SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 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 September 30, 2014 and December 31, 2013, is presented below:



	As of September 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	$	59,448	$	59,448	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	232,316		—		232,316		3,196		—		—		23		3,219
Non-agency-sponsored	5,502		349		5,153		377		—		—		—		377
Citi-administered asset-backed commercial paper conduits (ABCP)	30,213		30,213		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,772		—		3,772		62		—		—		—		62
Collateralized loan obligations (CLOs)	17,675		—		17,675		1,728		—		—		—		1,728
Asset-based financing	56,320		1,560		54,760		20,582		94		2,115		347		23,138
Municipal securities tender option bond trusts (TOBs)	12,187		6,642		5,545		14		—		3,626		—		3,640
Municipal investments	16,511		137		16,374		1,962		2,041		1,074		—		5,077
Client intermediation	1,749		256		1,493		12		—		—		10		22
Investment funds ⁽⁵⁾	33,259		1,877		31,382		13		385		74		—		472
Trust preferred securities	2,646		—		2,646		—		6		—		—		6
Other	2,494		315		2,179		133		617		31		76		857
Total	$	474,092	$	100,797	$	373,295	$	28,079	$	3,143	$	6,920	$	456	$	38,598
Citi Holdings
Credit card securitizations	$	345	$	76	$	269	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored	36,286		—		36,286		240		—		—		98		338
Non-agency-sponsored	10,695		366		10,329		20		—		—		1		21
Student loan securitizations	—		—		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	2,786		—		2,786		246		—		—		139		385
Collateralized loan obligations (CLOs)	1,078		—		1,078		60		—		—		—		60
Asset-based financing	1,930		3		1,927		216		3		90		—		309
Municipal investments	6,957		—		6,957		3		180		920		—		1,103
Investment funds	591		—		591		—		—		—		—		—
Other	2,653		2,647		6		—		—		—		—		—
Total	$	63,321	$	3,092	$	60,229	$	785	$	183	$	1,010	$	238	$	2,216
Total Citigroup	$	537,413	$	103,889	$	433,524	$	28,864	$	3,326	$	7,930	$	694	$	40,814

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


(2)	Included on Citigroup’s September 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 September 30, 2014 and December 31, 2013:



	September 30, 2014				December 31, 2013
	Liquidity		Loan		Liquidity		Loan
In millions of dollars	facilities		commitments		facilities		commitments
Citicorp
Asset-based financing	$	5	$	2,110	$	5	$	1,127
Municipal securities tender option bond trusts (TOBs)	3,626		—		3,881		—
Municipal investments	—		1,074		—		1,173
Investment funds	—		74		—		81
Other	—		31		—		20
Total Citicorp	$	3,631	$	3,289	$	3,886	$	2,401
Citi Holdings
Asset-based financing	$	—	$	90	$	—	$	258
Municipal investments	—		920		—		939
Total Citi Holdings	$	—	$	1,010	$	—	$	1,197
Total Citigroup funding commitments	$	3,631	$	4,299	$	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 September 30, 2014 and December 31, 2013:



	September 30, 2014						December 31, 2013
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.1	$	0.1	$	0.2	$	0.2	$	0.2	$	0.4
Trading account assets	0.8		—		0.8		1.0		—		1.0
Investments	9.9		—		9.9		10.9		—		10.9
Total loans, net	89.3		2.6		91.9		83.2		8.7		91.9
Other	0.7		0.3		1.0		1.1		0.2		1.3
Total assets	$	100.8	$	3.0	$	103.8	$	96.4	$	9.1	$	105.5
Short-term borrowings	$	24.2	$	—	$	24.2	$	24.3	$	—	$	24.3
Long-term debt	38.2		2.0		40.2		32.8		2.0		34.8
Other liabilities	0.8		0.1		0.9		0.9		0.1		1.0
Total liabilities	$	63.2	$	2.1	$	65.3	$	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 September 30, 2014 and December 31, 2013:



	September 30, 2014						December 31, 2013
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	4.3	$	0.3	$	4.6	$	4.8	$	0.6	$	5.4
Investments	2.5		0.2		2.7		3.7		0.4		4.1
Total loans, net	22.5		0.2		22.7		18.3		0.6		18.9
Other	1.9		0.2		2.1		2.2		0.5		2.7
Total assets	$	31.2	$	0.9	$	32.1	$	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 September 30, 2014 and December 31, 2013:



