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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020
							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	$	37,612	$	37,612	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations⁽⁴⁾
U.S. agency-sponsored	109,728		—		109,728		2,000		—		—		65		2,065
Non-agency-sponsored	37,140		941		36,199		1,054		—		—		1		1,055
Citi-administered asset-backed commercial paper conduits	19,386		19,386		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	17,453		—		17,453		3,918		—		—		—		3,918
Asset-based financing	207,817		5,569		202,248		24,935		1,154		9,863		—		35,952
Municipal securities tender option bond trusts (TOBs)	6,129		1,134		4,995		4		—		3,125		—		3,129
Municipal investments	20,383		—		20,383		2,662		4,221		3,030		—		9,913
Client intermediation	1,430		1,371		59		4		—		—		—		4
Investment funds	539		121		418		1		—		16		—		17
Other	62		2		60		—		—		60		—		60
Total	$	457,679	$	66,136	$	391,543	$	34,578	$	5,375	$	16,094	$	66	$	56,113



	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

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


(2)	Included on Citigroup’s March 31, 2020 and December 31, 2019 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, 2020				December 31, 2019
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	9,863	$	—	$	9,524
Municipal securities tender option bond trusts (TOBs)	3,125		—		3,544		—
Municipal investments	—		3,030		—		3,034
Investment funds	—		16		—		16
Other	—		60		—		39
Total funding commitments	$	3,125	$	12,969	$	3,544	$	12,613

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, 2020		December 31, 2019
Cash	$	—	$	—
Trading account assets	2.0		2.6
Investments	9.7		9.9
Total loans, net of allowance	27.8		26.7
Other	0.5		0.5
Total assets	$	40.0	$	39.7

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, 2020		December 31, 2019
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	19.7	$	19.7
Retained by Citigroup as trust-issued securities	5.4		6.2
Retained by Citigroup via non-certificated interests	14.6		17.8
Total	$	39.7	$	43.7

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



	Three Months Ended March 31,
In billions of dollars	2020		2019
Proceeds from new securitizations	$	—	$	—
Pay down of maturing notes	—		(2.5		)

Schedule of Master Trust liabilities (at par value)



In billions of dollars	Mar. 31, 2020		Dec. 31, 2019
Term notes issued to third parties	$	18.2	$	18.2
Term notes retained by Citigroup affiliates	3.5		4.3
Total Master Trust liabilities	$	21.7	$	22.5

Schedule of Omni Trust liabilities (at par value)



In billions of dollars	Mar. 31, 2020		Dec. 31, 2019
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,
	2020				2019
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	$	2.0	$	1.6	$	1.0	$	2.7
Proceeds from new securitizations	2.1		2.5		1.0		2.7

Note: Excludes re-securitization transactions.

(1)

The principal securitized and proceeds from new securitizations in 2020 include $0.2 billion related to personal loan securitizations.

Schedule of carrying value of retained interests



	March 31, 2020						December 31, 2019
			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⁾	$	349	$	902	$	101	$	491	$	748	$	102


(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 and 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 $127 million related to personal loan securitizations at March 31, 2020.

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 March 31, 2020
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.5	%	1.3	%	—	%
Weighted average constant prepayment rate	25.7	%	—	%	—	%
Weighted average anticipated net credit losses⁽²⁾	NM		1.6	%	—	%
Weighted average life	5.2 years		4.2 years		NM



	Three Months Ended 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


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



	March 31, 2020
			Non-agency-sponsored mortgages⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	6.2	%	8.9	%	4.4	%
Weighted average constant prepayment rate	20.6	%	2.7	%	5.1	%
Weighted average anticipated net credit losses⁽²⁾	NM		1.1	%	1.4	%
Weighted average life	4.6 years		6.8 years		NM



	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		3.0 years		11.4 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, 2020
				Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Discount rate
Adverse change of 10%	$	(9	)	$	(1	)	$	(1	)
Adverse change of 20%	(17		)	(1		)	(2		)
Constant prepayment rate
Adverse change of 10%	(23		)	—			—
Adverse change of 20%	(43		)	—			—
Anticipated net credit losses
Adverse change of 10%	NM			—			—
Adverse change of 20%	NM			—			(1		)



	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			—			—

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 March 31,
In billions of dollars, except liquidation losses in millions	Mar. 31, 2020		Dec. 31, 2019		Mar. 31, 2020		Dec. 31, 2019		2020		2019
Securitized assets
Residential mortgages⁽¹⁾	$	11.8	$	11.7	$	0.3	$	0.4	$	11	$	11
Commercial and other	20.5		22.3		—		—		—		—
Total	$	32.3	$	34.0	$	0.3	$	0.4	$	11	$	11

(1) Securitized assets include $0.3 billion of personal loan securitizations as of March 31, 2020.

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:



	Three Months Ended March 31,
In millions of dollars	2020			2019
Balance, beginning of year	$	495		$	584
Originations	32			12
Changes in fair value of MSRs due to changes in inputs and assumptions	(143		)	(27		)
Other changes⁽¹⁾	(17		)	(18		)
Sales of MSRs	—			—
Balance, as of March 31	$	367		$	551

(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 March 31,
In millions of dollars	2020		2019
Servicing fees	$	39	$	41
Late fees	2		2
Ancillary fees	—		1
Total MSR fees	$	41	$	44

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, 2020
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	28,469	$	6,980
Corporate loans	10,502		7,808
Other (including investment funds, airlines and shipping)	163,277		21,164
Total	$	202,248	$	35,952



	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

In millions of dollars

Mar. 31, 2020

Dec. 31, 2019

Carrying value of retained interests