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INVESTMENTS (Tables)
12 Months Ended
Dec. 31, 2013
Schedule of Investments disclosures  
Schedule of Investments

 

 

In millions of dollars

 

2013

 

2012

 

Securities available-for-sale (AFS)

 

$

286,511

 

$

288,695

 

Debt securities held-to-maturity (HTM)(1)

 

10,599

 

10,130

 

Non-marketable equity securities carried at fair value(2)

 

4,705

 

5,768

 

Non-marketable equity securities carried at cost(3)

 

7,165

 

7,733

 

Total investments

 

$

308,980

 

$

312,326

 

 


(1)         Recorded at amortized cost less impairment for securities that have credit-related impairment.

(2)         Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.

(3)         Non-marketable equity securities carried at cost primarily consist of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member.

 

Interest and dividends on investments

 

 

In millions of dollars

 

2013

 

2012

 

2011

 

Taxable interest

 

$

5,750

 

$

6,509

 

$

7,257

 

Interest exempt from U.S. federal income tax

 

732

 

683

 

746

 

Dividends

 

437

 

333

 

317

 

Total interest and dividends

 

$

6,919

 

$

7,525

 

$

8,320

 

 

Realized gains and losses on investments

 

 

In millions of dollars

 

2013

 

2012

 

2011

 

Gross realized investment gains

 

$

1,606

 

$

3,663

 

$

2,498

 

Gross realized investment losses

 

(858

)

(412

)

(501

)

Net realized gains

 

$

748

 

$

3,251

 

$

1,997

 

 

Schedule of gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified

 

 

In millions of dollars

 

2013

 

2012

 

2011

 

Carrying value of HTM securities sold

 

$

935

 

$

2,110

 

$

1,612

 

Net realized gain (loss) on sale of HTM securities

 

(128

)

(187

)

(299

)

Carrying value of securities reclassified to AFS

 

989

 

244

 

 

OTTI losses on securities reclassified to AFS

 

(156

)

(59

)

 

 

Amortized cost and fair value of AFS

 

 

 

 

2013

 

2012

 

In millions of dollars

 

Amortized
cost

 

Gross
unrealized
gains(1)

 

Gross
unrealized
losses(1)

 

Fair
value

 

Amortized
cost

 

Gross
unrealized
gains(1)

 

Gross
unrealized
losses(1)

 

Fair
value

 

Debt securities AFS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities(2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government-sponsored agency guaranteed

 

$

42,494

 

$

391

 

$

888

 

$

41,997

 

$

46,001

 

$

1,507

 

$

163

 

$

47,345

 

Prime

 

33

 

2

 

3

 

32

 

85

 

1

 

 

86

 

Alt-A

 

84

 

10

 

 

94

 

1

 

 

 

1

 

Subprime

 

12

 

 

 

12

 

 

 

 

 

Non-U.S. residential

 

9,976

 

95

 

4

 

10,067

 

7,442

 

148

 

 

7,590

 

Commercial

 

455

 

6

 

8

 

453

 

436

 

16

 

3

 

449

 

Total mortgage-backed securities

 

$

53,054

 

$

504

 

$

903

 

$

52,655

 

$

53,965

 

$

1,672

 

$

166

 

$

55,471

 

U.S. Treasury and federal agency securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury

 

$

68,891

 

$

476

 

$

147

 

$

69,220

 

$

64,667

 

$

943

 

$

16

 

$

65,594

 

Agency obligations

 

18,320

 

123

 

67

 

18,376

 

26,014

 

237

 

4

 

26,247

 

Total U.S. Treasury and federal agency securities

 

$

87,211

 

$

599

 

$

214

 

$

87,596

 

$

90,681

 

$

1,180

 

$

20

 

$

91,841

 

State and municipal(3)

 

$

20,761

 

$

184

 

$

2,005

 

$

18,940

 

$

20,020

 

$

132

 

$

1,820

 

$

18,332

 

Foreign government

 

96,745

 

403

 

677

 

96,471

 

93,298

 

903

 

154

 

