Citibank 2011 Annual Report Download - page 206

184
15. INVESTMENTS
Overview
In millions of dollars 2011 
3ECURITIESæAVAILABLEFORSALE $265,204 
$EBTæSECURITIESæHELDTOMATURITYæ 11,483 
.ONMARKETABLEæEQUITYæSECURITIESæCARRIEDæATæFAIRæVALUEæ 8,836 
.ONMARKETABLEæEQUITYæSECURITIESæCARRIEDæATæCOSTæ 7,890 
Total investments $293,413 
æ 2ECORDEDæATæAMORTIZEDæCOSTæLESSæIMPAIRMENTæFORæSECURITIESæTHATæHAVEæCREDITRELATEDæIMPAIRMENT
æ 5NREALIZEDæGAINSæANDæLOSSESæFORæNONMARKETABLEæEQUITYæSECURITIESæCARRIEDæATæFAIRæVALUEæAREæRECOGNIZEDæINæEARNINGS
æ .ONMARKETABLEæEQUITYæSECURITIESæCARRIEDæATæCOSTæPRIMARILYæCONSISTæOFæSHARESæISSUEDæBYæTHEæ&EDERALæ2ESERVEæ"ANKæ&EDERALæ(OMEæ,OANæ"ANKSæFOREIGNæCENTRALæBANKSæANDæVARIOUSæCLEARINGæHOUSESæOFæWHICHæ#ITIGROUPæISæAæMEMBER
Securities Available-for-Sale
The amortized cost and fair value of securities available-for-sale (AFS) at December 31, 2011 and December 31, 2010 were as follows:
2011 
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses Fair value
!MORTIZEDæ
COST
'ROSSæ
UNREALIZEDæ
GAINS
'ROSSæ
UNREALIZEDæ
LOSSES &AIRæVALUE
Debt securities AFS
-ORTGAGEBACKEDæSECURITIESæ
53æGOVERNMENTSPONSOREDæAGENCYæGUARANTEED $ 44,394 $ 1,438 $ 51 $ 45,781        
0RIME 118 1 6 113    
!LT! 1—— 1   
3UBPRIME ————   
.ON53æRESIDENTIAL 4,671 9 22 4,658    
#OMMERCIAL 465 16 9 472    
4OTALæMORTGAGEBACKEDæSECURITIES $ 49,649 $ 1,464 $ 88 $ 51,025        
53æ4REASURYæANDæFEDERALæAGENCYæSECURITIES
53æ4REASURY $ 48,790 $ 1,439 $ — $ 50,229        
!GENCYæOBLIGATIONS 34,310 601 2 34,909    
4OTALæ53æ4REASURYæANDæFEDERALæAGENCYæSECURITIES $ 83,100 $ 2,040 $ 2 $ 85,138      
3TATEæANDæMUNICIPAL $ 16,819 $ 134 $ 2,554 $ 14,399        
&OREIGNæGOVERNMENT 84,360 558 404 84,514    
#ORPORATE 10,005 305 53 10,257    
!SSETBACKEDæSECURITIESæ 11,053 31 81 11,003    
/THERæDEBTæSECURITIES 670 13 — 683    
4OTALæDEBTæSECURITIESæ!&3 $255,656 $ 4,545 $ 3,182 $257,019      
-ARKETABLEæEQUITYæSECURITIESæ!&3 $ 6,722 $ 1,658 $ 195 $ 8,185        
Total securities AFS $262,378 $ 6,203 $ 3,377 $265,204      
ææ 4HEæ#OMPANYæINVESTSæINæMORTGAGEBACKEDæANDæASSETBACKEDæSECURITIESæ4HESEæSECURITIZATIONSæAREæGENERALLYæCONSIDEREDæ6)%Sæ4HEæ#OMPANYSæMAXIMUMæEXPOSUREæTOæLOSSæFROMæTHESEæ6)%SæISæEQUALæTOæTHEæCARRYINGæAMOUNTæ
OFæTHEæSECURITIESæWHICHæISæREFLECTEDæINæTHEæTABLEæABOVEæ&ORæMORTGAGEBACKEDæANDæASSETBACKEDæSECURITIZATIONSæINæWHICHæTHEæ#OMPANYæHASæOTHERæINVOLVEMENTæSEEæ.OTEææTOæTHEæ#ONSOLIDATEDæ&INANCIALæ3TATEMENTS
At December 31, 2011, the amortized cost of approximately 4,000
investments in equity and fixed-income securities exceeded their fair value
by $3.377 billion. Of the $3.377 billion, the gross unrealized loss on equity
securities was $195 million. Of the remainder, $362 million represents fixed-
income investments that have been in a gross-unrealized-loss position for
less than a year and, of these, 99% are rated investment grade; $2.820 billion
represents fixed-income investments that have been in a gross-unrealized-
loss position for a year or more and, of these, 95% are rated investment grade.
The AFS mortgage-backed securities portfolio fair value balance of
$51.025 billion consists of $45.781 billion of government-sponsored agency
securities, and $5.244 billion of privately sponsored securities, of which the
majority is backed by mortgages that are not Alt-A or subprime.
As discussed in more detail below, the Company conducts and documents
periodic reviews of all securities with unrealized losses to evaluate whether
the impairment is other than temporary. Any credit-related impairment
related to debt securities the Company does not plan to sell and is not
likely to be required to sell is recognized in the Consolidated Statement of
Income, with the non-credit-related impairment recognized in AOCI. For
other impaired debt securities, the entire impairment is recognized in the
Consolidated Statement of Income.