SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2015

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

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



	As of September 30, 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
Credit card securitizations	$	54,075	$	53,924	$	151	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	238,077		—		238,077		3,840		—		—		97		3,937
Non-agency-sponsored	16,061		1,728		14,333		458		—		—		1		459
Citi-administered asset-backed commercial paper conduits (ABCP)	24,117		24,117		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,515		—		3,515		165		—		—		86		251
Collateralized loan obligations (CLOs)	16,567		—		16,567		2,484		—		—		—		2,484
Asset-based financing	71,046		1,335		69,711		24,183		267		3,266		399		28,115
Municipal securities tender option bond trusts (TOBs)	9,087		4,259		4,828		56		—		3,136		—		3,192
Municipal investments	22,512		54		22,458		2,272		2,208		2,651		—		7,131
Client intermediation	1,800		358		1,442		49		—		—		—		49
Investment funds ⁽⁵⁾	27,801		918		26,883		13		350		104		—		467
Other	13,271		9,063		4,208		75		556		22		53		706
Total⁽⁶⁾	$	497,929	$	95,756	$	402,173	$	33,595	$	3,381	$	9,179	$	636	$	46,791



	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
Credit card securitizations	$	60,503	$	60,271	$	232	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	264,848		—		264,848		5,213		—		—		110		5,323
Non-agency-sponsored	17,888		1,304		16,584		577		—		—		1		578
Citi-administered asset-backed commercial paper conduits (ABCP)	29,181		29,181		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	5,617		—		5,617		219		—		—		86		305
Collateralized loan obligations (CLOs)	14,119		—		14,119		1,746		—		—		—		1,746
Asset-based financing	63,900		1,151		62,749		22,928		66		2,271		333		25,598
Municipal securities tender option bond trusts (TOBs)	12,280		6,671		5,609		3		—		3,670		—		3,673
Municipal investments	23,706		70		23,636		2,014		2,197		2,225		—		6,436
Client intermediation	1,745		137		1,608		10		—		—		10		20
Investment funds ⁽⁵⁾	31,992		1,096		30,896		16		382		124		—		522
Other	8,298		2,909		5,389		183		1,451		23		73		1,730
Total⁽⁶⁾	$	534,077	$	102,790	$	431,287	$	32,909	$	4,096	$	8,313	$	613	$	45,931


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


(2)	Included on Citigroup’s September 30, 2015 and 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)	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) 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.

(6) Citi’s total involvement with Citicorp SPE assets was $451.7 billion and $481.3 billion as of September 30, 2015 and December 31, 2014, respectively, with the remainder related to Citi Holdings.

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, 2015 and December 31, 2014:



	September 30, 2015				December 31, 2014
	Liquidity		Loan / equity		Liquidity		Loan / equity
In millions of dollars	facilities		commitments		facilities		commitments
Asset-based financing	$	5	$	3,261	$	5	$	2,266
Municipal securities tender option bond trusts (TOBs)	3,136		—		3,670		—
Municipal investments	—		2,651		—		2,225
Investment funds	—		104		—		124
Other	—		22		—		23
Total funding commitments	$	3,141	$	6,038	$	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 September 30, 2015 and December 31, 2014:



In billions of dollars	September 30, 2015		December 31, 2014
Cash	$	0.2	$	0.3
Trading account assets	0.6		0.7
Investments	5.6		8.0
Total loans, net of allowance	80.7		93.2
Other	8.7		0.6
Total assets	$	95.8	$	102.8
Short-term borrowings	$	13.8	$	22.7
Long-term debt	32.4		40.1
Other liabilities	6.5		0.9
Total liabilities ⁽¹⁾	$	52.7	$	63.7

(1)

The total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citi were $50.5 billion and $61.2 billion as of September 30, 2015 and December 31, 2014, respectively. Liabilities of consolidated VIEs for which creditors or beneficial interest holders have recourse to the general credit of Citi comprise two items included in the above table: 1) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $2.2 billion at September 30, 2015 and December 31, 2014 and; 2) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $83 million and $198 million at September 30, 2015 and December 31, 2014, respectively.

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, 2015 and December 31, 2014:



In billions of dollars	September 30, 2015		December 31, 2014
Cash	$	0.1	$	—
Trading account assets	5.9		7.6
Investments	2.8		2.6
Total loans, net of allowance	26.4		25.0
Other	1.8		2.0
Total assets	$	37.0	$	37.2

Schedule of securitized credit card receivables

The following table reflects amounts related to the Company’s securitized credit card receivables as of September 30, 2015 and December 31, 2014:



In billions of dollars	September 30, 2015		December 31, 2014
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	30.7	$	37.0
Retained by Citigroup as trust-issued securities	8.6		10.1
Retained by Citigroup via non-certificated interests	15.5		14.2
Total	$	54.8	$	61.3

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations for the three and nine months ended September 30, 2015 and 2014:



	Three months ended September 30,
In billions of dollars	2015			2014
Proceeds from new securitizations	$	—		$	3.1
Pay down of maturing notes	(0.7		)	(2.8		)



	Nine months ended September 30,
In billions of dollars	2015			2014
Proceeds from new securitizations	$	—		$	9.9
Pay down of maturing notes	(6.5		)	(4.1		)

Schedule of Master Trust liabilities (at par value)

Master Trust Liabilities (at par value)



In billions of dollars	September 30, 2015		Dec. 31, 2014
Term notes issued to third parties	$	29.4	$	35.7
Term notes retained by Citigroup affiliates	6.7		8.2
Total Master Trust liabilities	$	36.1	$	43.9

Schedule of Omni Trust liabilities (at par value)

Omni Trust Liabilities (at par value)



In billions of dollars	September 30, 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 cash flow information, mortgage securitizations

The following tables summarize selected cash flow information related to Citigroup mortgage securitizations for the three and nine months ended September 30, 2015 and 2014:



	Three months ended September 30,
	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	$	6.8	$	3.1	$	6.3	$	1.7
Contractual servicing fees received	0.1		—		0.1		—
Cash flows received on retained interests and other net cash flows	—		—		—		—



	Nine months ended September 30,
	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	$	19.8	$	9.2	$	19.6	$	6.9
Contractual servicing fees received	0.4		—		0.3		—
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 three and nine months ended September 30, 2015 and 2014 were as follows:



	Three months ended September 30, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	3.0% to 10.7%		3.2	%	—
Weighted average discount rate	9.1	%	3.2	%	—
Constant prepayment rate	8.4% to 14.1%		—		—
Weighted average constant prepayment rate	11.1	%	—		—
Anticipated net credit losses ⁽²⁾	NM		40.0	%	—
Weighted average anticipated net credit losses	NM		40.0	%	—
Weighted average life	6.5 to 9.3 years		9.8 years		—



	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	12.4	%	—	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



	Nine months ended September 30, 2015
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 10.7%		2.8% to 3.2%		0.0% to 12.1%
Weighted average discount rate	7.7	%	2.9	%	5.5	%
Constant prepayment rate	5.7% to 34.9%		0.0	%	0.0% to 8.0%
Weighted average constant prepayment rate	12.7	%	0.0	%	3.3	%
Anticipated net credit losses⁽²⁾	NM		40.0	%	0.0% to 55.9%
Weighted average anticipated net credit losses	NM		40.0	%	40.2	%
Weighted average life	3.5 to 10.1 years		9.7 to 9.8 years		0.0 to 12.9 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	11.2	%	3.8	%	7.8	%
Constant prepayment rate	0.0% to 18.1%		0.0	%	0.5% to 8.9%
Weighted average constant prepayment rate	5.3	%	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


(1)	Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.


(2)	Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.


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

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

At September 30, 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.



	September 30, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽³⁾
Discount rate	0.0% to 30.5%		1.1% to 38.6%		2.0% to 22.6%
Weighted average discount rate	6.0	%	8.5	%	7.7	%
Constant prepayment rate	6.8% to 28.6%		2.9% to 100.0%		0.5% to 22.1%
Weighted average constant prepayment rate	14.4	%	15.9	%	7.3	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 88.7%		4.4% to 89.4%
Weighted average anticipated net credit losses	NM		44.9	%	52.1	%
Weighted average life	1.6 to 20.7 years		0.3 to 22.4 years		0.1 to 21.4 years



	December 31, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽³⁾
Discount rate	0.0% to 21.2%		1.1% to 47.1%		1.3% to 19.6%
Weighted average discount rate	8.4	%	7.7	%	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	15.3	%	10.9	%	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		51.7	%	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.


(3)	Citi Holdings held no subordinated interests in mortgage securitizations as of September 30, 2015 and December 31, 2014.


NM	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, 2015	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,584		$	192		$	514
Discount rates
Adverse change of 10%	$	(62	)	$	(8	)	$	(24	)
Adverse change of 20%	(122		)	(15		)	(46		)
Constant prepayment rate
Adverse change of 10%	(105		)	(3		)	(6		)
Adverse change of 20%	(202		)	(6		)	(14		)
Anticipated net credit losses
Adverse change of 10%	NM			(6		)	(6		)
Adverse change of 20%	NM			(11		)	(12		)



				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	$	2,374		$	310		$	554
Discount rates
Adverse change of 10%	$	(69	)	$	(7	)	$	(30	)
Adverse change of 20%	(134		)	(13		)	(57		)
Constant prepayment rate
Adverse change of 10%	(93		)	(3		)	(9		)
Adverse change of 20%	(179		)	(5		)	(18		)
Anticipated net credit losses
Adverse change of 10%	NM			(6		)	(9		)
Adverse change of 20%	NM			(10		)	(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.


(2)	Citi Holdings held no subordinated interests in mortgage securitizations as of September 30, 2015 and December 31, 2014.


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

Schedule of changes in capitalized MSRs

The following tables summarize the changes in capitalized MSRs for the three and nine months ended September 30, 2015 and 2014:



	Three months ended September 30,
In millions of dollars	2015			2014
Balance, as of June 30	$	1,924		$	2,282
Originations	57			52
Changes in fair value of MSRs due to changes in inputs and assumptions	(140		)	(11		)
Other changes ⁽¹⁾	(79		)	(108		)
Sale of MSRs	4			(122		)
Balance, as of September 30	$	1,766		$	2,093



	Nine months ended September 30,
In millions of dollars	2015			2014
Balance, beginning of year	$	1,845		$	2,718
Originations	168			151
Changes in fair value of MSRs due to changes in inputs and assumptions	51			(186		)
Other changes ⁽¹⁾	(261		)	(333		)
Sale of MSRs	(37		)	(257		)
Balance, as of September 30	$	1,766		$	2,093


(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, 2015 and 2014 were as follows:



	Three months ended September 30,				Nine months ended September 30,
In millions of dollars	2015		2014		2015		2014
Servicing fees	$	135	$	159	$	416	$	491
Late fees	4		5		12		20
Ancillary fees	6		11		28		47
Total MSR fees	$	145	$	175	$	456	$	558

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, 2015 and December 31, 2014, the key assumptions used to value retained interests in CLOs and CDOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:



	September 30, 2015
	CDOs	CLOs
Discount rate	45.0% to 49.5%	1.5% to 1.6%



	September 30, 2015
	CDOs	CLOs
Discount rate	45.0% to 49.5%	1.5% to 1.6%



	December 31, 2014
	CDOs	CLOs
Discount rate	44.7% to 49.2%	1.4% to 5.0%

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



	September 30, 2015
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	7		$	911
Discount rates
Adverse change of 10%	$	—		$	(5	)
Adverse change of 20%	(1		)	(10		)



	December 31, 2014
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	6		$	1,549
Discount rates
Adverse change of 10%	$	(1	)	$	(9	)
Adverse change of 20%	(2		)	(18		)

Schedule of asset-based financing

The primary types of Citigroup’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and the Company’s maximum exposure to loss at September 30, 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.



	September 30, 2015
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	33,911	$	11,203
Corporate loans	665		747
Hedge funds and equities	358		53
Airplanes, ships and other assets	34,777		16,112
Total	$	69,711	$	28,115



	December 31, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	26,146	$	9,476
Corporate loans	460		473
Hedge funds and equities	—		—
Airplanes, ships and other assets	36,143		15,649
Total	$	62,749	$	25,598

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

The following tables summarize selected cash flow information related to asset-based financings for the three and nine months ended September 30, 2015 and 2014:

Three months ended
September 30,

In billions of dollars

Proceeds from new securitizations

Cash flows received on retained interests and other net cash flows