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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 9 Months Ended
Sep. 30, 2023
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 22 to the Consolidated Financial Statements in Citi’s 2022 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, 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
$31,203 $31,203 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
125,485 — 125,485 2,149 — — 139 2,288 
Non-agency-sponsored
64,111 — 64,111 3,133 — 130 — 3,263 
Citi-administered asset-backed commercial paper conduits20,852 20,852 — — — — — — 
Collateralized loan obligations (CLOs)5,767 — 5,767 2,455 — — — 2,455 
Asset-based financing(5)
190,782 10,652 180,130 41,613 927 12,775 — 55,315 
Municipal securities tender option bond trusts (TOBs)1,410 723 687 5 — 519 — 524 
Municipal investments
21,657 3 21,654 2,356 2,884 2,934 — 8,174 
Client intermediation
496 106 390 75 — — — 75 
Investment funds504 70 434 5 8 90 — 103 
Total
$462,267 $63,609 $398,658 $51,791 $3,819 $16,448 $139 $72,197 
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 
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 September 30, 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 $6 billion and $69 billion in unconsolidated VIE assets and $283 million and $498 million in maximum exposure to loss as of September 30, 2023 and December 31, 2022, respectively.
The previous tables do not include:

•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, 2023 and December 31, 2022, the Company’s maximum exposure to loss related to these transactions was $13.8 billion and $33.6 billion, respectively (for more information on these positions, see Note 13 and Note 27 to the Consolidated Financial Statements in Citi’s 2022 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 21 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 include those assets that can only be used to settle obligations of consolidated VIEs and are in excess of those obligations. In addition, the assets include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities 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,
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$33 $61 
Trading account assets9,990 9,153 
Investments651 594 
Loans, net of unearned income 
Consumer34,349 35,026 
Corporate20,975 19,782 
Loans, net of unearned income$55,324 $54,808 
Allowance for credit losses on loans (ACLL)(2,527)(2,520)
Total loans, net$52,797 $52,288 
Other assets138 105 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$63,609 $62,201 

September 30,
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$9,657 $9,807 
Long-term debt
7,340 10,324 
Other liabilities835 622 
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		$17,832 $20,753 
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, 2023December 31, 2022
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $130 $— $— 
Asset-based financing
— 12,775 — 10,726 
Municipal securities tender option bond trusts (TOBs)
519 — 1,108 — 
Municipal investments
— 2,934 — 3,420 
Investment funds
— 90 — 68 
Other
— — — — 
Total funding commitments
$519 $15,929 $1,108 $14,214 

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, 2023December 31, 2022
Cash
$— $— 
Trading account assets
1.6 1.6 
Investments
8.1 8.6 
Total loans, net of allowance
45.3 44.2 
Other
0.6 0.6 
Total assets
$55.6 $55.0 

Credit Card Securitizations
The Company’s primary credit card securitization activity is through two trusts—Citibank Credit Card Master Trust and Citibank Omni Trust. These trusts are consolidated entities given Citi’s continuing involvement. For additional information, see Note 22 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K. There were no material cash flows arising from either proceeds from new securitizations or paydowns of maturing notes during the nine months ended September 30, 2023 and 2022.
Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:

Three Months Ended September 30,
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
$1.7 $0.6 $1.4 $1.1 
Proceeds from new securitizations
1.7 0.5 1.4 1.0 
Contractual servicing fees received— — — — 
Cash flows received on retained interests and other net cash flows— 0.1 — — 
Purchases of previously transferred financial assets
— — — — 
Nine Months Ended September 30,
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
$4.1 $2.9 $5.4 $11.3 
Proceeds from new securitizations
4.1 2.6 5.2 11.0 
Contractual servicing fees received0.1 — 0.1 — 
Cash flows received on retained interests and other net cash flows— 0.1 — 0.1 
Purchases of previously transferred financial assets— — 0.1 — 
Note: Excludes broker-dealer re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were less than $1 million each for the three and nine months ended September 30, 2023, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $50.4 million and $64.1 million for the three and nine months ended September 30, 2023, respectively.
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.


September 30, 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)
$735 $953 $951 $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 $1.6 million related to personal loan securitizations at September 30, 2023.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 22 for more information about fair value measurements.
The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:

Liquidation (gains) losses
Securitized assets90 days past dueThree Months Ended September 30,Nine Months Ended September 30,
In billions of dollars, except liquidation losses in millionsSept. 30, 2023Dec. 31, 2022Sept. 30, 2023Dec. 31, 20222023202220232022
Securitized assets
Residential mortgages(1)
$28.1 $30.8 $0.4 $0.5 $(0.2)$1 $4.4 $3 
Commercial and other
29.2 28.8 — — — — — — 
Total
$57.3 $59.6 $0.4 $0.5 $(0.2)$1 $4.4 $3 

(1)    Securitized assets include $0.1 billion of personal loan securitizations as of September 30, 2023.

Consumer Loan Securitizations
Beginning in the third quarter of 2023, Citi relaunched a program securitizing other consumer loans into asset-backed securities. The principal securitized and the proceeds from new securitizations at September 30, 2023 were $0.5 billion and $0.3 billion, respectively. The gain recognized on the securitization of consumer loans was $3.7 million for the three months ended September 30, 2023.


Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $729 million and $647 million at September 30, 2023 and 2022, respectively. The MSRs correspond to principal loan balances of $52 billion and $48 billion as of September 30, 2023 and 2022, respectively. The following table summarizes the changes in capitalized MSRs:

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2023202220232022
Balance, beginning of period$681 $600 $665 $404 
Originations23 25 54 94 
Changes in fair value of MSRs due to changes in inputs and assumptions42 37 61 195 
Other changes(1)
(17)(15)(51)(46)
Balance, as of September 30$729 $647 $729 $647 

(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 dollars2023202220232022
Servicing fees
$32 $31 $97 $90 
Late fees
1 1 3 3
Total MSR fees
$33 $32 $100 $93 

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, 2023 and 2022. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of September 30, 2023 and December 31, 2022, 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, 2023, Citi transferred agency securities with a fair value of approximately $4.3 billion and $12.8 billion, respectively, to re-securitization entities, compared to approximately $5.3 billion and $20.3 billion for the three and nine months ended September 30, 2022, respectively.
As of September 30, 2023, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.4 billion (including $552 million related to re-securitization transactions executed in 2023), compared to $1.4 billion as of December 31, 2022 (including $801 million related to re-securitization transactions executed in 2022), 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, 2023 and December 31, 2022 were approximately $85.9 billion and $79.4 billion, respectively.
As of September 30, 2023 and December 31, 2022, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At September 30, 2023 and December 31, 2022, the commercial paper conduits administered by Citi had approximately $20.9 billion and $19.6 billion of purchased assets outstanding, respectively, and had unfunded commitments with clients of approximately $15.6 billion and $13.9 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2023 and December 31, 2022, the weighted average remaining maturities of the commercial paper issued by the conduits were approximately 68 and 64 days, respectively.
Each asset purchased by the conduit is structured with transaction-specific credit enhancement, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. Credit enhancement is sized with the objective of approximating an investment-grade credit rating, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancement, the conduits have obtained letters of credit from the Company that equal at least 8% to 10% of the conduit’s assets with a minimum of $200 million to $350 million. The letters of credit provided by the Company to the conduits total approximately $1.9 billion and $1.9 billion as of September 30, 2023 and December 31, 2022, respectively. The net result across multiseller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancement described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At September 30, 2023 and December 31, 2022, the Company owned $9.9 billion and $8.6 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.

Municipal Securities Tender Option Bond (TOB) Trusts
At September 30, 2023 and December 31, 2022, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At September 30, 2023 and December 31, 2022, liquidity agreements provided with respect to customer TOB trusts totaled $0.5 billion and $1.1 billion, respectively, of which $0.3 billion and $0.7 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 $1.3 billion and $1.4 billion as of September 30, 2023 and December 31, 2022, 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 presented 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, 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$42,651 $9,250 $43,236 $8,806 
Corporate loans
21,846 15,116 23,120 15,077 
Other (including investment funds, airlines and shipping)115,633 30,949 166,320 27,986 
Total
$180,130 $55,315 $232,676 $51,869