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INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2012
Schedule of Investments disclosures  
Schedule of Investments

 

 

In millions of dollars   September 30,
2012 		  December 31,
2011 		 

Securities available-for-sale

   $ 271,261   $ 265,204  

Debt securities held-to-maturity(1)

     10,943     11,483  

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

     5,228     8,836  

Non-marketable equity securities carried at cost(3)

     8,042     7,890  
           

Total investments

   $ 295,474   $ 293,413  
           
(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. During the third quarter of 2012, the Company sold EMI Music resulting in a total $1.5 billion decrease in non-marketable equity securities carried at fair value. During the second quarter of 2012, the Company sold EMI Music Publishing resulting in a total of $1.3 billion decrease in non-marketable equity securities carried at fair value.

(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.
Amortized cost and fair value of securities available-for-sale

 

 

 
   September 30, 2012   December 31, 2011  
In millions of dollars   Amortized
cost 		  Gross
unrealized
gains 		  Gross
unrealized
losses 		  Fair value   Amortized
cost 		  Gross
unrealized
gains 		  Gross
unrealized
losses 		  Fair value  

Debt securities AFS

                                                  

Mortgage-backed securities(1)

                                                  

U.S. government-sponsored agency guaranteed

   $ 42,511   $ 1,768   $ 62   $ 44,217   $ 44,394   $ 1,438   $ 51   $ 45,781  

Prime

     122     4     —     126     118     1     6     113  

Alt-A

     149     —     —     149     1     —     —     1  

Subprime

     —     —     —     —     —     —     —     —  

Non-U.S. residential

     7,122     156     —     7,278     4,671     9     22     4,658  

Commercial

     458     20     4     474     465     16     9     472  
                                   

Total mortgage-backed securities

   $ 50,362   $ 1,948   $ 66   $ 52,244   $ 49,649   $ 1,464   $ 88   $ 51,025  
                                   

U.S. Treasury and federal agency securities

                                                  

U.S. Treasury

   $ 56,015   $ 1,425   $ 18   $ 57,422   $ 48,790   $ 1,439   $ —   $ 50,229  

Agency obligations

     26,530     456     —     26,986     34,310     601     2     34,909  
                                   

Total U.S. Treasury and federal agency securities

   $ 82,545   $ 1,881   $ 18   $ 84,408   $ 83,100   $ 2,040   $ 2   $ 85,138  
                                   

State and municipal(2)

   $ 19,775   $ 134   $ 1,806   $ 18,103   $ 16,819   $ 134   $ 2,554   $ 14,399  

Foreign government

     90,358     887     181     91,064     84,360     558     404     84,514  

Corporate

     9,401     397     31     9,767     10,005     305     53     10,257  

Asset-backed securities(1)

     12,090     76     155     12,011     11,053     31     81     11,003  

Other debt securities

     51     3     —     54     670     13     —     683  
                                   

Total debt securities AFS

   $ 264,582   $ 5,326   $ 2,257   $ 267,651   $ 255,656   $ 4,545   $ 3,182   $ 257,019  
                                   

Marketable equity securities AFS

   $ 3,736   $ 37   $ 163   $ 3,610   $ 6,722   $ 1,658   $ 195   $ 8,185  
                                   

Total securities AFS

   $ 268,318   $ 5,363   $ 2,420   $ 271,261   $ 262,378   $ 6,203   $ 3,377   $ 265,204  
                                   
(1)
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 17 to the Consolidated Financial Statements.

