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C » Topics » Student Loan Securitizations

This excerpt taken from the C 10-Q filed Nov 6, 2009.

Student Loan Securitizations

        Through the Company's Local Consumer Lending business within Citi Holdings, the Company maintains programs to securitize certain portfolios of student loan assets. Under these securitization programs, transactions qualifying as sales are off-balance sheet transactions in which the loans are removed from the Consolidated Financial Statements of the Company and sold to a QSPE. These QSPEs are funded through the issuance of pass-through term notes collateralized solely by the trust assets. For these off-balance sheet securitizations, the Company generally retains interests in the form of subordinated residual interests (i.e., interest-only strips) and servicing rights.

        Under terms of the trust arrangements, the Company has no obligations to provide financial support and has not provided such support. A substantial portion of the credit risk associated with the securitized loans has been transferred to third-party guarantors or insurers either under the Federal Family Education Loan Program, authorized by the U.S. Department of Education under the Higher Education Act of 1965, as amended, or private credit insurance.

        The following tables summarize selected cash flow information related to student loan securitizations for the three and nine months ended September 30, 2009 and 2008:

 
   Three months ended  
In billions of dollars   September 30,
2009 		  September 30,
2008 		 

Proceeds from new securitizations

   $ —   $ —  

Proceeds from collections reinvested in new receivables

     —     —  

Contractual servicing fees received

     —     —  

Cash flows received on retained interests and other net cash flows

     —     —  
           

 

 
   Nine months ended  
In billions of dollars   September 30,
2009 		  September 30,
2008 		 

Proceeds from new securitizations

   $ —   $ 2.0  

Proceeds from collections reinvested in new receivables

     —     —  

Contractual servicing fees received

     0.1     0.1  

Cash flows received on retained interests and other net cash flows

     0.1     0.1  
           

        The Company did not recognize any gains or losses during the third quarters of 2009 and 2008. The company recognized a gain of $1 million during the 9 months ended September 30, 2008.

        Key assumptions used in measuring the fair value of the residual interest at the date of sale or securitization of Citi Holding's student loan receivables for the three months ended September 30, 2009 and 2008, respectively, are as follows:

 
   September 30,
2009 		  September 30,
2008

Discount rate

   NA   11.1% to 14.1%

Constant prepayment rate

   NA   1.1% to 9.9%

Anticipated net credit losses

   NA   0.3% to 0.9%

        At September 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:

 
   Retained interests

Discount rate

   10.8% to 16.3%

Constant prepayment rate

   0.2% to 5.2%

Anticipated net credit losses

   0.3% to 0.7%

Weighted average life

   4.1 to 10.4 years

 

In millions of dollars   Retained interests  

Carrying value of retained interests

  $ 1,045  

Discount rates

        
 

Adverse change of 10%

   $ (29 )
 

Adverse change of 20%

     (55 )

Constant prepayment rate

        
 

Adverse change of 10%

   $ (4 )
 

Adverse change of 20%

     (9 )

Anticipated net credit losses

        
 

Adverse change of 10%

   $ (5 )
 

Adverse change of 20%

     (10 )
       

142

Table of Contents

This excerpt taken from the C 10-Q filed Aug 7, 2009.

Student Loan Securitizations

        Through the Company's Local Consumer Lending business within Citi Holdings, the Company maintains programs to securitize certain portfolios of student loan assets. Under these securitization programs, transactions qualifying as sales are off-balance sheet transactions in which the loans are removed from the Consolidated Financial Statements of the Company and sold to a QSPE. These QSPEs are funded through the issuance of pass-through term notes collateralized solely by the trust assets. For these off-balance sheet securitizations, the Company generally retains interests in the form of subordinated residual interests (i.e., interest-only strips) and servicing rights.

        Under terms of the trust arrangements, the Company has no obligations to provide financial support and has not provided such support. A substantial portion of the credit risk associated with the securitized loans has been transferred to third-party guarantors or insurers either under the Federal Family Education Loan Program, authorized by the U.S. Department of Education under the Higher Education Act of 1965, as amended, or private credit insurance.

