SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

12 Months Ended

Dec. 31, 2018

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 is presented below:



	As of December 31, 2018
							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	$	46,232	$	46,232	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	116,563		—		116,563		3,038		—		—		60		3,098
Non-agency-sponsored	30,886		1,498		29,388		431		—		—		1		432
Citi-administered asset-backed commercial paper conduits (ABCP)	18,750		18,750		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	21,837		—		21,837		5,891		—		—		9		5,900
Asset-based financing	73,199		628		72,571		21,640		715		9,757		—		32,112
Municipal securities tender option bond trusts (TOBs)	7,998		1,776		6,222		9		—		4,262		—		4,271
Municipal investments	18,044		3		18,041		2,813		3,922		2,738		—		9,473
Client intermediation	858		614		244		172		—		—		2		174
Investment funds	1,272		440		832		12		—		1		1		14
Other	63		3		60		37		—		23		—		60
Total	$	335,702	$	69,944	$	265,758	$	34,043	$	4,637	$	16,781	$	73	$	55,534



	As of December 31, 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	$	50,795	$	50,795	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	116,610		—		116,610		2,647		—		—		74		2,721
Non-agency-sponsored	22,251		2,035		20,216		330		—		—		1		331
Citi-administered asset-backed commercial paper conduits (ABCP)	19,282		19,282		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	20,588		—		20,588		5,956		—		—		9		5,965
Asset-based financing	60,472		633		59,839		19,478		583		5,878		—		25,939
Municipal securities tender option bond trusts (TOBs)	6,925		2,166		4,759		138		—		3,035		—		3,173
Municipal investments	19,119		7		19,112		2,709		3,640		2,344		—		8,693
Client intermediation	958		824		134		32		—		—		9		41
Investment funds	1,892		616		1,276		14		7		13		—		34
Other	677		36		641		27		9		34		47		117
Total	$	319,569	$	76,394	$	243,175	$	31,331	$	4,239	$	11,304	$	140	$	47,014


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


(2)	Included on Citigroup’s December 31, 2018 and 2017 Consolidated Balance Sheet.


(3)	A significant unconsolidated VIE is an entity in which 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.

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:



	December 31, 2018				December 31, 2017
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	9,757	$	—	$	5,878
Municipal securities tender option bond trusts (TOBs)	4,262		—		3,035		—
Municipal investments	—		2,738		—		2,344
Investment funds	—		1		—		13
Other	—		23		—		34
Total funding commitments	$	4,262	$	12,519	$	3,035	$	8,269

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	December 31, 2018		December 31, 2017
Cash	$	—	$	—
Trading account assets	8.7		8.5
Investments	5.0		4.4
Total loans, net of allowance	24.5		22.2
Other	0.5		0.5
Total assets	$	38.7	$	35.6

Schedule of securitized credit card receivables

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



In billions of dollars	2018			2017			2016
Proceeds from new securitizations	$	6.8		$	11.1		$	3.3
Pay down of maturing notes	(8.3		)	(5.0		)	(10.3		)

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



In billions of dollars	December 31, 2018		December 31, 2017
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	27.3	$	28.8
Retained by Citigroup as trust-issued securities	7.6		7.6
Retained by Citigroup via non-certificated interests	11.3		14.4
Total	$	46.2	$	50.8

Schedule of Master Trust liabilities (at par value)



In billions of dollars	Dec. 31, 2018		Dec. 31, 2017
Term notes issued to third parties	$	25.8	$	27.8
Term notes retained by Citigroup affiliates	5.7		5.7
Total Master Trust liabilities	$	31.5	$	33.5

Schedule of Omni Trust liabilities (at par value)



In billions of dollars	Dec. 31, 2018		Dec. 31, 2017
Term notes issued to third parties	$	1.5	$	1.0
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	3.4	$	2.9

Schedule of cash flow information, mortgage securitizations

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



	2018				2017				2016
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	4.0	$	5.6	$	7.8	$	7.3	$	14.8	$	0.3
Proceeds from new securitizations⁽¹⁾	4.2		7.1		8.1		7.3		15.4		0.3
Contractual servicing fees received	0.1		—		0.2		—		0.4		—
Purchases of previously transferred financial assets	0.2		—		0.4		—		0.5		—

Note: Excludes re-securitization transactions.

(1) The proceeds from new securitizations in 2016 include $0.3 billion related to personal loan securitizations.

Schedule of carrying value of retained interests



	December 31, 2018						December 31, 2017
			Non-agency-sponsored mortgages⁽¹⁾						Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests⁽²⁾	$	564	$	300	$	51	$	529	$	132	$	30


(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)	Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Footnote 24 for more information about fair value measurements.

