XML 68 R49.htm IDEA: XBRL DOCUMENT v3.22.1
SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022
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
$31,081 $31,081 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
116,330 — 116,330 1,653 — — 52 1,705 
Non-agency-sponsored
58,449 605 57,844 2,426 — 11 — 2,437 
Citi-administered asset-backed commercial paper conduits13,588 13,588 — — — — — — 
Collateralized loan obligations (CLOs)7,315 — 7,315 2,608 — — — 2,608 
Asset-based financing(5)
260,573 10,614 249,959 34,590 1,112 12,288 — 47,990 
Municipal securities tender option bond trusts (TOBs)3,410 886 2,524 21 — 1,736 — 1,757 
Municipal investments
20,961 3 20,958 2,611 3,593 3,821 — 10,025 
Client intermediation
832 392 440 66 — — 63 129 
Investment funds378 89 289 2 — 15 1 18 
Other
— — — — — — — — 
Total
$512,917 $57,258 $455,659 $43,977 $4,705 $17,871 $116 $66,669 
As of December 31, 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
$31,518 $31,518 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
113,641 — 113,641 1,582 — — 43 1,625 
Non-agency-sponsored
60,851 632 60,219 2,479 — 5 — 2,484 
Citi-administered asset-backed commercial paper conduits14,018 14,018 — — — — — — 
Collateralized loan obligations (CLOs)8,302 — 8,302 2,636 — — — 2,636 
Asset-based financing(5)
246,632 11,085 235,547 32,242 1,139 12,189 — 45,570 
Municipal securities tender option bond trusts (TOBs)3,251 905 2,346 2 — 1,498 — 1,500 
Municipal investments
20,597 3 20,594 2,512 3,617 3,562 — 9,691 
Client intermediation
904 297 607 75 — — 224 299 
Investment funds498 179 319 — — 12 1 13 
Other
— — — — — — — — 
Total
$500,212 $58,637 $441,575 $41,528 $4,756 $17,266 $268 $63,818 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s March 31, 2022 and December 31, 2021 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 $100 billion and $100 billion in unconsolidated VIE assets and $498 million and $497 million in maximum exposure to loss as of March 31, 2022 and December 31, 2021, respectively.
Schedule of funding commitments of unconsolidated Variable Interest Entities
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
March 31, 2022December 31, 2021
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $11 $— $5 
Asset-based financing
— 12,288 — 12,189 
Municipal securities tender option bond trusts (TOBs)
1,736 — 1,498 — 
Municipal investments
— 3,821 — 3,562 
Investment funds
— 15 — 12 
Other
— — — — 
Total funding commitments
$1,736 $16,135 $1,498 $15,768 
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
March 31, 2022December 31, 2021
Cash
$— $— 
Trading account assets
1.4 1.4 
Investments
8.8 8.8 
Total loans, net of allowance
37.6 35.4 
Other
1.0 0.8 
Total assets
$48.8 $46.4 
Schedule of securitized credit card receivables The following table reflects amounts related to the Company’s securitized credit card receivables:
In billions of dollars
March 31, 2022December 31, 2021
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$9.7 $9.7 
Retained by Citigroup as trust-issued securities6.5 7.2 
Retained by Citigroup via non-certificated interests16.2 16.1 
Total
$32.4 $33.0 
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended March 31,
In billions of dollars
20222021
Proceeds from new securitizations
$— $— 
Pay down of maturing notes
— (3.6)
Schedule of Master Trust liabilities (at par value)
In billions of dollars
Mar. 31, 2022Dec. 31, 2021
Term notes issued to third parties
$8.4 $8.4 
Term notes retained by Citigroup affiliates1.7 2.2 
Total Master Trust liabilities
$10.1 $10.6 
Schedule of Omni Trust liabilities (at par value)
In billions of dollars
Mar. 31, 2022Dec. 31, 2021
Term notes issued to third parties
$1.3 $1.3 
Term notes retained by Citigroup affiliates4.8 5.0 
Total Omni Trust liabilities
$6.1 $6.3 
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 March 31,
20222021
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$2.1 $1.6 $3.0 $11.0 
Proceeds from new securitizations
2.0 1.6 3.2 10.6 
Contractual servicing fees received— — — — 
Cash flows received on retained interests and other new cash flows— — — — 
Purchases of previously transferred financial assets
— — 0.1 — 

