XML 99 R59.htm IDEA: XBRL DOCUMENT v3.8.0.1
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)
12 Months Ended
Dec. 31, 2017
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES  
Schedule of consolidated and unconsolidated VIEs with which the Company holds significant variable interests
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
 
As of December 31, 2017
 
 
 
 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
 
 
 
Funded exposures(2)
Unfunded exposures
 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations
$
50,795

$
50,795

$

$

$

$

$

$

Mortgage securitizations(4)
 
 
 
 
 
 
 
 
U.S. agency-sponsored(5)
116,610


116,610

2,647



74

2,721

Non-agency-sponsored
22,251

2,035

20,216

330



1

331

Citi-administered asset-backed commercial paper conduits (ABCP)
19,282

19,282







Collateralized loan obligations (CLOs)
20,588


20,588

5,956



9

5,965

Asset-based financing
60,472

633

59,839

19,478

583

5,878


25,939

Municipal securities tender option bond trusts (TOBs)
6,925

2,166

4,759

138


3,035


3,173

Municipal investments
19,119

7

19,112

2,709

3,640

2,344


8,693

Client intermediation
958

824

134

32



9

41

Investment funds
1,892

616

1,276

14

7

13


34

Other
677

36

641

27

9

34

47

117

Total
$
319,569

$
76,394

$
243,175

$
31,331

$
4,239

$
11,304

$
140

$
47,014


 
As of December 31, 2016
 
 
 
 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
 
 
 
Funded exposures(2)
Unfunded exposures
 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations
$
50,171

$
50,171

$

$

$

$

$

$

Mortgage securitizations(4)
 
 
 
 
 
 
 
 
U.S. agency-sponsored
214,458


214,458

3,852



78

3,930

Non-agency-sponsored
15,965

1,092

14,873

312

35


1

348

Citi-administered asset-backed commercial paper conduits (ABCP)
19,693

19,693







Collateralized loan obligations (CLOs)
18,886


18,886

5,128



62

5,190

Asset-based financing
53,168

733

52,435

16,553

475

4,915


21,943

Municipal securities tender option bond trusts (TOBs)
7,070

2,843

4,227

40


2,842


2,882

Municipal investments
17,679

14

17,665

2,441

3,578

2,580


8,599

Client intermediation
515

371

144

49



3

52

Investment funds
2,788

767

2,021

32

120

27

3

182

Other
1,429

607

822

116

11

58

43

228

Total
$
401,822

$
76,291

$
325,531

$
28,523

$
4,219

$
10,422

$
190

$
43,354


(1)
The definition of maximum exposure to loss is included in the text that follows this table.
(2)
Included on Citigroup’s December 31, 2017 and 2016 Consolidated Balance Sheet.
(3)
A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)
Citigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)
See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.

Schedule of funding commitments of unconsolidated Variable Interest Entities
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
 
December 31, 2017
December 31, 2016
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing
$

$
5,878

$
5

$
4,910

Municipal securities tender option bond trusts (TOBs)
3,035


2,842


Municipal investments

2,344


2,580

Investment funds

13


27

Other

34


58

Total funding commitments
$
3,035

$
8,269

$
2,847

$
7,575

Schedule of significant interests in unconsolidated VIEs - balance sheet classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollars
December 31, 2017
December 31, 2016
Cash
$

$
0.1

Trading account assets
8.5

8.0

Investments
4.4

4.4

Total loans, net of allowance
22.2

18.8

Other
0.5

1.5

Total assets
$
35.6

$
32.8

Schedule of securitized credit card receivables
The following table reflects amounts related to the Company’s securitized credit card receivables:
In billions of dollars
December 31, 2017
December 31, 2016
Ownership interests in principal amount of trust credit card receivables
   Sold to investors via trust-issued securities
$
28.8

$
22.7

   Retained by Citigroup as trust-issued securities
7.6

7.4

   Retained by Citigroup via non-certificated interests
14.4

20.6

Total
$
50.8

$
50.7

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
In billions of dollars
2017
2016
2015
Proceeds from new securitizations
$
11.1

$
3.3

$

Pay down of maturing notes
(5.0
)
(10.3
)
(7.4
)


Schedule of Master Trust liabilities (at par value)
Master Trust Liabilities (at Par Value)
In billions of dollars
Dec. 31, 2017
Dec. 31, 2016
Term notes issued to third parties
$
27.8

$
21.7

Term notes retained by Citigroup affiliates
5.7

5.5

Total Master Trust liabilities
$
33.5

$
27.2

Schedule of Omni Trust liabilities (at par value)
Omni Trust Liabilities (at Par Value)
In billions of dollars
Dec. 31, 2017
Dec. 31, 2016
Term notes issued to third parties
$
1.0

$
1.0

Term notes retained by Citigroup affiliates
1.9

1.9

Total Omni Trust liabilities
$
2.9

$
2.9

Schedule of cash flow information, mortgage securitizations
The following table summarizes selected cash flow information related to Citigroup mortgage securitizations:
 
2017
2016
2015
In billions of dollars
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages
Proceeds from new securitizations(1)
$
33.9

$
7.9

$
41.3

$
11.8

$
35.0

$
12.1

Contractual servicing fees received
0.2


0.4


0.5


Cash flows received on retained interests and other net cash flows


0.1


0.1



(1) The proceeds from new securitizations in 2016 and 2015 include $0.5 billion and $0.7 billion, respectively, related to personal loan securitizations.
Schedule of key assumptions used in measuring fair value of retained interest at the date of sale or securitization of mortgage receivables
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
 
December 31, 2017
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate
1.8% to 19.9%



   Weighted average discount rate
8.6
%


Constant prepayment rate
3.8% to 31.6%



   Weighted average constant prepayment rate
9.4
%


Anticipated net credit losses(2)
   NM



   Weighted average anticipated net credit losses
   NM



Weighted average life
2.5 to 20.7 years





 
December 31, 2016
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
0.8% to 13.7%



   Weighted average discount rate
9.9
%


Constant prepayment rate
3.8% to 30.9%



   Weighted average constant prepayment rate
11.1
%


Anticipated net credit losses(2)
   NM



   Weighted average anticipated net credit losses
   NM



Weighted average life
0.5 to 17.5 years




(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)
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.
NM
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations
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, are set forth in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not 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.
 
