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 2025 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, 2026
							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	$	22,473	$	22,473	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	134,891		—		134,891		3,858		—		—		109		3,967
Non-agency-sponsored	67,300		—		67,300		3,688		—		335		—		4,023
Citi-administered asset-backed commercial paper conduits	18,548		18,548		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	2		—		2		1		—		—		—		1
Asset-based financing(5)	389,271		7,300		381,971		66,175		560		19,139		—		85,874
Municipal securities tender option bond trusts (TOBs)	4,114		4,114		—		—		—		—		—		—
Municipal investments	22,258		—		22,258		2,941		2,836		3,512		—		9,289
Client intermediation	776		84		692		605		—		—		48		653
Investment funds	6,203		5		6,198		49		167		62		—		278

Total	$	665,836	$	52,524	$	613,312	$	77,317	$	3,563	$	23,048	$	157	$	104,085


	As of December 31, 2025
							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	$	27,811	$	27,811	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(4)
U.S. agency-sponsored	129,615		—		129,615		3,413		—		—		112		3,525
Non-agency-sponsored	66,060		—		66,060		3,586		—		435		—		4,021
Citi-administered asset-backed commercial paper conduits	19,188		19,188		—		—		—		—		—		—
Collateralized loan obligations (CLOs)	492		—		492		208		—		—		—		208
Asset-based financing(5)	391,983		8,738		383,245		63,351		606		17,996		—		81,953
Municipal securities tender option bond trusts (TOBs)	3,575		3,575		—		—		—		—		—		—
Municipal investments	21,953		—		21,953		2,723		2,841		3,666		—		9,230
Client intermediation	172		84		88		1		—		—		49		50
Investment funds	5,047		5		5,042		29		157		90		—		276

Total	$	665,896	$	59,401	$	606,495	$	73,311	$	3,604	$	22,187	$	161	$	99,263

(1) The definition of maximum exposure to loss is included in the text that follows this table.

(2) Included on Citigroup’s March 31, 2026 and December 31, 2025 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 $138.4 billion and $138.7 billion in unconsolidated VIE assets and $1.7 billion and $1.7 billion in maximum exposure to loss as of March 31, 2026 and December 31, 2025, 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 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, 2026 and December 31, 2025, the Company’s maximum exposure to loss related to these transactions was $9.8 billion and $9.2 billion, respectively (see Note 12 and Note 23 to the Consolidated Financial Statements in Citi’s 2025 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, Investments or Loans, in which the Company has no other involvement with the related securitization entity deemed to be significant (see Notes 11, 12 and 21);

•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.

Consolidated VIEs

The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on Citi’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. For additional information on consolidated VIES, see Note 23 to the Consolidated Financial Statements in Citi’s 2025 Form 10-K.

The following tables present assets and liabilities related to consolidated VIEs, which are included on Citi’s Consolidated Balance Sheet. These assets can only be used to settle obligations of consolidated VIEs. In addition, the assets and liabilities of consolidated VIEs include only third-party balances 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,
	2026		December 31,
In millions of dollars	(Unaudited)		2025
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
Cash and due from banks	$	105	$	105
Trading account assets	6,509		7,488
Investments	3,014		2,724
Loans, net of unearned income
Consumer	24,962		31,181
Corporate	19,465		19,902
Loans, net of unearned income	$	44,427	$	51,083
Allowance for credit losses on loans	(1,976)		(2,142)
Total loans, net	$	42,451	$	48,941
Other assets	445		143
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs	$	52,524	$	59,401


	March 31,
	2026		December 31,
In millions of dollars	(Unaudited)		2025
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup
Short-term borrowings	$	13,752	$	9,690
Long-term debt	5,420		5,419
Other liabilities	353		400
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup	$	19,525	$	15,509

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, 2026				December 31, 2025
In millions of dollars	Liquidity facilities		Loan/equity commitments		Liquidity facilities		Loan/equity commitments
Non-agency-sponsored mortgage securitizations	$	—	$	335	$	—	$	435

Asset-based financing	—		19,139		—		17,996
Municipal securities tender option bond trusts (TOBs)	—		—		—		—
Municipal investments	—		3,512		—		3,666
Investment funds	—		62		—		90

Total funding commitments	$	—	$	23,048	$	—	$	22,187

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, 2026		December 31, 2025
Cash	$	—	$	—
Trading account assets	3.5		3.3
Investments	5.4		5.4
Total loans, net of allowance	71.3		67.6
Other	0.7		0.6
Total assets	$	80.9	$	76.9

Credit Card Securitizations

The Company securitizes credit card receivables through two revolving master trusts established to purchase the receivables. These trusts are consolidated entities given Citi’s continuing involvement. For additional information, see Note 23 to the Consolidated Financial Statements in Citi’s 2025 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, 2026 and 2025.

