SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2018

Securitizations and Variable Interest Entities [Abstract]

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 September 30, 2018
							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	$	45,319	$	45,319	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	113,565		—		113,565		2,965		—		—		68		3,033
Non-agency-sponsored	25,452		1,580		23,872		356		—		—		1		357
Citi-administered asset-backed commercial paper conduits (ABCP)	17,435		17,435		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	17,870		—		17,870		5,524		—		—		9		5,533
Asset-based financing	64,817		639		64,178		20,060		601		9,214		—		29,875
Municipal securities tender option bond trusts (TOBs)	8,016		2,029		5,987		37		—		4,106		—		4,143
Municipal investments	17,765		1		17,764		2,622		3,798		2,268		—		8,688
Client intermediation	592		419		173		72		—		—		9		81
Investment funds	1,353		525		828		12		—		3		5		20
Other	652		31		621		39		8		22		46		115
Total	$	312,836	$	67,978	$	244,858	$	31,687	$	4,407	$	15,613	$	138	$	51,845



	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	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

(1) The definition of maximum exposure to loss is included in the text that follows this table.


(2)	Included on Citigroup’s September 30, 2018 and December 31, 2017 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.

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:



	September 30, 2018				December 31, 2017
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	9,214	$	—	$	5,878
Municipal securities tender option bond trusts (TOBs)	4,106		—		3,035		—
Municipal investments	—		2,268		—		2,344
Investment funds	—		3		—		13
Other	—		22		—		34
Total funding commitments	$	4,106	$	11,507	$	3,035	$	8,269

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	September 30, 2018		December 31, 2017
Cash	$	—	$	—
Trading account assets	8.2		8.5
Investments	4.7		4.4
Total loans, net of allowance	22.7		22.2
Other	0.5		0.5
Total assets	$	36.1	$	35.6

Schedule of securitized credit card receivables

The following table reflects amounts related to the Company’s securitized credit card receivables:



In billions of dollars	September 30, 2018		December 31, 2017
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	26.3	$	28.8
Retained by Citigroup as trust-issued securities	7.5		7.6
Retained by Citigroup via non-certificated interests	11.6		14.4
Total	$	45.4	$	50.8

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:



	Three Months Ended September 30,
In billions of dollars	2018			2017
Proceeds from new securitizations	$	1.9		$	2.2
Pay down of maturing notes	(2.9		)	(1.8		)



	Nine Months Ended September 30,
In billions of dollars	2018			2017
Proceeds from new securitizations	$	5.8		$	9.8
Pay down of maturing notes	(8.3		)	(4.6		)

Schedule of Master Trust liabilities (at par value)



In billions of dollars	Sept. 30, 2018		Dec. 31, 2017
Term notes issued to third parties	$	24.8	$	27.8
Term notes retained by Citigroup affiliates	5.7		5.7
Total Master Trust liabilities	$	30.5	$	33.5

Schedule of Omni Trust liabilities (at par value)



In billions of dollars	Sept. 30, 2018		Dec. 31, 2017
Term notes issued to third parties	$	1.5	$	1.0
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	3.4	$	2.9

Schedule of cash flow information, mortgage securitizations

The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:



	Three Months Ended September 30,
	2018				2017
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	7.9	$	2.1	$	11.7	$	4.1
Contractual servicing fees received	—		—		0.1		—



	Nine Months Ended September 30,
	2018				2017
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	23.7	$	8.2	$	26.2	$	6.9
Contractual servicing fees received	0.1		—		0.2		—

Schedule of carrying value of retained interests



	September 30, 2018						December 31, 2017
			Non-agency-sponsored mortgages⁽¹⁾						Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests	$	2,092	$	296	$	112	$	1,634	$	214	$	139


(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.

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:



	Three Months Ended September 30, 2018
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	3.0% to 10.4%		3.8% to 4.2%		4.1% to 8.6%
Weighted average discount rate	6.9	%	4.1	%	5.6	%
Constant prepayment rate	5.3% to 12.8%		7.0% to 10.0%		7.0% to 10.0%
Weighted average constant prepayment rate	8.1	%	7.9	%	8.2	%
Anticipated net credit losses⁽²⁾	NM		3.4% to 3.7%		3.4% to 3.7%
Weighted average anticipated net credit losses	NM		3.6	%	3.6	%
Weighted average life	6.9 to 22.1 years		3.0 to 3.9 years		7.3 to 15.7 years



