SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

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, 2017
							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	$	49,739	$	49,739	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored⁽⁵⁾	116,257		—		116,257		2,528		—		—		63		2,591
Non-agency-sponsored	21,123		932		20,191		280		36		—		1		317
Citi-administered asset-backed commercial paper conduits (ABCP)	19,298		19,298		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	19,182		—		19,182		5,690		—		—		9		5,699
Asset-based financing	51,393		672		50,721		15,412		599		5,016		—		21,027
Municipal securities tender option bond trusts (TOBs)	6,777		2,178		4,599		13		—		3,063		—		3,076
Municipal investments	17,830		11		17,819		2,627		3,855		2,345		—		8,827
Client intermediation	2,664		1,131		1,533		782		—		491		6		1,279
Investment funds	2,058		762		1,296		28		8		15		2		53
Other	943		33		910		133		9		38		47		227
Total	$	307,264	$	74,756	$	232,508	$	27,493	$	4,507	$	10,968	$	128	$	43,096



	As of December 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	$	50,171	$	50,171	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	214,458		—		214,458		3,852		—		—		78		3,930
Non-agency-sponsored	15,965		1,092		14,873		312		35		—		1		348
Citi-administered asset-backed commercial paper conduits (ABCP)	19,693		19,693		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	18,886		—		18,886		5,128		—		—		62		5,190
Asset-based financing	53,168		733		52,435		16,553		475		4,915		—		21,943
Municipal securities tender option bond trusts (TOBs)	7,070		2,843		4,227		40		—		2,842		—		2,882
Municipal investments	17,679		14		17,665		2,441		3,578		2,580		—		8,599
Client intermediation	515		371		144		49		—		—		3		52
Investment funds	2,788		767		2,021		32		120		27		3		182
Other	1,429		607		822		116		11		58		43		228
Total	$	401,822	$	76,291	$	325,531	$	28,523	$	4,219	$	10,422	$	190	$	43,354

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


(2)	Included on Citigroup’s September 30, 2017 and December 31, 2016 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)	See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.

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 12 and 20 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 $9 billion and $10 billion at September 30, 2017 and December 31, 2016, 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.

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, 2017				December 31, 2016
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	5,016	$	5	$	4,910
Municipal securities tender option bond trusts (TOBs)	3,063		—		2,842		—
Municipal investments	—		2,345		—		2,580
Client intermediation	—		491		—		—
Investment funds	—		15		—		27
Other	—		38		—		58
Total funding commitments	$	3,063	$	7,905	$	2,847	$	7,575

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, 2017		December 31, 2016
Cash	$	0.1	$	0.1
Trading account assets	8.6		8.0
Investments	4.7		4.4
Total loans, net of allowance	18.2		18.8
Other	0.5		1.5
Total assets	$	32.1	$	32.8

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 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, 2017		December 31, 2016
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	28.0	$	22.7
Retained by Citigroup as trust-issued securities	9.2		7.4
Retained by Citigroup via non-certificated interests	12.5		20.6
Total	$	49.7	$	50.7

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



	Three Months Ended September 30,
In billions of dollars	2017			2016
Proceeds from new securitizations	$	2.2		$	—
Pay down of maturing notes	(1.8		)	(2.8		)



	Nine Months Ended September 30,
In billions of dollars	2017			2016
Proceeds from new securitizations	$	9.8		$	—
Pay down of maturing notes	(4.6		)	(6.3		)

Master Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Master Trust was 2.8 years as of September 30, 2017 and 2.6 years as of December 31, 2016.



In billions of dollars	Sept. 30, 2017		Dec. 31, 2016
Term notes issued to third parties	$	27.0	$	21.7
Term notes retained by Citigroup affiliates	7.3		5.5
Total Master Trust liabilities	$	34.3	$	27.2

Omni Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.1 years as of September 30, 2017 and 1.9 years as of December 31, 2016.



