This excerpt taken from the C 10-Q filed Aug 7, 2009.
Cash Flows and Retained InterestsCiticorp
The following tables summarize selected cash flow information related to CDO and CLO securitizations for the three months ended June 30, 2009:
The key assumptions, used for the securitization of CDOs and CLOs during the three months ended June 30, 2009, in measuring the fair value of retained interests at the date of sale or securitization, are as follows:
The effect of two negative changes in discount rates used to determine the fair value of retained interests is disclosed below.