This excerpt taken from the C 10-Q filed Aug 7, 2009.
Credit Card SecuritizationsCiti Holdings
In the second quarter of 2009 and 2008, the Company recorded net gains (losses) from securitization of Citi Holding's credit card receivables of ($612) million and ($35), and ($676) and $192 for the six months ended June 30, 2009 and 2008, respectively.
The following tables summarize selected cash flow information related to Citi Holding's credit card securitizations for the three and six months ended June 30, 2009 and 2008:
Key assumptions used in measuring the fair value of the residual interest at the date of sale or securitization of Citi Holding's credit card receivables for the three months ended June 30, 2009 and 2008, respectively, are as follows:
The constant prepayment rate assumption range reflects the projected payment rates over the life of a credit card balance, excluding new card purchases. This results in a high payment in the early life of the securitized balances followed by a much lower payment rate, which is depicted in the disclosed range.
The effect of two negative changes in each of the key assumptions used to determine the fair value of retained interests is required to be disclosed. The negative effect of each change must be calculated independently, holding all other assumptions constant. Because the key assumptions may not in fact 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.
At June 30, 2009, 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 were as follows: