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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021
							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	$	30,343	$	30,343	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	114,519		—		114,519		1,537		—		—		47		1,584
Non-agency-sponsored	59,584		677		58,907		2,327		—		1		—		2,328
Citi-administered asset-backed commercial paper conduits	12,460		12,460		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	10,094		—		10,094		3,254		—		—		—		3,254
Asset-based financing(5)	279,044		11,106		267,938		29,033		1,283		11,008		—		41,324
Municipal securities tender option bond trusts (TOBs)	3,320		909		2,411		16		—		1,529		—		1,545
Municipal investments	21,078		3		21,075		2,677		3,706		3,558		—		9,941
Client intermediation	872		280		592		75		—		—		206		281
Investment funds	523		192		331		1		—		13		5		19
Other	—		—		—		—		—		—		—		—
Total	$	531,837	$	55,970	$	475,867	$	38,920	$	4,989	$	16,109	$	258	$	60,276


	As of December 31, 2020
							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	$	32,420	$	32,420	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	123,999		—		123,999		1,948		—		—		61		2,009
Non-agency-sponsored	46,132		939		45,193		2,550		—		2		1		2,553
Citi-administered asset-backed commercial paper conduits	16,730		16,730		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	18,332		—		18,332		4,273		—		—		—		4,273
Asset-based financing(5)	222,274		8,069		214,205		25,153		1,587		9,114		—		35,854
Municipal securities tender option bond trusts (TOBs)	3,349		835		2,514		—		—		1,611		—		1,611
Municipal investments	20,335		—		20,335		2,569		4,056		3,041		—		9,666
Client intermediation	1,352		910		442		88		—		—		56		144
Investment funds	488		153		335		—		—		15		—		15
Other	—		—		—		—		—		—		—		—
Total	$	485,411	$	60,056	$	425,355	$	36,581	$	5,643	$	13,783	$	118	$	56,125

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

(2) Included on Citigroup’s September 30, 2021 and December 31, 2020 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) Included within this line are loans to third-party sponsored private equity funds, which represent $115 billion and $78 billion in unconsolidated VIE assets and $507 million and $425 million in maximum exposure to loss as of September 30, 2021 and December 31, 2020, respectively.

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, 2021				December 31, 2020
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	1	$	—	$	2
Asset-based financing	—		11,008		—		9,114
Municipal securities tender option bond trusts (TOBs)	1,529		—		1,611		—
Municipal investments	—		3,558		—		3,041
Investment funds	—		13		—		15
Other	—		—		—		—
Total funding commitments	$	1,529	$	14,580	$	1,611	$	12,172

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, 2021		December 31, 2020
Cash	$	—	$	—
Trading account assets	1.4		2.0
Investments	9.3		10.6
Total loans, net of allowance	32.3		29.3
Other	0.9		0.3
Total assets	$	43.9	$	42.2

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, 2021		December 31, 2020
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	11.0	$	15.7
Retained by Citigroup as trust-issued securities	7.2		7.9
Retained by Citigroup via non-certificated interests	13.9		11.1
Total	$	32.1	$	34.7

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:


	Three Months Ended September 30,				Nine Months Ended September 30,
In billions of dollars	2021		2020		2021		2020
Proceeds from new securitizations	$	—	$	—	$	—	$	—
Pay down of maturing notes	—		(1.1)		(4.7)		(4.3)

Schedule of Master Trust liabilities (at par value)


In billions of dollars	Sept. 30, 2021		Dec. 31, 2020
Term notes issued to third parties	$	9.7	$	13.9
Term notes retained by Citigroup affiliates	2.2		2.7
Total Master Trust liabilities	$	11.9	$	16.6

Schedule of Omni Trust liabilities (at par value)


In billions of dollars	Sept. 30, 2021		Dec. 31, 2020
Term notes issued to third parties	$	1.3	$	1.8
Term notes retained by Citigroup affiliates	5.0		5.2
Total Omni Trust liabilities	$	6.3	$	7.0

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,
	2021				2020
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	0.5	$	1.7	$	2.7	$	2.9
Proceeds from new securitizations	0.5		1.9		2.9		4.5
Purchases of previously transferred financial assets	—		—		0.2		—


	Nine Months Ended September 30,
	2021				2020
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	5.4	$	19.8	$	7.2	$	5.4
Proceeds from new securitizations	5.6		19.7		7.6		7.9
Contractual servicing fees received	0.1		—		0.1		—
Purchases of previously transferred financial assets	0.1		—		0.3		—

Note: Excludes re-securitization transactions.