In billions of dollars	Sept. 30, 2017		Dec. 31, 2016
Term notes issued to third parties	$	1.0	$	1.0
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	2.9	$	2.9

Mortgage Securitizations

The following table summarizes selected cash flow information related to Citigroup mortgage securitizations:



	Three Months Ended September 30,
	2017				2016
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages⁽¹⁾
Proceeds from new securitizations	$	11.7	$	4.1	$	11.7	$	1.4
Contractual servicing fees received	0.1		—		0.1		—



	Nine Months Ended September 30,
	2017				2016
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages⁽¹⁾
Proceeds from new securitizations	$	25.9	$	6.9	$	32.5	$	8.0
Contractual servicing fees received	0.2		—		0.3		—

(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 $14 million and $61 million for the three and nine months ended September 30, 2017, respectively. For the three and nine months ended September 30, 2017, gains recognized on the securitization of non-agency sponsored mortgages were $29 million and $75 million, respectively.

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.

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, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	2.0% to 13.2%		—	—
Weighted average discount rate	8.5	%	—	—
Constant prepayment rate	6.6% to 31.6%		—	—
Weighted average constant prepayment rate	10.6	%	—	—
Anticipated net credit losses⁽²⁾	NM		—	—
Weighted average anticipated net credit losses	NM		—	—
Weighted average life	2.5 to 10.5 years		—	—



	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		—	—



	Nine Months Ended September 30, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	2.0% to 19.9%		—	—
Weighted average discount rate	9.1	%	—	—
Constant prepayment rate	3.8% to 31.6%		—	—
Weighted average constant prepayment rate	9.6	%	—	—
Anticipated net credit losses⁽²⁾	NM		—	—
Weighted average anticipated net credit losses	NM		—	—
Weighted average life	2.5 to 14.5 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		—	—


(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, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 82.4%		0.0% to 5.1%		4.8% to 33.9%
Weighted average discount rate	7.9	%	1.0	%	9.7	%
Constant prepayment rate	7.4% to 31.6%		8.9% to 13.9%		0.5% to 13.1%
Weighted average constant prepayment rate	12.3	%	12.9	%	7.0	%
Anticipated net credit losses⁽²⁾	NM		0.3% to 50.2%		35.1% to 52.1%
Weighted average anticipated net credit losses	NM		12.2	%	43.2	%
Weighted average life	0.4 to 28.0 years		5.2 to 15.1 years		0.4 to 18.8 years



	December 31, 2016
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.7% to 28.2%		0.0% to 8.1%		5.1% to 26.4%
Weighted average discount rate	9.0	%	2.1	%	13.1	%
Constant prepayment rate	6.8% to 22.8%		4.2% to 14.7%		0.5% to 37.5%
Weighted average constant prepayment rate	10.2	%	11.0	%	10.8	%
Anticipated net credit losses⁽²⁾	NM		0.5% to 85.6%		8.0% to 63.7%
Weighted average anticipated net credit losses	NM		31.4	%	48.3	%
Weighted average life	0.2 to 28.8 years		5.0 to 8.5 years		1.2 to 12.1 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, 2017
				Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	1,529		$	156		$	189
Discount rates
Adverse change of 10%	$	(45	)	$	(3	)	$	(4	)
Adverse change of 20%	(87		)	(6		)	(8		)
Constant prepayment rate
Adverse change of 10%	(42		)	(1		)	(1		)
Adverse change of 20%	(87		)	(2		)	(3		)
Anticipated net credit losses
Adverse change of 10%	NM			(4		)	(1		)
Adverse change of 20%	NM			(8		)	(1		)



	December 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	$	2,258		$	26		$	161
Discount rates
Adverse change of 10%	$	(71	)	$	(7	)	$	(8	)
Adverse change of 20%	(138		)	(14		)	(16		)
Constant prepayment rate
Adverse change of 10%	(80		)	(2		)	(4		)
Adverse change of 20%	(160		)	(3		)	(8		)
Anticipated net credit losses
Adverse change of 10%	NM			(7		)	(1		)
Adverse change of 20%	NM			(14		)	(2		)