94,047

 

Corporate

 

11,039

 

210

 

119

 

11,130

 

9,302

 

398

 

26

 

9,674

 

Asset-backed securities(2)

 

15,352

 

42

 

120

 

15,274

 

14,188

 

85

 

143

 

14,130

 

Other debt securities

 

710

 

1

 

 

711

 

256

 

2

 

 

258

 

Total debt securities AFS

 

$

284,872

 

$

1,943

 

$

4,038

 

$

282,777

 

$

281,710

 

$

4,372

 

$

2,329

 

$

283,753

 

Marketable equity securities AFS

 

$

3,832

 

$

85

 

$

183

 

$

3,734

 

$

4,643

 

$

444

 

$

145

 

$

4,942

 

Total securities AFS

 

$

288,704

 

$

2,028

 

$

4,221

 

$

286,511

 

$

286,353

 

$

4,816

 

$

2,474

 

$

288,695

 

 


(1)              Gross unrealized gains and losses, as presented, do not include the impact of minority investments and the related allocations and pick-up of unrealized gains and losses of AFS securities. These amounts totaled $36 million and $32 million of unrealized gains as of December 31, 2013 and 2012, respectively.

(2)              The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 22 to the Consolidated Financial Statements.

(3)              The unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting.  Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps.  During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR Swap Rate being hedged.  However, because the LIBOR Swap Rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from Accumulated other comprehensive income (AOCI) to earnings, attributable solely to changes in the LIBOR Swap Rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities.

 

Carrying value and fair value of debt securities HTM

 

 

In millions of dollars

 

Amortized
cost(1)

 

Net unrealized
losses
recognized in
AOCI

 

Carrying
value(2)

 

Gross
unrealized
gains

 

Gross
unrealized
losses

 

Fair
value

 

December 31, 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities held-to-maturity

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

Prime

 

$

72

 

$

16

 

$

56

 

$

5

 

$

2

 

$

59

 

Alt-A

 

1,379

 

287

 

1,092

 

449

 

263

 

1,278

 

Subprime

 

2

 

 

2

 

1

 

 

3

 

Non-U.S. residential

 

1,372

 

206

 

1,166

 

60

 

20

 

1,206

 

Commercial

 

10

 

 

10

 

1

 

 

11

 

Total mortgage-backed securities

 

$

2,835

 

$

509

 

$

2,326

 

$

516

 

$

285

 

$

2,557

 

State and municipal

 

$

1,394

 

$

62

 

$

1,332

 

$

50

 

$

70

 

$

1,312

 

Foreign government

 

5,628

 

 

5,628

 

70

 

10

 

5,688

 

Corporate

 

818

 

78

 

740

 

111

 

 

851

 

Asset-backed securities(3)

 

599

 

26

 

573

 

22

 

10

 

585

 

Total debt securities held-to-maturity

 

$

11,274

 

$

675

 

$

10,599

 

$

769

 

$

375

 

$

10,993

 

December 31, 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt securities held-to-maturity

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

Prime

 

$

258

 

$

49

 

$

209

 

$

30

 

$

4

 

$

235

 

Alt-A

 

2,969

 

837

 

2,132

 

653

 

250

 

2,535

 

Subprime

 

201

 

43

 

158

 

13

 

21

 

150

 

Non-U.S. residential

 

2,488

 

401

 

2,087

 

50

 

81

 

2,056

 

Commercial

 

123

 

 

123

 

1

 

2

 

122

 

Total mortgage-backed securities

 

$

6,039

 

$

1,330

 

$

4,709

 

$

747

 

$

358

 

$

5,098

 

State and municipal

 

$

1,278

 

$

73

 

$

1,205

 

$

89

 

$

37

 

$

1,257

 

Foreign government

 

2,987

 

 

2,987

 

 

 

2,987

 

Corporate

 

829

 

103

 

726

 

73

 

 

799

 

Asset-backed securities(3)

 

529

 

26

 

503

 

8

 

8

 

503

 

Total debt securities held-to-maturity

 

$

11,662

 

$

1,532

 

$

10,130

 

$

917

 

$

403

 

$

10,644

 

 


(1)         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 impairments 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.

