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This excerpt taken from the C 10-Q filed Aug 7, 2009. Mortgage Securitizations—Citicorp The following tables summarize selected cash flow information related to mortgage securitizations for the three and six months ended June 30, 2009 and 2008:
Gains (losses) recognized on the securitization of non-agency sponsored mortgage activity during the second quarter of 2009 was ($5) million. For the six months ended June 30, 2009, losses recognized on the securitization of non-agency sponsored mortgages were ($4) million. Losses recognized on the securitization of agency sponsored mortgage activity during the second quarter of 2009 were ($10) million. For the six months ended June 30 of 2009, losses recognized on the securitization of agency sponsored mortgages were ($7) million. There were no gains (losses) recognized on the securitization of agency and non-agency mortgages in the second quarter of 2008. Agency and non-agency securitization gains (losses) for the six months ended June30, 2008 were $4 million. 124 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 retained interests in Securities and Banking is due to the different characteristics of the interests retained by the Company. The interests retained by Securities and Banking and Special Asset Pool 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:
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