SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2016

Securitizations and Variable Interest Entities [Abstract]

Schedule of consolidated and unconsolidated VIEs with which the Company holds significant variable interests

Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:



	As of March 31, 2016
							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	$	51,365	$	51,365	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	232,273		—		232,273		4,541		—		—		91		4,632
Non-agency-sponsored	20,368		1,540		18,828		425		35		—		1		461
Citi-administered asset-backed commercial paper conduits (ABCP)	21,437		21,437		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	15,071		—		15,071		3,502		—		—		84		3,586
Asset-based financing	56,719		1,263		55,456		19,211		406		3,998		451		24,066
Municipal securities tender option bond trusts (TOBs)	8,167		3,574		4,593		50		—		2,962		—		3,012
Municipal investments	19,274		42		19,232		2,339		2,757		2,399		—		7,495
Client intermediation	502		352		150		50		—		—		—		50
Investment funds	2,533		828		1,705		25		157		78		—		260
Other	4,865		636		4,229		301		550		71		50		972
Total⁽⁵⁾	$	432,574	$	81,037	$	351,537	$	30,444	$	3,905	$	9,508	$	677	$	44,534



	As of December 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
Credit card securitizations	$	54,916	$	54,916	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	217,291		—		217,291		3,571		—		—		95		3,666
Non-agency-sponsored	13,036		1,586		11,450		527		—		—		1		528
Citi-administered asset-backed commercial paper conduits (ABCP)	21,280		21,280		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	16,719		—		16,719		3,150		—		—		86		3,236
Asset-based financing	58,862		1,364		57,498		21,270		269		3,616		436		25,591
Municipal securities tender option bond trusts (TOBs)	8,572		3,830		4,742		2		—		3,100		—		3,102
Municipal investments	20,290		44		20,246		2,196		2,487		2,335		—		7,018
Client intermediation	434		335		99		49		—		—		—		49
Investment funds	1,730		842		888		13		138		102		—		253
Other	4,915		597		4,318		292		554		—		52		898
Total⁽⁵⁾	$	418,045	$	84,794	$	333,251	$	31,070	$	3,448	$	9,153	$	670	$	44,341

Note: Certain adjustments have been made to the December 31, 2015 information to conform to the current period’s presentation.

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


(2)	Included on Citigroup’s March 31, 2016 and December 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.


(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) Citi’s total involvement with Citicorp SPE assets was $402.2 billion and $383.2 billion as of March 31, 2016 and December 31, 2015, 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:



	March 31, 2016				December 31, 2015
In millions of dollars	Liquidity facilities		Loan / equity commitments		Liquidity facilities		Loan / equity commitments
Asset-based financing	$	5	$	3,993	$	5	$	3,611
Municipal securities tender option bond trusts (TOBs)	2,962		—		3,100		—
Municipal investments	—		2,399		—		2,335
Investment funds	—		78		—		102
Other	—		71		—		—
Total funding commitments	$	2,967	$	6,541	$	3,105	$	6,048

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:



In billions of dollars	March 31, 2016		December 31, 2015
Cash	$	0.2	$	0.2
Trading account assets	0.6		0.6
Investments	5.2		5.3
Total loans, net of allowance	74.9		78.6
Other	0.1		0.1
Total assets	$	81.0	$	84.8
Short-term borrowings	$	13.6	$	14.0
Long-term debt	29.1		31.3
Other liabilities	2.0		2.1
Total liabilities⁽¹⁾	$	44.7	$	47.4

(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 $42.7 billion and $45.3 billion as of March 31, 2016 and December 31, 2015, 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: (i) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $1.9 billion at March 31, 2016 and December 31, 2015; and (ii) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $82 million at March 31, 2016 and December 31, 2015.

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:



In billions of dollars	March 31, 2016		December 31, 2015
Cash	$	0.1	$	0.1
Trading account assets	7.7		6.2
Investments	3.5		3.0
Total loans, net of allowance	21.7		23.6
Other	1.4		1.7
Total assets	$	34.4	$	34.6

Schedule of securitized credit card receivables

The following table reflects amounts related to the Company’s securitized credit card receivables:



In billions of dollars	March 31, 2016		December 31, 2015
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	27.5	$	29.7
Retained by Citigroup as trust-issued securities	8.1		9.4
Retained by Citigroup via non-certificated interests	16.1		16.5
Total	$	51.7	$	55.6

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



	Three months ended March 31,
In billions of dollars	2016			2015
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes	(2.2		)	(2.7		)

Schedule of Master Trust liabilities (at par value)

Master Trust Liabilities (at Par Value)



In billions of dollars	March 31, 2016		Dec. 31, 2015
Term notes issued to third parties	$	26.2	$	28.4
Term notes retained by Citigroup affiliates	6.3		7.5
Total Master Trust liabilities	$	32.5	$	35.9

Schedule of Omni Trust liabilities (at par value)

Omni Trust Liabilities (at Par Value)



In billions of dollars	March 31, 2016		Dec. 31, 2015
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 table summarizes selected cash flow information related to Citigroup mortgage securitizations:



	2016				2015
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⁽¹⁾	$	10.6	$	4.2	$	8.3	$	3.6
Contractual servicing fees received	0.1		—		0.1		—
Cash flows received on retained interests and other net cash flows	—		—		—		—

(1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations.

