SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Notes 22 and 20 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K and First Quarter of 2016 Quarterly Report on Form 10-Q, respectively.

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 September 30, 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	$	50,416	$	50,416	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	217,482		—		217,482		3,678		—		—		82		3,760
Non-agency-sponsored	15,257		1,244		14,013		232		38		—		1		271
Citi-administered asset-backed commercial paper conduits (ABCP)	20,324		20,324		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	18,592		—		18,592		4,752		—		—		83		4,835
Asset-based financing	58,084		1,231		56,853		19,508		456		5,193		437		25,594
Municipal securities tender option bond trusts (TOBs)	7,289		2,980		4,309		161		—		2,672		—		2,833
Municipal investments	17,371		17		17,354		2,306		3,272		2,321		—		7,899
Client intermediation	517		337		180		53		—		—		—		53
Investment funds	2,744		788		1,956		35		156		59		3		253
Other	1,346		619		727		149		—		119		45		313
Total⁽⁵⁾	$	409,422	$	77,956	$	331,466	$	30,874	$	3,922	$	10,364	$	651	$	45,811



	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 September 30, 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 $390.9 billion and $383.2 billion as of September 30, 2016 and December 31, 2015, respectively, with the remainder related to Citi Holdings.

The previous tables do not include:


•	certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);


•	certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;


•	certain VIEs structured by third parties where the Company holds securities in inventory, as these investments are made on arm’s-length terms;


•	certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, where the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 20 and 12 to the Consolidated Financial Statements);

•

certain representations and warranties exposures in legacy ICG-sponsored mortgage-backed and asset-backed securitizations, where the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 where the Company has no variable interest or continuing involvement as servicer was approximately $10 billion and $12 billion at September 30, 2016 and December 31, 2015, respectively;


•	certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and


•	VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.

The asset balances for unconsolidated VIEs where the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company. For VIEs that obtain asset exposures synthetically through derivative instruments, the tables generally include the full original notional amount of the derivative as an asset balance.

The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company, or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps, or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments

The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:



	September 30, 2016				December 31, 2015
In millions of dollars	Liquidity facilities		Loan / equity commitments		Liquidity facilities		Loan / equity commitments
Asset-based financing	$	5	$	5,188	$	5	$	3,611
Municipal securities tender option bond trusts (TOBs)	2,672		—		3,100		—
Municipal investments	—		2,321		—		2,335
Investment funds	—		59		—		102
Other	—		119		—		—
Total funding commitments	$	2,677	$	7,687	$	3,105	$	6,048

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	September 30, 2016		December 31, 2015
Cash	$	0.1	$	0.1
Trading account assets	7.6		6.2
Investments	4.1		3.0
Total loans, net of allowance	21.8		23.6
Other	1.2		1.7
Total assets	$	34.8	$	34.6

Credit Card Securitizations

Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and the Citibank Omni Master Trust (Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.

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



In billions of dollars	September 30, 2016		December 31, 2015
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	23.4	$	29.7
Retained by Citigroup as trust-issued securities	7.8		9.4
Retained by Citigroup via non-certificated interests	18.7		16.5
Total	$	49.9	$	55.6

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:



	Three months ended September 30,
In billions of dollars	2016			2015
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes	(2.8		)	(0.7		)



	Nine months ended September 30,
In billions of dollars	2016			2015
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes	(6.3		)	(6.5		)

The weighted average maturity of the third-party term notes issued by the Master Trust was 2.2 years as of September 30, 2016 and 2.4 years as of December 31, 2015.

Master Trust Liabilities (at Par Value)



In billions of dollars	September 30, 2016		Dec. 31, 2015
Term notes issued to third parties	$	22.1	$	28.4
Term notes retained by Citigroup affiliates	5.9		7.5
Total Master Trust liabilities	$	28.0	$	35.9

The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.1 years as of September 30, 2016 and 0.9 years as of December 31, 2015.

