Citibank 2011 Annual Report Download - page 214

192
Recognition and Measurement of OTTI
The following table presents the total OTTI recognized in earnings for the year ended December 31, 2011:
OTTI on Investments Year ended December 31, 2011
In millions of dollars AFS HTM Total
)MPAIRMENTæLOSSESæRELATEDæTOæSECURITIESæTHATæTHEæ#OMPANYæDOESæNOTæINTENDæTOæSELLæNORæWILLæ
LIKELYæBEæREQUIREDæTOæSELL
4OTALæ/44)æLOSSESæRECOGNIZEDæDURINGæTHEæYEARæENDEDæ$ECEMBERææ $ 81 $ 662 $ 743
,ESSæPORTIONæOFæ/44)æLOSSæRECOGNIZEDæINæ!/#)æBEFOREæTAXES 49 110 159
.ETæIMPAIRMENTæLOSSESæRECOGNIZEDæINæEARNINGSæFORæSECURITIESæTHATæTHEæ#OMPANYæDOESæNOTæINTENDæ
TOæSELLæNORæWILLæLIKELYæBEæREQUIREDæTOæSELL $ 32 $ 552 $ 584
/44)æLOSSESæRECOGNIZEDæINæEARNINGSæFORæSECURITIESæTHATæTHEæ#OMPANYæINTENDSæTOæSELLæ
ORæMORELIKELYTHANNOTæWILLæBEæREQUIREDæTOæSELLæBEFOREæRECOVERY283 1,387 1,670
Total impairment losses recognized in earnings $ 315 $ 1,939 $ 2,254
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,
2011 that the Company does not intend to sell nor will likely be required to sell:
Cumulative OTTI credit losses recognized in earnings
In millions of dollars
$ECEMBERæææ
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
credit-impaired
securities sold,
transferred or
matured
December 31, 2011
balance
AFS debt securities
-ORTGAGEBACKEDæSECURITIES
0RIME   $ — $ — $ — $ 292
!LT!  ——— 2
#OMMERCIALæREALæESTATE  ——— 2
4OTALæMORTGAGEBACKEDæSECURITIES   $ — $ — $ — $ 296
3TATEæANDæMUNICIPALæSECURITIES  ——— 3
53æ4REASURYæSECURITIES  19 — — 67
&OREIGNæGOVERNMENTæSECURITIES  5 4 — 168
#ORPORATE  1 3 (7) 151
!SSETBACKEDæSECURITIES  ——— 10
/THERæDEBTæSECURITIES  ——— 52
Total OTTI credit losses recognized for
AFS debt securities   $ 25 $ 7 $ (7) $ 747
HTM debt securities
-ORTGAGEBACKEDæSECURITIES
0RIME   $ — $ 2 $ (226) $ 84
!LT!  100 378 (1,409) 2,218
3UBPRIME  2 24 (6) 252
.ON53æRESIDENTIAL  ——— 96
#OMMERCIALæREALæESTATE  ——— 10
4OTALæMORTGAGEBACKEDæSECURITIES  $ 102 $404 $(1,641) $2,660
3TATEæANDæMUNICIPALæSECURITIES  2 —— 9
#ORPORATE  40 — — 391
!SSETBACKEDæSECURITIES  — — — 113
/THERæDEBTæSECURITIES  31— 9
Total OTTI credit losses recognized for
HTM debt securities  $ 147 $405 $(1,641) $3,182