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 |
|
|