SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

6 Months Ended

Jun. 30, 2014

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, each as of June 30, 2014 and December 31, 2013, is presented below:



	As of June 30, 2014
							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
Citicorp
Credit card securitizations	$	62,332	$	62,332	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	241,660		—		241,660		3,126		—		—		26		3,152
Non-agency-sponsored	6,200		453		5,747		405		—		—		—		405
Citi-administered asset-backed commercial paper conduits (ABCP)	30,079		30,079		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	4,749		—		4,749		31		—		—		—		31
Collateralized loan obligations (CLOs)	12,443		—		12,443		1,689		—		—		—		1,689
Asset-based financing	55,927		1,560		54,367		20,209		68		1,748		296		22,321
Municipal securities tender option bond trusts (TOBs)	12,431		6,919		5,512		18		—		3,602		—		3,620
Municipal investments	16,551		160		16,391		1,908		1,997		1,127		—		5,032
Client intermediation	1,933		376		1,557		26		—		—		—		26
Investment funds ⁽⁵⁾	34,283		2,208		32,075		17		416		74		—		507
Trust preferred securities	2,667		—		2,667		—		7		—		—		7
Other	2,362		334		2,028		82		590		60		80		812
Total	$	483,617	$	104,421	$	379,196	$	27,511	$	3,078	$	6,611	$	402	$	37,602
Citi Holdings
Credit card securitizations	$	1,690	$	1,379	$	311	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored	48,184		—		48,184		343		—		—		107		450
Non-agency-sponsored	11,703		675		11,028		38		—		—		2		40
Student loan securitizations	—		—		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,028		—		3,028		259		—		—		129		388
Collateralized loan obligations (CLOs)	2,254		—		2,254		269		—		7		119		395
Asset-based financing	2,068		3		2,065		269		3		95		—		367
Municipal investments	7,086		—		7,086		2		196		926		—		1,124
Investment funds	694		—		694		—		—		—		—		—
Other	1,232		1,227		5		—		—		—		—		—
Total	$	77,939	$	3,284	$	74,655	$	1,180	$	199	$	1,028	$	357	$	2,764
Total Citigroup	$	561,556	$	107,705	$	453,851	$	28,691	$	3,277	$	7,639	$	759	$	40,366

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


(2)	Included on Citigroup’s June 30, 2014 Consolidated Balance Sheet.


(3)	A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.


(4)	Citicorp 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) Substantially all of the unconsolidated investment funds’ assets are related to retirement funds in Mexico managed by Citi. See “Investment Funds” below for further discussion.



	As of December 31, 2013
							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
Citicorp
Credit card securitizations	$	52,229	$	52,229	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	239,204		—		239,204		3,583		—		—		36		3,619
Non-agency-sponsored	7,711		598		7,113		583		—		—		—		583
Citi-administered asset-backed commercial paper conduits (ABCP)	31,759		31,759		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	4,204		—		4,204		34		—		—		—		34
Collateralized loan obligations (CLOs)	16,883		—		16,883		1,938		—		—		—		1,938
Asset-based financing	45,884		971		44,913		17,452		74		1,132		195		18,853
Municipal securities tender option bond trusts (TOBs)	12,716		7,039		5,677		29		—		3,881		—		3,910
Municipal investments	15,962		223		15,739		1,846		2,073		1,173		—		5,092
Client intermediation	1,778		195		1,583		145		—		—		—		145
Investment funds ⁽⁵⁾	32,324		3,094		29,230		191		264		81		—		536
Trust preferred securities	4,822		—		4,822		—		51		—		—		51
Other	2,439		225		2,214		143		649		20		78		890
Total	$	467,915	$	96,333	$	371,582	$	25,944	$	3,111	$	6,287		$309	$	35,651
Citi Holdings
Credit card securitizations	$	1,867	$	1,448	$	419	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored	73,549		—		73,549		549		—		—		77		626
Non-agency-sponsored	13,193		1,695		11,498		35		—		—		2		37
Student loan securitizations	1,520		1,520		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,879		—		3,879		273		—		—		87		360
Collateralized loan obligations (CLOs)	2,733		—		2,733		358		—		—		111		469
Asset-based financing	3,508		3		3,505		629		3		258		—		890
Municipal investments	7,304		—		7,304		3		204		939		—		1,146
Investment funds	1,237		—		1,237		—		61		—		—		61
Other	4,494		4,434		60		—		—		—		—		—
Total	$	113,284	$	9,100	$	104,184	$	1,847	$	268	$	1,197	$	277	$	3,589
Total Citigroup	$	581,199	$	105,433	$	475,766	$	27,791	$	3,379	$	7,484	$	586	$	39,240


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


(2)	Included on Citigroup’s December 31, 2013 Consolidated Balance Sheet.