	Citicorp				Citi Holdings
In billions of dollars	September 30, 2014		December 31, 2013		September 30, 2014		December 31, 2013
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	37.9	$	32.3	$	—	$	—
Retained by Citigroup as trust-issued securities	10.0		8.1		—		1.3
Retained by Citigroup via non-certificated interests	11.6		12.1		—		—
Total ownership interests in principal amount of trust credit card receivables	$	59.5	$	52.5	$	—	$	1.3

Schedule of Master Trust liabilities (at par value)

Master Trust Liabilities (at par value)



In billions of dollars	September 30, 2014		Dec. 31, 2013
Term notes issued to third parties	$	36.4	$	27.9
Term notes retained by Citigroup affiliates	8.1		6.2
Total Master Trust liabilities	$	44.5	$	34.1

Schedule of Omni Trust liabilities (at par value)

Omni Trust Liabilities (at par value)



In billions of dollars	September 30, 2014		Dec. 31, 2013
Term notes issued to third parties	$	1.5	$	4.4
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	3.4	$	6.3

Schedule of changes in capitalized MSRs

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



	Three months ended September 30,
In millions of dollars	2014			2013
Balance, as of June 30	$	2,282		$	2,524
Originations	52			167
Changes in fair value of MSRs due to changes in inputs and assumptions	(11		)	11
Other changes ⁽¹⁾	(108		)	(121		)
Sale of MSRs	(122		)	(1		)
Balance, as of September 30	$	2,093		$	2,580



	Nine months ended September 30,
In millions of dollars	2014			2013
Balance, beginning of year	$	2,718		$	1,942
Originations	151			543
Changes in fair value of MSRs due to changes in inputs and assumptions	(186		)	481
Other changes ⁽¹⁾	(333		)	(384		)
Sale of MSRs	(257		)	(2		)
Balance, as of September 30	$	2,093		$	2,580


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

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 nine months ended September 30, 2014 and 2013 were as follows:



	Three months ended September 30,				Nine months ended September 30,
In millions of dollars	2014		2013		2014		2013
Servicing fees	$	159	$	196	$	491	$	611
Late fees	5		12		20		31
Ancillary fees	11		27		47		79
Total MSR fees	$	175	$	235	$	558	$	721

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 nine months ended September 30, 2014 and 2013:



	Three months ended September 30,
In billions of dollars	2014			2013
Proceeds from new securitizations	$	3.1		$	4.9
Pay down of maturing notes	(2.8		)	—



	Nine months ended September 30,
In billions of dollars	2014			2013
Proceeds from new securitizations	$	9.8		$	7.4
Pay down of maturing notes	(4.1		)	(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 nine months ended September 30, 2014 and 2013:



	Three months ended September 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	$	6.2	$	1.7	$	15.4	$	2.0
Contractual servicing fees received	0.1		—		0.1		—



	Nine months ended September 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	$	19.4	$	6.9	$	54.2	$	5.0
Contractual servicing fees received	0.3		—		0.3		—

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 nine months ended September 30, 2014 and 2013 were as follows:



	Three months ended September 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	0.0% to 14.7%		—	6.7% to 9.0%
Weighted average discount rate	12.3	%	—	8.7	%
Constant prepayment rate	4.6% to 18.1%		—	0.5% to 8.9%
Weighted average constant prepayment rate	5.8	%	—	1.7	%
Anticipated net credit losses ⁽²⁾	NM		—	8.9% to 40.0%
Weighted average anticipated net credit losses	NM		—	35.6	%
Weighted average life	5.2 to 8.9 years		—	6.7 to 7.3 years



	Three months ended September 30, 2013
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.8% to 12.2%		3.9	%	0.1% to 9.8%
Weighted average discount rate	10.0	%	3.9	%	6.1	%
Constant prepayment rate	2.4% to 19.0%		5.4	%	0.1% to 11.2%
Weighted average constant prepayment rate	4.5	%	5.4	%	6.8	%
Anticipated net credit losses ⁽²⁾	NM		47.8	%	0.1% to 49.0%
Weighted average anticipated net credit losses	NM		47.8	%	29.6	%
Weighted average life	5.3 to 8.4 years		7.0 years		10.0 to 10.2 years



