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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 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 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 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

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:


	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

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	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

Schedule of securitized credit card receivables

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)

Schedule of Master Trust liabilities (at par value)


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

Schedule of Omni Trust liabilities (at par value)


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

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 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.

Schedule of carrying value of retained interests


	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.

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 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.

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


	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.

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 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.

Schedule of changes in capitalized MSRs

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.

Schedule of fees received on 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

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

Schedule of asset-based financing


	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