XML 147 R101.htm IDEA: XBRL DOCUMENT v2.3.0.15
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Details 6) (USD $)
3 Months Ended9 Months Ended
Sep. 30, 2011
Sep. 30, 2010
Sep. 30, 2011
Sep. 30, 2010
Citicorp | U.S. government-sponsored agency guaranteed
    
Classification of Securitizations    
Proceeds from new securitizations$ 12,800,000,000 $ 38,600,000,000 
Contractual servicing fees received100,000,000 400,000,000 
Cash flows received on retained interests and other net cash flows  100,000,000 
Gains (losses) recognized on the securitization(1,600,000) (8,600,000) 
Discount rate, high end of range (as a percent)17.50% 28.30% 
Discount rate, low end of range (as a percent)3.00% 0.60% 
Constant prepayment rate, high end of range (as a percent)23.10% 23.10% 
Constant prepayment rate, low end of range (as a percent)5.00% 2.20% 
Discount rate assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)10.90% 11.40% 
Carrying value of retained interests, impact of 10% adverse change in discount rate(56,000,000) (56,000,000) 
Weighted average constant prepayment rate (as a percent)9.60% 7.20% 
Carrying value of retained interests, impact of 20% adverse change in discount rate(109,000,000) (109,000,000) 
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate(125,000,000) (125,000,000) 
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate(242,000,000) (242,000,000) 
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses(13,000,000) (13,000,000) 
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses(25,000,000) (25,000,000) 
Carrying value of retained interests2,254,000,000 2,254,000,000 
Citi Holdings | U.S. government-sponsored agency guaranteed
    
Classification of Securitizations    
Proceeds from new securitizations300,000,000 900,000,000 
Contractual servicing fees received100,000,000 400,000,000 
Cash flows received on retained interests and other net cash flows  100,000,000 
Discount rate (as a percent)  7.20% 
Constant prepayment rate (as a percent)  29.10% 
Discount rate assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  7.20% 
Carrying value of retained interests, impact of 10% adverse change in discount rate(33,000,000) (33,000,000) 
Weighted average constant prepayment rate (as a percent)  29.10% 
Carrying value of retained interests, impact of 20% adverse change in discount rate(64,000,000) (64,000,000) 
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate(99,000,000) (99,000,000) 
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate(190,000,000) (190,000,000) 
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses(22,000,000) (22,000,000) 
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses(44,000,000) (44,000,000) 
Carrying value of retained interests1,179,000,000 1,179,000,000 
Weighted average life assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (in years)  4.0 
Citicorp | Non-agency-sponsored mortgages
    
Classification of Securitizations    
Proceeds from new securitizations  100,000,000 
Gains (losses) recognized on the securitization0 (700,000) 
Citi Holdings | Non-agency-sponsored mortgages
    
Classification of Securitizations    
Contractual servicing fees received  100,000,000 
Citicorp | Senior Interests
    
Classification of Securitizations    
Discount rate, high end of range (as a percent)  10.00% 
Discount rate, low end of range (as a percent)  2.40% 
Constant prepayment rate, high end of range (as a percent)  2.20% 
Constant prepayment rate, low end of range (as a percent)  1.00% 
Anticipated net credit losses, high end of range (as a percent)  72.00% 
Anticipated net credit losses, low end of range (as a percent)  35.00% 
Discount rate assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  4.50% 
Carrying value of retained interests, impact of 10% adverse change in discount rate(6,000,000) (6,000,000) 
Weighted average constant prepayment rate (as a percent)  1.90% 
Carrying value of retained interests, impact of 20% adverse change in discount rate(10,000,000) (10,000,000) 
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate(6,000,000) (6,000,000) 
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate(13,000,000) (13,000,000) 
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses(1,000,000) (1,000,000) 
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses(3,000,000) (3,000,000) 
Carrying value of retained interests185,000,000 185,000,000 
Expected credit losses assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  45.30% 
Citi Holdings | Senior Interests
    
Classification of Securitizations    
Discount rate, high end of range (as a percent)  16.00% 
Discount rate, low end of range (as a percent)  1.90% 
Constant prepayment rate (as a percent)  39.70% 
Anticipated net credit losses, high end of range (as a percent)  40.00% 
Anticipated net credit losses, low end of range (as a percent)  0.30% 
Discount rate assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  0.30% 
Carrying value of retained interests, impact of 10% adverse change in discount rate(1,000,000) (1,000,000) 
Weighted average constant prepayment rate (as a percent)  37.70% 
Carrying value of retained interests, impact of 20% adverse change in discount rate(1,000,000) (1,000,000) 
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate(26,000,000) (26,000,000) 
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate(51,000,000) (51,000,000) 
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses(9,000,000) (9,000,000) 
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses(16,000,000) (16,000,000) 
Carrying value of retained interests171,000,000 171,000,000 
Weighted average life, high end of range (in years)  4.9 
Weighted average life, low end of range (in years)  3.0 
Expected credit losses assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  1.60% 
Citicorp | Subordinated Interests
    
