SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

9 Months Ended

Sep. 30, 2021

Securitizations and Variable Interest Entities [Abstract]

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

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, 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	$	30,343	$	30,343	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	114,519		—		114,519		1,537		—		—		47		1,584
Non-agency-sponsored	59,584		677		58,907		2,327		—		1		—		2,328
Citi-administered asset-backed commercial paper conduits	12,460		12,460		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	10,094		—		10,094		3,254		—		—		—		3,254
Asset-based financing(5)	279,044		11,106		267,938		29,033		1,283		11,008		—		41,324
Municipal securities tender option bond trusts (TOBs)	3,320		909		2,411		16		—		1,529		—		1,545
Municipal investments	21,078		3		21,075		2,677		3,706		3,558		—		9,941
Client intermediation	872		280		592		75		—		—		206		281
Investment funds	523		192		331		1		—		13		5		19
Other	—		—		—		—		—		—		—		—
Total	$	531,837	$	55,970	$	475,867	$	38,920	$	4,989	$	16,109	$	258	$	60,276

	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 conduits	16,730		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 funds	488		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 September 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 $115 billion and $78 billion in unconsolidated VIE assets and $507 million and $425 million in maximum exposure to loss as of September 30, 2021 and December 31, 2020, respectively.

The previous tables do not include:

•certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);

•certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;

•certain third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of September 30, 2021 and December 31, 2020, the Company’s maximum exposure to loss related to these deals was $56.6 billion and $57.0 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K);

•certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;

•certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);

•certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $4.7 billion and $5.2 billion at September 30, 2021 and December 31, 2020, respectively;

•certain representations and warranties exposures in Citigroup residential mortgage securitizations, in which the original mortgage loan balances are no longer outstanding; and

•VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

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 classification of the asset (e.g., loan or security) and the associated accounting model ascribed to that classification.

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:

	September 30, 2021				December 31, 2020
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	1	$	—	$	2
Asset-based financing	—		11,008		—		9,114
Municipal securities tender option bond trusts (TOBs)	1,529		—		1,611		—
Municipal investments	—		3,558		—		3,041
Investment funds	—		13		—		15
Other	—		—		—		—
Total funding commitments	$	1,529	$	14,580	$	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	September 30, 2021		December 31, 2020
Cash	$	—	$	—
Trading account assets	1.4		2.0
Investments	9.3		10.6
Total loans, net of allowance	32.3		29.3
Other	0.9		0.3
Total assets	$	43.9	$	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	September 30, 2021		December 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 securities	7.2		7.9
Retained by Citigroup via non-certificated interests	13.9		11.1
Total	$	32.1	$	34.7

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

	Three Months Ended September 30,				Nine Months Ended September 30,
In billions of dollars	2021		2020		2021		2020
Proceeds from new securitizations	$	—	$	—	$	—	$	—
Pay down of maturing notes	—		(1.1)		(4.7)		(4.3)

Master Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Master Trust was 3.3 years as of September 30, 2021 and 2.9 years as of December 31, 2020.

In billions of dollars	Sept. 30, 2021		Dec. 31, 2020
Term notes issued to third parties	$	9.7	$	13.9
Term notes retained by Citigroup affiliates	2.2		2.7
Total Master Trust liabilities	$	11.9	$	16.6

Omni Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.9 years as of September 30, 2021 and 1.1 years as of December 31, 2020.

In billions of dollars	Sept. 30, 2021		Dec. 31, 2020
Term notes issued to third parties	$	1.3	$	1.8
Term notes retained by Citigroup affiliates	5.0		5.2
Total Omni Trust liabilities	$	6.3	$	7.0

Mortgage Securitizations

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

	Three Months Ended September 30,
	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	$	0.5	$	1.7	$	2.7	$	2.9
Proceeds from new securitizations	0.5		1.9		2.9		4.5
Purchases of previously transferred financial assets	—		—		0.2		—

	Nine Months Ended September 30,
	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	$	5.4	$	19.8	$	7.2	$	5.4
Proceeds from new securitizations	5.6		19.7		7.6		7.9
Contractual servicing fees received	0.1		—		0.1		—
Purchases of previously transferred financial assets	0.1		—		0.3		—

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $2 million and $3 million for the three and nine months ended September 30, 2021, respectively. For the three and nine months ended September 30, 2021, gains recognized on the securitization of non-agency-sponsored mortgages were $121 million and $423 million, respectively.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $83 million and $87 million for the three and nine months ended September 30, 2020, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $51 million and $116 million for the three and nine months ended September 30, 2020, respectively.

	September 30, 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)	$	379	$	1,777	$	500	$	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 $82 million related to personal loan securitizations at September 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.

