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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)
 3 Months Ended
Mar. 31, 2023
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, 2023
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
$30,241 $30,241 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
124,641 — 124,641 2,059 — — 107 2,166 
Non-agency-sponsored
63,156 — 63,156 3,264 — 7 — 3,271 
Citi-administered asset-backed commercial paper conduits19,419 19,419 — — — — — — 
Collateralized loan obligations (CLOs)7,134 — 7,134 2,599 — — — 2,599 
Asset-based financing(5)
178,461 10,336 168,125 40,737 990 10,261 — 51,988 
Municipal securities tender option bond trusts (TOBs)1,885 673 1,212 35 — 867 — 902 
Municipal investments
22,107 3 22,104 2,641 3,025 3,196 — 8,862 
Client intermediation
490 129 361 58 — — 13 71 
Investment funds492 96 396 3 6 66 — 75 
Other
— — — — — — — — 
Total
$448,026 $60,897 $387,129 $51,396 $4,021 $14,397 $120 $69,934 
As of December 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
$32,021 $32,021 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
117,358 — 117,358 2,052 — — 48 2,100 
Non-agency-sponsored
67,704 — 67,704 3,294 — — — 3,294 
Citi-administered asset-backed commercial paper conduits19,621 19,621 — — — — — — 
Collateralized loan obligations (CLOs)7,600 — 7,600 2,601 — — — 2,601 
Asset-based financing(5)
242,348 9,672 232,676 40,121 1,022 10,726 — 51,869 
Municipal securities tender option bond trusts (TOBs)2,155 672 1,483 2 — 1,108 — 1,110 
Municipal investments
22,167 3 22,164 2,731 3,143 3,420 — 9,294 
Client intermediation
482 121 361 58 — — 13 71 
Investment funds534 91 443 2 5 68 — 75 
Other
— — — — — — — — 
Total
$511,990 $62,201 $449,789 $50,861 $4,170 $15,322 $61 $70,414 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s March 31, 2023 and December 31, 2022 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.
(5)     Included within this line are loans to third-party-sponsored private equity funds, which represent $10 billion and $69 billion in unconsolidated VIE assets and $252 million and $498 million in maximum exposure to loss as of March 31, 2023 and December 31, 2022, 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.

March 31,
2023December 31,
In millions of dollars(Unaudited)2022
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs  
Cash and due from banks$58 $61 
Trading account assets9,921 9,153 
Investments614 594 
Loans, net of unearned income 
Consumer33,188 35,026 
Corporate19,575 19,782 
Loans, net of unearned income$52,763 $54,808 
Allowance for credit losses on loans (ACLL)(2,572)(2,520)
Total loans, net$50,191 $52,288 
Other assets113 105 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$60,897 $62,201 

March 31,
2023December 31,
In millions of dollars(Unaudited)2022
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		  
Short-term borrowings$9,673 $9,807 
Long-term debt
9,572 10,324 
Other liabilities854 622 
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		$20,099 $20,753 
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, 2023December 31, 2022
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $7 $— $— 
Asset-based financing
— 10,261 — 10,726 
Municipal securities tender option bond trusts (TOBs)
867 — 1,108 — 
Municipal investments
— 3,196 — 3,420 
Investment funds
— 66 — 68 
Other
— — — — 
Total funding commitments
$867 $13,530 $1,108 $14,214 
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, 2023December 31, 2022
Cash
$— $— 
Trading account assets
1.6 1.6 
Investments
8.8 8.6 
Total loans, net of allowance
44.4 44.2 
Other
0.6 0.6 
Total assets
$55.4 $55.0 
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, 2023December 31, 2022
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$6.9 $7.9 
Retained by Citigroup as trust-issued securities6.4 6.4 
Retained by Citigroup via non-certificated interests18.8 19.5 
Total
$32.1 $33.8 

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

Three Months Ended March 31,
In billions of dollars
20232022
Proceeds from new securitizations
$— $— 
Pay down of maturing notes
(1.0)— 
Schedule of Master Trust liabilities (at par value)
In billions of dollars
Mar. 31, 2023Dec. 31, 2022
Term notes issued to third parties
$5.3 $6.3 
Term notes retained by Citigroup affiliates1.6 1.6 
Total Master Trust liabilities
$6.9 $7.9 
Schedule of Omni Trust liabilities (at par value)
In billions of dollars
Mar. 31, 2023Dec. 31, 2022
Term notes issued to third parties
$1.6 $1.6 
Term notes retained by Citigroup affiliates4.8 4.8 
Total Omni Trust liabilities
$6.4 $6.4 
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,
20232022
In billions of dollars
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized
$0.8 $1.3 $2.1 $1.6 
Proceeds from new securitizations
0.8 1.1 2.0 1.6 
Contractual servicing fees received— — — — 
Cash flows received on retained interests and other net cash flows— — — — 
Purchases of previously transferred financial assets
— — — — 

Note: Excludes broker-dealer re-securitization transactions.
Schedule of carrying value of retained interests
March 31, 2023December 31, 2022
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)
$656 $1,143 $937 $659 $1,119 $943 

(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 $18 million related to personal loan securitizations at March 31, 2023.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 21 for more information about fair value measurements.
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, 2023Dec. 31, 2022Mar. 31, 2023Dec. 31, 202220232022
Securitized assets
Residential mortgages(1)
$31.5 $30.8 $0.5 $0.5 $2.3 $1.5 
Commercial and other
28.8 28.8 — — — — 
Total
$60.3 $59.6 $0.5 $0.5 $2.3 $1.5 
(1)    Securitized assets include $0.1 billion of personal loan securitizations as of March 31, 2023.
Schedule of changes in capitalized MSRs The following table summarizes the changes in capitalized MSRs:
Three Months Ended March 31,
In millions of dollars20232022
Balance, beginning of period$665 $404 
Originations12 34 
Changes in fair value of MSRs due to changes in inputs and assumptions(3)98 
Other changes(1)
(16)(17)
Sales of MSRs— — 
Balance, as of March 31$658 $519 

(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 dollars20232022
Servicing fees
$33 $29 
Late fees
1 1 
Total MSR fees
$34 $30 
Schedule of asset-based financing
March 31, 2023December 31, 2022
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$44,631 $9,175 $43,236 $8,806 
Corporate loans
24,257 15,332 23,120 15,077 
Other (including investment funds, airlines and shipping)99,237 27,481 166,320 27,986 
Total
$168,125 $51,988 $232,676 $51,869