SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2015

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 March 31, 2015 and December 31, 2014, is presented below:



	As of March 31, 2015
							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	$	55,367	$	55,367	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	230,798		—		230,798		3,000		—		—		18		3,018
Non-agency-sponsored	7,457		1,018		6,439		530		—		—		—		530
Citi-administered asset-backed commercial paper conduits (ABCP)	28,807		28,807		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,027		—		3,027		38		—		—		—		38
Collateralized loan obligations (CLOs)	14,782		—		14,782		1,917		—		—		—		1,917
Asset-based financing	60,391		1,102		59,289		22,052		61		3,138		318		25,569
Municipal securities tender option bond trusts (TOBs)	12,017		6,431		5,586		—		—		3,645		—		3,645
Municipal investments	16,736		55		16,681		2,035		1,833		1,162		—		5,030
Client intermediation	1,810		105		1,705		42		—		—		10		52
Investment funds ⁽⁵⁾	30,883		1,049		29,834		17		379		125		—		521
Trust preferred securities	2,632		—		2,632		—		6		—		—		6
Other	4,713		288		4,425		80		1,038		39		70		1,227
Total	$	469,420	$	94,222	$	375,198	$	29,711	$	3,317	$	8,109	$	416	$	41,553
Citi Holdings
Credit card securitizations	$	254	$	54	$	200	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored	23,286		—		23,286		110		—		—		88		198
Non-agency-sponsored	9,246		63		9,183		18		—		—		1		19
Collateralized debt obligations (CDOs)	2,126		—		2,126		156		—		—		85		241
Collateralized loan obligations (CLOs)	834		—		834		37		—		—		—		37
Asset-based financing	1,167		2		1,165		39		3		81		—		123
Municipal investments	6,838		—		6,838		2		168		888		—		1,058
Investment funds	507		—		507		—		—		—		—		—
Other	4,203		4,203		—		—		—		—		—		—
Total	$	48,461	$	4,322	$	44,139	$	362	$	171	$	969	$	174	$	1,676
Total Citigroup	$	517,881	$	98,544	$	419,337	$	30,073	$	3,488	$	9,078	$	590	$	43,229

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


(2)	Included on Citigroup’s March 31, 2015 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, 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	$	60,211	$	60,211	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	236,771		—		236,771		5,063		—		—		19		5,082
Non-agency-sponsored	8,071		1,239		6,832		560		—		—		—		560
Citi-administered asset-backed commercial paper conduits (ABCP)	29,181		29,181		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,382		—		3,382		45		—		—		—		45
Collateralized loan obligations (CLOs)	13,099		—		13,099		1,692		—		—		—		1,692
Asset-based financing	62,577		1,149		61,428		22,891		63		2,185		333		25,472
Municipal securities tender option bond trusts (TOBs)	12,280		6,671		5,609		3		—		3,670		—		3,673
Municipal investments	16,825		70		16,755		2,012		2,021		1,321		—		5,354
Client intermediation	1,745		137		1,608		10		—		—		10		20
Investment funds ⁽⁵⁾	31,474		1,096		30,378		16		382		124		—		522
Trust preferred securities	2,633		—		2,633		—		6		—		—		6
Other	5,685		296		5,389		183		1,451		23		73		1,730
Total	$	483,934	$	100,050	$	383,884	$	32,475	$	3,923	$	7,323	$	435	$	44,156
Citi Holdings
Credit card securitizations	$	292	$	60	$	232	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored	28,077		—		28,077		150		—		—		91		241
Non-agency-sponsored	9,817		65		9,752		17		—		—		1		18
Collateralized debt obligations (CDOs)	2,235		—		2,235		174		—		—		86		260
Collateralized loan obligations (CLOs)	1,020		—		1,020		54		—		—		—		54
Asset-based financing	1,323		2		1,321		37		3		86		—		126
Municipal investments	6,881		—		6,881		2		176		904		—		1,082
Investment funds	518		—		518		—		—		—		—		—
Other	2,613		2,613		—		—		—		—		—		—
Total	$	52,776	$	2,740	$	50,036	$	434	$	179	$	990	$	178	$	1,781
Total Citigroup	$	536,710	$	102,790	$	433,920	$	32,909	$	4,102	$	8,313	$	613	$	45,937


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


(2)	Included on Citigroup’s December 31, 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.