Omni Trust Liabilities (at Par Value)



In billions of dollars	September 30, 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

Mortgage Securitizations

The following tables summarize selected cash flow information related to Citigroup mortgage securitizations:



	Three months ended September 30,
	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	$	11.7	$	1.4	$	6.8	$	3.1
Contractual servicing fees received	0.1		—		0.1		—



	Nine months ended September 30,
	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⁾	$	32.5	$	8.0	$	19.8	$	9.2
Contractual servicing fees received	0.3		—		0.4		—

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

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $36 million and $81 million for the three and nine months ended September 30, 2016, respectively. For the three and nine months ended September 30, 2016, gains recognized on the securitization of non-agency sponsored mortgages were $37 million and $65 million, respectively.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $25 million and $115 million for the three and nine months ended September 30, 2015, respectively. For the three and nine months ended September 30, 2015, gains recognized on the securitization of non-agency sponsored mortgages were $7 million and $38 million, respectively.

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



	Three months ended September 30, 2016
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	1.5% to 13.0%		—	—
Weighted average discount rate	10.0	%	—	—
Constant prepayment rate	7.7% to 30.9%		—	—
Weighted average constant prepayment rate	13.7	%	—	—
Anticipated net credit losses⁽²⁾	NM		—	—
Weighted average anticipated net credit losses	NM		—	—
Weighted average life	2.0 to 9.8 years		—	—

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



	Three months ended September 30, 2015
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	2.3% to 10.7%		3.2	%	—
Weighted average discount rate	8.1	%	3.2	%	—
Constant prepayment rate	8.4% to 16.6%		—		—
Weighted average constant prepayment rate	11.8	%	—		—
Anticipated net credit losses⁽²⁾	NM		40.0	%	—
Weighted average anticipated net credit losses	NM		40.0	%	—
Weighted average life	6.3 to 9.3 years		9.8 years		—



	Nine months ended September 30, 2016
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	0.8% to 13.0%		—	—
Weighted average discount rate	9.1	%	—	—
Constant prepayment rate	7.7% to 30.9%		—	—
Weighted average constant prepayment rate	12.8	%	—	—
Anticipated net credit losses⁽²⁾	NM		—	—
Weighted average anticipated net credit losses	NM		—	—
Weighted average life	0.5 to 17.5 years		—	—

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



	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%		4.4% to 12.1%
Weighted average discount rate	6.4	%	2.9	%	7.2	%
Constant prepayment rate	5.7% to 34.9%		0.0	%	3.3% to 8.0%
Weighted average constant prepayment rate	12.6	%	0.0	%	4.2	%
Anticipated net credit losses⁽²⁾	NM		40.0	%	38.1% to 55.9%
Weighted average anticipated net credit losses	NM		40.0	%	52.0	%
Weighted average life	3.5 to 12.8 years		9.7 to 9.8 years		0.0 to 12.9 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.

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.

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, 2016
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.3% to 31.3%		4.8% to 7.8%		5.2% to 32.7%
Weighted average discount rate	7.0	%	6.5	%	13.3	%
Constant prepayment rate	7.7% to 36.0%		4.2% to 9.8%		0.5% to 37.5%
Weighted average constant prepayment rate	16.4	%	5.6	%	10.8	%
Anticipated net credit losses⁽²⁾	NM		51.5% to 85.6%		8.0% to 94.4%
Weighted average anticipated net credit losses	NM		76.1	%	47.5	%
Weighted average life	0.3 to 17.6 years		6.5 to 16.9 years		1.2 to 17.6 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.



	September 30, 2016
				Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,261		$	20		$	166
Discount rates
Adverse change of 10%	$	(54	)	$	(6	)	$	(8	)
Adverse change of 20%	(105		)	(12		)	(16		)
Constant prepayment rate
Adverse change of 10%	(91		)	(1		)	(4		)
Adverse change of 20%	(189		)	(3		)	(9		)
Anticipated net credit losses
Adverse change of 10%	NM			(6		)	(2		)
Adverse change of 20%	NM			(12		)	(3		)



	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 September 30, 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.

Mortgage Servicing Rights (MSRs)

The fair value of Citi’s capitalized MSRs was $1.3 billion and $1.8 billion at September 30, 2016 and 2015, respectively. The MSRs correspond to principal loan balances of $173 billion and $203 billion as of September 30, 2016 and 2015, respectively. The following tables summarize the changes in capitalized MSRs:



	Three months ended September 30,
In millions of dollars	2016			2015
Balance, as of June 30	$	1,324		$	1,924
Originations	43			57
Changes in fair value of MSRs due to changes in inputs and assumptions	13			(140		)
Other changes⁽¹⁾	(78		)	(79		)
Sale of MSRs⁽²⁾	(32		)	4
Balance, as of September 30	$	1,270		$	1,766



	Nine months ended September 30,
In millions of dollars	2016			2015
Balance, beginning of year	$	1,781		$	1,845
Originations	111			168
Changes in fair value of MSRs due to changes in inputs and assumptions	(349		)	51
Other changes⁽¹⁾	(255		)	(261		)
Sale of MSRs⁽²⁾	(18		)	(37		)
Balance, as of September 30	$	1,270		$	1,766


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


(2)	Amount includes sales of credit challenged MSRs for which Citi paid the new servicer.