(2)
The unrealized losses on state and municipal debt securities are primarily attributable to the result of yields on taxable fixed income instruments decreasing relatively faster than the general tax-exempt municipal yields and the effects of fair value hedge accounting.
Interest and dividends on investments

 

 

 
   Three Months Ended   Nine Months Ended  
In millions of dollars   September 30,
2012 		  September 30,
2011 		  September 30,
2012 		  September 30,
2011 		 

Taxable interest

   $ 1,636   $ 1,694   $ 4,900   $ 5,649  

Interest exempt from U.S. federal income tax

     168     173     508     569  

Dividends

     78     57     238     243  
                   

Total interest and dividends

   $ 1,882   $ 1,924   $ 5,646   $ 6,461  
                   
Realized gains and losses on investments

 

 

 
   Three Months Ended   Nine Months Ended  
In millions of dollars   September 30,
2012 		  September 30,
2011 		  September 30,
2012 		  September 30,
2011 		 

Gross realized investment gains

   $ 660   $ 920   $ 3,155   $ 2,224  

Gross realized investment losses(1)

     (45 )   (155 )   (342 )   (296 )
                   

Net realized gains

   $ 615   $ 765   $ 2,813   $ 1,928  
                   
(1)
During the periods presented, the Company sold various debt securities that were classified as held-to-maturity. These sales were in response to a significant deterioration in the creditworthiness of the issuers or securities. In addition, certain securities were reclassified to AFS investments in response to significant credit deterioration. The Company intends to sell the securities and recorded other-than-temporary-impairment reflected in the following table. For the three months ended September 30, 2012, the securities sold had a carrying value of $302 million and the Company recorded a realized loss of $4 million; the securities reclassified to AFS investments had a carrying value of $137 million and the Company recorded other-than-temporary-impairment of $33 million. For the nine months ended September 30, 2012 and 2011, the securities sold had a carrying value of $1,545 million and $1,067 million respectively, and the Company recorded a realized loss of $173 million and $138 million, respectively. For the nine months ended September 30, 2012, securities reclassified to AFS totaled $244 million and the Company recorded other-than-temporary impairment of $59 million.
Carrying value and fair value of debt securities held-to-maturity (HTM)

 

 

 
   Amortized
cost(1) 		  Net unrealized
loss
recognized in
AOCI 		  Carrying
value(2) 		  Gross
unrealized
gains 		  Gross
unrealized
losses 		  Fair
value 		 

In millions of dollars

                                      

September 30, 2012

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities(3)

                                      

Prime

   $ 298   $ 55   $ 243   $ 24   $ 13   $ 254  

Alt-A

     3,170     934     2,236     508     223     2,521  

Subprime

     245     42     203     11     24     190  

Non-U.S. residential

     2,649     418     2,231     53     165     2,119  

Commercial

     308     1     307     —     5     302  
                           

Total mortgage-backed securities

   $ 6,670   $ 1,450   $ 5,220   $ 596   $ 430   $ 5,386  
                           

State and municipal

   $ 1,307   $ 84   $ 1,223   $ 176   $ 34   $ 1,365  

Foreign government(4)

     2,849     —     2,849     7     1     2,855  

Corporate

     935     117     818     53     —     871  

Asset-backed securities(3)

     864     31     833     8     61     780  
                           

Total debt securities held-to-maturity

   $ 12,625   $ 1,682   $ 10,943   $ 840   $ 526   $ 11,257  
                           

December 31, 2011

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities(3)

                                      

Prime

   $ 360   $ 73   $ 287   $ 21   $ 20   $ 288  

Alt-A

     4,732     1,404     3,328     20     319     3,029  

Subprime

     383     47     336     1     71     266  

Non-U.S. residential

     3,487     520     2,967     59     290     2,736  

Commercial

     513     1     512     4     52     464  
                           

Total mortgage-backed securities

   $ 9,475   $ 2,045   $ 7,430   $ 105   $ 752   $ 6,783  
                           

State and municipal

   $ 1,422   $ 95   $ 1,327   $ 68   $ 72   $ 1,323  

Foreign government

     —     —     —     —     —     —  

Corporate

     1,862     113     1,749     —     254     1,495  

Asset-backed securities(3)

     1,000     23     977     9     87     899  
                           

Total debt securities held-to-maturity

   $ 13,759   $ 2,276   $ 11,483   $ 182   $ 1,165   $ 10,500  
                           
(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 less any unrealized gains and losses recognized in AOCI. 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 17 to the Consolidated Financial Statements.