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 March 31, 2015 and December 31, 2014:



	March 31, 2015				December 31, 2014
	Liquidity		Loan		Liquidity		Loan
In millions of dollars	facilities		commitments		facilities		commitments
Citicorp
Asset-based financing	$	5	$	3,133	$	5	$	2,180
Municipal securities tender option bond trusts (TOBs)	3,645		—		3,670		—
Municipal investments	—		1,162		—		1,321
Investment funds	—		125		—		124
Other	—		39		—		23
Total Citicorp	$	3,650	$	4,459	$	3,675	$	3,648
Citi Holdings
Asset-based financing	$	—	$	81	$	—	$	86
Municipal investments	—		888		—		904
Total Citi Holdings	$	—	$	969	$	—	$	990
Total Citigroup funding commitments	$	3,650	$	5,428	$	3,675	$	4,638

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 March 31, 2015 and December 31, 2014:



	March 31, 2015						December 31, 2014
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.1	$	—	$	0.1	$	0.1	$	0.2	$	0.3
Trading account assets	0.6		—		0.6		0.7		—		0.7
Investments	7.6		—		7.6		8.0		—		8.0
Total loans, net	85.3		0.1		85.4		90.6		2.5		93.1
Other	0.6		4.2		4.8		0.6		—		0.6
Total assets	$	94.2	$	4.3	$	98.5	$	100.0	$	2.7	$	102.7
Short-term borrowings	$	17.2	$	—	$	17.2	$	22.7	$	—	$	22.7
Long-term debt	35.2		0.1		35.3		38.1		2.0		40.1
Other liabilities	0.7		3.3		4.0		0.8		0.1		0.9
Total liabilities	$	53.1	$	3.4	$	56.5	$	61.6	$	2.1	$	63.7

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 March 31, 2015 and December 31, 2014:



	March 31, 2015						December 31, 2014
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	5.1	$	0.2	$	5.3	$	7.4	$	0.2	$	7.6
Investments	2.2		0.2		2.4		2.4		0.2		2.6
Total loans, net	24.0		0.1		24.1		24.9		0.1		25.0
Other	1.6		0.1		1.7		1.8		0.2		2.0
Total assets	$	32.9	$	0.6	$	33.5	$	36.5	$	0.7	$	37.2

Schedule of securitized credit card receivables

The following table reflects amounts related to the Company’s securitized credit card receivables as of March 31, 2015 and December 31, 2014:



	Citicorp				Citi Holdings
In billions of dollars	March 31, 2015		December 31, 2014		March 31, 2015		December 31, 2014
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	34.4	$	37.0	$	—	$	—
Retained by Citigroup as trust-issued securities	9.5		10.1		—		—
Retained by Citigroup via non-certificated interests	12.6		14.2		—		—
Total ownership interests in principal amount of trust credit card receivables	$	56.5	$	61.3	$	—	$	—

Schedule of Master Trust liabilities (at par value)

Master Trust Liabilities (at par value)



In billions of dollars	March 31, 2015		Dec. 31, 2014
Term notes issued to third parties	$	33.1	$	35.7
Term notes retained by Citigroup affiliates	7.6		8.2
Total Master Trust liabilities	$	40.7	$	43.9

Schedule of Omni Trust liabilities (at par value)

Omni Trust Liabilities (at par value)



In billions of dollars	March 31, 2015		Dec. 31, 2014
Term notes issued to third parties	$	1.3	$	1.3
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	3.2	$	3.2

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs for the quarters ended March 31, 2015 and 2014:



In millions of dollars	2015			2014
Balance, beginning of year	$	1,845		$	2,718
Originations	43			50
Changes in fair value of MSRs due to changes in inputs and assumptions	(71		)	(84		)
Other changes ⁽¹⁾	(100		)	(126		)
Sale of MSRs ⁽²⁾	(32		)	28
Balance, as of March 31	$	1,685		$	2,586


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


(2)	Prior period’s amount is related to 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 quarters ended March 31, 2015 and 2014 were as follows:



In millions of dollars	2015		2014
Servicing fees	$	140	$	170
Late fees	4		10
Ancillary fees	7		20
Total MSR fees	$	151	$	200

Citicorp

Variable Interest Entity

Schedule of securitized credit card receivables

The following table summarizes selected cash flow information related to Citicorp’s credit card securitizations for the quarters ended March 31, 2015 and 2014:



