XML 143 R115.htm IDEA: XBRL DOCUMENT v2.4.0.8
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Details 6) (USD $)
3 Months Ended 6 Months Ended 12 Months Ended
Jun. 30, 2014
Jun. 30, 2013
Jun. 30, 2014
Jun. 30, 2013
Dec. 31, 2013
Cash Flows Between Transferor and Transferee          
Gains recognized on the securitization     $ 0    
U.S. government-sponsored agency guaranteed | Citi Holdings
         
Cash Flows Between Transferor and Transferee          
Proceeds from new securitizations 100,000,000   200,000,000    
Contractual servicing fees received   100,000,000 100,000,000 100,000,000  
Gains recognized on the securitization 13,000,000 4,000,000 20,000,000 7,000,000  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Weighted average discount rate, transferor's continuing involvement (as a percent)     10.90%   9.50%
Weighted average constant prepayment rate, transferor's continuing involvement (as a percent)     18.70%   20.00%
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 353,000,000   353,000,000   585,000,000
Carrying value of retained interests, impact of 10% adverse change in discount rate (16,000,000)   (16,000,000)   (16,000,000)
Carrying value of retained interests, impact of 20% adverse change in discount rate (31,000,000)   (31,000,000)   (32,000,000)
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate (21,000,000)   (21,000,000)   (33,000,000)
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate (41,000,000)   (41,000,000)   (65,000,000)
U.S. government-sponsored agency guaranteed | Citi Holdings | Low end of range
         
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent)     0.00%   0.00%
Constant prepayment rate, transferor's continuing involvement (as a percent)     7.50%   9.60%
Weighted average life, transferor's continuing involvement     4 years 1 month 6 days   2 years 3 months 18 days
U.S. government-sponsored agency guaranteed | Citi Holdings | High end of range
         
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent)     50.80%   49.30%
Constant prepayment rate, transferor's continuing involvement (as a percent)     27.20%   26.20%
Weighted average life, transferor's continuing involvement     11 years   7 years 7 months 6 days
U.S. government-sponsored agency guaranteed | Citicorp
         
Cash Flows Between Transferor and Transferee          
Proceeds from new securitizations 6,000,000,000 20,400,000,000 13,100,000,000 38,800,000,000  
Contractual servicing fees received 100,000,000 100,000,000 200,000,000 200,000,000  
Gains recognized on the securitization 6,000,000 143,000,000 12,000,000 144,000,000  
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Weighted average discount rate, date of sale or securitization (as a percent) 10.80% 9.10% 10.50% 10.00%  
Weighted average constant prepayment rate, date of sale or securitization (as a percent) 5.60% 5.80% 5.10% 5.80%  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Weighted average discount rate, transferor's continuing involvement (as a percent)     6.90%   6.90%
Weighted average constant prepayment rate, transferor's continuing involvement (as a percent)     11.80%   11.10%
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 2,408,000,000   2,408,000,000   2,519,000,000
Carrying value of retained interests, impact of 10% adverse change in discount rate (70,000,000)   (70,000,000)   (76,000,000)
Carrying value of retained interests, impact of 20% adverse change in discount rate (136,000,000)   (136,000,000)   (148,000,000)
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate (87,000,000)   (87,000,000)   (96,000,000)
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate (168,000,000)   (168,000,000)   (187,000,000)
U.S. government-sponsored agency guaranteed | Citicorp | Low end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent) 0.70% 1.10% 0.00% 1.10%  
Constant prepayment rate, date of sale or securitization (as a percent) 4.70% 4.30% 0.00% 4.00%  
Weighted average life, date of sale or securitization 7 years 4 months 24 days 1 month 6 days 0 years 1 month 6 days  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent) 0.00%       0.10%
Constant prepayment rate, transferor's continuing involvement (as a percent) 5.40%       6.20%
Weighted average life, transferor's continuing involvement 1 month 6 days       2 years 1 month 6 days
U.S. government-sponsored agency guaranteed | Citicorp | High end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent) 12.00% 10.40% 12.00% 12.40%  
Constant prepayment rate, date of sale or securitization (as a percent) 13.30% 19.00% 16.00% 21.40%  
Weighted average life, date of sale or securitization 9 years 4 months 24 days 11 years 9 months 18 days 9 years 8 months 12 days 11 years 9 months 18 days  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent) 52.50%       20.90%
Constant prepayment rate, transferor's continuing involvement (as a percent) 38.50%       30.40%
Weighted average life, transferor's continuing involvement 10 years 10 months 24 days       14 years 1 month 6 days
Non-agency-sponsored mortgages | Citicorp
         