(2)         HTM securities are carried on the Consolidated Balance Sheet at amortized cost, plus or minus any unamortized unrealized gains and losses recognized in AOCI prior to reclassifying the securities from AFS to HTM. The changes in the values of these securities are not reported in the financial statements, except for other-than-temporary impairments. For HTM securities, only the credit loss component of the impairment is recognized in earnings, while the remainder of the impairment is recognized in AOCI.

(3)        The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 22 to the Consolidated Financial Statements.

 

Total other-than-temporary impairments recognized

 

 

OTTI on Investments and Other Assets

 

Year ended December 31, 2013

 

In millions of dollars

 

AFS(1)

 

HTM

 

Other
Assets (2)

 

Total

 

Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:

 

 

 

 

 

 

 

 

 

Total OTTI losses recognized during the year ended December 31, 2013

 

$

9

 

$

154

 

$

 

$

163

 

Less: portion of impairment loss recognized in AOCI (before taxes)

 

 

98

 

 

98

 

Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell

 

$

9

 

$

56

 

$

 

$

65

 

Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery(2)

 

269

 

 

201

 

470

 

Total impairment losses recognized in earnings

 

$

278

 

$

56

 

$

201

 

$

535

 

 


(1)         Includes OTTI on non-marketable equity securities.

(2)        The year ended December 31, 2013 included $192 million of impairment charges related to the carrying value of Citi’s then-remaining 35% interest in the MSSB joint venture, which was offset by the equity pickup from the joint venture in the respective quarter, which was recorded in Other revenue. See “MSSB” above for further discussion.

 

OTTI on Investments and Other Assets

 

Year ended December 31, 2012

 

In millions of dollars

 

AFS(1)

 

HTM

 

Other 
Assets (2)

 

Total

 

Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:

 

 

 

 

 

 

 

 

 

Total OTTI losses recognized during the year ended December 31, 2012

 

$

17

 

$

365

 

$

 

$

382

 

Less: portion of impairment loss recognized in AOCI (before taxes)

 

1

 

65

 

 

66

 

Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell

 

$

16

 

$

300

 

$

 

$

316

 

Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery(2)

 

139

 

 

4,516

 

4,655

 

Total impairment losses recognized in earnings

 

$

155

 

$

300

 

$

4,516

 

$

4,971

 

 


(1)         Includes OTTI on non-marketable equity securities.

(2)         The year ended December 31, 2012 included the recognition of a $3.4 billion ($2.1 billion after-tax) impairment charge related to the carrying value of Citi’s then-remaining 35% interest in MSSB, and $1.2 billion pretax ($763 million after-tax) impairment charge relating to its total investment in Akbank. See “MSSB” and “Akbank” above for further discussion.

 

Cumulative Other-Than-Temporary Impairment Credit Losses Recognized in Earnings

 

 

 

 

Cumulative OTTI credit losses recognized in earnings

 

In millions of dollars

 

Dec. 31, 2012
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, 2013
balance

 

AFS debt securities

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

 

$

295

 

$

 

$

 

$

 

$

295

 

Foreign government securities

 

169

 

 

2

 

 

171

 

Corporate

 

116

 

 

 

(3

)

113

 

All other debt securities

 

137

 

7

 

 

 

144

 

Total OTTI credit losses recognized for AFS debt securities

 

$

717

 

$

7

 

$

2

 

$

(3

)

$

723

 

HTM debt securities

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities(1)

 

$

869

 

$

47

 

$

7

 

$

(245

)

$

678

 

Corporate

 

56

 

 

 

 

56

 

All other debt securities

 

135

 

2

 

 

(4

)

133

 

Total OTTI credit losses recognized for HTM debt securities

 

$

1,060

 

$

49

 

$

7

 

$

(249

)

$

867

 

 


(1)         Primarily consists of Alt-A securities.

