SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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	$	33,838	$	33,838	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	115,290		—		115,290		2,103		—		—		54		2,157
Non-agency-sponsored	43,493		982		42,511		1,043		—		—		1		1,044
Citi-administered asset-backed commercial paper conduits	16,028		16,028		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	17,986		—		17,986		4,272		—		—		—		4,272
Asset-based financing(5)	209,806		7,660		202,146		26,129		1,131		10,302		—		37,562
Municipal securities tender option bond trusts (TOBs)	4,747		1,113		3,634		16		—		2,320		—		2,336
Municipal investments	20,235		—		20,235		2,736		4,237		2,906		—		9,879
Client intermediation	742		676		66		4		—		—		—		4
Investment funds	515		126		389		2		—		15		1		18
Other	51		1		50		—		—		50		—		50
Total	$	462,731	$	60,424	$	402,307	$	36,305	$	5,368	$	15,593	$	56	$	57,322

	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(5)	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 June 30, 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.

(5)  Included within this line are loans to third-party sponsored private equity funds, which represent $70.4 and $69 billion in unconsolidated VIE assets and $710 and$711 million in maximum exposure to loss as of 6/30/20 and 12/31/19 respectively.

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, 2020				December 31, 2019
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Asset-based financing	$	—	$	10,302	$	—	$	9,524
Municipal securities tender option bond trusts (TOBs)	2,320		—		3,544		—
Municipal investments	—		2,906		—		3,034
Investment funds	—		15		—		16
Other	—		50		—		39
Total funding commitments	$	2,320	$	13,273	$	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	June 30, 2020		December 31, 2019
Cash	$	—	$	—
Trading account assets	2.1		2.6
Investments	10.0		9.9
Total loans, net of allowance	29.0		26.7
Other	0.5		0.5
Total assets	$	41.6	$	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	June 30, 2020		December 31, 2019
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	16.5	$	19.7
Retained by Citigroup as trust-issued securities	5.3		6.2
Retained by Citigroup via non-certificated interests	14.6		17.8
Total	$	36.4	$	43.7

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

	Three Months Ended June 30,
In billions of dollars	2020		2019
Proceeds from new securitizations	$	—	$	—
Pay down of maturing notes	(3.2)		—

	Six Months Ended June 30,
In billions of dollars	2020		2019
Proceeds from new securitizations	$	0.0	$	0.0
Pay down of maturing notes	(3.2)		(2.5)

Schedule of Master Trust liabilities (at par value)

In billions of dollars	Jun. 30, 2020		Dec. 31, 2019
Term notes issued to third parties	$	15.0	$	18.2
Term notes retained by Citigroup affiliates	3.4		4.3
Total Master Trust liabilities	$	18.4	$	22.5

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	Jun. 30, 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 June 30,
	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	$	2.4	$	0.9	$	1.1	$	6.1
Proceeds from new securitizations	2.6		0.9		1.2		6.1
Purchases of previously transferred financial assets	—		—		0.1		—
	Six Months Ended June 30,
	2020				2019
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	4.5	$	1.6	$	2.1	$	8.8
Proceeds from new securitizations	4.7		3.4		2.2		8.8
Purchases of previously transferred financial assets	0.1		—		0.1		—

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

	June 30, 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)	$	334	$	884	$	119	$	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 $119 million related to personal loan securitizations at June 30, 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 June 30, 2020
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	3.5	%	6.2	%	3.0	%
Weighted average constant prepayment rate	28.7	%	—	%	25.0	%
Weighted average anticipated net credit losses(2)	NM		—	%	0.5	%
Weighted average life	4.1 years		9.8 years		2.3 years

	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

	Six Months Ended June 30, 2020
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	6.0	%	1.8	%	3.0	%
Weighted average constant prepayment rate	27.1	%	0.0	%	25.0	%
Weighted average anticipated net credit losses(2)	NM		1.6	%	0.5	%
Weighted average life	4.7 years		4.8 years		2.3 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

(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:

	June 30, 2020
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	1.9	%	7.1	%	16.2	%
Weighted average constant prepayment rate	23.8	%	3.4	%	5.5	%
Weighted average anticipated net credit losses(2)	NM		1.2	%	4.2	%
Weighted average life	4.0 years		6.9 years		7.5 years

	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.

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, 2020
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(5)	$	—	$	—
Adverse change of 20%	(9)		(1)		(1)
Constant prepayment rate
Adverse change of 10%	(26)		—		—
Adverse change of 20%	(49)		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—

	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		—		—

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, 2020		Dec. 31, 2019		Jun. 30, 2020		Dec. 31, 2019		2020		2019		2020		2019
Securitized assets
Residential mortgages(1)	$	11.8	$	11.7	$	0.4	$	0.4	$	7	$	9	$	18	$	20
Commercial and other	21.0		22.3		—		—		—		—		—		—
Total	$	32.8	$	34.0	$	0.4	$	0.4	$	7	$	9	$	18	$	20

(1) Securitized assets include $0.2 billion of personal loan securitizations as of June 30, 2020.

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:

	Three Months Ended June 30,
In millions of dollars	2020		2019
Balance, beginning of year	$	367	$	551
Originations	24		16
Changes in fair value of MSRs due to changes in inputs and assumptions	(26)		(37)
Other changes(1)	(20)		(22)
Sales of MSRs	—		—
Balance, as of June 30	$	345	$	508

	Six Months Ended June 30,
In millions of dollars	2020		2019
Balance, beginning of year	$	495	$	584
Originations	56		28
Changes in fair value of MSRs due to changes in inputs and assumptions	(169)		(64)
Other changes(1)	(37)		(40)
Sales of MSRs	—		—
Balance, as of June 30	$	345	$	508

(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	2020		2019		2020		2019
Servicing fees	$	34	$	35	$	73	$	76
Late fees	1		2		3		4
Ancillary fees	—		—		—		1
Total MSR fees	$	35	$	37	$	76	$	81

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

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

	Three Months Ended June 30,
In billions of dollars	2020		2019
Proceeds from new securitizations	$	0.1	$	—

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:

	Jun. 30, 2020		Dec. 31, 2019
Weighted average discount rate	1.8	%	0.0	%
Weighted average life	4.2 years		0 years

In millions of dollars	Jun. 30, 2020		Dec. 31, 2019
Carrying value of retained interests	$	1,608	$	1,404

Schedule of asset-based financing

	June 30, 2020
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	29,134	$	7,367
Corporate loans	12,113		8,219
Other (including investment funds, airlines and shipping)	160,899		21,977
Total	$	202,146	$	37,562

	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