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, 2021
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.6	%	2.2	%	2.4	%
Weighted average constant prepayment rate	5.9	%	4.3	%	13.3	%
Weighted average anticipated net credit losses(2)	NM		0.8	%	0.2	%
Weighted average life	7.4 years		3.2 years		4.9 years

	Three Months Ended September 30, 2020
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	3.5	%	1.8	%	NM
Weighted average constant prepayment rate	29.7	%	2.5	%	NM
Weighted average anticipated net credit losses(2)	NM		0.2	%	NM
Weighted average life	4.2 years		3.9 years		NM

	Nine Months Ended September 30, 2021
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.8	%	2.2	%	2.8	%
Weighted average constant prepayment rate	5.3	%	6.3	%	10.6	%
Weighted average anticipated net credit losses(2)	NM		1.4	%	1.0	%
Weighted average life	7.6 years		3.4 years		5.4 years

	Nine Months Ended September 30, 2020
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	5.2	%	1.8	%	3.0	%
Weighted average constant prepayment rate	27.9	%	1.8	%	25.0	%
Weighted average anticipated net credit losses(2)	NM		0.7	%	0.5	%
Weighted average life	4.5 years		4.2 years		2.3 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:

	September 30, 2021
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	6.4	%	13.0	%	3.0	%
Weighted average constant prepayment rate	11.3	%	6.0	%	7.0	%
Weighted average anticipated net credit losses(2)	NM		NM		1.5	%
Weighted average life	5.7 years		12.6 years		18.2 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.

(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 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.

	September 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)	$	—	$	—
Adverse change of 20%	(18)		(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		—		—

	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 September 30,				Nine Months Ended September 30,
In billions of dollars, except liquidation losses in millions	Sept. 30, 2021		Dec. 31, 2020		Sept. 30, 2021		Dec. 31, 2020		2021		2020		2021		2020
Securitized assets
Residential mortgages(1)	$	28.5	$	16.9	$	0.3	$	0.5	$	2	$	5	$	8	$	23
Commercial and other	25.6		23.9		—		—		—		—		$	—	—
Total	$	54.1	$	40.8	$	0.3	$	0.5	$	2	$	5	$	8	$	23

(1)    Securitized assets include $0.2 billion of personal loan securitizations as of September 30, 2021.

Mortgage Servicing Rights (MSRs)

The fair value of Citi’s capitalized MSRs was $409 million and $334 million at September 30, 2021 and 2020, respectively. The MSRs correspond to principal loan balances of $48 billion and $56 billion as of September 30, 2021 and 2020, respectively. The following table summarizes the changes in capitalized MSRs:

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Balance, beginning of period	$	419	$	345	$	336	$	495
Originations	8		31		76		87
Changes in fair value of MSRs due to changes in inputs and assumptions	(3)		(22)		49		(191)
Other changes(1)	(15)		(20)		(52)		(57)
Sales of MSRs	—		—		—		—
Balance, as of September 30	$	409	$	334	$	409	$	334

(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 September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Servicing fees	$	32	$	29	$	100	$	102
Late fees	1		1		2		4
Ancillary fees	—		—		—		—
Total MSR fees	$	33	$	30	$	102	$	106

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 September 30, 2021 and 2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of September 30, 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 and nine months ended September 30, 2021, Citi transferred agency securities with a fair value of approximately $12.6 billion and $37.1 billion, respectively, to re-securitization entities compared to approximately $11.5 billion and $31.8 billion for the three and nine months ended September 30, 2020, respectively.

As of September 30, 2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2 billion (including $526 million related to re-securitization transactions executed in 2021) compared to $1.6 billion as of December 31, 2020 (including $916 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 September 30, 2021 and December 31, 2020 were approximately $78 billion and $83.6 billion, respectively.

As of September 30, 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 September 30, 2021 and December 31, 2020, the commercial paper conduits administered by Citi had approximately $12.5 billion and $16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $20.5 billion and $17.1 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2021 and December 31, 2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 65 and 54 days, respectively.

The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. 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 $1.1 billion and $1.5 billion as of September 30, 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 September 30, 2021 and December 31, 2020, the Company owned $2.5 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 September 30, 2021 and 2020. The following table summarizes selected retained interests related to Citigroup CLOs:

In millions of dollars	Sept. 30, 2021		Dec. 31, 2020
Carrying value of retained interests	$	1,519	$	1,611

All of Citi’s retained interests were held-to-maturity securities as of September 30, 2021 and December 31, 2020.

Municipal Securities Tender Option Bond (TOB) Trusts

At September 30, 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 September 30, 2021 and December 31, 2020, liquidity agreements provided with respect to customer TOB trusts totaled $1.5 billion and $1.6 billion, respectively, of which $0.7 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 $2.2 billion and $3.6 billion as of September 30, 2021 and December 31, 2020, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

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.

	September 30, 2021				December 31, 2020
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs		Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	33,741	$	6,841	$	34,570	$	7,758
Corporate loans	18,465		11,363		12,022		7,654
Other (including investment funds, airlines and shipping)	215,732		23,120		167,613		20,442
Total	$	267,938	$	41,324	$	214,205	$	35,854