(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 $553 million and $1.3 billion at September 30, 2017 and 2016, respectively. The MSRs correspond to principal loan balances of $68 billion and $173 billion as of September 30, 2017 and 2016, respectively. The following table summarizes the changes in capitalized MSRs:



	Three Months Ended September 30,
In millions of dollars	2017			2016
Balance, as of June 30	$	560		$	1,324
Originations	19			43
Changes in fair value of MSRs due to changes in inputs and assumptions	(6		)	13
Other changes⁽¹⁾	(20		)	(78		)
Sale of MSRs⁽²⁾	—			(32		)
Balance, as of September 30	$	553		$	1,270



	Nine Months Ended September 30,
In millions of dollars	2017			2016
Balance, beginning of year	$	1,564		$	1,781
Originations	75			111
Changes in fair value of MSRs due to changes in inputs and assumptions	50			(349		)
Other changes⁽¹⁾	(90		)	(255		)
Sale of MSRs⁽²⁾	(1,046		)	(18		)
Balance, as of September 30	$	553		$	1,270


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


(2)	See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 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	2017		2016		2017		2016
Servicing fees	$	65	$	117	$	236	$	371
Late fees	2		3		8		11
Ancillary fees	3		4		11		13
Total MSR fees	$	70	$	124	$	255	$	395

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, 2017 and 2016. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of September 30, 2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $75 million (all related to re-securitization transactions executed prior to 2017), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $126 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all 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, 2017 and December 31, 2016 was approximately $954 million and $1.3 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, 2017, Citi transferred agency securities with a fair value of approximately $9.9 billion and $20.0 billion, respectively, to re-securitization entities compared to approximately $7.1 billion and $21.3 billion for the three and nine months ended September 30, 2016.

As of September 30, 2017, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.0 billion (including $713 million related to re-securitization transactions executed in 2017) compared to $2.3 billion as of December 31, 2016 (including $741 million related to re-securitization transactions executed in 2016), 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, 2017 and December 31, 2016 was approximately $67.6 billion and $71.8 billion, respectively.

As of September 30, 2017 and December 31, 2016, the Company did not consolidate any private-label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At September 30, 2017 and December 31, 2016, the commercial paper conduits administered by Citi had approximately $19.3 billion and $19.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.3 billion and $12.8 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2017 and December 31, 2016, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 53 and 55 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, 2017 and December 31, 2016. The net result across multi-seller conduits administered by the Company 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, 2017 and December 31, 2016, the Company owned $9.3 billion and $9.7 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

The following table summarizes selected cash flow information related to Citigroup 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:



	Sept. 30, 2017	Dec. 31, 2016
Discount rate	1.1% to 1.6%	1.3% to 1.7%



In millions of dollars	Sept. 30, 2017			Dec. 31, 2016
Carrying value of retained interests	$	3,883		$	4,261
Discount rates
Adverse change of 10%	$	(25	)	$	(30	)
Adverse change of 20%	(51		)	(62		)

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, 2017
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	8,971	$	3,068
Corporate loans	2,763		1,706
Hedge funds and equities	499		59
Airplanes, ships and other assets	38,488		16,194
Total	$	50,721	$	21,027



	December 31, 2016
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	8,784	$	2,368
Corporate loans	4,051		2,684
Hedge funds and equities	370		54
Airplanes, ships and other assets	39,230		16,837
Total	$	52,435	$	21,943

Municipal Securities Tender Option Bond (TOB) Trusts

At September 30, 2017 and December 31, 2016, approximately $56 million and $82 million, respectively, of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.

At September 30, 2017 and December 31, 2016, liquidity agreements provided with respect to customer TOB trusts totaled $3.1 billion and $2.9 billion, respectively, of which $2.0 billion and $2.1 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 $6.1 billion and $7.4 billion as of September 30, 2017 and December 31, 2016, 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, 2017 totaled approximately $0.2 billion and $0.9 billion, respectively, compared to $0.5 billion and $1.9 billion for the three and nine months ended September 30, 2016.

Three Months Ended September 30,

In billions of dollars

Proceeds from new securitizations