(4)
During the second quarter of 2012, the Company (via its Banamex entity) purchased Mexican government bonds with a par value $2.6 billion and classified them as held-to-maturity.
Key assumptions for mortgage-backed securities

 

 

 
   September 30, 2012

Prepayment rate(1)

   1%-8% CRR

Loss severity(2)

   45%-95%
(1)
Conditional repayment rate (CRR) represents the annualized expected rate of voluntary prepayment of principal for mortgage-backed securities over a certain period of time.

(2)
Loss severity rates are estimated considering collateral characteristics and generally range from 45%-60% for prime bonds, 50%-95% for Alt-A bonds and 65%-90% for subprime bonds.
Total other-than-temporary impairments recognized

 

 

 
   Three Months Ended September 30, 2012   Nine Months Ended September 30, 2012  
OTTI on Investments and Other Assets
In millions of dollars		  
  AFS   HTM   Other Assets   Total   AFS   HTM   Other Assets   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 period ended September 30, 2012

   $ 2   $ 73   $ —   $ 75   $ 12   $ 328   $ —   $ 340  

Less: portion of OTTI 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

   $ 2   $ 73   $ —   $ 75   $ 11   $ 263   $ —   $ 274  

OTTI losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery(1)

                                                 

 

     55     —     3,340     3,395     108     —     4,521     4,629  
                                   

Total impairment losses recognized in earnings

   $ 57   $ 73   $ 3,340   $ 3,470   $ 119   $ 263   $ 4,521   $ 4,903  
                                   
(1)
As described under "MSSB" above, third quarter of 2012 includes the recognition of a $3,340 million impairment charge related to the carrying value of Citi's remaining 35% interest in the Morgan Stanley Smith Barney joint venture (MSSB). Additionally, as described under "Akbank" above, in the first quarter of 2012, the Company recorded an impairment charge relating to its total investment in Akbank amounting to $1.2 billion pretax ($763 million after-tax).
Cumulative Other-Than-Temporary Impairment Credit Losses Recognized in Earnings

 

 

 
   Cumulative OTTI credit losses recognized in earnings  
In millions of dollars   June 30, 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 		  Sept. 30, 2012
balance 		 

AFS debt securities

                                

Mortgage-backed securities

                                

Prime

   $ 292   $ —   $ —   $ —   $ 292  

Alt-A

     2     —     —     —     2  

Commercial real estate

     2     —     —     —     2  
                       

Total mortgage-backed securities

   $ 296   $ —   $ —   $ —   $ 296  

State and municipal securities

     7     —     —     —     7  

U.S. Treasury securities

     67     —     —     —     67  

Foreign government securities

     168     2     —     —     170  

Corporate

     147     —     —     (28 )   119  

Asset-backed securities

     10     —     —     —     10  

Other debt securities

     52     —     —     —     52  
                       

Total OTTI credit losses recognized for AFS debt securities

   $ 747   $ 2   $ —   $ (28 ) $ 721  
                       

HTM debt securities

                                

Mortgage-backed securities

                                

Prime

   $ 98   $ 1   $ —   $ (1 ) $ 98  

Alt-A

     2,376     7     65     (11 )   2,437  

Subprime

     254     —     —     (2 )   252  

Non-U.S. residential

     80     —     —     —     80  

Commercial real estate

     10     —     —     —     10  
                       

Total mortgage-backed securities

   $ 2,818   $ 8   $ 65   $ (14 ) $ 2,877  

State and municipal securities

     11     —     —     —     11  

Corporate

     403     —     —     —     403  

Asset-backed securities

     113     —     —     —     113  

Other debt securities

     11     —     —     —     11  
                       

Total OTTI credit losses recognized for HTM debt securities

   $ 3,356   $ 8   $ 65   $ (14 ) $ 3,415  
                       

       