Cash Flows Between Transferor and Transferee          
Proceeds from new securitizations 3,600,000,000 2,600,000,000 5,200,000,000 3,000,000,000  
Gains recognized on the securitization 25,000,000 24,000,000 29,000,000 32,000,000  
Senior interests | Citi Holdings
         
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent)     0.00% [1]   9.90% [2]
Weighted average discount rate, transferor's continuing involvement (as a percent)     0.00% [1]   9.90% [2]
Constant prepayment rate, transferor's continuing involvement (as a percent)     17.20% [1]    
Weighted average constant prepayment rate, transferor's continuing involvement (as a percent)     17.20% [1]   15.60% [2]
Anticipated credit losses, transferor's continuing involvement (as a percent)     0.30% [1]   0.30% [2]
Weighted average anticipated credit losses, transferor's continuing involvement (as a percent)     0.30% [1]   0.30% [2]
Weighted average life, transferor's continuing involvement     4 years 6 months [1]   5 years 2 months [2]
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 41,000,000   41,000,000   50,000,000 [1]
Carrying value of retained interests, impact of 10% adverse change in discount rate 0   0   (3,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in discount rate (1,000,000)   (1,000,000)   (5,000,000) [1]
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate (3,000,000)   (3,000,000)   (3,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate (6,000,000)   (6,000,000)   (6,000,000) [1]
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses (5,000,000)   (5,000,000)   (5,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses (11,000,000)   (11,000,000)   (11,000,000) [1]
Senior interests | Citi Holdings | Low end of range
         
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Constant prepayment rate, transferor's continuing involvement (as a percent)         12.30% [1]
Senior interests | Citi Holdings | High end of range
         
