31, 2015
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.0% to 22.1% 1.6% to 67.6% 2.0% to 24.9%
Weighted average discount rate 5.7% 7.6% 8.4%
Constant prepayment rate 6.5% to 27.8% 4.2% to 100.0% 0.5% to 20.8%
Weighted average constant prepayment rate 12.5% 14.0% 7.5%
Anticipated net credit losses (2) NM 0.2% to 89.1% 3.8% to 92.0%
Weighted average anticipated net credit losses NM 48.9% 54.4%
Weighted average life 1.3 to 21.0 years 0.3 to 18.1 years 0.9 to 19.0 years
December 31, 2014
Non-agency-sponsored mortgages (1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate 0.0% to 21.2% 1.1% to 47.1% 1.3% to 19.6%
Weighted average discount rate 8.4% 7.7% 8.2%
Constant prepayment rate 6.0% to 41.4% 2.0% to 100.0% 0.5% to 16.2%
Weighted average constant prepayment rate 15.3% 10.9% 7.2%
Anticipated net credit losses (2) NM 0.0% to 92.4% 13.7% to 83.8%
Weighted average anticipated net credit losses NM 51.7% 52.5%
Weighted average life 0.0 to 16.0 years 0.3 to 14.4 years 0.0 to 24.4 years
Note: Citi Holdings held no subordinated interests in mortgage securitizations as of December 31, 2015 and 2014.
(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) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not
represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.