 
   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 		  Sept. 30, 2012
balance 		 

AFS debt securities

                                

Mortgage-backed securities

                                

Prime

   $ 292   $ —   $ —   $ —   $ 292  

Alt-A

     2     —     —     —     2  

Commercial real estate

     2     —     —     —     2  
                       

Total mortgage-backed securities

   $ 296   $ —   $ —   $ —   $ 296  

State and municipal securities

     3     4     —     —     7  

U.S. Treasury securities

     67     —     —     —     67  

Foreign government securities

     168     2     —     —     170  

Corporate

     151     1     4     (37 )   119  

Asset-backed securities

     10     —     —     —     10  

Other debt securities

     52     —     —     —     52  
                       

Total OTTI credit losses recognized for AFS debt securities

   $ 747   $ 7   $ 4   $ (37 ) $ 721  
                       

HTM debt securities

                                

Mortgage-backed securities

                                

Prime

   $ 84   $ 6   $ 9   $ (1 ) $ 98  

Alt-A

     2,218     18     212     (11 )   2,437  

Subprime

     252     —     2     (2 )   252  

Non-U.S. residential

     96     —     —     (16 )   80  

Commercial real estate

     10     —     —     —     10  
                       

Total mortgage-backed securities

   $ 2,660   $ 24   $ 223   $ (30 ) $ 2,877  

State and municipal securities

     9     1     1     —     11  

Foreign Government

     —     —     —     —     —  

Corporate

     391     3     9     —     403  

Asset-backed securities

     113     —     —     —     113  

Other debt securities

     9     2     —     —     11  
                       

Total OTTI credit losses recognized for HTM debt securities

   $ 3,182   $ 30   $ 233   $ (30 ) $ 3,415  
                       
Investments in Alternative Investment Funds

 

 

In millions of dollars at September 30, 2012   Fair
value 		  Unfunded
commitments 		  Redemption frequency
(if currently eligible)
monthly, quarterly,
annually 		  Redemption
notice period 		 

Hedge funds

   $ 835   $ —     Generally quarterly     10-95 days  

Private equity funds(1)(2)

     876     374     —     —  

Real estate funds(3)(4)

     243     77     —     —  
                   

Total

   $ 1,954 (5) $ 451     —     —  
                   
(1)
Includes investments in private equity funds carried at cost with a carrying value of $7 million.

(2)
Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.

(3)
Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia. Real estate funds include investments to be sold carried at their estimated sales price of $29 million.

(4)
With respect to the Company's investments that it holds 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. While certain investments within the portfolio may be sold, no specific assets have been identified for sale. Because it is not probable that any individual investment will be sold, the fair value of each individual investment has been estimated using the NAV of the Company's ownership interest in the partners' capital. 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.

(5)
Included in the total fair value of investments above is $0.5 billion of fund assets that are valued using NAVs provided by third-party asset managers. Amounts exclude investments in funds that are consolidated by Citi.
AFS debt securities
  
Schedule of Investments disclosures  
Fair value of available-for-sale 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 		 

September 30, 2012

                                      

Securities AFS

                                      

Mortgage-backed securities

                                      

U.S. government-sponsored agency guaranteed

   $ 2,548   $ 35   $ 462   $ 27   $ 3,010   $ 62  

Prime

     —     —     16     —     16     —  

Alt-A

     —     —     —     —     —     —  

Subprime

     —     —     —     —     —     —  

Non-U.S. residential

     12     —     18     —     30     —  

Commercial

     6     —     32     4     38     4  
                           

Total mortgage-backed securities

   $ 2,566   $ 35   $ 528   $ 31   $ 3,094   $ 66  
                           

U.S. Treasury and federal agency securities

                                      

