Citibank 2012 Annual Report Download - page 221
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199
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,
2012 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
Dec. 31, 2011
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
Dec. 31, 2012
balance
AFS debt securities
Mortgage-backed securities
Prime $ 292 $— $ — $ (1) $ 291
Alt-A 2 — — — 2
Commercial real estate 2 — — — 2
Total mortgage-backed securities $ 296 $— $ — $ (1) $ 295
State and municipal securities 3 4 — — 7
U.S. Treasury securities 67 — — — 67
Foreign government securities 168 6 — (5) 169
Corporate 151 1 4 (40) 116
Asset-backed securities 10 — — — 10
Other debt securities 52 1 — — 53
Total OTTI credit losses recognized for
AFS debt securities $ 747 $12 $ 4 $ (46) $ 717
HTM debt securities
Mortgage-backed securities
Prime $ 84 $ 6 $ 15 $ (1) $ 104
Alt-A 2,218 45 216 (66) 2,413
Subprime 252 — 2 (2) 252
Non-U.S. residential 96 — — (16) 80
Commercial real estate 10 — — — 10
Total mortgage-backed securities $2,660 $51 $ 233 $ (85) $ 2,859
State and municipal securities 9 1 1 — 11
Foreign Government — — — — —
Corporate 391 3 9 (6) 397
Asset-backed securities 113 — — — 113
Other debt securities 9 2 — — 11
Total OTTI credit losses recognized for
HTM debt securities $ 3,182 $ 57 $ 243 $ (91) $ 3,391