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Constant prepayment rate, transferor's continuing involvement (as a percent)         27.30% [1]
Senior interests | Citicorp
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent) 4.60% [1]        
Weighted average discount rate, date of sale or securitization (as a percent) 4.60% [1] 3.30% [1] 3.80% [1] 3.30% [1]  
Constant prepayment rate, date of sale or securitization (as a percent) 0.00% [1]   0.00%    
Weighted average constant prepayment rate, date of sale or securitization (as a percent) 0.00% [1] 7.90% [1] 0.00% [1] 7.90% [1]  
Anticipated net credit losses, date of sale or securitization (as a percent) 40.00% [1],[3]   40.00%    
Weighted average anticipated net credit losses, date of sale or securitization (as a percent) 40.00% [1] 49.80% [1] 40.00% [1] 49.80% [1]  
Weighted average life, date of sale or securitization 8 years 7 months 6 days [1]        
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Weighted average discount rate, transferor's continuing involvement (as a percent)     5.10% [1]   5.50% [1]
Weighted average constant prepayment rate, transferor's continuing involvement (as a percent)     14.30% [1]   6.40% [1]
Weighted average anticipated credit losses, transferor's continuing involvement (as a percent)     50.10% [1]   49.50% [1]
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 211,000,000 [1]   211,000,000 [1]   293,000,000 [1]
Carrying value of retained interests, impact of 10% adverse change in discount rate (4,000,000) [1]   (4,000,000) [1]   (6,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in discount rate (8,000,000) [1]   (8,000,000) [1]   (11,000,000) [1]
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate (1,000,000) [1]   (1,000,000) [1]   (1,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate (2,000,000) [1]   (2,000,000) [1]   (2,000,000) [1]
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses (2,000,000) [1]   (2,000,000) [1]   (2,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses (3,000,000) [1]   (3,000,000) [1]   (3,000,000) [1]
Senior interests | Citicorp | Low end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)   2.30% [1] 1.40% [1] 2.30% [1]  
Constant prepayment rate, date of sale or securitization (as a percent)   5.50% [1]   5.50% [1]  
Anticipated net credit losses, date of sale or securitization (as a percent)   47.20% [1]   47.20% [1]  
Weighted average life, date of sale or securitization   2 years 10 months 24 days [1] 2 years 7 months 6 days [1] 2 years 10 months 24 days [1]  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent) 2.00% [1]       0.50% [1]
Constant prepayment rate, transferor's continuing involvement (as a percent) 1.80% [1]       1.30% [1]
Anticipated credit losses, transferor's continuing involvement (as a percent) 0.10% [1],[3]       0.10% [1],[3]
Weighted average life, transferor's continuing involvement 6 months [1]       0 years [1]
Senior interests | Citicorp | High end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)   4.30% [1] 4.60% [1] 4.30% [1]  
Constant prepayment rate, date of sale or securitization (as a percent)   10.00% [1]   10.00% [1]  
Anticipated net credit losses, date of sale or securitization (as a percent)   53.00% [1]   53.00% [1]  
Weighted average life, date of sale or securitization   9 years 8 months 12 days [1] 8 years 7 months 6 days [1] 9 years 8 months 12 days [1]  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent) 15.80% [1]       17.40% [1]
Constant prepayment rate, transferor's continuing involvement (as a percent) 100.00% [1]       100.00% [1]
Anticipated credit losses, transferor's continuing involvement (as a percent) 71.70% [1],[3]       80.00% [1],[3]
Weighted average life, transferor's continuing involvement 11 years 8 months 12 days [1]       11 years 10 months 24 days [1]
Subordinated interests | Citicorp
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Weighted average discount rate, date of sale or securitization (as a percent) 6.10% [1] 8.20% [1] 6.80% [1] 8.20% [1]  
Constant prepayment rate, date of sale or securitization (as a percent) 3.30% [1]        
Weighted average constant prepayment rate, date of sale or securitization (as a percent) 3.30% [1] 8.60% [1] 5.20% [1] 7.00% [1]  
Anticipated net credit losses, date of sale or securitization (as a percent) 58.50% [1],[3]        
Weighted average anticipated net credit losses, date of sale or securitization (as a percent) 58.50% [1] 48.90% [1] 52.90% [1] 57.90% [1]  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Weighted average discount rate, transferor's continuing involvement (as a percent)     9.20% [1]   11.20% [1]
Weighted average constant prepayment rate, transferor's continuing involvement (as a percent)     6.50% [1]   7.40% [1]
Weighted average anticipated credit losses, transferor's continuing involvement (as a percent)     54.30% [1]   52.80% [1]
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 451,000,000 [1]   451,000,000 [1]   429,000,000 [1]
Carrying value of retained interests, impact of 10% adverse change in discount rate (28,000,000) [1]   (28,000,000) [1]   (25,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in discount rate (54,000,000) [1]   (54,000,000) [1]   (48,000,000) [1]
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate (9,000,000) [1]   (9,000,000) [1]   (7,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate (18,000,000) [1]   (18,000,000) [1]   (14,000,000) [1]
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses (10,000,000) [1]   (10,000,000) [1]   (7,000,000) [1]
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses (19,000,000) [1]   (19,000,000) [1]   (14,000,000) [1]
Subordinated interests | Citicorp | Low end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent) 2.60% [1] 5.50% [1] 2.60% [1] 5.50% [1]  
Constant prepayment rate, date of sale or securitization (as a percent)   5.50% [1] 3.30% [1] 1.30% [1]  
Anticipated net credit losses, date of sale or securitization (as a percent)   47.20% [1],[3] 40.00% [1],[3] 44.70% [1],[3]  
Weighted average life, date of sale or securitization 4 years [1] 2 years 6 months [1] 3 years [1] 2 years 6 months [1]  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent) 1.30% [1]       2.10% [1]
Constant prepayment rate, transferor's continuing involvement (as a percent) 1.20% [1]       1.40% [1]
Anticipated credit losses, transferor's continuing involvement (as a percent) 10.40% [1],[3]       25.50% [1],[3]
Weighted average life, transferor's continuing involvement 0 years [1]       0 years [1]
Subordinated interests | Citicorp | High end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent) 7.00% [1] 12.00% [1] 9.10% [1] 19.20% [1]  
Constant prepayment rate, date of sale or securitization (as a percent)   10.00% [1] 6.10% [1] 10.00% [1]  
Anticipated net credit losses, date of sale or securitization (as a percent)   53.00% [1],[3] 58.50% [1],[3] 89.00% [1],[3]  
Weighted average life, date of sale or securitization 10 years 1 month 6 days [1] 10 years 8 months 12 days [1] 14 years 6 months [1] 16 years 6 months [1]  
Key assumptions used in measuring fair value related to transferor's continuing involvement          
Discount rate, transferor's continuing involvement (as a percent) 18.60% [1]       19.60% [1]
Constant prepayment rate, transferor's continuing involvement (as a percent) 22.40% [1]       23.10% [1]
Anticipated credit losses, transferor's continuing involvement (as a percent) 90.00% [1],[3]       81.90% [1],[3]
Weighted average life, transferor's continuing involvement 24 years 8 months 12 days [1]       26 years [1]
Collateralized debt obligations (CDOs) | Citi Holdings
         
