Citibank 2013 Annual Report Download - page 227

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The table below shows the fair value of debt securities in HTM that have been in an unrecognized loss position as of December 31, 2013 and 2012:
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, 2013
Debt securities held-to-maturity
Mortgage-backed securities $ — $— $ 358 $285 $ 358 $285
State and municipal 235 20 302 50 537 70
Foreign government 920 10 — — 920 10
Asset-backed securities 98 6 198 4 296 10
Total debt securities held-to-maturity $1,253 $36 $ 858 $339 $2,111 $375
December 31, 2012
Debt securities held-to-maturity
Mortgage-backed securities $ 88 $ 7 $ 1,522 $351 $ 1,610 $358
State and municipal — — 383 37 383 37
Foreign government 294 — — — 294 —
Asset-backed securities — — 406 8 406 8
Total debt securities held-to-maturity $ 382 $ 7 $ 2,311 $396 $ 2,693 $403
Excluded from the gross unrecognized losses presented in the above table
are the $675 million and $1,532 million of gross unrealized losses recorded
in AOCI as of December 31, 2013 and December 31, 2012, 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 December 31, 2013
and December 31, 2012.