Citibank 2011 Annual Report Download - page 209

187
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities held-to-maturity (HTM) at December 31, 2011 and December 31, 2010 were as follows:
In millions of dollars
Amortized
cost (1)
Net unrealized
loss
recognized in
AOCI
Carrying
value (2)
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
December 31, 2011
Debt securities held-to-maturity
-ORTGAGEBACKEDæSECURITIESæ
0RIME $ 360 $ 73 $ 287 $ 21 $ 20 $ 288
!LT! 4,732 1,404 3,328 20 319 3,029
3UBPRIME 383 47 336 1 71 266
.ON53æRESIDENTIAL 3,487 520 2,967 59 290 2,736
#OMMERCIAL 513 1 512 4 52 464
4OTALæMORTGAGEBACKEDæSECURITIES $ 9,475 $ 2,045 $ 7,430 $ 105 $ 752 $ 6,783
3TATEæANDæMUNICIPAL $ 1,422 $ 95 $ 1,327 $ 68 $ 72 $ 1,323
#ORPORATE 1,862 113 1,749 — 254 1,495
!SSETBACKEDæSECURITIESæ 1,000 23 977 9 87 899
Total debt securities held-to-maturity $ 13,759 $ 2,276 $ 11,483 $ 182 $ 1,165 $ 10,500
December 31, 2010
Debt securities held-to-maturity
-ORTGAGEBACKEDæSECURITIESæ
0RIME            
!LT!      
3UBPRIME      
.ON53æRESIDENTIAL      
#OMMERCIAL      
4OTALæMORTGAGEBACKEDæSECURITIES            
3TATEæANDæMUNICIPAL            
#ORPORATE      
!SSETBACKEDæSECURITIESæ      
Total debt securities held-to-maturity            
æ &ORæSECURITIESæTRANSFERREDæTOæ(4-æFROMæTrading account assetsæINææAMORTIZEDæCOSTæISæDEFINEDæASæTHEæFAIRæVALUEæOFæTHEæSECURITIESæATæTHEæDATEæOFæTRANSFERæPLUSæANYæACCRETIONæINCOMEæANDæLESSæANYæIMPAIRMENTSæRECOGNIZEDæ
INæEARNINGSæSUBSEQUENTæTOæTRANSFERæ&ORæSECURITIESæTRANSFERREDæTOæ(4-æFROMæ!&3æINææAMORTIZEDæCOSTæISæDEFINEDæASæTHEæORIGINALæPURCHASEæCOSTæPLUSæORæMINUSæANYæACCRETIONæORæAMORTIZATIONæOFæAæPURCHASEæDISCOUNTæORæ
PREMIUMæLESSæANYæIMPAIRMENTæRECOGNIZEDæINæEARNINGS
æ (4-æSECURITIESæAREæCARRIEDæONæTHEæ#ONSOLIDATEDæ"ALANCEæ3HEETæATæAMORTIZEDæCOSTæLESSæANYæUNREALIZEDæGAINSæANDæLOSSESæRECOGNIZEDæINæ!/#)æ4HEæCHANGESæINæTHEæVALUESæOFæTHESEæSECURITIESæAREæNOTæREPORTEDæINæTHEæFINANCIALæ
STATEMENTSæEXCEPTæFORæOTHERTHANTEMPORARYæIMPAIRMENTSæ&ORæ(4-æSECURITIESæONLYæTHEæCREDITæLOSSæCOMPONENTæOFæTHEæIMPAIRMENTæISæRECOGNIZEDæINæEARNINGSæWHILEæTHEæREMAINDERæOFæTHEæIMPAIRMENTæISæRECOGNIZEDæINæ!/#)
ææ 4HEæ#OMPANYæINVESTSæINæMORTGAGEBACKEDæANDæASSETBACKEDæSECURITIESæ4HESEæSECURITIZATIONSæAREæGENERALLYæCONSIDEREDæ6)%Sæ4HEæ#OMPANYSæMAXIMUMæEXPOSUREæTOæLOSSæFROMæTHESEæ6)%SæISæEQUALæTOæTHEæCARRYINGæAMOUNTæ
OFæTHEæSECURITIESæWHICHæISæREFLECTEDæINæTHEæTABLEæABOVEæ&ORæMORTGAGEBACKEDæANDæASSETBACKEDæSECURITIZATIONSæINæWHICHæTHEæ#OMPANYæHASæOTHERæINVOLVEMENTæSEEæ.OTEææTOæTHEæ#ONSOLIDATEDæ&INANCIALæ3TATEMENTS
The Company has the positive intent and ability to hold these securities
to maturity absent any unforeseen further significant changes in
circumstances, including deterioration in credit or with regard to regulatory
capital requirements.
The net unrealized losses classified in AOCI relate to debt securities
reclassified from AFS investments to HTM investments in a prior year.
Additionally, for HTM securities that have suffered credit impairment,
declines in fair value for reasons other than credit losses are recorded in
AOCI. The AOCI balance was $2.3 billion as of December 31, 2011, compared
to $5.0 billion as of December 31, 2010. The AOCI balance for HTM securities
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
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.
For any credit-related impairment on HTM securities, the credit loss
component is recognized in earnings.