Citibank 2013 Annual Report Download - page 228

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The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of December 31, 2013 and 2012:
2013 2012
In millions of dollars Carrying value Fair value Carrying value Fair value
Mortgage-backed securities
Due within 1 year $ — $ — $ — $ —
After 1 but within 5 years — — 69 67
After 5 but within 10 years 10 11 54 54
After 10 years (1) 2,316 2,546 4,586 4,977
Total $ 2,326 $ 2,557 $ 4,709 $ 5,098
State and municipal
Due within 1 year $ 8 $ 9 $ 14 $ 15
After 1 but within 5 years 17 17 36 37
After 5 but within 10 years 69 72 58 62
After 10 years (1) 1,238 1,214 1,097 1,143
Total $ 1,332 $ 1,312 $ 1,205 $ 1,257
Foreign government
Due within 1 year $ — $ — $ — $ —
After 1 but within 5 years 5,628 5,688 2,987 2,987
After 5 but within 10 years — — — —
After 10 years (1) — — — —
Total $ 5,628 $ 5,688 $ 2,987 $ 2,987
All other (2)
Due within 1 year $ — $ — $ — $ —
After 1 but within 5 years 740 851 728 802
After 5 but within 10 years — — — —
After 10 years (1) 573 585 501 500
Total $ 1,313 $ 1,436 $ 1,229 $ 1,302
Total debt securities held-to-maturity $10,599 $10,993 $10,130 $10,644
(1) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2) Includes corporate and asset-backed securities.
Evaluating Investments for Other-Than-Temporary
Impairment
Overview
The Company conducts and documents periodic reviews of all securities
with unrealized losses to evaluate whether the impairment is other-
than-temporary.
An unrealized loss exists when the current fair value of an individual
security is less than its amortized cost basis. Unrealized losses that are
determined to be temporary in nature are recorded, net of tax, in AOCI for
AFS securities. Losses related to HTM securities generally are not recorded, as
these investments are carried at amortized cost. However, for HTM securities
with credit-related losses, only the credit loss component of the impairment is
recognized in earnings, while the remainder of the impairment is recognized
in AOCI. For securities transferred to HTM from Trading account assets,
amortized cost is defined as the fair value of the securities at the date of
transfer, plus any accretion income and less any impairment recognized
in earnings subsequent to transfer. For securities transferred to HTM from
AFS, amortized cost is defined as the original purchase cost, plus or minus
any accretion or amortization of a purchase discount or premium, less any
impairment recognized in earnings.
Regardless of the classification of the securities as AFS or HTM, the
Company has assessed each position with an unrealized loss for OTTI.
Factors considered in determining whether a loss is temporary include:
•฀ the length of time and the extent to which fair value has been below cost;
•฀ the severity of the impairment;
•฀ the cause of the impairment and the financial condition and near-term
prospects of the issuer;
•฀ activity in the market of the issuer that may indicate adverse credit
conditions; and
•฀ the Company’s ability and intent to hold the investment for a period of
time sufficient to allow for any anticipated recovery.