SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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	$	43,090	$	43,090	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	114,735		—		114,735		2,920		—		—		71		2,991
Non-agency-sponsored	35,021		1,337		33,684		757		—		—		1		758
Citi-administered asset-backed commercial paper conduits	16,419		16,419		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	19,062		—		19,062		4,945		—		—		8		4,953
Asset-based financing	144,436		660		143,776		24,532		842		9,873		—		35,247
Municipal securities tender option bond trusts (TOBs)	7,841		1,623		6,218		13		—		4,085		—		4,098
Municipal investments	18,479		—		18,479		2,620		4,081		2,809		—		9,510
Client intermediation	1,183		955		228		169		—		—		—		169
Investment funds	1,054		264		790		15		—		20		—		35
Other	369		2		367		213		—		15		—		228
Total	$	401,689	$	64,350	$	337,339	$	36,184	$	4,923	$	16,802	$	80	$	57,989

	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 June 30, 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:

	June 30, 2019				December 31, 2018
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	9,873	$	—	$	9,757
Municipal securities tender option bond trusts (TOBs)	4,085		—		4,262		—
Municipal investments	—		2,809		—		2,738
Investment funds	—		20		—		1
Other	—		15		—		23
Total funding commitments	$	4,085	$	12,717	$	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	June 30, 2019		December 31, 2018
Cash	$	—	$	—
Trading account assets	3.1		3.0
Investments	10.0		10.7
Total loans, net of allowance	27.5		24.5
Other	0.6		0.5
Total assets	$	41.2	$	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	June 30, 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	7.2		7.6
Retained by Citigroup via non-certificated interests	11.2		11.3
Total	$	43.2	$	46.2

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

	Three Months Ended June 30,
In billions of dollars	2019		2018
Proceeds from new securitizations	$	—	$	1.1
Pay down of maturing notes	—		(2.6		)

	Six Months Ended June 30,
In billions of dollars	2019			2018
Proceeds from new securitizations	$	—		$	3.9
Pay down of maturing notes	(2.5		)	(5.4		)

Schedule of Master Trust liabilities (at par value)

In billions of dollars	Jun. 30, 2019		Dec. 31, 2018
Term notes issued to third parties	$	23.3	$	25.8
Term notes retained by Citigroup affiliates	5.3		5.7
Total Master Trust liabilities	$	28.6	$	31.5

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	Jun. 30, 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 June 30,
	2019				2018
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages(1)		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	1.1	$	6.1	$	1.0	$	1.0
Proceeds from new securitizations	1.2		6.1		1.1		1.0
Purchases of previously transferred financial assets	0.1		—		0.1		—

	Six Months Ended June 30,
	2019				2018
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages(1)		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	2.1	$	8.8	$	2.2	$	1.0
Proceeds from new securitizations	2.2		8.8		2.3		2.6
Purchases of previously transferred financial assets	0.1		—		0.2		—

Note: Excludes re-securitization transactions.

(1)

The principal securitized and proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

Schedule of carrying value of retained interests

	June 30, 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(3)		Subordinated interests		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests(2)	$	487	$	804	$	63	$	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.

(3)

Senior interests in non-agency-sponsored mortgages include $168 million related to personal loan securitizations at June 30, 2019.

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 June 30, 2019
			Non-agency-sponsored mortgages(1)
	U.S. agency-  sponsored mortgages		Senior  interests		Subordinated  interests
Weighted average discount rate	7.4	%	3.2	%	5.3	%
Weighted average constant prepayment rate	15.7	%	5.7	%	5.9	%
Weighted average anticipated net credit losses(2)	NM		3.0	%	3.7	%
Weighted average life	5.9 years		3.2 years		15.6 years

	Three Months Ended June 30, 2018
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	9.4	%	3.8	%	3.5	%
Weighted average constant prepayment rate	5.7	%	8.0	%	8.0	%
Weighted average anticipated net credit losses(2)	NM		4.6	%	4.6	%
Weighted average life	7.7 years		6.7 years		3.4 years

	Six Months Ended June 30, 2019
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	7.0	%	3.5	%	5.5	%
Weighted average constant prepayment rate	14.8	%	5.8	%	5.9	%
Weighted average anticipated net credit losses(2)	NM		4.4	%	3.7	%
Weighted average life	6.0 years		6.6 years		16.1 years

	Six Months Ended June 30, 2018
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	9.9	%	3.6	%	3.2	%
Weighted average constant prepayment rate	5.1	%	9.8	%	9.9	%
Weighted average anticipated net credit losses(2)	NM		4.9	%	3.3	%
Weighted average life	7.7 years		6.8 years		3.0 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.

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.

	June 30, 2019
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.0	%	7.5	%	4.9	%
Weighted average constant prepayment rate	13.1	%	3.1	%	4.2	%
Weighted average anticipated net credit losses(2)	NM		9.0	%	—
Weighted average life	5.8 years		7.9 years		24.3 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.

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

	June 30, 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	)	$	—		$	(1	)
Adverse change of 20%	(27		)	(1		)	(1		)
Constant prepayment rate
Adverse change of 10%	(23		)	—			—
Adverse change of 20%	(45		)	—			—
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			—		—

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:

									Liquidation losses
	Securitized assets				90 days past due				Three Months Ended June 30,				Six Months Ended June 30,
In billions of dollars, except liquidation losses in millions	Jun. 30, 2019		Dec. 31, 2018		Jun. 30, 2019		Dec. 31, 2018		2019		2018		2019		2018
Securitized assets
Residential mortgage	$	11.4	$	5.2	$	0.3	$	0.4	$	9	$	18	$	20	$	32
Commercial and other	14.4		13.1		—		—		—		—		—		—
Total	$	25.8	$	18.3	$	0.3	$	0.4	$	9	$	18	$	20	$	32

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:

	Three Months Ended June 30,
In millions of dollars	2019			2018
Balance, as of March 31	$	551		$	587
Originations	16			15
Changes in fair value of MSRs due to changes in inputs and assumptions	(37		)	11
Other changes(1)	(22		)	(16		)
Sale of MSRs	—			(1		)
Balance, as of June 30	$	508		$	596

	Six Months Ended June 30,
In millions of dollars	2019			2018
Balance, beginning of year	$	584		$	558
Originations	28			32
Changes in fair value of MSRs due to changes in inputs and assumptions	(64		)	57
Other changes(1)	(40		)	(33		)
Sale of MSRs	—			(18		)
Balance, as of June 30	$	508		$	596

(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:

	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2019		2018		2019		2018
Servicing fees	$	35	$	43	$	76	$	89
Late fees	2		1		4		2
Ancillary fees	—		3		1		6
Total MSR fees	$	37	$	47	$	81	$	97

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:

In millions of dollars	Jun. 30, 2019		Dec. 31, 2018
Carrying value of retained interests	$	1,765	$	3,142

Schedule of asset-based financing

	June 30, 2019
In millions of dollars	Total  unconsolidated  VIE assets		Maximum  exposure to  unconsolidated VIEs
Type
Commercial and other real estate	$	28,770	$	6,803
Corporate loans	8,701		7,254
Hedge funds and equities	485		53
Airplanes, ships and other assets	105,820		21,137
Total	$	143,776	$	35,247

	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