Citibank 2014 Annual Report Download - page 212

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The Company has the positive intent and ability to hold these securities to
maturity or, where applicable, the exercise of any issuer call options, absent
any unforeseen significant changes in circumstances, including deterioration
in credit or changes in regulatory capital requirements.
The net unrealized losses classified in AOCI primarily relate to debt
securities previously classified as AFS that have been transferred to HTM, and
include any cumulative fair value hedge adjustments. The net unrealized
loss amount also includes any non-credit-related changes in fair value of
HTM securities that have suffered credit impairment recorded in earnings.
The AOCI balance related to HTM securities is amortized over the remaining
contractual life of the related securities as an adjustment of yield in a
manner consistent with the accretion of any difference between the carrying
value at the transfer date and par value of the same debt securities. The table
below shows the fair value of debt securities in HTM that have been in an
unrecognized loss position as of December 31, 2014 and 2013 for less than
12 months and for 12 months or longer:
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, 2014
Debt securities held-to-maturity
Mortgage-backed securities $ 4 $— $1,134 $294 $ 1,138 $294
State and municipal 2,528 34 314 23 2,842 57
Foreign government — — — — — —
Asset-backed securities 9 1 174 9 183 10
Total debt securities held-to-maturity $ 2,541 $ 35 $ 1,622 $326 $ 4,163 $361
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
Excluded from the gross unrecognized losses presented in the above table
are $(780) million and $(675) million of net unrealized losses recorded in
AOCI as of December 31, 2014 and 2013 respectively, primarily related to the
difference between the amortized cost and carrying value of HTM securities
that were reclassified from AFS. Substantially all of these net unrecognized
losses relate to securities that have been in a loss position for 12 months or
longer at December 31, 2014 and 2013.