SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2017

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 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.

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:



	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

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	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

Schedule of securitized credit card receivables

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		)

Schedule of Master Trust liabilities (at par value)



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

Schedule of Omni Trust liabilities (at par value)



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

Schedule of cash flow information, 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.

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:



	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.

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



	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.

Schedule of changes in capitalized MSRs

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.

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:



	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

Schedule of cash flow information, collateralized loan obligations

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

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:



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

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



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		)

Schedule of 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

Three Months Ended September 30,

In billions of dollars

Proceeds from new securitizations