This excerpt taken from the C 10-Q filed Aug 7, 2009.
Mortgage SecuritizationsCiti Holdings
The following tables summarize selected cash flow information related to mortgage securitizations for the three and six months ended June 30, 2009 and 2008:
The Company did not recognize gains (losses) on the securitization of U.S. agency and non-agency sponsored mortgages in the second quarter of 2009, as well as the six months ended June 30, 2009. There were gains from the securitization of agency and non-agency sponsored mortgages of $55 million and $57 million in the second quarter of 2008, and the six months ended June 30, 2008, respectively.
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables for the three months ended June 30, 2009 and 2008 are as follows:
The range in the key assumptions for Special Asset Pool retained interests in Special Asset Pool is due to the different characteristics of the interests retained by the Company. The interests retained by Securities and Banking range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The effect of adverse changes of 10% and 20% in each of the key assumptions used to determine the fair value of retained interests is disclosed below. The negative effect of each change is 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: