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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)
 6 Months Ended
Jun. 30, 2021
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, 2021
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
$30,948 $30,948 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
114,664 — 114,664 1,533 — — 50 1,583 
Non-agency-sponsored
57,157 773 56,384 2,893 — 5 — 2,898 
Citi-administered asset-backed commercial paper conduits14,566 14,566 — — — — — — 
Collateralized loan obligations (CLOs)11,430 — 11,430 3,529 — — — 3,529 
Asset-based financing(5)
256,827 8,657 248,170 29,196 1,195 10,255 — 40,646 
Municipal securities tender option bond trusts (TOBs)3,302 915 2,387 — — 1,523 — 1,523 
Municipal investments
21,914 — 21,914 2,662 3,797 3,539 — 9,998 
Client intermediation
911 470 441 75 — — 56 131 
Investment funds483 158 325 2 — 13 1 16 
Other
— — — — — — — — 
Total
$512,202 $56,487 $455,715 $39,890 $4,992 $15,335 $107 $60,324 
As of December 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
$32,420 $32,420 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
123,999 — 123,999 1,948 — — 61 2,009 
Non-agency-sponsored
46,132 939 45,193 2,550 — 2 1 2,553 
Citi-administered asset-backed commercial paper conduits16,730 16,730 — — — — — — 
Collateralized loan obligations (CLOs)18,332 — 18,332 4,273 — — — 4,273 
Asset-based financing(5)
222,274 8,069 214,205 25,153 1,587 9,114 — 35,854 
Municipal securities tender option bond trusts (TOBs)3,349 835 2,514 — — 1,611 — 1,611 
Municipal investments
20,335 — 20,335 2,569 4,056 3,041 — 9,666 
Client intermediation
1,352 910 442 88 — — 56 144 
Investment funds488 153 335 — — 15 — 15 
Other
— — — — — — — — 
Total
$485,411 $60,056 $425,355 $36,581 $5,643 $13,783 $118 $56,125 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s June 30, 2021 and December 31, 2020 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 $109 billion and $78 billion in unconsolidated VIE assets and $507 million and $425 million in maximum exposure to loss as of June 30, 2021 and December 31, 2020, respectively.
Schedule of funding commitments of unconsolidated Variable Interest Entities
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
June 30, 2021December 31, 2020
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $5 $— $2 
Asset-based financing
— 10,255 — 9,114 
Municipal securities tender option bond trusts (TOBs)
1,523 — 1,611 — 
Municipal investments
— 3,539 — 3,041 
Investment funds
— 13 — 15 
Other
— — — — 
Total funding commitments
$1,523 $13,812 $1,611 $12,172 
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, 2021December 31, 2020
Cash
$— $— 
Trading account assets
1.4 2.0 
Investments
9.6 10.6 
Total loans, net of allowance
33.2 29.3 
Other
0.7 0.3 
Total assets
$44.9 $42.2 
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, 2021December 31, 2020
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$11.0 $15.7 
Retained by Citigroup as trust-issued securities7.2 7.9 
Retained by Citigroup via non-certificated interests14.6 11.1 
Total
$32.8 $34.7 
The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended June 30,
In billions of dollars
20212020
Proceeds from new securitizations
$— $— 
Pay down of maturing notes
(1.1)(3.2)
Six Months Ended
June 30,
In billions of dollars
20212020
Proceeds from new securitizations
$— $— 
Pay down of maturing notes
(4.7)(3.2)
Schedule of Master Trust liabilities (at par value)
In billions of dollars
Jun. 30, 2021Dec. 31, 2020
Term notes issued to third parties
$9.7 $13.9 
Term notes retained by Citigroup affiliates2.2 2.7 
Total Master Trust liabilities
$11.9 $16.6 
Schedule of Omni Trust liabilities (at par value)
In billions of dollars
Jun. 30, 2021Dec. 31, 2020
Term notes issued to third parties
$1.3 $1.8 
Term notes retained by Citigroup affiliates5.0 5.2 
Total Omni Trust liabilities
$6.3 $7.0 
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,
20212020
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$1.9 $7.1 $2.4 $0.9 
Proceeds from new securitizations
1.9 7.2 2.6 0.9 
Purchases of previously transferred financial assets
— — — — 

Six Months Ended June 30,
20212020
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$4.9 $18.1 $4.5 $1.6 
Proceeds from new securitizations
5.1 17.8 4.7 3.4 
Purchases of previously transferred financial assets
0.1 — 0.1 — 

Note: Excludes re-securitization transactions.
Schedule of carrying value of retained interests
June 30, 2021December 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)
$388 $2,393 $479 $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 $93 million related to personal loan securitizations at June 30, 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.
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, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate9.0 %1.8 %2.8 %
Weighted average constant prepayment rate4.2 %— %10.0 %
Weighted average anticipated net credit losses(2)
NM— %1.0 %
Weighted average life
7.8 years6.7 years5.7 years
Three Months Ended June 30, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate3.5 %6.2 %3.0 %
Weighted average constant prepayment rate28.7 %— %25.0 %
Weighted average anticipated net credit losses(2)
NM— %0.5 %
Weighted average life
4.1 years9.8 years2.3 years

Six Months Ended June 30, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate8.9 %0.4 %2.9 %
Weighted average constant prepayment rate5.0 %— %10.3 %
Weighted average anticipated net credit losses(2)
NM0.4 %1.1 %
Weighted average life
7.8 years3.4 years5.5 years
Six Months Ended June 30, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate6.0 %1.8 %3.0 %
Weighted average constant prepayment rate27.1 %— %25.0 %
Weighted average anticipated net credit losses(2)
NM1.6 %0.5 %
Weighted average life
4.7 years4.8 years2.3 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.
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, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate6.4 %7.9 %3.0 %
Weighted average constant prepayment rate12.5 %4.5 %4.6 %
Weighted average anticipated net credit losses(2)
NM1.0 %1.2 %
Weighted average life
5.5 years4.7 years18.2 years
December 31, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate5.9 %7.2 %4.3 %
Weighted average constant prepayment rate22.7 %5.3 %4.7 %
Weighted average anticipated net credit losses(2)
   NM1.2 %1.4 %
Weighted average life
4.5 years5.3 years4.7 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.
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, 2021
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)
   Adverse change of 20%
(18)— (2)
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.
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 June 30,Six Months Ended June 30,
In billions of dollars, except liquidation losses in millionsJun. 30, 2021Dec. 31, 2020Jun. 30, 2021Dec. 31, 20202021202020212020
Securitized assets
Residential mortgages(1)
$28.7 $16.9 $0.4 $0.5 $5 $7 $6.6 $18 
Commercial and other
25.8 23.9 — — — — — — 
Total
$54.5 $40.8 $0.4 $0.5 $5 $7 $6.6 $18 
(1)    Securitized assets include $0.2 billion of personal loan securitizations as of June 30, 2021.
Schedule of changes in capitalized MSRs The following table summarizes the changes in capitalized MSRs:
Three Months Ended June 30,Six Months Ended
June 30,
In millions of dollars2021202020212020
Balance, beginning of period$433 $367 $336 $495 
Originations25 24 68 56 
Changes in fair value of MSRs due to changes in inputs and assumptions(21)(26)52 (169)
Other changes(1)
(18)(20)(37)(37)
Sales of MSRs— — — — 
Balance, as of June 30$419 $345 $419 $345 

(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 dollars2021202020212020
Servicing fees
$37 $34 $68 $73 
Late fees
— 1 1 3
Ancillary fees
— — — —
Total MSR fees
$37 $35 $69 $76 
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:
In millions of dollars
Jun. 30, 2021Dec. 31, 2020
Carrying value of retained interests
$1,574 $1,611 
Schedule of asset-based financing
June 30, 2021
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other
real estate		$33,341 $7,073 
Corporate loans
15,963 10,588 
Other (including investment funds, airlines and shipping)198,866 22,985 
Total
$248,170 $40,646 
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