December 31, 2017
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate
   1.8% to 84.2%

   5.8% to 100.0%

   2.8% to 35.1%

   Weighted average discount rate
7.1
%
5.8
%
9.0
%
Constant prepayment rate
6.9% to 27.8%

   8.9% to 15.5%

   8.6% to 13.1%

   Weighted average constant prepayment rate
11.6
%
8.9
%
10.6
%
Anticipated net credit losses(2)
   NM

   0.4% to 46.9%

   35.1% to 52.1%

   Weighted average anticipated net credit losses
   NM

46.9
%
44.9
%
Weighted average life
0.1 to 27.8 years

   4.8 to 5.3 years

   0.2 to 18.6 years

 
December 31, 2016
 
 
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate
   0.7% to 28.2%

   0.0% to 8.1%

   5.1% to 26.4%

   Weighted average discount rate
9.0
%
2.1
%
13.1
%
Constant prepayment rate
6.8% to 22.8%

   4.2% to 14.7%

   0.5% to 37.5%

   Weighted average constant prepayment rate
10.2
%
11.0
%
10.8
%
Anticipated net credit losses(2)
   NM

   0.5% to 85.6%

   8.0% to 63.7%

   Weighted average anticipated net credit losses
   NM

31.4
%
48.3
%
Weighted average life
0.2 to 28.8 years

   5.0 to 8.5 years

   1.2 to 12.1 years


(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)
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.
NM
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
 
December 31, 2017
 
 
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$
1,634

$
214

$
139

Discount rates
 
 
 
   Adverse change of 10%
$
(44
)
$
(2
)
$
(3
)
   Adverse change of 20%
(85
)
(4
)
(5
)
Constant prepayment rate
 
 
 
   Adverse change of 10%
(41
)
(1
)
(1
)
   Adverse change of 20%
(84
)
(1
)
(2
)
Anticipated net credit losses
 
 
 
   Adverse change of 10%
NM

(3
)

   Adverse change of 20%
NM

(7
)


 
December 31, 2016
 
 
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$
2,258

$
26

$
161

Discount rates
 
 
 
   Adverse change of 10%
$
(71
)
$
(7
)
$
(8
)
   Adverse change of 20%
(138
)
(14
)
(16
)
Constant prepayment rate
 
 
 
   Adverse change of 10%
(80
)
(2
)
(4
)
   Adverse change of 20%
(160
)
(3
)
(8
)
Anticipated net credit losses
 
 
 
   Adverse change of 10%
NM

(7
)
(1
)
   Adverse change of 20%
NM

(14
)
(2
)

(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.
NM
Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

Schedule of changes in capitalized MSRs
The following table summarizes the changes in capitalized MSRs:
In millions of dollars
2017
2016
Balance, beginning of year
$
1,564

$
1,781

Originations
96

152

Changes in fair value of MSRs due to changes in inputs and assumptions
65

(36
)
Other changes(1)
(110
)
(313
)
Sale of MSRs(2)
(1,057
)
(20
)
Balance, as of December 31
$
558

$
1,564


(1)
Represents changes due to customer payments and passage of time.
(2)
See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit-challenged MSRs for which Citi paid the new servicer.
Schedule of fees received on servicing previously securitized mortgages
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
In millions of dollars
2017
2016
2015
Servicing fees
$
276

$
484

$
552

Late fees
10

14

16

Ancillary fees
13

17

31

Total MSR fees
$
299

$
515

$
599

Schedule of key assumptions for measuring fair value of retained interests at the date of sale or securitization of CDOs and CLOs
The following table summarizes selected cash flow information related to Citigroup CLOs:
In billions of dollars
2017
2016
2015
Proceeds from new securitizations
$
3.5

$
5.0

$
5.9

Cash flows received on retained interests and other net cash flows
0.1





The key assumptions used to value retained interests in CLOs, and the sensitivity of the fair value to adverse changes of 10% and 20%, are set forth in the tables below:

Dec. 31, 2017
Dec. 31, 2016
Discount rate
   1.1% to 1.6%
1.3% to 1.7%
Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, CDOs and CLOs
In millions of dollars
Dec. 31, 2017
Dec. 31, 2016
Carrying value of retained interests
$
3,607

$
4,261

Discount rates
 
 
   Adverse change of 10%
$
(24
)
$
(30
)
   Adverse change of 20%
(47
)
(62
)
Schedule of asset-based financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
 
December 31, 2017
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type
 
 
Commercial and other real estate
$
15,370

$
5,445

Corporate loans
4,725

3,587

Hedge funds and equities
542

58

Airplanes, ships and other assets
39,202

16,849

Total
$
59,839

$
25,939

 
December 31, 2016
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type
 
 
Commercial and other real estate
$
8,784

$
2,368

Corporate loans
4,051

2,684

Hedge funds and equities
370

54

Airplanes, ships and other assets
39,230

16,837

Total
$
52,435

$
21,943