        The following tables summarize selected cash flow information related to student loan securitizations for the three and six months ended June 30, 2009 and 2008:

 
   Three months ended  
In billions of dollars   June 30,
2009 		  June 30,
2008 		 
Proceeds from new securitizations   $ —   $ 2.0  
Proceeds from collections reinvested in new receivables     —     —  
Contractual servicing fees received     —     —  
Cash flows received on retained interests and other net cash flows     —     0.1  
           

 

 
   Six months ended  
In billions of dollars   June 30,
2009 		  June 30,
2008 		 
Proceeds from new securitizations   $ —   $ 2.0  
Proceeds from collections reinvested in new receivables     —     —  
Contractual servicing fees received     —     —  
Cash flows received on retained interests and other net cash flows     0.1     0.1  
           

        Key assumptions used in measuring the fair value of the residual interest at the date of sale or securitization of Citi Holding's student loan receivables for the three months ended June 30, 2009 and 2008, respectively, are as follows:

 
   June 30,
2009 		  June 30,
2008
Discount rate   NA   5.8% to 13.6%
Constant prepayment rate   NA   1.2% to 11.6%
Anticipated net credit losses   NA   0.3% to 0.9%
         

        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:

 
   Retained interests
Discount rate   5.2% to 16.6%
Constant prepayment rate   0.4% to 6.5%
Anticipated net credit losses   0.2% to 0.7%
Weighted average life   4.0 to 10.2 years
     

 

In millions of dollars   Retained interests  
Carrying value of retained interests   $ 977  
Discount rates        
  Adverse change of 10%   $ (29 )
  Adverse change of 20%     (56 )
Constant prepayment rate        
  Adverse change of 10%   $ (5 )
  Adverse change of 20%     (11 )
Anticipated net credit losses        
  Adverse change of 10%   $ (5 )
  Adverse change of 20%     (10 )
       

127

Table of Contents

This excerpt taken from the C 10-Q filed May 11, 2009.

Student Loan Securitizations

        The Company maintains programs to securitize certain portfolios of student loan assets. Under the Company's securitization programs, transactions qualifying as sales are off-balance sheet transactions in which the loans are removed from the Consolidated Financial Statements of the Company and sold to a QSPE. These QSPEs are funded through the issuance of pass-through term notes collateralized solely by the trust assets. For off-balance sheet securitizations, the Company generally retains interests in the form of subordinated residual interests (i.e., interest-only strips) and servicing rights.

        Under terms of the trust arrangements, the Company has no obligations to provide financial support and has not provided such support. A substantial portion of the credit risk associated with the securitized loans has been transferred to third-party guarantors or insurers either under the Federal Family Education Loan Program, authorized by the U.S. Department of Education under the Higher Education Act of 1965, as amended, or private credit insurance.

        The following table summarizes selected cash flow information related to student loan securitizations for the three months ended March 31, 2009 and 2008:

In billions of dollars   March 31,
2009 		  March 31,
2008 		 
Cash flows received on retained interests and other net cash flows   $ 0.1   $ —  
           

        At March 31, 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:

 
   Retained interests  
Discount rate     10.8% to 15.8%  
Constant prepayment rate     0.6% to 6.8%  
Anticipated net credit losses     0.2% to 1.6%  
       

 

In millions of dollars   Retained interests  
Carrying value of retained interests   $ 841  
Discount rates        
  Adverse change of 10%   $ (27 )
  Adverse change of 20%     (51 )
Constant prepayment rate        
  Adverse change of 10%   $ (9 )
  Adverse change of 20%     (17 )
Anticipated net credit losses        
  Adverse change of 10%   $ (7 )
  Adverse change of 20%     (13 )
       
These excerpts taken from the C 10-K filed Feb 27, 2009.

Student Loan Securitizations

The Company maintains programs to securitize certain portfolios of student loan assets. Under the Company’s securitization programs, transactions qualifying as sales are off-balance sheet transactions in which the loans are removed from the Consolidated Financial Statements of the Company and sold to a QSPE. These QSPEs are funded through the issuance of pass-through term notes collateralized solely by the trust assets. For off-balance sheet securitizations, the Company generally retains interests in the form of subordinated residual interests (i.e., interest-only strips) and servicing rights.