 

Investments in Alternative Investment Funds

 

 

 

 

Fair value

 

Unfunded
commitments

 

Redemption frequency
(if currently eligible)

 

Redemption notice

 

In millions of dollars

 

2013

 

2012

 

2013

 

2012

 

monthly, quarterly, annually

 

period

 

Hedge funds

 

$

751

 

$

1,316

 

$

 

$

 

Generally quarterly

 

10-95 days

 

Private equity funds(1)(2)

 

794

 

837

 

170

 

342

 

 

 

Real estate funds (2)(3)

 

294

 

228

 

36

 

57

 

 

 

Total(4)

 

$

1,839

 

$

2,381

 

$

206

 

$

399

 

 

 

 


(1)         Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.

(2)         With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.

(3)         Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.

(4)         Included in the total fair value of investments above are $1.6 billion and $0.4 billion of fund assets that are valued using NAVs provided by third-party asset managers as of December 31, 2013 and December 31, 2012, respectively. The increase in the investments valued using NAVs provided by third party asset managers was primarily driven by the sale of certain of the Citi Capital Advisors business as discussed in Note 2 to the Consolidated Financial Statements. Amounts presented exclude investments in funds that are consolidated by Citi.

AFS debt securities
 
Schedule of Investments disclosures  
Fair value of securities in unrealized loss position

 

 

 

 

Less than 12 months

 

12 months or longer

 

Total

 

In millions of dollars

 

Fair
value

 

Gross
unrealized
losses

 

Fair
value

 

Gross
unrealized
losses

 

Fair
value

 

Gross
unrealized
losses

 

December 31, 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities AFS

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government-sponsored agency guaranteed

 

$

19,377

 

$

533

 

$

5,643

 

$

355

 

$

25,020

 

$

888

 

Prime

 

85

 

3

 

3

 

 

88

 

3

 

Non-U.S. residential

 

2,103

 

4

 

5

 

 

2,108

 

4

 

Commercial

 

206

 

6

 

28

 

2

 

234

 

8

 

Total mortgage-backed securities

 

$

21,771

 

$

546

 

$

5,679

 

$

357

 

$

27,450

 

$

903

 

U.S. Treasury and federal agency securities

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury

 

$

34,780

 

$

133

 

$

268

 

$

14

 

$

35,048

 

$

147

 

Agency obligations

 

6,692

 

66

 

101

 

1

 

6,793

 

67

 

Total U.S. Treasury and federal agency securities

 

$

41,472

 

$

199

 

$

369

 

$

15

 

$

41,841

 

$

214

 

State and municipal

 

$

595

 

$

29

 

$

11,447

 

$

1,976

 

$

12,042

 

$

2,005

 

Foreign government

 

35,783

 

614

 

5,778

 

63

 

41,561

 

677

 

Corporate

 

4,565

 

108

 

387

 

11

 

4,952

 

119

 

Asset-backed securities

 

11,207

 

57

 

1,931

 

63

 

13,138

 

120

 

Marketable equity securities AFS

 

1,271

 

92

 

806

 

91

 

2,077

 

183

 

Total securities AFS

 

$

116,664

 

$

1,645

 

$

26,397

 

$

2,576

 

$

143,061

 

$

4,221

 

December 31, 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities AFS

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government-sponsored agency guaranteed

 

$

8,759

 

$

138

 

$

464

 

$

25

 

$

9,223

 

$

163

 

Prime

 

15

 

 

5

 

 

20

 

 

Non-U.S. residential

 

5

 

 

7

 

 

12

 

 

Commercial

 

29

 

 

24

 

3

 

53

 

3

 

Total mortgage-backed securities

 

$

8,808

 

$

138

 

$

500

 

$

28

 

$

9,308

 

$

166

 

U.S. Treasury and federal agency securities

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury

 

$

9,374

 

$

11

 

$

105

 

$

5

 

$

9,479

 

$

16

 

Agency obligations

 

1,001

 

4

 

 

 

1,001

 

4

 

Total U.S. Treasury and federal agency securities

 

$

10,375

 

$

15

 

$

105

 

$

5

 

$

10,480

 