U.S. Treasury

   $ 4,831   $ 18   $ —   $ —   $ 4,831   $ 18  

Agency obligations

     224     —     —     —     224     —  
                           

Total U.S. Treasury and federal agency securities

   $ 5,055   $ 18   $ —   $ —   $ 5,055   $ 18  
                           

State and municipal

   $ 345   $ 26   $ 11,097   $ 1,780   $ 11,442   $ 1,806  

Foreign government

     21,103     71     5,950     110     27,053     181  

Corporate

     1,385     8     254     23     1,639     31  

Asset-backed securities

     962     5     3,248     150     4,210     155  

Other debt securities

     —     —     —     —     —     —  

Marketable equity securities AFS

     1,619     27     1,070     136     2,689     163  
                           

Total securities AFS

   $ 33,035   $ 190   $ 22,147   $ 2,230   $ 55,182   $ 2,420  
                           

December 31, 2011

                                      

Securities AFS

                                      

Mortgage-backed securities

                                      

U.S. government-sponsored agency guaranteed

   $ 5,398   $ 32   $ 51   $ 19   $ 5,449   $ 51  

Prime

     27     1     40     5     67     6  

Alt-A

     —     —     —     —     —     —  

Subprime

     —     —     —     —     —     —  

Non-U.S. residential

     3,418     22     57     —     3,475     22  

Commercial

     35     1     31     8     66     9  
                           

Total mortgage-backed securities

   $ 8,878   $ 56   $ 179   $ 32   $ 9,057   $ 88  
                           

U.S. Treasury and federal agency securities

                                      

U.S. Treasury

   $ 553   $ —   $ —   $ —   $ 553   $ —  

Agency obligations

     2,970     2     —     —     2,970     2  
                           

Total U.S. Treasury and federal agency securities

   $ 3,523   $ 2   $ —   $ —   $ 3,523   $ 2  
                           

State and municipal

   $ 59   $ 2   $ 11,591   $ 2,552   $ 11,650   $ 2,554  

Foreign government

     33,109     211     11,205     193     44,314     404  

Corporate

     2,104     24     203     29     2,307     53  

Asset-backed securities

     4,625     68     466     13     5,091     81  

Other debt securities

     164     —     —     —     164     —  

Marketable equity securities AFS

     47     5     1,457     190     1,504     195  
                           

Total securities AFS

   $ 52,509   $ 368   $ 25,101   $ 3,009   $ 77,610   $ 3,377  
                           
Amortized cost and fair value of debt securities available-for-sale by contractual maturity dates

 

 

 
   September 30, 2012   December 31, 2011  
In millions of dollars   Amortized
cost 		  Fair value   Amortized
cost 		  Fair value  

Mortgage-backed securities(1)

                          

Due within 1 year

   $ 21   $ 22   $ —   $ —  

After 1 but within 5 years

     287     289     422     423  

After 5 but within 10 years

     2,418     2,548     2,757     2,834  

After 10 years(2)

     47,636     49,385     46,470     47,768  
                   

Total

   $ 50,362   $ 52,244   $ 49,649   $ 51,025  
                   

U.S. Treasury and federal agency securities

                          

Due within 1 year

   $ 7,358   $ 7,359   $ 14,615   $ 14,637  

After 1 but within 5 years

     69,323     70,867     62,241     63,823  

After 5 but within 10 years

     2,899     3,167     5,862     6,239  

After 10 years(2)

     2,965     3,015     382     439  
                   

Total

   $ 82,545   $ 84,408   $ 83,100   $ 85,138  
                   

State and municipal

                          

Due within 1 year

   $ 201   $ 201   $ 142   $ 142  

After 1 but within 5 years

     2,888     2,891     455     457  

After 5 but within 10 years

     249     445     182     188  

After 10 years(2)

     16,437     14,566     16,040     13,612  
                   

Total

   $ 19,775   $ 18,103   $ 16,819   $ 14,399  
                   

Foreign government

                          

