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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

12 Months Ended

Dec. 31, 2023

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

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 December 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	$	31,852	$	31,852	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	123,787		—		123,787		2,332		—		—		136		2,468
Non-agency-sponsored	64,963		—		64,963		3,751		—		129		—		3,880
Citi-administered asset-backed commercial paper conduits	21,097		21,097		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	5,562		—		5,562		2,344		—		—		—		2,344
Asset-based financing(5)	204,680		12,197		192,483		48,187		902		13,655		—		62,744
Municipal securities tender option bond trusts (TOBs)	1,493		883		610		12		—		417		—		429
Municipal investments	21,317		3		21,314		2,243		2,779		2,587		—		7,609
Client intermediation	368		86		282		37		—		—		—		37
Investment funds	545		70		475		3		10		95		—		108
Other	—		—		—		—		—		—		—		—
Total	$	475,664	$	66,188	$	409,476	$	58,909	$	3,691	$	16,883	$	136	$	79,619


	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 conduits	19,621		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 funds	534		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 December 31, 2023 and 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. See “Re-securitizations” below for further discussion.

(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 $282 million and $498 million in maximum exposure to loss as of December 31, 2023 and 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, presented on the following page, 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.


	December 31,
In millions of dollars	2023		2022
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
Cash and due from banks	$	44	$	61
Trading account assets	11,350		9,153
Investments	767		594
Loans, net of unearned income
Consumer	35,141		35,026
Corporate	21,207		19,782
Loans, net of unearned income	$	56,348	$	54,808
Allowance for credit losses on loans (ACLL)	(2,481)		(2,520)
Total loans, net	$	53,867	$	52,288
Other assets	160		105
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs	$	66,188	$	62,201


	December 31,
In millions of dollars	2023		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	$	9,692	$	9,807
Long-term debt	8,443		10,324
Other liabilities	927		622
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup	$	19,062	$	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:


	December 31, 2023				December 31, 2022
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	129	$	—	$	—
Asset-based financing	—		13,655		—		10,726
Municipal securities tender option bond trusts (TOBs)	417		—		1,108		—
Municipal investments	—		2,587		—		3,420
Investment funds	—		95		—		68
Other	—		—		—		—
Total funding commitments	$	417	$	16,466	$	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	December 31, 2023		December 31, 2022
Cash	$	—	$	—
Trading account assets	1.9		1.6
Investments	8.3		8.6
Total loans, net of allowance	51.8		44.2
Other	0.6		0.6
Total assets	$	62.6	$	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	December 31, 2023		December 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 securities	5.1		6.4
Retained by Citigroup via non-certificated interests	21.4		19.5
Total	$	33.4	$	33.8

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



In billions of dollars	2023		2022		2021
Proceeds from new securitizations	$	1.5	$	0.3	$	—
Pay down of maturing notes	(2.4)		(2.1)		(6.0)

Schedule of Master Trust liabilities (at par value)


In billions of dollars	Dec. 31, 2023		Dec. 31, 2022
Term notes issued to third parties	$	5.4	$	6.3
Term notes retained by Citigroup affiliates	1.5		1.6
Total Master Trust liabilities	$	6.9	$	7.9

Schedule of Omni Trust liabilities (at par value)


In billions of dollars	Dec. 31, 2023		Dec. 31, 2022
Term notes issued to third parties	$	1.5	$	1.6
Term notes retained by Citigroup affiliates	3.6		4.8
Total Omni Trust liabilities	$	5.1	$	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:



	2023				2022				2021
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Principal securitized	$	4.9	$	4.8	$	6.9	$	13.9	$	6.1	$	25.2
Proceeds from new securitizations	4.9		3.5		6.7		13.4		6.4		25.4
Contractual servicing fees received	0.1		—		0.1		—		0.1		—
Cash flows received on retained interests and other net cash flows	—		0.2		—		0.2		—		0.1
Purchases of previously transferred financial assets	—		—		0.1		—		0.2		—

Note: Excludes re-securitization transactions.