Schedule of key assumptions used in measuring fair value of retained interest at the date of sale or securitization of mortgage receivables

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:



	March 31, 2016
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	2.1% to 11.5%		—	—
Weighted average discount rate	8.4	%	—	—
Constant prepayment rate	9.1% to 23.3%		—	—
Weighted average constant prepayment rate	11.8	%	—	—
Anticipated net credit losses⁽²⁾	NM		—	—
Weighted average anticipated net credit losses	NM		—	—
Weighted average life	3.5 to 17.5 years		—	—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the first quarter of 2016.



	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	%	4.4	%
Weighted average discount rate	6.0	%	2.8	%	4.4	%
Constant prepayment rate	11.7% to 34.9%		0.0	%	3.3	%
Weighted average constant prepayment rate	17.6	%	0.0	%	3.3	%
Anticipated net credit losses⁽²⁾	NM		40.0	%	55.9	%
Weighted average anticipated net credit losses	NM		40.0	%	55.9	%
Weighted average life	3.5 to 11.4 years		9.7 years		0.0 to 12.2 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)	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

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, 2016
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.3% to 25.4%		1.5% to 20.3%		2.5% to 27.1%
Weighted average discount rate	5.3	%	5.8	%	9.2	%
Constant prepayment rate	7.0% to 44.6%		4.6% to 100.0%		0.5% to 40.2%
Weighted average constant prepayment rate	16.3	%	15.7	%	7.5	%
Anticipated net credit losses⁽²⁾	NM		0.4% to 87.4%		3.2% to 94.6%
Weighted average anticipated net credit losses	NM		50.7	%	55.5	%
Weighted average life	0.7 to 19.5 years		0.3 to 18.5 years		1.2 to 18.8 years



	December 31, 2015
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 27.0%		1.6% to 67.6%		2.0% to 24.9%
Weighted average discount rate	4.9	%	7.6	%	8.4	%
Constant prepayment rate	5.7% to 27.8%		4.2% to 100.0%		0.5% to 20.8%
Weighted average constant prepayment rate	12.3	%	14.0	%	7.5	%
Anticipated net credit losses⁽²⁾	NM		0.2% to 89.1%		3.8% to 92.0%
Weighted average anticipated net credit losses	NM		48.9	%	54.4	%
Weighted average life	1.3 to 21.0 years		0.3 to 18.1 years		0.9 to 19.0 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	Anticipated net credit losses are not meaningful due to U.S. agency guarantees.



	March 31, 2016
				Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	3,186		$	100		$	297
Discount rates
Adverse change of 10%	$	(62	)	$	(9	)	$	(15	)
Adverse change of 20%	(121		)	(19		)	(28		)
Constant prepayment rate
Adverse change of 10%	(113		)	(1		)	(6		)
Adverse change of 20%	(217		)	(2		)	(12		)
Anticipated net credit losses
Adverse change of 10%	NM			(8		)	(6		)
Adverse change of 20%	NM			(16		)	(11		)



	December 31, 2015
				Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	3,546		$	179		$	533
Discount rates
Adverse change of 10%	$	(79	)	$	(8	)	$	(25	)
Adverse change of 20%	(155		)	(15		)	(49		)
Constant prepayment rate
Adverse change of 10%	(111		)	(3		)	(9		)
Adverse change of 20%	(213		)	(6		)	(18		)
Anticipated net credit losses
Adverse change of 10%	NM			(6		)	(7		)
Adverse change of 20%	NM			(11		)	(14		)

Note: There were no subordinated interests in mortgage securitizations in Citi Holdings as of March 31, 2016 and December 31, 2015.


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


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

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:



In millions of dollars	2016			2015
Balance, beginning of year	$	1,781		$	1,845
Originations	33			43
Changes in fair value of MSRs due to changes in inputs and assumptions	(225		)	(71		)
Other changes⁽¹⁾	(79		)	(100		)
Sale of MSRs⁽²⁾	14			(32		)
Balance, as of March 31	$	1,524		$	1,685


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


(2)	Current 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 were as follows:



In millions of dollars	2016		2015
Servicing fees	$	128	$	140
Late fees	4		4
Ancillary fees	5		7
Total MSR fees	$	137	$	151

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

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:



	Mar. 31, 2016	Dec. 31, 2015
Discount rate	1.1% to 41.9%	1.4% to 49.6%

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



In millions of dollars	Mar. 31, 2016			Dec. 31, 2015
Carrying value of retained interests	$	907		$	918
Discount rates
Adverse change of 10%	$	(5	)	$	(5	)
Adverse change of 20%	(10		)	(10		)

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 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, 2016
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	14,633	$	4,071
Corporate loans	1,529		2,284
Hedge funds and equities	377		56
Airplanes, ships and other assets	38,917		17,655
Total	$	55,456	$	24,066



	December 31, 2015
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	17,459	$	6,528
Corporate loans	1,274		1,871
Hedge funds and equities	385		55
Airplanes, ships and other assets	38,380		17,137
Total	$	57,498	$	25,591