Citibank 2011 Annual Report Download - page 211

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The table below shows the fair value of debt securities in HTM that have been in an unrecognized loss position for less than 12 months or for 12 months or
longer as of December 31, 2011 and December 31, 2010:
Less than 12 months 12 months or longer Total
In millions of dollars
Fair
value
Gross
unrecognized
losses
Fair
value
Gross
unrecognized
losses
Fair
value
Gross
unrecognized
losses
December 31, 2011
Debt securities held-to-maturity
-ORTGAGEBACKEDæSECURITIES $ 735 $ 63 $ 4,827 $ 689 $ 5,562 $ 752
3TATEæANDæMUNICIPAL — — 682 72 682 72
#ORPORATE — — 1,427 254 1,427 254
!SSETBACKEDæSECURITIES 480 71 306 16 786 87
Total debt securities held-to-maturity $ 1,215 $ 134 $ 7,242 $ 1,031 $ 8,457 $ 1,165
December 31, 2010
Debt securities held-to-maturity
-ORTGAGEBACKEDæSECURITIES          
3TATEæANDæMUNICIPAL      
#ORPORATE      
!SSETBACKEDæSECURITIES      
Total debt securities held-to-maturity          
Excluded from the gross unrecognized losses presented in the above table
are the $2.3 billion and $5.0 billion of gross unrealized losses recorded in
AOCI as of December 31, 2011 and December 31, 2010, respectively, mainly
related to the HTM securities that were reclassified from AFS investments.
Virtually all of these unrecognized losses relate to securities that have been
in a loss position for 12 months or longer at both December 31, 2011 and
December 31, 2010.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of December 31, 2011 and December 31, 2010:
December 31, 2011 $ECEMBERææ
In millions of dollars Carrying value Fair value #ARRYINGæVALUE &AIRæVALUE
Mortgage-backed securities
$UEæWITHINææYEAR $— $—  
!FTERææBUTæWITHINææYEARS 275 239  
!FTERææBUTæWITHINææYEARS 238 224  
!FTERææYEARSæ 6,917 6,320  
Total $ 7,430 $ 6,783    
State and municipal
$UEæWITHINææYEAR $4 $4  
!FTERææBUTæWITHINææYEARS 43 46  
!FTERææBUTæWITHINææYEARS 31 30  
!FTERææYEARSæ 1,249 1,243  
Total $ 1,327 $ 1,323    
All other (2)
$UEæWITHINææYEAR $21 $21    
!FTERææBUTæWITHINææYEARS 470 438  
!FTERææBUTæWITHINææYEARS 1,404 1,182  
!FTERææYEARSæ 831 753  
Total $ 2,726 $ 2,394    
Total debt securities held-to-maturity $ 11,483 $ 10,500    
æ )NVESTMENTSæWITHæNOæSTATEDæMATURITIESæAREæINCLUDEDæASæCONTRACTUALæMATURITIESæOFæGREATERæTHANææYEARSæ!CTUALæMATURITIESæMAYæDIFFERæDUEæTOæCALLæORæPREPAYMENTæRIGHTS
æ )NCLUDESæCORPORATEæANDæASSETBACKEDæSECURITIES