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SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 3 Months Ended
Mar. 31, 2024
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 23 to the Consolidated Financial Statements in Citi’s 2023 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 March 31, 2024
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
$29,948 $29,948 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored
109,256 — 109,256 2,493 — — 133 2,626 
Non-agency-sponsored
59,255 — 59,255 3,427 — 121 — 3,548 
Citi-administered asset-backed commercial paper conduits19,076 19,076 — — — — — — 
Collateralized loan obligations (CLOs)5,343 — 5,343 2,205 — — — 2,205 
Asset-based financing(5)
212,900 13,166 199,734 46,351 876 13,584 — 60,811 
Municipal securities tender option bond trusts (TOBs)873 873 — — — — — — 
Municipal investments
21,060 3 21,057 2,221 2,675 2,657 — 7,553 
Client intermediation
357 79 278 28 — — 13 41 
Investment funds559 56 503 4 11 93 — 108 
Total
$458,627 $63,201 $395,426 $56,729 $3,562 $16,455 $146 $76,892 
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 conduits21,097 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 funds545 70 475 3 10 95 — 108 
Total
$475,664 $66,188 $409,476 $58,909 $3,691 $16,883 $136 $79,619 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s March 31, 2024 and December 31, 2023 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 $6 billion in unconsolidated VIE assets and $281 million and $282 million in maximum exposure to loss as of March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023, the Company’s maximum exposure to loss related to these transactions was $8.1 billion and $8.5 billion, respectively (see Note 14 and Note 28 to the Consolidated Financial Statements in Citi’s 2023 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 13 and 22 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.

March 31,
2024December 31,
In millions of dollars(Unaudited)2023
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs  
Cash and due from banks$59 $44 
Trading account assets12,182 11,350 
Investments797 767 
Loans, net of unearned income 
Consumer33,199 35,141 
Corporate19,196 21,207 
Loans, net of unearned income$52,395 $56,348 
Allowance for credit losses on loans (ACLL)(2,411)(2,481)
Total loans, net$49,984 $53,867 
Other assets179 160 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$63,201 $66,188 

March 31,
2024December 31,
In millions of dollars(Unaudited)2023
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		  
Short-term borrowings$9,921 $9,692 
Long-term debt
7,213 8,443 
Other liabilities1,724 927 
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		$18,858 $19,062 
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:

March 31, 2024December 31, 2023
In millions of dollars
Liquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$— $121 $— $129 
Asset-based financing
— 13,584 — 13,655 
Municipal securities tender option bond trusts (TOBs)
— — 417 — 
Municipal investments
— 2,657 — 2,587 
Investment funds
— 93 — 95 
Other
— — — — 
Total funding commitments
$— $16,455 $417 $16,466 


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, 2024December 31, 2023
Cash
$— $— 
Trading account assets
4.2 1.9 
Investments
5.8 8.3 
Total loans, net of allowance
49.6 51.8 
Other
0.6 0.6 
Total assets
$60.2 $62.6 

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 23 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K. There were no material cash flows arising from either proceeds from new securitizations or paydowns of maturing notes during the three months ended March 31, 2024 and 2023.
Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:

Three Months Ended March 31,
20242023
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 $1.0 $0.8 $1.3 
Proceeds from new securitizations
1.5 1.0 0.8 1.1 
Contractual servicing fees received— — — — 
Cash flows received on retained interests and other net cash flows— — — — 
Purchases of previously transferred financial assets
— — — — 
Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were less than $1 million for the three months ended March 31, 2024. Gains recognized on the securitization of non-agency-sponsored mortgages were $36.5 million for the three months ended March 31, 2024.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were less than $1 million for the three months ended March 31, 2023. Gains recognized on the securitization of non-agency-sponsored mortgages were $2.4 million for the three months ended March 31, 2023.


March 31, 2024December 31, 2023
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)
$699 $869 $961 $689 $943 $963 

(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 $0.6 million related to personal loan securitizations at March 31, 2024.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 23 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 March 31,
In billions of dollars, except liquidation losses in millionsMar. 31, 2024Dec. 31, 2023Mar. 31, 2024Dec. 31, 202320242023
Securitized assets
Residential mortgages(1)
$26.6 $28.2 $0.4 $0.5 $0.7 $2.3 
Commercial and other
29.7 29.9 — — — — 
Total
$56.3 $58.1 $0.4 $0.5 $0.7 $2.3 

(1)    Securitized assets include $0.1 billion of personal loan securitizations as of March 31, 2024.


Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $702 million and $658 million at March 31, 2024 and 2023, respectively. The MSRs correspond to principal loan balances of $52 billion and $50 billion as of March 31, 2024 and 2023, respectively. The following table summarizes the changes in capitalized MSRs:

Three Months Ended March 31,
In millions of dollars20242023
Balance, beginning of period$691 $665 
Originations17 12 
Changes in fair value of MSRs due to changes in inputs and assumptions12 (3)
Other changes(1)
(18)(16)
Balance, as of March 31$702 $658 

(1)    Represents changes due to customer payments.

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 March 31,
In millions of dollars20242023
Servicing fees
$32 $33 
Late fees
— 1 
Total MSR fees
$32 $34 

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 March 31, 2024 and 2023. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31, 2024 and December 31, 2023, 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 months ended March 31, 2024, Citi transferred agency securities with a fair value of approximately $4.4 billion to re-securitization entities, compared to approximately $5.3 billion for the three months ended March 31, 2023.
As of March 31, 2024, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.8 billion (including $732 million related to re-securitization transactions executed in 2024), compared to $1.7 billion as of December 31, 2023 (including $930 million related to re-securitization transactions executed in 2023), 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 March 31, 2024 and December 31, 2023 were approximately $69 billion and $84.1 billion, respectively.
As of March 31, 2024 and December 31, 2023, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31, 2024 and December 31, 2023, the commercial paper conduits administered by Citi had approximately $19.1 billion and $21.1 billion of purchased assets outstanding, respectively, and had unfunded commitments with clients of approximately $17.8 billion and $16.7 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 2024 and
December 31, 2023, the weighted-average remaining maturities of the commercial paper issued by the conduits were approximately 71 and 68 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 $2.1 billion as of March 31, 2024 and December 31, 2023, respectively. The net result across multi-seller 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 March 31, 2024 and December 31, 2023, the Company owned $8.0 billion and $10.1 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 March 31, 2024 and December 31, 2023, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
The Company 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 $1.2 billion and $1.2 billion as of March 31, 2024 and December 31, 2023, 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.

March 31, 2024December 31, 2023
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$44,137 $8,625 $42,869 $8,831 
Corporate loans
33,778 19,899 27,903 18,546 
Other (including investment funds, airlines and shipping)121,819 32,287 121,711 35,367 
Total
$199,734 $60,811 $192,483 $62,744