Citibank 2008 Annual Report Download - page 167

The carrying value and fair value of securities held-to-maturity at December 31, 2008:
In millions of dollars
Amortized
cost (1)
Net unrealized
loss on date of
transfer
Carrying
value (2)
Gross
unrecognized
gains
Gross
unrecognized
losses
Fair
value
Debt securities held-to-maturity
Mortgage-backed securities $37,719 $6,981 $30,738 $ 43 $3,030 $27,751
State and municipal 6,051 350 5,701 5 339 5,367
Other debt securities 28,708 688 28,020 212 973 27,259
Total debt securities held-to-maturity $72,478 $8,019 $64,459 $260 $4,342 $60,377
(1) For securities transferred to held-to-maturity from Trading account assets, amortized cost is defined as the fair value amount of the securities at the date of transfer. For securities transferred to held-to-maturity from
available-for-sale, amortized cost is defined as the original purchase cost, plus or minus any accretion or amortization of interest, less any impairment previously recognized in earnings.
(2) Held-to-maturity securities are carried on the Balance Sheet at amortized cost and the changes in the value of these securities, other than impairment charges, are not reported on the financial statements.
The net unrealized losses classified in accumulated other comprehensive
income that relates to debt securities reclassified from available-for-sale
investments to held-to-maturity investments was $8.0 billion as of
December 31, 2008. This balance is amortized over the remaining life of the
related securities as an adjustment of yield in a manner consistent with the
accretion of discount on the same transferred debt securities. This will have
no impact on the Company’s net income, because the amortization of the
unrealized holding loss reported in equity will offset the effect on interest
income of the accretion of the discount on these securities.
The held-to-maturity mortgage-backed securities portfolio’s carrying value of $30.738 billion with a fair value of $27.751 billion as of December 31, 2008,
includes the following:
In millions of dollars
Amortized
cost
Net unrealized
loss on date of
transfer
Carrying
value
Gross
unrecognized
gains
Gross
unrecognized
losses
Fair
value
Mortgage-backed securities held-to-maturity
U.S. government agency sponsored securities $ 1,716 $ 76 $ 1,640 $— $ 45 $ 1,595
U.S. non-government agency sponsored securities
Alt-A 16,658 4,216 12,442 23 1,802 10,663
Prime 7,481 1,436 6,045 — 623 5,422
Subprime 1,368 125 1,243 15 163 1,095
Non-U.S. mortgage-backed securities 10,496 1,128 9,368 5 397 8,976
Total mortgage-backed securities held-to-maturity $37,719 $6,981 $30,738 $43 $3,030 $27,751
At December 31, 2008, the amortized cost of approximately 1,700 held-to-maturity securities exceeded their fair value. The table below shows the fair value
and the unrealized losses of these securities as of December 31, 2008:
Less than 12 months 12 months or longer Total
In millions of dollars at year end
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Debt securities held-to-maturity
Mortgage-backed securities $ 3,941 $ 676 $23,344 $2,354 $27,285 $3,030
State and municipal 4,918 339 — — 4,918 339
Other debt securities 5,500 237 14,409 736 19,909 973
Total debt securities held-to-maturity (1) $14,359 $1,252 $37,753 $3,090 $52,112 $4,342
(1) Subsequent to the transfer of the securities to held-to-maturity, an other-than-temporary impairment charge of $337 million was recorded in earnings.
Excluded from the gross unrealized losses presented in this table is the $8.0 billion of gross unrealized losses recorded in AOCI related to the held-to-maturity
securities that were reclassified from available-for-sale investments. Approximately $5.2 billion of these unrealized losses relate to securities with a fair value of
$16.9 billion at December 31, 2008, which have been in a loss position for twelve months or longer.
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