Schedule of carrying value of retained interests


	2023						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)	$	689	$	943	$	963	$	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 $0.9 million related to personal loan securitizations at December 31, 2023.

(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 26 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:


	December 31, 2023
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted-average discount rate	12.9	%	6.0	%	6.1	%
Weighted-average constant prepayment rate	5.9	%	8.6	%	7.3	%
Weighted-average anticipated net credit losses(2)	NM		0.2	%	0.9	%
Weighted-average life	7.7 years		6.8 years		8.1 years


	December 31, 2022
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted-average discount rate	8.8	%	3.2	%	4.1	%
Weighted-average constant prepayment rate	2.7	%	6.0	%	11.4	%
Weighted-average anticipated net credit losses(2)	NM		2.0	%	0.4	%
Weighted-average life	9.0 years		5.5 years		5.6 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.

Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations

Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:


	December 31, 2023
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Weighted-average discount rate	5.4	%	NM	NM
Weighted-average constant prepayment rate	5.8	%	NM	NM
Weighted-average anticipated net credit losses(2)	NM		NM	NM
Weighted-average life	7.5 years		NM	NM


	December 31, 2022
			Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Weighted-average discount rate	5.3	%	13.8	%	NM
Weighted-average constant prepayment rate	5.8	%	4.0	%	NM
Weighted-average anticipated net credit losses(2)	NM		1.0	%	NM
Weighted-average life	7.7 years		10.3 years		NM

(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.

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 presented below.


	December 31, 2023
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(20)	$	—	$	—
Adverse change of 20%	(40)		—		—
Constant prepayment rate
Adverse change of 10%	(17)		—		—
Adverse change of 20%	(34)		—		—
Anticipated net credit losses
Adverse change of 10%	NM		—		—
Adverse change of 20%	NM		—		—


	December 31, 2022
			Non-agency-sponsored mortgages
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate
Adverse change of 10%	$	(19)	$	—	$	—
Adverse change of 20%	(37)		—		—
Constant prepayment rate
Adverse change of 10%	(15)		—		—
Adverse change of 20%	(30)		—		—
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 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 at December 31:


	Securitized assets				90 days past due				Liquidation losses
In billions of dollars, except liquidation losses in millions	2023		2022		2023		2022		2023		2022
Securitized assets
Residential mortgages(1)	$	28.2	$	30.8	$	0.5	$	0.5	$	4.3	$	2.9
Commercial and other	29.9		28.8		—		—		—		—
Total	$	58.1	$	59.6	$	0.5	$	0.5	$	4.3	$	2.9

(1) Securitized assets include $117 million of personal loan securitizations as of December 31, 2023.

Schedule of changes in capitalized MSRs

The following table summarizes the changes in capitalized MSRs:


In millions of dollars	2023		2022
Balance, beginning of year	$	665	$	404
Originations	66		120
Changes in fair value of MSRs due to changes in inputs and assumptions	28		201
Other changes(1)	(68)		(60)

Balance, as of December 31	$	691	$	665

(1) Represents changes due to customer payments.

Schedule of fees received on servicing previously securitized mortgages

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:



In millions of dollars	2023		2022		2021
Servicing fees	$	129	$	122	$	131
Late fees	4		4		3

Total MSR fees	$	133	$	126	$	134

Schedule of cash flow information and retained interests related to Citigroup CLOs

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


In billions of dollars	2023		2022		2021


Cash flows received on retained interests and other net cash flows	$	0.1	$	0.3	$	1.1
Purchases of previously transferred financial assets	—		—		0.2

Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, CDOs and CLOs


In millions of dollars	Dec. 31, 2023		Dec. 31, 2022		Dec. 31, 2021
Carrying value of retained interests	$	604	$	681	$	921

Schedule of asset-based financing


	December 31, 2023				December 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	$	42,869	$	8,831	$	43,236	$	8,806
Corporate loans	27,903		18,546		23,120		15,077
Other (including investment funds, airlines and shipping)	121,711		35,367		166,320		27,986
Total	$	192,483	$	62,744	$	232,676	$	51,869