(3)	A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.


(4)	Citicorp 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) Substantially all of the unconsolidated investment funds’ assets are related to retirement funds in Mexico managed by Citi. See “Investment Funds” 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 as of June 30, 2014 and December 31, 2013:



	June 30, 2014				December 31, 2013
	Liquidity		Loan		Liquidity		Loan
In millions of dollars	facilities		commitments		facilities		commitments
Citicorp
Asset-based financing	$	5	$	1,743	$	5	$	1,127
Municipal securities tender option bond trusts (TOBs)	3,602		—		3,881		—
Municipal investments	—		1,127		—		1,173
Investment funds	—		74		—		81
Other	—		60		—		20
Total Citicorp	$	3,607	$	3,004	$	3,886	$	2,401
Citi Holdings
Collateralized loan obligations (CLOs)	$	—	$	7	$	—	$	—
Asset-based financing	—		95		—		258
Municipal investments	—		926		—		939
Total Citi Holdings	$	—	$	1,028	$	—	$	1,197
Total Citigroup funding commitments	$	3,607	$	4,032	$	3,886	$	3,598

Schedule of carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE and SPE obligations

The following table presents the carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE obligations as of June 30, 2014 and December 31, 2013:



	June 30, 2014						December 31, 2013
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.2	$	0.1	$	0.3	$	0.2	$	0.2	$	0.4
Trading account assets	1.0		—		1.0		1.0		—		1.0
Investments	12.5		—		12.5		10.9		—		10.9
Total loans, net	89.6		3.1		92.7		83.2		8.7		91.9
Other	1.2		—		1.2		1.1		0.2		1.3
Total assets	$	104.5	$	3.2	$	107.7	$	96.4	$	9.1	$	105.5
Short-term borrowings	$	21.5	$	—	$	21.5	$	24.3	$	—	$	24.3
Long-term debt	38.1		1.0		39.1		32.8		2.0		34.8
Other liabilities	0.8		0.1		0.9		0.9		0.1		1.0
Total liabilities	$	60.4	$	1.1	$	61.5	$	58.0	$	2.1	$	60.1

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 as of June 30, 2014 and December 31, 2013:



	June 30, 2014						December 31, 2013
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	4.1	$	0.5	$	4.6	$	4.8	$	0.6	$	5.4
Investments	3.6		0.2		3.8		3.7		0.4		4.1
Total loans, net	20.9		0.3		21.2		18.3		0.6		18.9
Other	2.0		0.4		2.4		2.2		0.5		2.7
Total assets	$	30.6	$	1.4	$	32.0	$	29.0	$	2.1	$	31.1

Schedule of securitized credit card receivables

The following table reflects amounts related to the Company’s securitized credit card receivables as of June 30, 2014 and December 31, 2013:



	Citicorp				Citi Holdings
In billions of dollars	June 30, 2014		December 31, 2013		June 30, 2014		December 31, 2013
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	37.7	$	32.3	$	—	$	—
Retained by Citigroup as trust-issued securities	9.4		8.1		1.3		1.3
Retained by Citigroup via non-certificated interests	12.9		12.1		—		—
Total ownership interests in principal amount of trust credit card receivables	$	60.0	$	52.5	$	1.3	$	1.3

Schedule of Master Trust liabilities (at par value)

Master Trust Liabilities (at par value)



In billions of dollars	June 30, 2014		Dec. 31, 2013
Term notes issued to third parties	$	33.4	$	27.9
Term notes retained by Citigroup affiliates	7.5		6.2
Total Master Trust liabilities	$	40.9	$	34.1

Schedule of Omni Trust liabilities (at par value)

Omni Trust Liabilities (at par value)



In billions of dollars	June 30, 2014		Dec. 31, 2013
Term notes issued to third parties	$	4.3	$	4.4
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	6.2	$	6.3

Schedule of changes in capitalized MSRs

The following tables summarize the changes in capitalized MSRs for the three and six months ended June 30, 2014 and 2013:



	Three months ended June 30,
In millions of dollars	2014			2013
Balance, as of March 31	$	2,586		$	2,203
Originations	49			204
Changes in fair value of MSRs due to changes in inputs and assumptions	(91		)	247
Other changes ⁽¹⁾	(99		)	(130		)
Sale of MSRs	(163		)	—
Balance, as of June 30	$	2,282		$	2,524