	Three months ended March 31,
In billions of dollars	2015			2014
Proceeds from new securitizations	$	—		$	4.3
Pay down of maturing notes	(2.7		)	—

Schedule of cash flow information, mortgage securitizations

The following table summarizes selected cash flow information related to Citicorp mortgage securitizations for the quarters ended March 31, 2015 and 2014:



	2015				2014
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	$	5.5	$	3.6	$	7.1	$	1.6
Contractual servicing fees received	—		—		0.1		—
Cash flows received on retained interests and other net cash flows	—		—		—		—

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 quarters ended March 31, 2015 and 2014 were as follows:



	March 31, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 8.0%		2.8	%	0.0% to 4.4%
Weighted average discount rate	6.9	%	2.8	%	3.0	%
Constant prepayment rate	16.4% to 34.9%		0.0	%	0.0% to 3.3%
Weighted average constant prepayment rate	18.5	%	0.0	%	2.3	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	0.0% to 55.9%
Weighted average anticipated net credit losses	NM		40.0	%	37.9	%
Weighted average life	3.5 to 5.6 years		9.7 years		0.0 to 12.2 years



	March 31, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 11.3%		1.4	%	4.9% to 9.1%
Weighted average discount rate	10.3	%	1.4	%	7.1	%
Constant prepayment rate	0.0% to 16.0%		0.0	%	6.1	%
Weighted average constant prepayment rate	4.7	%	0.0	%	6.1	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	40.0% to 51.8%
Weighted average anticipated net credit losses	NM		40.0	%	50.7	%
Weighted average life	0.0 to 9.7 years		2.6 years		3.0 to 14.5 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 March 31, 2015 and December 31, 2014, 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.



	March 31, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 20.9%		1.1% to 18.5%		2.2% to 19.5%
Weighted average discount rate	6.7	%	5.6	%	7.8	%
Constant prepayment rate	6.6% to 42.7%		2.6% to 100.0%		0.5% to 16.5%
Weighted average constant prepayment rate	16.8	%	16.1	%	6.4	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 94.9%		37.8% to 91.4%
Weighted average anticipated net credit losses	NM		48.9	%	53.8	%
Weighted average life	0.5 to 17.8 years		0.3 to 13.2 years		0.5 to 25.1 years



	December 31, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 21.2%		1.1% to 17.7%		1.3% to 19.6%
Weighted average discount rate	8.0	%	4.9	%	8.2	%
Constant prepayment rate	6.0% to 41.4%		2.0% to 100.0%		0.5% to 16.2%
Weighted average constant prepayment rate	14.7	%	10.1	%	7.2	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 92.4%		13.7% to 83.8%
Weighted average anticipated net credit losses	NM		54.6	%	52.5	%
Weighted average life	0.0 to 16.0 years		0.3 to 14.4 years		0.0 to 24.4 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 March 31, 2015	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,078		$	234		$	556
Discount rates
Adverse change of 10%	$	(54	)	$	(5	)	$	(29	)
Adverse change of 20%	(105		)	(9		)	(55		)
Constant prepayment rate
Adverse change of 10%	(95		)	(1		)	(9		)
Adverse change of 20%	(181		)	(2		)	(18		)
Anticipated net credit losses
Adverse change of 10%	NM			(3		)	(9		)
Adverse change of 20%	NM			(4		)	(17		)



				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at December 31, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,224		$	285		$	554
Discount rates
Adverse change of 10%	$	(64	)	$	(5	)	$	(30	)
Adverse change of 20%	(124		)	(9		)	(57		)
Constant prepayment rate
Adverse change of 10%	(86		)	(1		)	(9		)
Adverse change of 20%	(165		)	(2		)	(18		)
Anticipated net credit losses
Adverse change of 10%	NM			(2		)	(9		)
Adverse change of 20%	NM			(3		)	(16		)


(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 March 31, 2015 and December 31, 2014, 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:



	March 31, 2015	December 31, 2014
Discount rate	1.4% to 1.6%	1.4% to 1.6%

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



March 31, 2015
In millions of dollars	CLO
Carrying value of retained interests	$	1,537
Value of underlying portfolio
Adverse change of 10%	$	(8	)
Adverse change of 20%	(17		)



December 31, 2014
In millions of dollars	CLO
Carrying value of retained interests	$	1,539
Value of underlying portfolio
Adverse change of 10%	$	(9	)
Adverse change of 20%	(18		)

Schedule of asset-based financing

The primary types of Citicorp’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and the Company’s maximum exposure to loss at March 31, 2015 and December 31, 2014 are shown below. For the Company to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.



