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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)
 9 Months Ended
Sep. 30, 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 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 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 
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, 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 
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, 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 
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,
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.
Schedule of carrying value of retained interests
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.
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 (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.
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 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.
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 dollars2023202220232022
Servicing fees
$32 $31 $97 $90 
Late fees
1 1 3 3
Total MSR fees
$33 $32 $100 $93 
Schedule of asset-based financing
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