Citibank 2015 Annual Report Download - page 247

229
In millions of dollars at December 31, 2015
U.S. agency-
sponsored mortgages
Non-agency-sponsored mortgages (1)
Senior
interests
Subordinated
interests
Carrying value of retained interests $2,563 $179 $553
Discount rates
Adverse change of 10% $ (65) $ (8) $ (25)
Adverse change of 20% (127) (15) (49)
Constant prepayment rate
Adverse change of 10% (102) (3) (9)
Adverse change of 20% (196) (6) (18)
Anticipated net credit losses
Adverse change of 10% NM (6) (7)
Adverse change of 20% NM (11) (14)
In millions of dollars at December 31, 2014
U.S. agency-
sponsored mortgages
Non-agency-sponsored mortgages (1)
Senior
interests
Subordinated
interests
Carrying value of retained interests $2,374 $310 $554
Discount rates
Adverse change of 10% $ (69) $ (7) $ (30)
Adverse change of 20% (134) (13) (57)
Constant prepayment rate
Adverse change of 10% (93) (3) (9)
Adverse change of 20% (179) (5) (18)
Anticipated net credit losses
Adverse change of 10% NM (6) (9)
Adverse change of 20% NM (10) (16)
Note: Citi Holdings held no subordinated interests in mortgage securitizations as of December 31, 2015 and December 31, 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.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
Mortgage Servicing Rights
In connection with the securitization of mortgage loans, the Company’s
U.S. consumer mortgage business generally retains the servicing rights,
which entitle the Company to a future stream of cash flows based on the
outstanding principal balances of the loans and the contractual servicing
fee. Failure to service the loans in accordance with contractual requirements
may lead to a termination of the servicing rights and the loss of future
servicing fees.
These transactions create an intangible asset referred to as mortgage
servicing rights (MSRs), which are recorded at fair value on Citi’s
Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs
was $1.8 billion at December 31, 2015 and 2014. Of these amounts,
approximately $1.7 billion was specific to Citicorp, with the remainder to
Citi Holdings as of December 31, 2015 and 2014. The MSRs correspond to
principal loan balances of $198 billion and $224 billion as of December 31,
2015 and 2014, respectively. The following table summarizes the changes in
capitalized MSRs:
In millions of dollars 2015 2014
Balance, beginning of year $1,845 $2,718
Originations 214 217
Changes in fair value of MSRs due to changes
in inputs and assumptions 110 (344)
Other changes (1) (350) (429)
Sale of MSRs (38) (317)
Balance, as of December 31 $1,781 $1,845
(1) Represents changes due to customer payments and passage of time.