	Six months ended June 30,
In millions of dollars	2014			2013
Balance, beginning of year	$	2,718		$	1,942
Originations	99			376
Changes in fair value of MSRs due to changes in inputs and assumptions	(175		)	470
Other changes ⁽¹⁾	(225		)	(263		)
Sale of MSRs ⁽²⁾	(135		)	(1		)
Balance, as of June 30	$	2,282		$	2,524


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


(2)	Includes a sale 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 for the three and six months ended June 30, 2014 and 2013 were as follows:



	Three months ended June 30,				Six months ended June 30,
In millions of dollars	2014		2013		2014		2013
Servicing fees	$	162	$	198	$	332	$	415
Late fees	5		11		15		19
Ancillary fees	16		21		36		52
Total MSR fees	$	183	$	230	$	383	$	486

Citicorp

Variable Interest Entity

Schedule of securitized credit card receivables

The following tables summarize selected cash flow information related to Citicorp’s credit card securitizations for the three and six months ended June 30, 2014 and 2013:



	Three months ended June 30,
In billions of dollars	2014			2013
Proceeds from new securitizations	$	2.4		$	2.5
Pay down of maturing notes	(1.3		)	(0.8		)



	Six months ended June 30,
In billions of dollars	2014			2013
Proceeds from new securitizations	$	6.7		$	2.5
Pay down of maturing notes	(1.3		)	(1.6		)

Schedule of cash flow information, mortgage securitizations

The following table summarizes selected cash flow information related to Citicorp mortgage securitizations for the three and six months ended June 30, 2014 and 2013:



	Three months ended June 30,
	2014				2013
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	$	6.0	$	3.6	$	20.4	$	2.6
Contractual servicing fees received	0.1		—		0.1		—



	Six months ended June 30,
	2014				2013
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	$	13.1	$	5.2	$	38.8	$	3.0
Contractual servicing fees received	0.2		—		0.2		—

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 for the three and six months ended June 30, 2014 and 2013 were as follows:



	Three months ended June 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.7% to 12.0%		4.6	%	2.6% to 7.0%
Weighted average discount rate	10.8	%	4.6	%	6.1	%
Constant prepayment rate	4.7% to 13.3%		0.0	%	3.3	%
Weighted average constant prepayment rate	5.6	%	0.0	%	3.3	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	58.5	%
Weighted average anticipated net credit losses	NM		40.0	%	58.5	%
Weighted average life	7.4 to 9.4 years		8.6 years		4.0 to 10.1 years



	Three months ended June 30, 2013
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	1.1% to 10.4%		2.3% to 4.3%		5.5% to 12.0%
Weighted average discount rate	9.1	%	3.3	%	8.2	%
Constant prepayment rate	4.3% to 19.0%		5.5% to 10.0%		5.5% to 10.0%
Weighted average constant prepayment rate	5.8	%	7.9	%	8.6	%
Anticipated net credit losses ⁽²⁾	NM		47.2% to 53.0%		47.2% to 53.0%
Weighted average anticipated net credit losses	NM		49.8	%	48.9	%
Weighted average life	0.1 to 11.8 years		2.9 to 9.7 years		2.5 to 10.7 years



	Six months ended June 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 12.0%		1.4% to 4.6%		2.6% to 9.1%
Weighted average discount rate	10.5	%	3.8	%	6.8	%
Constant prepayment rate	0.0% to 16.0%		0.0	%	3.3% to 6.1%
Weighted average constant prepayment rate	5.1	%	0.0	%	5.2	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	40.0% to 58.5%
Weighted average anticipated net credit losses	NM		40.0	%	52.9	%
Weighted average life	0.0 to 9.7 years		2.6 to 8.6 years		3.0 to 14.5 years



	Six months ended June 30, 2013
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	1.1% to 12.4%		2.3% to 4.3%		5.5% to 19.2%
Weighted average discount rate	10.0	%	3.3	%	8.2	%
Constant prepayment rate	4.0% to 21.4%		5.5% to 10.0%		1.3% to 10.0%
Weighted average constant prepayment rate	5.8	%	7.9	%	7.0	%
Anticipated net credit losses ⁽²⁾	NM		47.2% to 53.0%		44.7% to 89.0%
Weighted average anticipated net credit losses	NM		49.8	%	57.9	%
Weighted average life	0.1 to 11.8 years		2.9 to 9.7 years		2.5 to 16.5 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 Not meaningful. 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

At June 30, 2014 and December 31, 2013, 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.