The following table reflects amounts related to the Company’s securitized credit card receivables:


In billions of dollars	March 31, 2026		December 31, 2025
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	5.4	$	5.4
Retained by Citigroup as trust-issued securities	2.3		2.5
Retained by Citigroup via non-certificated interests	15.3		20.7
Total	$	23.0	$	28.6

Mortgage Securitizations

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


	Three Months Ended March 31,
	2026				2025
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	$	5.0	$	1.6	$	1.3
Proceeds from new securitizations	1.4		4.8		1.7		1.3
Contractual servicing fees received	—		—		—		—
Cash flows received on retained interests and other net cash flows	—		0.1		—		—
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, 2026. Gains recognized on the securitization of non-agency-sponsored mortgages were $60.7 million for the three months ended March 31, 2026.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were less than $1 million for the three months ended March 31, 2025. Gains recognized on the securitization of non-agency-sponsored mortgages were $60.8 million for the three months ended March 31, 2025.


	March 31, 2026						December 31, 2025
			Non-agency-sponsored mortgages(1)						Non-agency-sponsored mortgages(1)
In millions of dollars	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests		U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Carrying value of retained interests(2)	$	824	$	884	$	1,095	$	810	$	879	$	1,079

(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) 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.

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 assets				90 days past due				Three Months Ended March 31,
In billions of dollars, except liquidation losses in millions	Mar. 31, 2026		Dec. 31, 2025		Mar. 31, 2026		Dec. 31, 2025		2026		2025
Securitized assets
Residential mortgages(1)	$	33.4	$	33.0	$	0.3	$	0.3	$	1.1	$	—
Commercial and other	29.9		30.1		—		—		—		—
Total	$	63.3	$	63.1	$	0.3	$	0.3	$	1.1	$	—

(1) Securitized assets include $0.1 billion of personal loan securitizations as of March 31, 2026.

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 proceeds from new securitizations for the three months ended March 31, 2026 were $0.3 billion and $0.3 billion, respectively, compared to principal securitized of $0.3 billion and proceeds from new securitizations of $0.2 billion for the three months ended March 31, 2025. The gains recognized on the securitization of consumer loans were $11.6 million for the three months ended March 31, 2026, compared to $0.2 million for the three months ended March 31, 2025.

Mortgage Servicing Rights (MSRs)

In connection with the securitization of mortgage loans, Citi generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees. These transactions create intangible assets referred to as MSRs, which are recorded at fair value on Citi’s Consolidated Balance Sheet (see Note 21 for the valuation of MSRs). The MSRs correspond to principal loan balances of $59 billion and $57 billion as of March 31, 2026 and 2025, respectively.

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 dollars	2026		2025
Servicing fees	$	36	$	37
Late fees	1		1

Total MSR fees	$	37	$	38

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 backed by either residential or commercial mortgages 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, nor did Citi hold retained interests in such securitizations, during the three months ended March 31, 2026 and 2025.

As of March 31, 2026 and December 31, 2025, 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, 2026, Citi transferred agency securities with a fair value of approximately $8.4 billion to re-securitization entities, compared to approximately $7.0 billion for the three months ended March 31, 2025.

As of March 31, 2026, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $3.1 billion (including $1.4 billion related to re-securitization transactions executed in 2026), compared to $2.6 billion as of December 31, 2025 (including $1.9 billion related to re-securitization transactions executed in 2025), 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, 2026 and December 31, 2025 were approximately $88.4 billion and $83.4 billion, respectively.

As of March 31, 2026 and December 31, 2025, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At March 31, 2026 and December 31, 2025, the commercial paper conduits administered by Citi had approximately $18.5 billion and $19.2 billion of purchased assets outstanding and unfunded commitments of approximately $17.2 billion and $17.5 billion, respectively.

At March 31, 2026 and December 31, 2025, the weighted-average remaining maturities of the commercial paper issued by the conduits were approximately 58 and 58 days, respectively.

The conduits have obtained letters of credit from the Company that total approximately $1.9 billion and $2.0 billion as of March 31, 2026 and December 31, 2025, respectively. In the event that defaulted assets exceed the credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.

At March 31, 2026 and December 31, 2025, the Company owned $4.8 billion and $9.2 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

Municipal TOB trusts are consolidated VIEs that hold fixed- or floating-rate, taxable or tax-exempt securities issued by state and local governments and municipalities. TOB trusts finance the purchase of their municipal assets by issuing two classes of certificates: long-dated, floating rate certificates (Floaters) that are putable at par pursuant to a liquidity facility and residual interest certificates (Residuals). The Floaters are purchased by third-party investors, typically tax-exempt money market funds, and the Residuals are purchased by the Company and provide the Company with the unilateral power to cause the sale of the bonds held by a TOB trust.

Approximately $3.4 billion and $2.9 billion of putable Floaters issued by consolidated TOB trusts are reflected in Short-term borrowings at March 31, 2026 and December 31, 2025, respectively.

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, 2026				December 31, 2025
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	$	70,249	$	12,727	$	71,990	$	12,699
Corporate loans	69,934		38,274		65,905		34,785
Other (including investment funds, airlines and shipping)	241,788		34,873		245,350		34,469
Total	$	381,971	$	85,874	$	383,245	$	81,953