The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.

The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.

The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments

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, 2021				December 31, 2020
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	5	$	—	$	2
Asset-based financing	—		10,626		—		9,114
Municipal securities tender option bond trusts (TOBs)	1,557		—		1,611		—
Municipal investments	—		3,063		—		3,041
Investment funds	—		14		—		15
Other	—		50		—		—
Total funding commitments	$	1,557	$	13,758	$	1,611	$	12,172

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, 2021		December 31, 2020
Cash	$	—	$	—
Trading account assets	1.8		2.0
Investments	10.2		10.6
Total loans, net of allowance	31.3		29.3
Other	0.4		0.3
Total assets	$	43.7	$	42.2

Credit Card Securitizations

Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (Omni

Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.

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


In billions of dollars	March 31, 2021		December 31, 2020
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	12.1	$	15.7
Retained by Citigroup as trust-issued securities	7.6		7.9
Retained by Citigroup via non-certificated interests	12.1		11.1
Total	$	31.8	$	34.7

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


	Three Months Ended March 31,
In billions of dollars	2021		2020
Proceeds from new securitizations	$	—	$	—
Pay down of maturing notes	(3.6)		—

Master Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Master Trust was 3.5 years as of March 31, 2021 and 2.9 years as of December 31, 2020.


In billions of dollars	Mar. 31, 2021		Dec. 31, 2020
Term notes issued to third parties	$	10.6	$	13.9
Term notes retained by Citigroup affiliates	2.6		2.7
Total Master Trust liabilities	$	13.2	$	16.6

Omni Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.9 years as of March 31, 2021 and 1.1 years as of December 31, 2020.


In billions of dollars	Mar. 31, 2021		Dec. 31, 2020
Term notes issued to third parties	$	1.5	$	1.8
Term notes retained by Citigroup affiliates	5.0		5.2
Total Omni Trust liabilities	$	6.5	$	7.0

Mortgage Securitizations

The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:


	Three Months Ended March 31,
	2021				2020
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	3.0	$	11.0	$	2.0	$	1.6
Proceeds from new securitizations	3.2		10.6		2.1		2.5
Purchases of previously transferred financial assets	0.1		—		—		—

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1.1 million for the three months ended March 31, 2021. For the three months ended March 31, 2021, gains recognized on the securitization of non-agency sponsored mortgages were $166.2 million.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $3 million for the three months ended March 31, 2020. Gains recognized on the securitization of non-agency sponsored mortgages were $39 million for the three months ended March 31, 2020.


	March 31, 2021						December 31, 2020
			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)	$	421	$	2,402	$	236	$	315	$	1,210	$	145

(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 $104 million related to personal loan securitizations at March 31, 2021.

(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.

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, 2021

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.8	%	0.2	%	3.2	%
Weighted average constant prepayment rate	5.8	%	—	%	12.5	%
Weighted average anticipated net credit losses(2)	NM		0.4	%	1.7	%
Weighted average life	7.7 years		0.8 years		NM


	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

(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, 2021

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	7.6	%	2.8	%	10.6	%
Weighted average constant prepayment rate	11.0	%	4.0	%	4.7	%
Weighted average anticipated net credit losses(2)	NM		1.0	%	1.5	%
Weighted average life	5.9 years		0.3 years		9.6 years


	December 31, 2020

			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	5.9	%	7.2	%	4.3	%
Weighted average constant prepayment rate	22.7	%	5.3	%	4.7	%
Weighted average anticipated net credit losses(2)	NM		1.2	%	1.4	%
Weighted average life	4.5 years		5.3 years		4.7 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.

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 is 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.


	March 31, 2021
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(12)	$	—	$	—
Adverse change of 20%	(23)		—		(1)
Constant prepayment rate
Adverse change of 10%	(20)		—		—
Adverse change of 20%	(38)		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—


	December 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%	$	(8)	$	—	$	(1)
Adverse change of 20%	(15)		(1)		(1)
Constant prepayment rate
Adverse change of 10%	(21)		—		—
Adverse change of 20%	(40)		—		—
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.

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, 2021		Dec. 31, 2020		Mar. 31, 2021		Dec. 31, 2020			2021		2020
Securitized assets
Residential mortgages(1)	$	17.4	$	16.9	$	0.4	$	0.5		$	1.5	$	11.0
Commercial and other	24.6		23.9		—		—			—		—
Total	$	42.0	$	40.8	$	0.4	$	0.5		$	1.5	$	11.0

(1) Securitized assets include $0.2 billion of personal loan securitizations as of March 31, 2021.

Mortgage Servicing Rights (MSRs)

The fair value of Citi’s capitalized MSRs was $433 million and $367 million at March 31, 2021 and 2020, respectively. The MSRs correspond to principal loan balances of $52 billion and $59 billion as of March 31, 2021 and 2020, respectively. The following table summarizes the changes in capitalized MSRs:


	Three Months Ended March 31,
In millions of dollars	2021		2020
Balance, beginning of period	$	336	$	495
Originations	43		32
Changes in fair value of MSRs due to changes in inputs and assumptions	73		(143)
Other changes(1)	(19)		(17)
Sales of MSRs	—		—
Balance, as of March 31	$	433	$	367

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

The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:


	Three Months Ended March 31,
In millions of dollars		2021		2020
Servicing fees		$	31	$	39
Late fees		1		2
Ancillary fees		—		—
Total MSR fees		$	32	$	41

In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.

Re-securitizations

The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended March 31, 2021 and 2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of March 31, 2021 and December 31, 2020, Citi held no retained interests in private label re-securitization transactions structured by Citi.

The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three months ended March 31, 2021, Citi transferred agency securities with a fair value of approximately $13.1 billion to re-securitization entities compared to approximately $7.4 billion for the three months ended March 31, 2020.

As of March 31, 2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2 billion (including $335.0 million related to re-securitization transactions executed in 2021) compared to $1.6 billion as of December 31, 2020 (including $916.0 million related to re-securitization transactions executed in 2020), which is recorded in Trading account assets. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 2021 and December 31, 2020 were approximately $76.2 billion and $83.6 billion, respectively.

As of March 31, 2021 and December 31, 2020, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At March 31, 2021 and December 31, 2020, the commercial paper conduits administered by Citi had approximately $16.5 billion and $16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $19.2 billion and $17.1 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 2021 and December 31, 2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 60 and 54 days, respectively.

The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government-guaranteed loan conduit, have obtained letters of credit from the Company, which equal at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.5 billion and $1.5 billion as of March 31, 2021 and December 31, 2020, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.

At March 31, 2021 and December 31, 2020, the Company owned $6.5 billion and $6.6 billion, respectively, of the commercial paper issued by its administered conduits. The Company’s investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations (CLOs)

There were no new securitizations during the three months ended March 31, 2021 and 2020. The following table summarizes selected retained interests related to Citigroup CLOs:


In millions of dollars	Mar. 31, 2021		Dec. 31, 2020
Carrying value of retained interests	$	1,598	$	1,611

All of Citi’s retained interests were held-to-maturity securities as of March 31, 2021 and December 31, 2020.

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.


	March 31, 2021
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	32,535	$	7,091
Corporate loans	15,535		10,742
Other (including investment funds, airlines and shipping)	166,460		21,264
Total	$	214,530	$	39,097


	December 31, 2020
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	34,570	$	7,758
Corporate loans	12,022		7,654
Other (including investment funds, airlines and shipping)	167,613		20,442
Total	$	214,205	$	35,854

Municipal Securities Tender Option Bond (TOB) Trusts

At March 31, 2021 and December 31, 2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.

At March 31, 2021 and December 31, 2020, liquidity agreements provided with respect to customer TOB trusts totaled $1.6 billion and $1.6 billion, respectively, of which $0.8 billion and $0.8 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.

The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $3 billion and $3.6 billion as of March 31, 2021 and December 31, 2020, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.