	June 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 52.5%		2.0% to 15.8%		1.3% to 18.6%
Weighted average discount rate	6.9	%	5.1	%	9.2	%
Constant prepayment rate	5.4% to 38.5%		1.8% to 100.0%		1.2% to 22.4%
Weighted average constant prepayment rate	11.8	%	14.3	%	6.5	%
Anticipated net credit losses ⁽²⁾	NM		0.1% to 71.7%		10.4% to 90.0%
Weighted average anticipated net credit losses	NM		50.1	%	54.3	%
Weighted average life	0.1 to 10.9 years		0.5 to 11.7 years		0.0 to 24.7 years



	December 31, 2013
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.1% to 20.9%		0.5% to 17.4%		2.1% to 19.6%
Weighted average discount rate	6.9	%	5.5	%	11.2	%
Constant prepayment rate	6.2% to 30.4%		1.3% to 100.0%		1.4% to 23.1%
Weighted average constant prepayment rate	11.1	%	6.4	%	7.4	%
Anticipated net credit losses ⁽²⁾	NM		0.1% to 80.0%		25.5% to 81.9%
Weighted average anticipated net credit losses	NM		49.5	%	52.8	%
Weighted average life	2.1 to 14.1 years		0.0 to 11.9 years		0.0 to 26.0 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 Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.



				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at June 30, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,408		$	211		$	451
Discount rates
Adverse change of 10%	$	(70	)	$	(4	)	$	(28	)
Adverse change of 20%	(136		)	(8		)	(54		)
Constant prepayment rate
Adverse change of 10%	(87		)	(1		)	(9		)
Adverse change of 20%	(168		)	(2		)	(18		)
Anticipated net credit losses
Adverse change of 10%	NM			(2		)	(10		)
Adverse change of 20%	NM			(3		)	(19		)



				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at December 31, 2013	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,519		$	293		$	429
Discount rates
Adverse change of 10%	$	(76	)	$	(6	)	$	(25	)
Adverse change of 20%	(148		)	(11		)	(48		)
Constant prepayment rate
Adverse change of 10%	(96		)	(1		)	(7		)
Adverse change of 20%	(187		)	(2		)	(14		)
Anticipated net credit losses
Adverse change of 10%	NM			(2		)	(7		)
Adverse change of 20%	NM			(3		)	(14		)


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

Schedule of key assumptions for measuring fair value of retained interests at the date of sale or securitization of CDOs and CLOs

At June 30, 2014 and December 31, 2013, 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:



	June 30, 2014	December 31, 2013
Discount rate	1.4% to 1.6%	1.5% to 1.6%

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



June 30, 2014
In millions of dollars	CLO
Carrying value of retained interests	$	1,536
Value of underlying portfolio
Adverse change of 10%	$	(10	)
Adverse change of 20%	(20		)



December 31, 2013
In millions of dollars	CLO
Carrying value of retained interests	$	1,333
Value of underlying portfolio
Adverse change of 10%	$	(7	)
Adverse change of 20%	(14		)



	June 30, 2014	Dec. 31, 2013
Discount rate	3.0%	3.0%



June 30, 2014
In millions of dollars	Asset-based financing
Carrying value of retained interests	$	1,157
Value of underlying portfolio
Adverse change of 10%	$	(9	)
Adverse change of 20%	(18		)



December 31, 2013
In millions of dollars	Asset-based financing
Carrying value of retained interests	$	1,316
Value of underlying portfolio
Adverse change of 10%	$	(11	)
Adverse change of 20%	(23		)

Schedule of asset-based financing



	June 30, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	21,852	$	6,616
Corporate loans	2,073		1,657
Airplanes, ships and other assets	30,442		14,048
Total	$	54,367	$	22,321



	December 31, 2013
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	14,042	$	3,902
Corporate loans	2,221		1,754
Airplanes, ships and other assets	28,650		13,197
Total	$	44,913	$	18,853

Schedule of selected cash flow information related to asset-based financing



	Three months ended June 30,
In billions of dollars	2014		2013
Proceeds from new securitizations	$	—	$	—
Cash flows received on retained interest and other net cash flows	$	0.2	$	0.3



	Six months ended June 30,
In billions of dollars	2014		2013
Proceeds from new securitizations	$	0.5	$	—
Cash flows received on retained interest and other net cash flows	$	0.2	$	0.6

Citi Holdings

Variable Interest Entity

Schedule of securitized credit card receivables

The following tables summarize selected cash flow information related to Citi Holdings’ credit card securitizations for the three and six months ended June 30, 2014 and 2013:



