Citibank 2011 Annual Report Download - page 281

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The following table provides information about Corporate and Consumer loans of consolidated VIEs carried at fair value at December 31, 2011 and
December 31, 2010:
December 31, 2011 $ECEMBERææ
In millions of dollars Corporate loans Consumer loans #ORPORATEæLOANS #ONSUMERæLOANS
#ARRYINGæAMOUNTæREPORTEDæONæTHEæ#ONSOLIDATEDæ"ALANCEæ3HEET $198 $1,292  
!GGREGATEæUNPAIDæPRINCIPALæBALANCEæINæEXCESSæOFæFAIRæVALUE 394 436  
"ALANCEæOFæNONACCRUALæLOANSæORæLOANSæMOREæTHANææDAYSæPASTæDUE23 86  
!GGREGATEæUNPAIDæPRINCIPALæBALANCEæINæEXCESSæOFæFAIRæVALUEæFORæNONACCRUALææ
LOANSæORæLOANSæMOREæTHANææDAYSæPASTæDUE 42 120  
Certain structured liabilities
The Company has elected the fair value option for certain structured
liabilities whose performance is linked to structured interest rates, inflation,
currency, equity, referenced credit or commodity risks (structured liabilities).
The Company elected the fair value option, because these exposures are
considered to be trading-related positions and, therefore, are managed on a
fair value basis. These positions will continue to be classified as debt, deposits
or derivatives (Trading account liabilities) on the Company’s Consolidated
Balance Sheet according to their legal form.
The change in fair value for these structured liabilities is reported in
Principal transactions in the Company’s Consolidated Statement of Income.
Changes in fair value for structured debt with embedded equity, referenced
credit or commodity underlyings includes an economic component for
accrued interest. For structured debt that contains embedded interest rate,
inflation or currency risks, related interest expense is measured based on the
contracted interest rates and reported as such in the Consolidated Statement
of Income.
Certain non-structured liabilities
The Company has elected the fair value option for certain non-structured
liabilities with fixed and floating interest rates (non-structured liabilities).
The Company has elected the fair value option where the interest-rate risk
of such liabilities is economically hedged with derivative contracts or the
proceeds are used to purchase financial assets that will also be accounted
for at fair value through earnings. The election has been made to mitigate
accounting mismatches and to achieve operational simplifications. These
positions are reported in Short-term borrowings and Long-term debt on
the Company’s Consolidated Balance Sheet. The change in fair value for
these non-structured liabilities is reported in Principal transactions in the
Company’s Consolidated Statement of Income.
Related interest expense continues to be measured based on the
contractual interest rates and reported as such in the Consolidated Statement
of Income.
The following table provides information about long-term debt carried at fair value, excluding the debt issued by the consolidated VIEs, at December 31, 2011
and 2010:
In millions of dollars December 31, 2011 $ECEMBERææ
#ARRYINGæAMOUNTæREPORTEDæONæTHEæ#ONSOLIDATEDæ"ALANCEæ3HEET $22,614 
!GGREGATEæUNPAIDæPRINCIPALæBALANCEæINæEXCESSæOFæFAIRæVALUEæ 1,680 
The following table provides information about short-term borrowings carried at fair value at December 31, 2011 and 2010:
In millions of dollars December 31, 2011 $ECEMBERææ
#ARRYINGæAMOUNTæREPORTEDæONæTHEæ#ONSOLIDATEDæ"ALANCEæ3HEET $1,354 
!GGREGATEæUNPAIDæPRINCIPALæBALANCEæINæEXCESSæOFæFAIRæVALUEæ 49 