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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

12 Months Ended

Dec. 31, 2019

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, 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	$	43,534	$	43,534	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	117,374		—		117,374		2,671		—		—		72		2,743
Non-agency-sponsored	39,608		1,187		38,421		876		—		—		1		877
Citi-administered asset-backed commercial paper conduits	15,622		15,622		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	17,395		—		17,395		4,199		—		—		—		4,199
Asset-based financing	196,728		6,139		190,589		23,756		1,151		9,524		—		34,431
Municipal securities tender option bond trusts (TOBs)	6,950		1,458		5,492		4		—		3,544		—		3,548
Municipal investments	20,312		—		20,312		2,636		4,274		3,034		—		9,944
Client intermediation	1,455		1,391		64		4		—		—		—		4
Investment funds	827		174		653		5		—		16		1		22
Other	352		1		351		169		—		39		—		208
Total	$	460,157	$	69,506	$	390,651	$	34,320	$	5,425	$	16,157	$	74	$	55,976



	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 December 31, 2019 and 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:



	December 31, 2019				December 31, 2018
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	9,524	$	—	$	9,757
Municipal securities tender option bond trusts (TOBs)	3,544		—		4,262		—
Municipal investments	—		3,034		—		2,738
Investment funds	—		16		—		1
Other	—		39		—		23
Total funding commitments	$	3,544	$	12,613	$	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	December 31, 2019		December 31, 2018
Cash	$	—	$	—
Trading account assets	2.6		3.0
Investments	9.9		10.7
Total loans, net of allowance	26.7		24.5
Other	0.5		0.5
Total assets	$	39.7	$	38.7

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	2019			2018			2017
Proceeds from new securitizations	$	—		$	6.8		$	11.1
Pay down of maturing notes	(7.6		)	(8.3		)	(5.0		)

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



In billions of dollars	December 31, 2019		December 31, 2018
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	19.7	$	27.3
Retained by Citigroup as trust-issued securities	6.2		7.6
Retained by Citigroup via non-certificated interests	17.8		11.3
Total	$	43.7	$	46.2

Schedule of Master Trust liabilities (at par value)



In billions of dollars	Dec. 31, 2019		Dec. 31, 2018
Term notes issued to third parties	$	18.2	$	25.8
Term notes retained by Citigroup affiliates	4.3		5.7
Total Master Trust liabilities	$	22.5	$	31.5

Schedule of Omni Trust liabilities (at par value)



In billions of dollars	Dec. 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:



	2019				2018				2017
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	$	5.3	$	18.9	$	4.0	$	5.6	$	7.8	$	7.3
Proceeds from new securitizations⁽¹⁾	5.5		18.9		4.2		7.1		8.1		7.3
Contractual servicing fees received	0.1		—		0.1		—		0.2		—
Purchases of previously transferred financial assets	0.2		—		0.2		—		0.4		—

Note: Excludes re-securitization transactions.


(1)	The proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

Schedule of carrying value of retained interests



	2019						2018
			Non-agency-sponsored mortgages⁽¹⁾						Non-agency-sponsored mortgages⁽¹⁾
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests⁽³⁾		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests⁽²⁾	$	491	$	748	$	102	$	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 24 to the Consolidated Financial Statements for more information about fair value measurements.

(3)

Senior interests in non-agency-sponsored mortgages include $150 million related to personal loan securitizations at December 31, 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:



	December 31, 2019
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	9.3	%	3.6	%	4.6	%
Weighted average constant prepayment rate	12.9	%	10.5	%	7.6	%
Weighted average anticipated net credit losses⁽²⁾	NM		3.9	%	2.8	%
Weighted average life	6.6 years		3 years		11.4 years



	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	7.5 years		5.5 years		6.7 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

Key assumptions used in measuring the fair value of retained interests at period end or securitization of mortgage receivables were as follows:



	December 31, 2019
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	9.8	%	7.6	%	4.2	%
Weighted average constant prepayment rate	10.1	%	3.6	%	6.1	%
Weighted average anticipated net credit losses⁽²⁾	NM		5.2	%	2.7	%
Weighted average life	6.6 years		5.9 years		29.3 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.

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, 2019
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Discount rate
Adverse change of 10%	$	(18	)	$	—		$	(1	)
Adverse change of 20%	(35		)	(1		)	(1		)
Constant prepayment rate
Adverse change of 10%	(18		)	—			—
Adverse change of 20%	(35		)	—			—
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 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:



	Securitized assets				90 days past due				Liquidation losses
In billions of dollars, except liquidation losses in millions	2019		2018		2019		2018		2019		2018
Securitized assets
Residential mortgages	$	11.7	$	5.2	$	0.4	$	0.4	$	49.0	$	54.0
Commercial and other	22.3		13.1		—		—		—		—
Total	$	34.0	$	18.3	$	0.4	$	0.4	$	49.0	$	54.0

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	70			58
Changes in fair value of MSRs due to changes in inputs and assumptions	(84		)	54
Other changes⁽¹⁾	(75		)	(68		)
Sale of MSRs	—			(18		)
Balance, as of December 31	$	495		$	584


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

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	2019		2018		2017
Servicing fees	$	148	$	172	$	276
Late fees	8		4		10
Ancillary fees	1		8		13
Total MSR fees	$	157	$	184	$	299

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	2019		2018		2017
Principal securitized	$	—	$	—	$	133
Proceeds from new securitizations	—		—		133
Cash flows received on retained interests and other net cash flows	72		127		107

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



In millions of dollars	Dec. 31, 2019		Dec. 31, 2018		Dec. 31, 2017
Carrying value of retained interests	$	1,404	$	3,142	$	4,079

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, 2019
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	31,377	$	7,489
Corporate loans	7,088		5,802
Other (including investment funds, airlines and shipping)	152,124		21,140
Total	$	190,589	$	34,431



	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
Other (including investment funds, airlines and shipping)	67,914		19,440
Total	$	98,805	$	32,112