Note: Excludes re-securitization transactions.
Schedule of carrying value of retained interests
March 31, 2022December 31, 2021
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)
$504 $1,234 $819 $374 $1,452 $955 

(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 $62 million related to personal loan securitizations at March 31, 2022.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 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 March 31, 2022
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate7.1 %1.9 %2.8 %
Weighted average constant prepayment rate3.3 %6.2 %11.9 %
Weighted average anticipated net credit losses(2)
NM0.4 %0.2 %
Weighted average life
8.3 years3.7 years4.6 years
Three Months Ended March 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.8 %0.2 %3.2 %
Weighted average constant prepayment rate5.8 %— %12.5 %
Weighted average anticipated net credit losses(2)
NM0.4 %1.7 %
Weighted average life
7.7 years0.8 yearsNM

(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, 2022
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate4.9 %9.3 %4.9 %
Weighted average constant prepayment rate8.5 %9.6 %10.0 %
Weighted average anticipated net credit losses(2)
NM1.0 %2.0 %
Weighted average life
6.7 years7.0 years10.8 years
December 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate3.7 %16.2 %4.0 %
Weighted average constant prepayment rate14.5 %6.8 %9.0 %
Weighted average anticipated net credit losses(2)
   NM1.0 %2.0 %
Weighted average life
5.1 years8.8 years18.0 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.
Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations
March 31, 2022
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
Adverse change of 10%$(11)$— $— 
Adverse change of 20%(22)— — 
Constant prepayment rate
Adverse change of 10%(16)— — 
Adverse change of 20%(31)— — 
Anticipated net credit losses
Adverse change of 10%NM— — 
Adverse change of 20%NM— — 
December 31, 2021
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate
Adverse change of 10%$(6)$(1)$— 
Adverse change of 20%(11)(1)— 
Constant prepayment rate
Adverse change of 10%(19)— — 
Adverse change of 20%(37)— — 
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 March 31,
In billions of dollars, except liquidation losses in millionsMar. 31, 2022Dec. 31, 2021Mar. 31, 2022Dec. 31, 202120222021
Securitized assets
Residential mortgages(1)
$30.0 $29.2 $0.5 $0.4 $1.5 $1.5 
Commercial and other
25.5 26.2 — — — — 
Total
$55.5 $55.4 $0.5 $0.4 $1.5 $1.5 
(1)    Securitized assets include $0.2 billion of personal loan securitizations as of March 31, 2022.
Schedule of changes in capitalized MSRs The following table summarizes the changes in capitalized MSRs:
Three Months Ended March 31,
In millions of dollars20222021
Balance, beginning of period$404 $336 
Originations34 43 
Changes in fair value of MSRs due to changes in inputs and assumptions98 73 
Other changes(1)
(17)(19)
Sales of MSRs— — 
Balance, as of March 31$520 $433 

(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 March 31,
In millions of dollars20222021
Servicing fees
$29 $31 
Late fees
1 1 
Ancillary fees
— — 
Total MSR fees
$30 $32 
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
Mar. 31, 2022Dec. 31, 2021
Carrying value of retained interests
$921 $921 
Schedule of asset-based financing
March 31, 2022December 31, 2021
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$43,290 $8,378 $32,932 $7,461 
Corporate loans
23,528 14,404 18,257 12,581 
Other (including investment funds, airlines and shipping)183,141 25,208 184,358 25,528 
Total
$249,959 $47,990 $235,547 $45,570