Schedule of carrying value of retained interests


	September 30, 2021						December 31, 2020
			Non-agency-sponsored mortgages(1)						Non-agency-sponsored mortgages(1)
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests(2)		Subordinated interests		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests(3)	$	379	$	1,777	$	500	$	315	$	1,210	$	145

(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) Senior interests in non-agency-sponsored mortgages include $82 million related to personal loan securitizations at September 30, 2021.

(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.

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, 2021

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.6	%	2.2	%	2.4	%
Weighted average constant prepayment rate	5.9	%	4.3	%	13.3	%
Weighted average anticipated net credit losses(2)	NM		0.8	%	0.2	%
Weighted average life	7.4 years		3.2 years		4.9 years


	Three Months Ended September 30, 2020

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	3.5	%	1.8	%	NM
Weighted average constant prepayment rate	29.7	%	2.5	%	NM
Weighted average anticipated net credit losses(2)	NM		0.2	%	NM
Weighted average life	4.2 years		3.9 years		NM


	Nine Months Ended September 30, 2021

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.8	%	2.2	%	2.8	%
Weighted average constant prepayment rate	5.3	%	6.3	%	10.6	%
Weighted average anticipated net credit losses(2)	NM		1.4	%	1.0	%
Weighted average life	7.6 years		3.4 years		5.4 years


	Nine Months Ended September 30, 2020

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	5.2	%	1.8	%	3.0	%
Weighted average constant prepayment rate	27.9	%	1.8	%	25.0	%
Weighted average anticipated net credit losses(2)	NM		0.7	%	0.5	%
Weighted average life	4.5 years		4.2 years		2.3 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. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:


	September 30, 2021

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	6.4	%	13.0	%	3.0	%
Weighted average constant prepayment rate	11.3	%	6.0	%	7.0	%
Weighted average anticipated net credit losses(2)	NM		NM		1.5	%
Weighted average life	5.7 years		12.6 years		18.2 years


	December 31, 2020

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	5.9	%	7.2	%	4.3	%
Weighted average constant prepayment rate	22.7	%	5.3	%	4.7	%
Weighted average anticipated net credit losses(2)	NM		1.2	%	1.4	%
Weighted average life	4.5 years		5.3 years		4.7 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.

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, 2021
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(9)	$	—	$	—
Adverse change of 20%	(18)		(1)		(1)
Constant prepayment rate
Adverse change of 10%	(18)		—		—
Adverse change of 20%	(35)		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—


	December 31, 2020
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(8)	$	—	$	(1)
Adverse change of 20%	(15)		(1)		(1)
Constant prepayment rate
Adverse change of 10%	(21)		—		—
Adverse change of 20%	(40)		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—

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

Schedule of information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:


									Liquidation losses
	Securitized assets				90 days past due				Three Months Ended September 30,				Nine Months Ended September 30,
In billions of dollars, except liquidation losses in millions	Sept. 30, 2021		Dec. 31, 2020		Sept. 30, 2021		Dec. 31, 2020		2021		2020		2021		2020
Securitized assets
Residential mortgages(1)	$	28.5	$	16.9	$	0.3	$	0.5	$	2	$	5	$	8	$	23
Commercial and other	25.6		23.9		—		—		—		—		$	—	—
Total	$	54.1	$	40.8	$	0.3	$	0.5	$	2	$	5	$	8	$	23

(1) Securitized assets include $0.2 billion of personal loan securitizations as of September 30, 2021.

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Balance, beginning of period	$	419	$	345	$	336	$	495
Originations	8		31		76		87
Changes in fair value of MSRs due to changes in inputs and assumptions	(3)		(22)		49		(191)
Other changes(1)	(15)		(20)		(52)		(57)
Sales of MSRs	—		—		—		—
Balance, as of September 30	$	409	$	334	$	409	$	334

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

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	2021		2020		2021		2020
Servicing fees	$	32	$	29	$	100	$	102
Late fees	1		1		2		4
Ancillary fees	—		—		—		—
Total MSR fees	$	33	$	30	$	102	$	106

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

The following table summarizes selected retained interests related to Citigroup CLOs:


In millions of dollars	Sept. 30, 2021		Dec. 31, 2020
Carrying value of retained interests	$	1,519	$	1,611

Schedule of asset-based financing


	September 30, 2021				December 31, 2020
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs		Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	33,741	$	6,841	$	34,570	$	7,758
Corporate loans	18,465		11,363		12,022		7,654
Other (including investment funds, airlines and shipping)	215,732		23,120		167,613		20,442
Total	$	267,938	$	41,324	$	214,205	$	35,854