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:



	December 31, 2018
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	9.6	%	2.8	%	4.4	%
Weighted average constant prepayment rate	5.8	%	8.0	%	9.1	%
Weighted average anticipated net credit losses⁽²⁾	NM		4.4	%	3.4	%
Weighted average life	7.2 to 7.7 years		2.5 to 9.9 years		2.5 to 15.7 years



	December 31, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	13.7	%	3.1	%	3.9	%
Weighted average constant prepayment rate	6.7	%	4.3	%	4.3	%
Weighted average anticipated net credit losses⁽²⁾	NM		7.0	%	8.7	%
Weighted average life	6.5 to 7.5 years		4.3 to 9.4 years		4.3 to 10.0 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.

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 presented 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.



	December 31, 2018
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	7.8	%	9.3	%	—
Weighted average constant prepayment rate	9.1	%	8.0	%	—
Weighted average anticipated net credit losses⁽²⁾	NM		40.0	%	—
Weighted average life	3.6 to 7.5 years		6.6 years		—



	December 31, 2017
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	12.0	%	5.8	%	—
Weighted average constant prepayment rate	11.2	%	8.9	%	—
Weighted average anticipated net credit losses⁽²⁾	NM		46.9	%	—
Weighted average life	3.8 to 6.9 years		4.8 to 5.3 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.



	December 31, 2018
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(16	)	$	—	$	—
Adverse change of 20%	(32		)	—		—
Constant prepayment rate
Adverse change of 10%	(21		)	—		—
Adverse change of 20%	(41		)	—		—
Anticipated net credit losses
Adverse change of 10%	NM			—		—
Adverse change of 20%	NM			—		—



	December 31, 2017
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Discount rate
Adverse change of 10%	$	(21	)	$	(2	)	$	—
Adverse change of 20%	(40		)	(4		)	—
Constant prepayment rate
Adverse change of 10%	(21		)	(1		)	—
Adverse change of 20%	(40		)	(1		)	—
Anticipated net credit losses
Adverse change of 10%	NM			(3		)	—
Adverse change of 20%	NM			(7		)	—


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

Schedule of loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency sponsored securitization entities

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities as of December 31, 2018 and 2017:



	Securitized assets				90 days past due				Liquidation losses
In billions of dollars	2018		2017		2018		2017		2018		2017
Securitized assets
Residential mortgage	$	5.2	$	4.9	$	0.4	$	0.4	$	0.1	$	0.1
Commercial and other	13.1		6.8		—		—		—		—
Total	$	18.3	$	11.7	$	0.4	$	0.4	$	0.1	$	0.1

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:



In millions of dollars	2018			2017
Balance, beginning of year	$	558		$	1,564
Originations	58			96
Changes in fair value of MSRs due to changes in inputs and assumptions	54			65
Other changes⁽¹⁾	(68		)	(110		)
Sale of MSRs⁽²⁾	(18		)	(1,057		)
Balance, as of December 31	$	584		$	558


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


(2)	See Note 2 to the Consolidated Financial Statements for additional information on the exit of the U.S. mortgage servicing operations and sale of MSRs.

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	2018		2017		2016
Servicing fees	$	172	$	276	$	484
Late fees	4		10		14
Ancillary fees	8		13		17
Total MSR fees	$	184	$	299	$	515

Schedule of cash flow information and retained interests related to Citigroup CLOs

The following tables summarize selected cash flow information and retained interests related to Citigroup CLOs:



In millions of dollars	2018		2017		2016
Principal securitized	$	—	$	133	$	—
Proceeds from new securitizations	—		133		—
Cash flows received on retained interests and other net cash flows	127		107		39

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



	Dec. 31, 2018	Dec. 31, 2017
Weighted average discount rate	—	1.1	%



In millions of dollars	Dec. 31, 2018		Dec. 31, 2017
Discount rates
Adverse change of 10%	$	—	$	(1	)
Adverse change of 20%	—		(1		)

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

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



	Dec. 31, 2018	Dec. 31, 2017
Weighted average discount rate	—	1.4	%

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.



	December 31, 2018
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	23,918	$	6,928
Corporate loans	6,731		5,744
Hedge funds and equities	388		53
Airplanes, ships and other assets	41,534		19,387
Total	$	72,571	$	32,112



	December 31, 2017
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	15,370	$	5,445
Corporate loans	4,725		3,587
Hedge funds and equities	542		58
Airplanes, ships and other assets	39,202		16,849
Total	$	59,839	$	25,939

In millions of dollars

Dec. 31, 2018

Dec. 31, 2017

Carrying value of retained interests