Citibank 2010 Annual Report Download - page 215
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213
The following is a 12-month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of December 31,
2010 that the Company does not intend to sell nor likely will be required to sell:
Cumulative OTTI Credit Losses Recognized in Earnings
In millions of dollars
December 31, 2009
balance
Credit impairments
recognized in
earnings on
securities not
previously impaired
Credit impairments
recognized in
earnings on
securities that
have been
previously impaired
Reductions due to
sales of credit
impaired
securities sold or
matured
December 31, 2010
balance
AFS debt securities
Mortgage-backed securities
Prime $ 242 $ 12 $ 38 $— $ 292
Alt-A 1 1 — — 2
Commercial real estate 2 — — — 2
Total mortgage-backed securities $ 245 $ 13 $ 38 $— $ 296
State and municipal — 3 — — 3
U.S. Treasury — 48 — — 48
Foreign government 20 139 — — 159
Corporate 137 12 5 — 154
Asset-backed securities 9 1 — — 10
Other debt securities 49 3 — — 52
Total OTTI credit losses recognized for
AFS debt securities $ 460 $ 219 $ 43 $— $ 722
HTM debt securities
Mortgage-backed securities
Prime $ 170 $ 134 $ 4 $— $ 308
Alt-A 2,569 381 199 — 3,149
Subprime 210 1 21 — 232
Non-U.S. residential 96 — — — 96
Commercial real estate 9 1 — — 10
Total mortgage-backed securities $ 3,054 $ 517 $ 224 $— $3,795
State and municipal 7 — — — 7
Corporate 351 — — — 351
Asset-backed securities 48 46 19 — 113
Other debt securities 4 — 1 — 5
Total OTTI credit losses recognized for
HTM debt securities $ 3,464 $ 563 $ 244 $— $4,271