Classification of Securitizations    
Discount rate (as a percent)  8.40% 
Constant prepayment rate (as a percent)  22.10% 
Anticipated net credit losses (as a percent)  11.40% 
Discount rate assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  8.40% 
Carrying value of retained interests, impact of 10% adverse change in discount rate(26,000,000) (26,000,000) 
Weighted average constant prepayment rate (as a percent)  22.10% 
Carrying value of retained interests, impact of 20% adverse change in discount rate(47,000,000) (47,000,000) 
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate(6,000,000) (6,000,000) 
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate(14,000,000) (14,000,000) 
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses(3,000,000) (3,000,000) 
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses5,000,000 5,000,000 
Carrying value of retained interests339,000,000 339,000,000 
Expected credit losses assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  11.40% 
Citi Holdings | Subordinated Interests
    
Classification of Securitizations    
Discount rate, high end of range (as a percent)  29.90% 
Discount rate, low end of range (as a percent)  8.60% 
Constant prepayment rate, high end of range (as a percent)  25.60% 
Constant prepayment rate, low end of range (as a percent)  2.00% 
Anticipated net credit losses, high end of range (as a percent)  95.00% 
Anticipated net credit losses, low end of range (as a percent)  40.00% 
Discount rate assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  13.50% 
Carrying value of retained interests, impact of 10% adverse change in discount rate(5,000,000) (5,000,000) 
Weighted average constant prepayment rate (as a percent)  10.00% 
Carrying value of retained interests, impact of 20% adverse change in discount rate(8,000,000) (8,000,000) 
Carrying value of retained interests, impact of 10% adverse change in constant prepayment rate(1,000,000) (1,000,000) 
Carrying value of retained interests, impact of 20% adverse change in constant prepayment rate(2,000,000) (2,000,000) 
Carrying value of retained interests, impact of 10% adverse change in anticipated net credit losses(5,000,000) (5,000,000) 
Carrying value of retained interests, impact of 20% adverse change in anticipated net credit losses(5,000,000) (5,000,000) 
Carrying value of retained interests27,000,000 27,000,000 
Weighted average life, high end of range (in years)  7.5 
Weighted average life, low end of range (in years)  0.3 
Expected credit losses assumption for fair value of assets or liabilities that relate to transferor's continuing involvement (as a percent)  50.70% 
Citicorp | Mortgage-backed securities
    
Classification of Securitizations    
Proceeds from new securitizations 17,600,000,000 41,900,000,000
Contractual servicing fees received 100,000,000 400,000,000
Cash flows received on retained interests and other net cash flows 100,000,000 100,000,000
Gains (losses) recognized on the securitization (5,000,000) (3,000,000)
Discount rate, high end of range (as a percent) 44.90% 44.90%
Discount rate, low end of range (as a percent) 0.80% 0.80%
Constant prepayment rate, high end of range (as a percent) 49.50% 49.50%
Constant prepayment rate, low end of range (as a percent) 1.50% 1.50%
Anticipated net credit losses, high end of range (as a percent) 80.00% 80.00%
Anticipated net credit losses, low end of range (as a percent) 13.00% 13.00%
Citi Holdings | Mortgage-backed securities
    
Classification of Securitizations    
Proceeds from new securitizations 600,000,000 600,000,000
Contractual servicing fees received 200,000,000 700,000,000
Cash flows received on retained interests and other net cash flows   100,000,000
Citi Holdings | Collateralized debt obligations (CDOs)
    
Classification of Securitizations    
Discount rate, high end of range (as a percent)55.30%   
Discount rate, low end of range (as a percent)50.30%   
Carrying value of retained interests, impact of 10% adverse change in discount rate(1,000,000) (1,000,000) 
Carrying value of retained interests, impact of 20% adverse change in discount rate(3,000,000) (3,000,000) 
Carrying value of retained interests14,000,000 14,000,000 
Citi Holdings | Collateralized loan obligations (CLOs)
    
Classification of Securitizations    
Discount rate, high end of range (as a percent)4.50%   
Discount rate, low end of range (as a percent)4.10%   
Carrying value of retained interests, impact of 10% adverse change in discount rate(3,000,000) (3,000,000) 
Carrying value of retained interests, impact of 20% adverse change in discount rate(7,000,000) (7,000,000) 
Carrying value of retained interests150,000,000 150,000,000 
Citicorp | Asset-based financing
    
Classification of Securitizations    
Cash flows received on retained interests and other net cash flows200,000,000200,000,0001,200,000,0001,200,000,000
Carrying value of retained interests, impact of 20% adverse change in discount rate(285,000,000) (285,000,000) 
Carrying value of retained interests4,165,000,000 4,165,000,000 
Citicorp | Credit card securitizations
    
Classification of Securitizations    
Pay down of maturing notes(600,000,000)(1,000,000,000)(11,500,000,000)(18,400,000,000)
Citi Holdings | Credit card securitizations
    
Classification of Securitizations    
Proceeds from new securitizations $ 1,800,000,000$ 3,900,000,000$ 5,500,000,000