$

20

 

State and municipal

 

$

10

 

$

 

$

11,095

 

$

1,820

 

$

11,105

 

$

1,820

 

Foreign government

 

24,235

 

78

 

3,910

 

76

 

28,145

 

154

 

Corporate

 

1,420

 

8

 

225

 

18

 

1,645

 

26

 

Asset-backed securities

 

1,942

 

4

 

2,888

 

139

 

4,830

 

143

 

Marketable equity securities AFS

 

15

 

1

 

764

 

144

 

779

 

145

 

Total securities AFS

 

$

46,805

 

$

244

 

$

19,487

 

$

2,230

 

$

66,292

 

$

2,474

 

 

Amortized cost and fair value of debt securities by contractual maturity dates

 

 

 

 

2013

 

2012

 

In millions of dollars

 

Amortized
cost

 

Fair
value

 

Amortized
cost

 

Fair
value

 

Mortgage-backed securities(1)

 

 

 

 

 

 

 

 

 

Due within 1 year

 

$

87

 

$

87

 

$

10

 

$

10

 

After 1 but within 5 years

 

346

 

354

 

365

 

374

 

After 5 but within 10 years

 

2,898

 

2,932

 

1,992

 

2,124

 

After 10 years(2)

 

49,723

 

49,282

 

51,598

 

52,963

 

Total

 

$

53,054

 

$

52,655

 

$

53,965

 

$

55,471

 

U.S. Treasury and federal agency securities

 

 

 

 

 

 

 

 

 

Due within 1 year

 

$

15,789

 

$

15,853

 

$

9,387

 

$

9,499

 

After 1 but within 5 years

 

66,232

 

66,457

 

76,454

 

77,267

 

After 5 but within 10 years

 

2,129

 

2,185

 

2,171

 

2,408

 

After 10 years(2)

 

3,061

 

3,101

 

2,669

 

2,667

 

Total

 

$

87,211

 

$

87,596

 

$

90,681

 

$

91,841

 

State and municipal

 

 

 

 

 

 

 

 

 

Due within 1 year

 

$

576

 

$

581

 

$

208

 

$

208

 

After 1 but within 5 years

 

3,731

 

3,735

 

3,221

 

3,223

 

After 5 but within 10 years

 

439

 

482

 

155

 

165

 

After 10 years(2)

 

16,015

 

14,142

 

16,436

 

14,736

 

Total

 

$

20,761

 

$

18,940

 

$

20,020

 

$

18,332

 

Foreign government

 

 

 

 

 

 

 

 

 

Due within 1 year

 

$

37,022

 

$

36,959

 

$

34,873

 

$

34,869

 

After 1 but within 5 years

 

51,446

 

51,304

 

49,587

 

49,933

 

After 5 but within 10 years

 

7,332

 

7,216

 

7,239

 

7,380

 

After 10 years(2)

 

945

 

992

 

1,599

 

1,865

 

Total

 

$

96,745

 

$

96,471

 

$

93,298

 

$

94,047

 

All other(3)

 

 

 

 

 

 

 

 

 

Due within 1 year

 

$

2,786

 

$

2,733

 

$

1,001

 

$

1,009

 

After 1 but within 5 years

 

10,934

 

11,020

 

11,285

 

11,351

 

After 5 but within 10 years

 

5,632

 

5,641

 

4,330

 

4,505

 

After 10 years(2)

 

7,749

 

7,721

 

7,130

 

7,197

 

Total

 

$

27,101

 

$

27,115

 

$

23,746

 

$

24,062

 

Total debt securities AFS

 

$

284,872

 

$

282,777

 

$

281,710

 

$

283,753

 

 


(1)         Includes mortgage-backed securities of U.S. government-sponsored agencies.

(2)         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.

(3)         Includes corporate, asset-backed and other debt securities.

 

HTM debt securities
 
Schedule of Investments disclosures  
Fair value of securities in unrealized loss position

 

 

 

 

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

 

 

Amortized cost and fair value of debt securities by contractual maturity dates

 

 

 

 

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.