XML 73 R49.htm IDEA: XBRL DOCUMENT v3.20.2
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)
 9 Months Ended
Sep. 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 September 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
$32,275 $32,275 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
119,320 — 119,320 2,078 — — 75 2,153 
Non-agency-sponsored
41,951 934 41,017 1,194 — — 1 1,195 
Citi-administered asset-backed commercial paper conduits
16,457 16,457 — — — — — — 
Collateralized loan obligations (CLOs)
19,071 — 19,071 4,331 — — — 4,331 
Asset-based financing(5)
213,880 7,311 206,569 24,620 1,133 9,748 — 35,501 
Municipal securities tender option bond trusts (TOBs)
3,867 843 3,024 — — 1,869 — 1,869 
Municipal investments
19,987 — 19,987 2,429 4,167 2,763 — 9,359 
Client intermediation
1,074 652 422 88 — — 36 124 
Investment funds472 132 340 1 — 16 1 18 
Other
1 1 — — — — — — 
Total
$468,355 $58,605 $409,750 $34,741 $5,300 $14,396 $113 $54,550 
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
1,535 1,391 144 8 — — — 8 
Investment funds827 174 653 5 — 16 1 22 
Other
352 1 351 169 — 39 — 208 
Total
$460,237 $69,506 $390,731 $34,324 $5,425 $16,157 $74 $55,980 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s September 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 $74.8 billion and $69 billion in unconsolidated VIE assets and $710 million and $711 million in maximum exposure to loss as of September 30, 2020 and December 31, 2019, 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:
September 30, 2020December 31, 2019
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Asset-based financing
$— $9,748 $— $9,524 
Municipal securities tender option bond trusts (TOBs)
1,869 — 3,544 — 
Municipal investments
— 2,763 — 3,034 
Investment funds
— 16 — 16 
Other
— — — 39 
Total funding commitments
$1,869 $12,527 $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
September 30, 2020December 31, 2019
Cash
$— $— 
Trading account assets
2.1 2.6 
Investments
10.1 9.9 
Total loans, net of allowance
27.5 26.7 
Other
0.3 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
September 30, 2020December 31, 2019
Ownership interests in principal amount of trust credit card receivables
   Sold to investors via trust-issued securities
$15.4 $19.7 
   Retained by Citigroup as trust-issued securities
5.2 6.2 
   Retained by Citigroup via non-certificated interests
14.1 17.8 
Total
$34.7 $43.7 
The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended September 30,
In billions of dollars
20202019
Proceeds from new securitizations
$— $— 
Pay down of maturing notes
(1.1)(3.1)
Nine Months Ended September 30,
In billions of dollars20202019
Proceeds from new securitizations$— $— 
Pay down of maturing notes(4.3)(5.6)
Schedule of Master Trust liabilities (at par value)
In billions of dollars
Sept. 30, 2020Dec. 31, 2019
Term notes issued to third parties
$13.9 $18.2 
Term notes retained by Citigroup affiliates3.4 4.3 
Total Master Trust liabilities
$17.3 $22.5 
Schedule of Omni Trust liabilities (at par value)
In billions of dollars
Sept. 30, 2020Dec. 31, 2019
Term notes issued to third parties
$1.5 $1.5 
Term notes retained by Citigroup affiliates1.9 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 September 30,
20202019
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$2.7 $2.9 $1.7 $3.8 
Proceeds from new securitizations
2.9 4.5 1.7 4.0 
Purchases of previously transferred financial assets
0.2 — — — 
Nine Months Ended September 30,
20202019
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$7.2 $5.4 $3.8 $12.6 
Proceeds from new securitizations
7.6 7.9 3.9 12.8 
Purchases of previously transferred financial assets
0.3 — 0.1 — 

Note: Excludes re-securitization transactions.
Schedule of carrying value of retained interests
September 30, 2020December 31, 2019
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests(2)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(3)
$315 $1,049 $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)    Senior interests in non-agency-sponsored mortgages include $116 million related to personal loan securitizations at September 30, 2020.
(3)    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.
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 September 30, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate3.5 %1.8 %NM
Weighted average constant prepayment rate29.7 %2.5 %NM
Weighted average anticipated net credit losses(2)
NM0.2 %NM
Weighted average life
4.2 years3.9 yearsNM
Three Months Ended September 30, 2019
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate11.4 %3.7 %4.0 %
Weighted average constant prepayment rate14.6 %17.6 %8.4 %
Weighted average anticipated net credit losses(2)
NM2.6 %2.7 %
Weighted average life
6.6 years5.4 years11.0 years

Nine Months Ended September 30, 2020
Non-agency-sponsored mortgages(1)
U.S. agency- sponsored mortgagesSenior interestsSubordinated interests
Weighted average discount rate5.2 %1.8 %3.0 %
Weighted average constant prepayment rate27.9 %1.8 %25.0 %
Weighted average anticipated net credit losses(2)
NM0.7 %0.5 %
Weighted average life4.5 years4.2 years2.3 years

Nine Months Ended September 30, 2019
Non-agency-sponsored mortgages(1)
U.S. agency- sponsored mortgagesSenior interestsSubordinated interests
Weighted average discount rate8.4 %3.6 %4.3 %
Weighted average constant prepayment rate14.8 %11.3 %7.8 %
Weighted average anticipated net credit losses(2)
NM3.6 %2.8 %
Weighted average life6.2 years6.1 years12.0 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. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
September 30, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate1.9 %7.4 %2.7 %
Weighted average constant prepayment rate25.0 %3.8 %6.2 %
Weighted average anticipated net credit losses(2)
NM1.2 %1.6 %
Weighted average life
3.9 years8.9 years35.7 years
December 31, 2019
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.8 %7.6 %4.2 %
Weighted average constant prepayment rate10.1 %3.6 %6.1 %
Weighted average anticipated net credit losses(2)
   NM5.2 %2.7 %
Weighted average life
6.6 years5.9 years29.3 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
September 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%
$(4)$— $(1)
   Adverse change of 20%
(9)(1)(1)
Constant prepayment rate
   Adverse change of 10%
(26)— — 
   Adverse change of 20%
(48)— — 
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 assets90 days past dueThree Months Ended September 30,Nine Months Ended September 30,
In billions of dollars, except liquidation losses in millionsSept. 30, 2020Dec. 31, 2019Sept. 30, 2020Dec. 31, 20192020201920202019
Securitized assets
Residential mortgages(1)
$11.7 $11.7 $0.4 $0.4 $5 $20 $23 $40 
Commercial and other
23.1 22.3 — — — — — — 
Total
$34.8 $34.0 $0.4 $0.4 $5 $20 $23 $40 
(1)    Securitized assets include $0.2 billion of personal loan securitizations as of September 30, 2020.
Schedule of changes in capitalized MSRs The following table summarizes the changes in capitalized MSRs:
Three Months Ended September 30,
In millions of dollars20202019
Balance, beginning of period$345 $508 
Originations31 19 
Changes in fair value of MSRs due to changes in inputs and assumptions(22)(35)
Other changes(1)
(20)(20)
Sales of MSRs— — 
Balance, as of September 30 $334 $472 
Nine Months Ended
September 30,
In millions of dollars20202019
Balance, beginning of year$495 $584 
Originations87 47 
Changes in fair value of MSRs due to changes in inputs and assumptions(191)(99)
Other changes(1)
(57)(60)
Sales of MSRs— — 
Balance, as of September 30 $334 $472 

(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 September 30,Nine Months Ended September 30,
In millions of dollars
2020201920202019
Servicing fees
$29 $36 $102 $112 
Late fees
1 2 4 6
Ancillary fees
— — — 1
Total MSR fees
$30 $38 $106 $119 
Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, CDOs and CLOs
The following tables summarize selected cash flow information and retained interests related to Citigroup CLOs:

Three Months Ended September 30,
In billions of dollars
20202019
Proceeds from new securitizations$— $— 

Nine Months Ended September 30,
In billions of dollars
20202019
Proceeds from new securitizations$0.1 $— 

In millions of dollars
Sept. 30, 2020Dec. 31, 2019
Carrying value of retained interests
$1,612 $1,404 

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:

Three Months Ended September 30,
20202019
Weighted average discount rate— %— %
Weighted average life0 years0 years

Nine Months Ended September 30,
20202019
Weighted average discount rate1.8 %— %
Weighted average life4.2 years0 years
Schedule of asset-based financing
September 30, 2020
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$32,186 $7,465 
Corporate loans
12,151 8,097 
Other (including investment funds, airlines and shipping)162,232 19,939 
Total
$206,569 $35,501 
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