SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

9 Months Ended

Sep. 30, 2022

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 2021 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, 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	$	31,139	$	31,139	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	112,923		—		112,923		2,019		—		—		49		2,068
Non-agency-sponsored	59,730		—		59,730		2,606		—		7		—		2,613
Citi-administered asset-backed commercial paper conduits	15,583		15,583		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	7,563		—		7,563		2,580		—		—		—		2,580
Asset-based financing(5)	236,093		8,929		227,164		36,588		1,050		11,421		—		49,059
Municipal securities tender option bond trusts (TOBs)	2,521		665		1,856		10		—		1,395		—		1,405
Municipal investments	21,677		3		21,674		2,738		3,252		3,810		—		9,800
Client intermediation	696		325		371		58		—		—		13		71
Investment funds	492		82		410		5		5		20		—		30
Other	—		—		—		—		—		—		—		—
Total	$	488,417	$	56,726	$	431,691	$	46,604	$	4,307	$	16,653	$	62	$	67,626

	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 conduits	14,018		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 funds	498		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 September 30, 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 $75 billion and $100 billion in unconsolidated VIE assets and $500 million and $497 million in maximum exposure to loss as of September 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, the Company’s maximum exposure to loss related to these transactions was $43.4 billion and $55.6 billion, respectively (for more information on these positions, see Note 13 and Note 26 to the Consolidated Financial Statements in Citigroup’s 2021 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 (see Notes 12 and 20 for more information on these positions);

•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 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.

The following tables present certain assets and liabilities of consolidated variable interest entities (VIEs), which are included on Citi’s Consolidated Balance Sheet. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.

	September 30,
	2022		December 31,
In millions of dollars	(Unaudited)		2021
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
Cash and due from banks	$	63	$	260
Trading account assets	8,274		10,038
Investments	616		844
Loans, net of unearned income
Consumer	34,333		34,677
Corporate	15,815		14,312
Loans, net of unearned income	$	50,148	$	48,989
Allowance for credit losses on loans (ACLL)	(2,446)		(2,668)
Total loans, net	$	47,702	$	46,321
Other assets	71		1,174
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs	$	56,726	$	58,637

	September 30,
	2022		December 31,
In millions of dollars	(Unaudited)		2021
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup
Short-term borrowings	$	10,073	$	8,376
Long-term debt	10,438		12,579
Other liabilities	266		694
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup	$	20,777	$	21,649

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, 2022				December 31, 2021
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	7	$	—	$	5
Asset-based financing	—		11,421		—		12,189
Municipal securities tender option bond trusts (TOBs)	1,395		—		1,498		—
Municipal investments	—		3,810		—		3,562
Investment funds	—		20		—		12
Other	—		—		—		—
Total funding commitments	$	1,395	$	15,258	$	1,498	$	15,768

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, 2022		December 31, 2021
Cash	$	—	$	—
Trading account assets	1.6		1.4
Investments	8.7		8.8
Total loans, net of allowance	40.0		35.4
Other	0.6		0.8
Total assets	$	50.9	$	46.4

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 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, 2022		December 31, 2021
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	8.6	$	9.7
Retained by Citigroup as trust-issued securities	6.5		7.2
Retained by Citigroup via non-certificated interests	17.8		16.1
Total	$	32.9	$	33.0

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	2022		2021		2022		2021
Proceeds from new securitizations	$	—	$	—	$	—	$	—
Pay down of maturing notes	(1.1)		—		(1.1)		(4.7)

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, 2022 and 3.6 years as of December 31, 2021.

In billions of dollars	Sept. 30, 2022		Dec. 31, 2021
Term notes issued to third parties	$	7.3	$	8.4
Term notes retained by Citigroup affiliates	1.7		2.2
Total Master Trust liabilities	$	9.0	$	10.6

Omni Trust Liabilities (at Par Value)

The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.7 years as of September 30, 2022 and 1.6 years as of December 31, 2021.

In billions of dollars	Sept. 30, 2022		Dec. 31, 2021
Term notes issued to third parties	$	1.3	$	1.3
Term notes retained by Citigroup affiliates	4.8		5.0
Total Omni Trust liabilities	$	6.1	$	6.3

Mortgage Securitizations

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

	Three Months Ended September 30,
	2022				2021
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	1.4	$	1.1	$	0.5	$	1.7
Proceeds from new securitizations	1.4		1.0		0.5		1.9
Contractual servicing fees received	—		—		—		—
Cash flows received on retained interests and other new cash flows	—		—		—		—
Purchases of previously transferred financial assets	—		—		—		—
	Nine Months Ended September 30,
	2022				2021
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	$	11.3	$	5.4	$	19.8
Proceeds from new securitizations	5.2		11.0		5.6		19.7
Contractual servicing fees received	0.1		—		0.1		—
Cash flows received on retained interests and other new cash flows	—		0.1		—		—
Purchases of previously transferred financial assets	0.1		—		0.1		—

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1 million and $1 million for the three and nine months ended September 30, 2022, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $21 million and $94 million for the three and nine months ended September 30, 2022, respectively.