	March 31, 2015
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	25,424	$	9,687
Corporate loans	587		724
Hedge funds and equities	365		57
Airplanes, ships and other assets	32,913		15,101
Total	$	59,289	$	25,569



	December 31, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	25,978	$	9,426
Corporate loans	460		473
Hedge funds and equities	—		—
Airplanes, ships and other assets	34,990		15,573
Total	$	61,428	$	25,472

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 quarters ended March 31, 2015 and 2014:

Citi Holdings

Variable Interest Entity

Schedule of securitized credit card receivables

The following table summarizes selected cash flow information related to Citi Holdings’ credit card securitizations for the quarters ended March 31, 2015 and 2014:

Schedule of cash flow information, mortgage securitizations

The following table summarizes selected cash flow information related to Citi Holdings mortgage securitizations for the quarters ended March 31, 2015 and 2014:



	2015				2014
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		—		—		—

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

At March 31, 2015 and December 31, 2014, 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 in fact 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.



	March 31, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽²⁾
Discount rate	1.1% to 19.4%		40.1	%	—
Weighted average discount rate	8.2	%	40.1	%	—
Constant prepayment rate	15.1% to 23.6%		21.5	%	—
Weighted average constant prepayment rate	19.1	%	21.5	%	—
Anticipated net credit losses	NM		0.5	%	—
Weighted average anticipated net credit losses	NM		0.5	%	—
Weighted average life	4.2 to 4.7 years		4.4 years		—



	December 31, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽²⁾
Discount rate	1.9% to 19.2%		5.1% to 47.1%		—
Weighted average discount rate	13.7	%	36.3	%	—
Constant prepayment rate	20.4% to 32.3%		6.7% to 20.0%		—
Weighted average constant prepayment rate	23.9	%	16.6	%	—
Anticipated net credit losses	NM		0.3% to 73.7%		—
Weighted average anticipated net credit losses	NM		19.2	%	—
Weighted average life	3.3 to 4.6 years		3.9 to 6.4 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 March 31, 2015 and December 31, 2014.

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 March 31, 2015	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	110		$	15		$	—
Discount rates
Adverse change of 10%	$	(4	)	$	(1	)	$	—
Adverse change of 20%	(7		)	(1		)	—
Constant prepayment rate
Adverse change of 10%	(7		)	(2		)	—
Adverse change of 20%	(13		)	(5		)	—
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, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	150		$	25		$	—
Discount rates
Adverse change of 10%	$	(5	)	$	(2	)	$	—
Adverse change of 20%	(10		)	(4		)	—
Constant prepayment rate
Adverse change of 10%	(7		)	(2		)	—
Adverse change of 20%	(14		)	(3		)	—
Anticipated net credit losses
Adverse change of 10%	NM			(4		)	—
Adverse change of 20%	NM			(7		)	—


(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 March 31, 2015 and December 31, 2014, 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:



	March 31, 2015
	CDOs	CLOs
Discount rate	44.8% to 49.3%	—



	December 31, 2014
	CDOs	CLOs
Discount rate	44.7% to 49.2%	4.5% to 5.0%

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



	March 31, 2015
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	6		$	—
Discount rates
Adverse change of 10%	$	(1	)	$	—
Adverse change of 20%	(1		)	—



	December 31, 2014
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	6		$	10
Discount rates
Adverse change of 10%	$	(1	)	$	—
Adverse change of 20%	(2		)	—

Schedule of asset-based financing

The primary types of Citi Holdings’ asset-based financing, total assets of the unconsolidated VIEs with significant involvement and the Company’s maximum exposure to loss at March 31, 2015 and December 31, 2014 are shown below. For the Company to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.



	March 31, 2015
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	97	$	50
Airplanes, ships and other assets	1,068		73
Total	$	1,165	$	123



	December 31, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	168	$	50
Airplanes, ships and other assets	1,153		76
Total	$	1,321	$	126

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 quarters ended March 31, 2015 and 2014:

Three months ended March 31,

In billions of dollars

Proceeds from new securitizations

Cash flows received on retained interest and other net cash flows