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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019
							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	$	42,790	$	42,790	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	116,062		—		116,062		3,251		—		—		61		3,312
Non-agency-sponsored	32,769		1,424		31,345		500		—		—		1		501
Citi-administered asset-backed commercial paper conduits	17,494		17,494		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	21,612		—		21,612		5,408		—		—		9		5,417
Asset-based financing	105,765		612		105,153		22,940		834		10,394		—		34,168
Municipal securities tender option bond trusts (TOBs)	8,165		1,787		6,378		21		—		4,278		—		4,299
Municipal investments	18,518		1		18,517		2,768		3,932		2,641		—		9,341
Client intermediation	1,649		1,403		246		171		—		—		8		179
Investment funds	1,037		265		772		14		—		20		—		34
Other	62		2		60		49		—		11		—		60
Total	$	365,923	$	65,778	$	300,145	$	35,122	$	4,766	$	17,344	$	79	$	57,311



	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	18,750		18,750		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	21,837		—		21,837		5,891		—		—		9		5,900
Asset-based financing	99,433		628		98,805		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	$	361,936	$	69,944	$	291,992	$	34,043	$	4,637	$	16,781	$	73	$	55,534

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


(2)	Included on Citigroup’s March 31, 2019 and December 31, 2018 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:



	March 31, 2019				December 31, 2018
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	10,394	$	—	$	9,757
Municipal securities tender option bond trusts (TOBs)	4,278		—		4,262		—
Municipal investments	—		2,641		—		2,738
Investment funds	—		20		—		1
Other	—		11		—		23
Total funding commitments	$	4,278	$	13,066	$	4,262	$	12,519

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, 2019		December 31, 2018
Cash	$	—	$	—
Trading account assets	3.4		3.0
Investments	10.3		10.7
Total loans, net of allowance	25.7		24.5
Other	0.5		0.5
Total assets	$	39.9	$	38.7

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, 2019		December 31, 2018
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	24.8	$	27.3
Retained by Citigroup as trust-issued securities	7.6		7.6
Retained by Citigroup via non-certificated interests	10.5		11.3
Total	$	42.9	$	46.2

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



	Three Months Ended March 31,
In billions of dollars	2019			2018
Proceeds from new securitizations	$	—		$	2.8
Pay down of maturing notes	(2.5		)	(2.8		)

Schedule of Master Trust liabilities (at par value)



In billions of dollars	Mar. 31, 2019		Dec. 31, 2018
Term notes issued to third parties	$	23.3	$	25.8
Term notes retained by Citigroup affiliates	5.7		5.7
Total Master Trust liabilities	$	29.0	$	31.5

Schedule of Omni Trust liabilities (at par value)



In billions of dollars	Mar. 31, 2019		Dec. 31, 2018
Term notes issued to third parties	$	1.5	$	1.5
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	3.4	$	3.4

Schedule of cash flow information, mortgage securitizations

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



	Three Months Ended March 31,
	2019				2018
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	1.0	$	2.7	$	1.2	$	—
Proceeds from new securitizations	1.0		2.7		1.2		1.6
Purchases of previously transferred financial assets	—		—		0.1		—

Note: Excludes re-securitization transactions.

Schedule of carrying value of retained interests



	March 31, 2019						December 31, 2018
			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⁾	$	531	$	366	$	55	$	564	$	300	$	51


(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 Note 20 to the Consolidated Financial Statements 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:



	March 31, 2019
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	6.6	%	3.6	%	7.1	%
Weighted average constant prepayment rate	14.1	%	6.0	%	6.0	%
Weighted average anticipated net credit losses⁽²⁾	NM		5.0	%	3.5	%
Weighted average life	6.1 years		7.6 years		19.4 years



	March 31, 2018
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	10.4	%	3.4	%	3.0	%
Weighted average constant prepayment rate	4.5	%	12.0	%	12.0	%
Weighted average anticipated net credit losses⁽²⁾	NM		5.0	%	2.0	%
Weighted average life	7.7 years		6.9 years		2.5 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 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.



	March 31, 2019
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	7.2	%	5.9	%	18.4	%
Weighted average constant prepayment rate	11.1	%	1.9	%	1.3	%
Weighted average anticipated net credit losses⁽²⁾	NM		47.0	%	—
Weighted average life	6.0 years		3.1 years		22.0 years



	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	6.4 years		6.6 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.

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



	March 31, 2019
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(14	)	$	—	$	—
Adverse change of 20%	(27		)	—		—
Constant prepayment rate
Adverse change of 10%	(22		)	—		—
Adverse change of 20%	(43		)	—		—
Anticipated net credit losses
Adverse change of 10%	NM			—		—
Adverse change of 20%	NM			—		—



	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			—		—

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

Schedule of information about 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:



									Three Months Ended March 31,
	Securitized assets				90 days past due				Liquidation losses
In billions of dollars	Mar. 31, 2019		Dec. 31, 2018		Mar. 31, 2019		Dec. 31, 2018		2019		2018
Securitized assets
Residential mortgage	$	5.4	$	5.2	$	0.4	$	0.4	$	—	$	—
Commercial and other	14.5		13.1		—		—		—		—
Total	$	19.9	$	18.3	$	0.4	$	0.4	$	—	$	—

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:



In millions of dollars	2019			2018
Balance, beginning of year	$	584		$	558
Originations	12			17
Changes in fair value of MSRs due to changes in inputs and assumptions	(27		)	46
Other changes⁽¹⁾	(18		)	(17		)
Sale of MSRs	—			(17		)
Balance, as of March 31	$	551		$	587

(1)

Represents changes due to customer payments and passage of time.

Schedule of fees received on servicing previously securitized mortgages

The amounts of these fees were as follows:



In millions of dollars	2019		2018
Servicing fees	$	41	$	46
Late fees	2		1
Ancillary fees	1		3
Total MSR fees	$	44	$	50

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

The following table summarizes selected retained interests related to Citigroup CLOs:

Schedule of asset-based financing



	March 31, 2019
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	25,189	$	6,530
Corporate loans	7,438		7,277
Hedge funds and equities	444		53
Airplanes, ships and other assets	72,082		20,308
Total	$	105,153	$	34,168



	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	6,973		5,744
Hedge funds and equities	388		53
Airplanes, ships and other assets	67,526		19,387
Total	$	98,805	$	32,112

In millions of dollars

Mar. 31, 2019

Dec. 31, 2018

Carrying value of retained interests