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

	September 30, 2022						December 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)	$	647	$	1,069	$	945	$	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 $35 million related to personal loan securitizations at September 30, 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.

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, 2022
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	9.6	%	NM		5.7	%
Weighted average constant prepayment rate	2.6	%	NM		9.1	%
Weighted average anticipated net credit losses(2)	NM		NM		0.7	%
Weighted average life	9.4 years		NM		5.3 years
	Nine Months Ended September 30, 2022
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	8.2	%	3.4	%	4.2	%
Weighted average constant prepayment rate	2.6	%	5.9	%	11.7	%
Weighted average anticipated net credit losses(2)	NM		2.9	%	0.5	%
Weighted average life	9.2 years		6.5 years		5.7 years
	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
	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

(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, 2022
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	5.9	%	1.5	%	NM
Weighted average constant prepayment rate	4.8	%	15.0	%	NM
Weighted average anticipated net credit losses(2)	NM		1.0	%	NM
Weighted average life	8.2 years		1.5 years		NM

	December 31, 2021
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted average discount rate	3.7	%	16.2	%	4.0	%
Weighted average constant prepayment rate	14.5	%	6.8	%	9.0	%
Weighted average anticipated net credit losses(2)	NM		1.0	%	2.0	%
Weighted average life	5.1 years		8.8 years		18.0 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 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, 2022
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(21)	$	—	$	—
Adverse change of 20%	(40)		—		—
Constant prepayment rate
Adverse change of 10%	(12)		—		—
Adverse change of 20%	(24)		—		—
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.

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, 2022		Dec. 31, 2021		Sept. 30, 2022		Dec. 31, 2021		2022		2021		2022		2021
Securitized assets
Residential mortgages(1)	$	29.3	$	29.2	$	0.5	$	0.4	$	1	$	2	$	3	$	8
Commercial and other	28.8		26.2		—		—		—		—		—		—
Total	$	58.1	$	55.4	$	0.5	$	0.4	$	1	$	2	$	3	$	8

(1)    Securitized assets include $0.2 billion of personal loan securitizations as of September 30, 2022.

Mortgage Servicing Rights (MSRs)

The fair value of Citi’s capitalized MSRs was $647 million and $409 million at September 30, 2022 and 2021, respectively. The MSRs correspond to principal loan balances of $48 billion and $48 billion as of September 30, 2022 and 2021, respectively. The following table summarizes the changes in capitalized MSRs:

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2022		2021		2022		2021
Balance, beginning of period	$	600	$	419	$	404	$	336
Originations	25		8		94		76
Changes in fair value of MSRs due to changes in inputs and assumptions	37		(3)		195		49
Other changes(1)	(15)		(15)		(46)		(52)
Sales of MSRs	—		—		—		—
Balance, as of September 30	$	647	$	409	$	647	$	409

(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	2022		2021		2022		2021
Servicing fees	$	31	$	32	$	90	$	100
Late fees	1		1		3		2
Ancillary fees	—		—		—		—
Total MSR fees	$	32	$	33	$	93	$	102

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, 2022 and 2021. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of September 30, 2022 and December 31, 2021, 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, 2022, Citi transferred agency securities with a fair value of approximately $5.3 billion and $20.3 billion, respectively, to re-securitization entities compared to approximately $12.6 billion and $37.1 billion for the three and nine months ended September 30, 2021, respectively.

As of September 30, 2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.4 billion (including $747 million related to re-securitization transactions executed in 2022), an increase from $1.2 billion as of December 31, 2021 (including $641 million related to re-securitization transactions executed in 2021), 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, 2022 and December 31, 2021 were approximately $76.0 billion and $78.4 billion, respectively.

As of September 30, 2022 and December 31, 2021, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At September 30, 2022 and December 31, 2021, the commercial paper conduits administered by Citi had approximately $15.6 billion and $14.0 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $17.0 billion and $18.3 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2022 and December 31, 2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 65 and 70 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 $1.6 billion and $1.3 billion as of September 30, 2022 and December 31, 2021, respectively. The net result across multiseller 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, 2022 and December 31, 2021, the Company owned $4.6 billion and $4.9 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 and nine months ended September 30, 2022 and 2021. The following table summarizes selected retained interests related to Citigroup CLOs:

In millions of dollars	Sept. 30, 2022		Dec. 31, 2021
Carrying value of retained interests	$	681	$	921

All of Citi’s retained interests were held-to-maturity securities as of September 30, 2022 and December 31, 2021.

Municipal Securities Tender Option Bond (TOB) Trusts

At September 30, 2022 and December 31, 2021, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.

At September 30, 2022 and December 31, 2021, liquidity agreements provided with respect to customer TOB trusts totaled $1.4 billion and $1.5 billion, respectively, of which $0.8 billion and $0.6 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 $1.4 billion and $2.0 billion as of September 30, 2022 and December 31, 2021, 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, 2022				December 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	$	39,681	$	7,767	$	32,932	$	7,461
Corporate loans	24,486		14,870		18,257		12,581
Other (including investment funds, airlines and shipping)	162,997		26,422		184,358		25,528
Total	$	227,164	$	49,059	$	235,547	$	45,570