	Three Months Ended September 30, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	2.0% to 13.2%		1.4% to 4.5%		1.7% to 4.2%
Weighted average discount rate	8.5	%	2.8	%	3.5	%
Constant prepayment rate	6.6% to 31.6%		—		—
Weighted average constant prepayment rate	10.6	%	—		—
Anticipated net credit losses⁽²⁾	NM		6.7% to 6.8%		6.4	%
Weighted average anticipated net credit losses	NM		6.7		6.4	%
Weighted average life	2.5 to 10.5 years		4.9 to 9.4 years		5.0 to 9.1 years



	Nine Months Ended September 30, 2018
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	3.0% to 11.4%		1.6% to 4.5%		3.0% to 8.6%
Weighted average discount rate	6.3	%	3.6	%	4.4	%
Constant prepayment rate	3.5% to 16.0%		7.0% to 12.0%		7.0% to 12.0%
Weighted average constant prepayment rate	8.2	%	8.8	%	9.1	%
Anticipated net credit losses⁽²⁾	NM		2.0% to 6.7%		2.0% to 4.6%
Weighted average anticipated net credit losses	NM		4.4	%	3.4	%
Weighted average life	5.0 to 22.1 years		2.5 to 9.9 years		2.5 to 15.7 years



	Nine Months Ended September 30, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	2.0% to 19.9%		1.4% to 4.5%		1.7% to 19.1%
Weighted average discount rate	9.1	%	2.8	%	4.0	%
Constant prepayment rate	3.8% to 31.6%		—		—
Weighted average constant prepayment rate	9.6	%	—		—
Anticipated net credit losses⁽²⁾	NM		6.7% to 6.8%		6.4% to 69.1%
Weighted average anticipated net credit losses	NM		6.7	%	10.8	%
Weighted average life	2.5 to 14.5 years		4.9 to 10.0 years		5.0 to 10.0 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.

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.

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.



	September 30, 2018
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	2.6% to 55.0%		12.2	%	4.9% to 5.8%
Weighted average discount rate	6.0	%	12.2	%	5.2	%
Constant prepayment rate	3.7% to 19.6%		8.0	%	5.0% to 16.0%
Weighted average constant prepayment rate	8.8	%	8.0	%	7.7	%
Anticipated net credit losses⁽²⁾	NM		38.0	%	37.0% to 91.0%
Weighted average anticipated net credit losses	NM		38.0	%	49.7	%
Weighted average life	0.5 to 28.2 years		7.6 years		6.2 to 15.5 years



	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


(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



	September 30, 2018
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests		Subordinated interests
Discount rates
Adverse change of 10%	$	(61	)	$	—	$	(1	)
Adverse change of 20%	(119		)	—		(2		)
Constant prepayment rate
Adverse change of 10%	(32		)	—		—
Adverse change of 20%	(63		)	—		—
Anticipated net credit losses
Adverse change of 10%	NM			—		—
Adverse change of 20%	NM			—		—



	December 31, 2017
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
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		)	—


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

Schedule of changes in capitalized MSRs

The following tables summarize the changes in capitalized MSRs:



	Three Months Ended September 30,
In millions of dollars	2018			2017
Balance, as of June 30	$	596		$	560
Originations	14			19
Changes in fair value of MSRs due to changes in inputs and assumptions	25			(6		)
Other changes⁽¹⁾	(17		)	(20		)
Sale of MSRs	—			—
Balance, as of September 30	$	618		$	553



	Nine Months Ended September 30,
In millions of dollars	2018			2017
Balance, beginning of year	$	558		$	1,564
Originations	46			75
Changes in fair value of MSRs due to changes in inputs and assumptions	82			50
Other changes⁽¹⁾	(50		)	(90		)
Sale of MSRs⁽²⁾	(18		)	(1,046		)
Balance, as of September 30	$	618		$	553


(1)	Represents changes due to customer payments and passage of time.


(2)	See Note 2 to the Consolidated Financial Statements in Citi’s 2017 Annual Report on Form 10-K for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs in 2017.

Schedule of fees received on servicing previously securitized mortgages

The amounts of these fees were as follows:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2018		2017		2018		2017
Servicing fees	$	41	$	65	$	130	$	236
Late fees	1		2		3		8
Ancillary fees	1		3		7		11
Total MSR fees	$	43	$	70	$	140	$	255

Schedule of cash flow information, collateralized loan obligations

The following tables summarize selected cash flow information and retained interests related to Citigroup CLOs:

Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, CDOs and CLOs

Schedule of asset-based financing



	September 30, 2018
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	18,098	$	6,949
Corporate loans	6,815		5,764
Hedge funds and equities	416		54
Airplanes, ships and other assets	38,849		17,108
Total	$	64,178	$	29,875



	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

Three Months Ended September 30,

In billions of dollars

Proceeds from new securitizations