	Nine months ended September 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 14.7%		1.4% to 4.6%		2.6% to 9.1%
Weighted average discount rate	11.1	%	3.8	%	7.8	%
Constant prepayment rate	0.0% to 18.1%		0.0	%	0.5% to 8.9%
Weighted average constant prepayment rate	5.4	%	0.0	%	3.2	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	8.9% to 58.5%
Weighted average anticipated net credit losses	NM		40.0	%	43.1	%
Weighted average life	0.0 to 9.7 years		2.6 to 8.6 years		3.0 to 14.5 years



	Nine months ended September 30, 2013
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.8% to 12.4%		2.3% to 4.3%		0.1% to 19.2%
Weighted average discount rate	10.0	%	3.4	%	7.6	%
Constant prepayment rate	2.4% to 21.4%		5.4% to 10.0%		0.1% to 11.2%
Weighted average constant prepayment rate	5.3	%	7.2	%	6.9	%
Anticipated net credit losses ⁽²⁾	NM		47.2% to 53.0%		0.1% to 89.0%
Weighted average anticipated net credit losses	NM		49.3	%	49.3	%
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 September 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.



	September 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 22.0%		1.0% to 17.3%		1.6% to 18.2%
Weighted average discount rate	8.6	%	6.0	%	8.7	%
Constant prepayment rate	5.4% to 36.4%		3.1% to 100.0%		0.5% to 16.0%
Weighted average constant prepayment rate	12.1	%	19.8	%	6.4	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 40.0%		1.6% to 40.0%
Weighted average anticipated net credit losses	NM		27.5	%	15.2	%
Weighted average life	0.1 to 19.0 years		0.7 to 11.9 years		0.9 to 25.3 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 September 30, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,470		$	158		$	502
Discount rates
Adverse change of 10%	$	(78	)	$	(3	)	$	(30	)
Adverse change of 20%	(152		)	(5		)	(58		)
Constant prepayment rate
Adverse change of 10%	(81		)	(1		)	(8		)
Adverse change of 20%	(157		)	(2		)	(17		)
Anticipated net credit losses
Adverse change of 10%	NM			(2		)	(10		)
Adverse change of 20%	NM			(2		)	(17		)



				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 September 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:



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

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



September 30, 2014
In millions of dollars	CLO
Carrying value of retained interests	$	1,542
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		)



	Sept. 30, 2014	Dec. 31, 2013
Discount rate	N/A	3.0%



September 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	$	1,316
Value of underlying portfolio
Adverse change of 10%	$	(11	)
Adverse change of 20%	(23		)

Schedule of asset-based financing



	September 30, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	21,090	$	6,922
Corporate loans	460		475
Airplanes, ships and other assets	33,210		15,741
Total	$	54,760	$	23,138



	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

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



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



	Nine months ended September 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 nine months ended September 30, 2014 and 2013:



	Nine months ended September 30,
In billions of dollars	2014		2013
Proceeds from new securitizations	$	0.1	$	0.2
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 nine months ended September 30, 2014 and 2013:



	Three months ended September 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	$	—	$	0.1	$	—
Contractual servicing fees received	—		—		0.1		—



	Nine months ended September 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	$	—	$	0.1	$	—
Contractual servicing fees received	0.1		—		0.2		—

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



	September 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽²⁾
Discount rate	4.4% to 32.4%		35.8	%	—
Weighted average discount rate	19.1	%	35.8	%	—
Constant prepayment rate	18.1% to 28.0%		11.7	%	—
Weighted average constant prepayment rate	27.7	%	11.7	%	—
Anticipated net credit losses	NM		0.2	%	—
Weighted average anticipated net credit losses	NM		0.2	%	—
Weighted average life	4.1 to 7.2 years		3.3 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 September 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 September 30, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	238		$	24		$	—
Discount rates
Adverse change of 10%	$	(7	)	$	(3	)	$	—
Adverse change of 20%	(14		)	(5		)	—
Constant prepayment rate
Adverse change of 10%	(6		)	(2		)	—
Adverse change of 20%	(12		)	(4		)	—
Anticipated net credit losses
Adverse change of 10%	NM			(4		)	—
Adverse change of 20%	NM			(8		)	—



				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 September 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:



	September 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



	September 30, 2014
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	6		$	8
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



	September 30, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	715	$	228
Corporate loans	—		—
Airplanes, ships and other assets	1,212		81
Total	$	1,927	$	309



	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 nine months ended September 30, 2014 and 2013:

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



September 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
September 30,

In billions of dollars

Proceeds from new securitizations

Pay down of maturing notes