Due within 1 year

   $ 37,139   $ 37,149   $ 34,924   $ 34,864  

After 1 but within 5 years

     45,261     45,627     41,612     41,675  

After 5 but within 10 years

     7,060     7,191     6,993     6,998  

After 10 years(2)

     898     1,097     831     977  
                   

Total

   $ 90,358   $ 91,064   $ 84,360   $ 84,514  
                   

All other(3)

                          

Due within 1 year

   $ 1,319   $ 1,327   $ 4,055   $ 4,072  

After 1 but within 5 years

     10,890     10,947     9,843     9,928  

After 5 but within 10 years

     3,419     3,598     3,009     3,160  

After 10 years(2)

     5,914     5,960     4,821     4,783  
                   

Total

   $ 21,542   $ 21,832   $ 21,728   $ 21,943  
                   

Total debt securities AFS

   $ 264,582   $ 267,651   $ 255,656   $ 257,019  
                   
(1)
Includes mortgage-backed securities of U.S. government-sponsored entities.

(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 available-for-sale securities in unrealized loss position

 

 

 
   Less than 12 months   12 months or longer   Total  
 
   Fair
value 		  Gross
unrecognized
losses 		  Fair
value 		  Gross
unrecognized
losses 		  Fair
value 		  Gross
unrecognized
losses 		 

In millions of dollars

                                      

September 30, 2012

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities

   $ 203   $ 11   $ 1,755   $ 419   $ 1,958   $ 430  

State and municipal

     —     —     368     34     368     34  

Foreign government

     552     1     —     —     552     1  

Corporate

     —     —     —     —     —     —  

Asset-backed securities

     228     28     404     33     632     61  
                           

Total debt securities held-to-maturity

   $ 983   $ 40   $ 2,527   $ 486   $ 3,510   $ 526  
                           

December 31, 2011

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities

   $ 735   $ 63   $ 4,827   $ 689   $ 5,562   $ 752  

State and municipal

     —     —     682     72     682     72  

Foreign government

     —     —     —     —     —     —  

Corporate

     —     —     1,427     254     1,427     254  

Asset-backed securities

     480     71     306     16     786     87  
                           

Total debt securities held-to-maturity

   $ 1,215   $ 134   $ 7,242   $ 1,031   $ 8,457   $ 1,165  
                           
Amortized cost and fair value of debt securities available-for-sale by contractual maturity dates

 

 

 
   September 30, 2012   December 31, 2011  
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

     252     249     275     239  

After 5 but within 10 years

     55     54     238     224  

After 10 years(1)

     4,913     5,083     6,917     6,320  
                   

Total

   $ 5,220   $ 5,386   $ 7,430   $ 6,783  
                   

State and municipal

                          

Due within 1 year

   $ 15   $ 16   $ 4   $ 4  

After 1 but within 5 years

     34     36     43     46  

After 5 but within 10 years

     62     66     31     30  

After 10 years(1)

     1,112     1,247     1,249     1,243  
                   

Total

   $ 1,223   $ 1,365   $ 1,327   $ 1,323  
                   

Foreign government

                          

Due within 1 year

   $ —   $ —   $ —   $ —  

After 1 but within 5 years

     2,849     2,855     —     —  

After 5 but within 10 years

     —     —     —     —  

After 10 years(1)

     —     —     —     —  
                   

Total

   $ 2,849   $ 2,855   $ —   $ —  
                   

All other(2)

                          

Due within 1 year

   $ —   $ —   $ 21   $ 21  

After 1 but within 5 years

     843     897     470     438  

After 5 but within 10 years

     40     41     1,404     1,182  

After 10 years(1)

     768     713     831     753  
                   

Total

   $ 1,651   $ 1,651   $ 2,726   $ 2,394  
                   

Total debt securities held-to-maturity

   $ 10,943   $ 11,257   $ 11,483   $ 10,500  
                   
(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.