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:



	Three months ended September 30,				Nine months ended September 30,
In millions of dollars	2016		2015		2016		2015
Servicing fees	$	117	$	135	$	371	$	416
Late fees	3		4		11		12
Ancillary fees	4		6		13		28
Total MSR fees	$	124	$	145	$	395	$	456

In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.

Re-securitizations

The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private-label) securities to re-securitization entities during the three and nine months ended September 30, 2016. During the three and nine months ended September 30, 2015, Citi transferred non-agency (private-label) securities with an original par value of $141 million and $790 million, respectively, to re-securitization entities. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of September 30, 2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $133 million (all related to re-securitization transactions executed prior to 2016), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2015, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $428 million (including $132 million related to re-securitization transactions executed in 2015). Of this amount, approximately $18 million was related to senior beneficial interests, and approximately $410 million was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of September 30, 2016 and December 31, 2015 was approximately $1.5 billion and $3.7 billion, respectively.

The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and nine months ended September 30, 2016, Citi transferred agency securities with a fair value of approximately $7.1 billion and $21.3 billion, respectively, to re-securitization entities compared to approximately $3.5 billion and $12.4 billion for the three and nine months ended September 30, 2015.

As of September 30, 2016, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.4 billion (including $670 million related to re-securitization transactions executed in 2016) compared to $1.8 billion as of December 31, 2015 (including $1.5 billion related to re-securitization transactions executed in 2015), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of September 30, 2016 and December 31, 2015 was approximately $69.9 billion and $65.0 billion, respectively.

As of September 30, 2016 and December 31, 2015, the Company did not consolidate any private-label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At September 30, 2016 and December 31, 2015, the commercial paper conduits administered by Citi had approximately $20.3 billion and $21.3 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $13.5 billion and $11.6 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2016 and December 31, 2015, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 60 and 56 days, respectively.

The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.8 billion as of September 30, 2016 and December 31, 2015. The net result across multi-seller conduits administered by the Company, other than the government guaranteed loan conduit, is that, in the event defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then the commercial paper investors.

At September 30, 2016 and December 31, 2015, the Company owned $10.2 billion and $11.4 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations

Key Assumptions and Retained Interests

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:



	Sept. 30, 2016	Dec. 31, 2015
Discount rate	1.1% to 1.5%	1.4% to 49.6%



In millions of dollars	Sept. 30, 2016			Dec. 31, 2015
Carrying value of retained interests	$	909		$	918
Discount rates
Adverse change of 10%	$	(4	)	$	(5	)
Adverse change of 20%	(9		)	(10		)

Asset-Based Financing

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



	September 30, 2016
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	12,608	$	4,811
Corporate loans	1,082		2,381
Hedge funds and equities	374		57
Airplanes, ships and other assets	42,789		18,345
Total	$	56,853	$	25,594



	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

Municipal Securities Tender Option Bond (TOB) Trusts

At September 30, 2016 and December 31, 2015, the Company held $193 million and $2 million, respectively, of Floaters related to customer and non-customer TOB trusts.

At September 30, 2016 and December 31, 2015, approximately $82 million of the municipal bonds owned by non-customer TOB trusts are subject to a credit guarantee provided by the Company.

At September 30, 2016 and December 31, 2015, liquidity agreements provided with respect to customer TOB trusts totaled $2.8 billion and $3.1 billion, respectively, of which $2.1 billion and $2.2 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the Residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.

The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $9.6 billion and $8.1 billion as of September 30, 2016 and December 31, 2015, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

Client Intermediation

The proceeds from new securitizations related to the Company’s client intermediation transactions for the three and nine months ended September 30, 2016 totaled approximately $0.5 billion and $1.9 billion, respectively, compared to $0.4 billion and $1.2 billion for the three and nine months ended September 30, 2015.