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 6,000,000   6,000,000   19,000,000
Carrying value of retained interests, impact of 10% adverse change in discount rate (1,000,000)   (1,000,000)   (1,000,000)
Carrying value of retained interests, impact of 20% adverse change in discount rate (2,000,000)   (2,000,000)   (2,000,000)
Collateralized debt obligations (CDOs) | Citi Holdings | Low end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     44.40%   44.30%
Collateralized debt obligations (CDOs) | Citi Holdings | High end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     48.90%   48.70%
Collateralized loan obligations (CLOs) | Low end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     1.40%   1.50%
Collateralized loan obligations (CLOs) | High end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     1.60%   1.60%
Collateralized loan obligations (CLOs) | Citi Holdings
         
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 25,000,000   25,000,000   31,000,000
Collateralized loan obligations (CLOs) | Citi Holdings | Low end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     4.50%   4.50%
Collateralized loan obligations (CLOs) | Citi Holdings | High end of range
         
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     5.00%   5.00%
Collateralized loan obligations (CLOs) | Citicorp
         
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 1,536,000,000   1,536,000,000   1,333,000,000
Carrying value of retained interests, impact of 10% adverse change in discount rate (10,000,000)   (10,000,000)   (7,000,000)
Carrying value of retained interests, impact of 20% adverse change in discount rate (20,000,000)   (20,000,000)   (14,000,000)
Asset-backed securities | Citi Holdings
         
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 0   0   95,000,000
Asset-backed securities | Citicorp
         
Cash Flows Between Transferor and Transferee          
Proceeds from new securitizations 0   500,000,000    
Key assumptions used in measuring fair value of retained interests at date of sale or securitization of mortgage receivables          
Discount rate, date of sale or securitization (as a percent)     3.00%   3.00%
Sensitivity analysis of fair value of interests continued to be held by transferor          
Carrying value of retained interests 1,157,000,000   1,157,000,000   1,316,000,000
Carrying value of retained interests, impact of 10% adverse change in discount rate (9,000,000)   (9,000,000)   (11,000,000)
Carrying value of retained interests, impact of 20% adverse change in discount rate $ (18,000,000)   $ (18,000,000)   $ (23,000,000)
[1] Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
[2] Citi Holdings held no subordinated interests in mortgage securitizations as of June 30, 2014 and December 31, 2013.
[3] Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.