	Six months ended June 30,
In billions of dollars	2014		2013
Proceeds from new securitizations	$	0.1	$	—
Pay down of maturing notes	—		(0.1		)

Schedule of cash flow information, mortgage securitizations

The following table summarizes selected cash flow information related to Citi Holdings mortgage securitizations for the three and six months ended June 30, 2014 and 2013:



	Three months ended June 30,
	2014				2013
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	$	0.1	$	—	$	—	$	—
Contractual servicing fees received	—		—		0.1		—



	Six months ended June 30,
	2014				2013
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	$	0.2	$	—	$	—	$	—
Contractual servicing fees received	0.1		—		0.1		—

Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations



	June 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽²⁾
Discount rate	0.0% to 50.8%		0.0	%	—
Weighted average discount rate	10.9	%	0.0	%	—
Constant prepayment rate	7.5% to 27.2%		17.2	%	—
Weighted average constant prepayment rate	18.7	%	17.2	%	—
Anticipated net credit losses	NM		0.3	%	—
Weighted average anticipated net credit losses	NM		0.3	%	—
Weighted average life	4.1 to 11.0 years		4.5 years		—



	December 31, 2013
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽²⁾
Discount rate	0.0% to 49.3%		9.9	%	—
Weighted average discount rate	9.5	%	9.9	%	—
Constant prepayment rate	9.6% to 26.2%		12.3% to 27.3%		—
Weighted average constant prepayment rate	20.0	%	15.6	%	—
Anticipated net credit losses	NM		0.3	%	—
Weighted average anticipated net credit losses	NM		0.3	%	—
Weighted average life	2.3 to 7.6 years		5.2 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)	Citi Holdings held no subordinated interests in mortgage securitizations as of June 30, 2014 and December 31, 2013.

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



				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at June 30, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	353		$	41		$	—
Discount rates
Adverse change of 10%	$	(16	)	$	—		$	—
Adverse change of 20%	(31		)	(1		)	—
Constant prepayment rate
Adverse change of 10%	(21		)	(3		)	—
Adverse change of 20%	(41		)	(6		)	—
Anticipated net credit losses
Adverse change of 10%	NM			(5		)	—
Adverse change of 20%	NM			(11		)	—



				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at December 31, 2013	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	585		$	50		$	—
Discount rates
Adverse change of 10%	$	(16	)	$	(3	)	$	—
Adverse change of 20%	(32		)	(5		)	—
Constant prepayment rate							—
Adverse change of 10%	(33		)	(3		)	—
Adverse change of 20%	(65		)	(6		)	—
Anticipated net credit losses
Adverse change of 10%	NM			(5		)	—
Adverse change of 20%	NM			(11		)	—


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

Schedule of key assumptions for measuring fair value of retained interests at the date of sale or securitization of CDOs and CLOs

At June 30, 2014 and December 31, 2013, the key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:



	June 30, 2014
	CDOs	CLOs
Discount rate	44.4% to 48.9%	4.5% to 5.0%



	December 31, 2013
	CDOs	CLOs
Discount rate	44.3% to 48.7%	4.5% to 5.0%

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



	June 30, 2014
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	6		$	25
Discount rates
Adverse change of 10%	$	(1	)	$	—
Adverse change of 20%	(2		)	—



	December 31, 2013
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	19		$	31
Discount rates
Adverse change of 10%	$	(1	)	$	—
Adverse change of 20%	(2		)	—

Schedule of asset-based financing



	June 30, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	774	$	282
Corporate loans	—		—
Airplanes, ships and other assets	1,291		85
Total	$	2,065	$	367



	December 31, 2013
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	774	$	298
Corporate loans	112		96
Airplanes, ships and other assets	2,619		496
Total	$	3,505	$	890

Schedule of selected cash flow information related to asset-based financing

The following table summarizes selected cash flow information related to asset-based financings for the three and six months ended June 30, 2014 and 2013:

Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, asset-based financing



June 30, 2014
In millions of dollars	Asset-based financing
Carrying value of retained interests	$	—
Value of underlying portfolio
Adverse change of 10%	$	—
Adverse change of 20%	—



December 31, 2013
In millions of dollars	Asset-based financing
Carrying value of retained interests	$	95
Value of underlying portfolio
Adverse change of 10%	$	—
Adverse change of 20%	—

Three months ended
June 30,

In billions of dollars

Proceeds from new securitizations

Pay down of maturing notes