Under terms of the trust arrangements the Company has no obligations to provide financial support and has not provided such support. A substantial portion of the credit risk associated with the securitized loans has been transferred to third party guarantors or insurers either under the Federal Family Education Loan Program, authorized by the U.S. Department of Education under the Higher Education Act of 1965, as amended, or private credit insurance.

The following table summarizes selected cash flow information related to student loan securitizations for the years 2008, 2007 and 2006:

 

In billions of dollars   2008    2007    2006

Proceeds from new securitizations

   $ 2.0    $ 2.9    $ 7.6

Contractual servicing fees received

     0.1      0.1      —

Cash flows received on retained interests and other net cash flows

     0.1      0.1      —

Key assumptions used for the securitization of student loans during 2008 and 2007 in measuring the fair value of retained interests at the date of sale or securitization are as follows:

 

     2008    2007  

Discount rate

   10.6%    5.9% to 10.5 %

Constant prepayment rate

   9.0%    3.1% to 3.8 %

Anticipated net credit losses

   0.5%    0.3 %

At December 31, 2008, 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:

 

     Retained interests  

Discount rate

   3.9% to 13.4 %

Constant prepayment rate

   0.8% to 8.9 %

Anticipated net credit losses

   0.3% to 0.7 %

 

In millions of dollars   Retained interests  

Carrying value of retained interests

   $ 1,151  

Discount rates

  

Adverse change of 10%

   $ (26 )

Adverse change of 20%

     (51 )

Constant prepayment rate

  

Adverse change of 10%

   $ (9 )

Adverse change of 20%

     (17 )

Anticipated net credit losses

  

Adverse change of 10%

   $ (6 )

Adverse change of 20%

     (13 )

 

182

Table of Contents

 

Student Loan Securitizations

The Company maintains programs to securitize certain portfolios of student loan assets. Under the Company’s securitization programs, transactions qualifying as sales are off-balance sheet transactions in which the loans are removed from the Consolidated Financial Statements of the Company and sold to a QSPE. These QSPEs are funded through the issuance of pass-through term notes collateralized solely by the trust assets. For off-balance sheet securitizations, the Company generally retains interests in the form of subordinated residual interests (i.e., interest-only strips) and servicing rights.

Under terms of the trust arrangements the Company has no obligations to provide financial support and has not provided such support. A substantial portion of the credit risk associated with the securitized loans has been transferred to third party guarantors or insurers either under the Federal Family Education Loan Program, authorized by the U.S. Department of Education under the Higher Education Act of 1965, as amended, or private credit insurance.

The following table summarizes selected cash flow information related to student loan securitizations for the years 2008, 2007 and 2006:

 

In billions of dollars   2008    2007    2006

Proceeds from new securitizations

   $ 2.0    $ 2.9    $ 7.6

Contractual servicing fees received

     0.1      0.1      —

Cash flows received on retained interests and other net cash flows

     0.1      0.1      —

Key assumptions used for the securitization of student loans during 2008 and 2007 in measuring the fair value of retained interests at the date of sale or securitization are as follows:

 

     2008    2007  

Discount rate

   10.6%    5.9% to 10.5 %

Constant prepayment rate

   9.0%    3.1% to 3.8 %

Anticipated net credit losses

   0.5%    0.3 %

At December 31, 2008, 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:

 

     Retained interests  

Discount rate

   3.9% to 13.4 %

Constant prepayment rate

   0.8% to 8.9 %

Anticipated net credit losses

   0.3% to 0.7 %

 

In millions of dollars   Retained interests  

Carrying value of retained interests

   $ 1,151  

Discount rates

  

Adverse change of 10%

   $ (26 )

Adverse change of 20%

     (51 )

Constant prepayment rate

  

Adverse change of 10%

   $ (9 )

Adverse change of 20%

     (17 )

Anticipated net credit losses

  

Adverse change of 10%

   $ (6 )

Adverse change of 20%

     (13 )

 

182

Table of Contents

 

EXCERPTS ON THIS PAGE:

10-Q
Nov 6, 2009
10-Q
Aug 7, 2009
10-Q
May 11, 2009
10-K (2 sections)
Feb 27, 2009

RELATED TOPICS for C:

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