Citigroup Inc.

Debt Securities Held-to-MaturityThe carrying value and fair value of securities held-to-maturity (HTM) at December 31, 2010 and December 31, 2009 were as follows:In millions of dollarsAmortizedcost (1)Net unrealizedlossrecognizedin AOCICarryingvalue (2)GrossunrecognizedgainsGrossunrecognizedlossesDecember 31, 2010Debt securities held-to-maturityMortgage-backed securities (3)Prime $ 4,748 $ 794 $ 3,954 $ 379 $ 11 $ 4,322Alt-A 11,816 3,008 8,808 536 166 9,178Subprime 708 75 633 9 72 570Non-U.S. residential 5,010 793 4,217 259 72 4,404Commercial 908 21 887 18 96 809Total mortgage-backed securities $23,190 $ 4,691 $18,499 $ 1,201 $ 417 $ 19,283State and municipal 2,523 127 2,396 11 104 2,303Corporate 6,569 145 6,424 447 267 6,604Asset-backed securities (3) 1,855 67 1,788 57 54 1,791Total debt securities held-to-maturity $34,137 $ 5,030 $29,107 $ 1,716 $ 842 $ 29,981December 31, 2009Debt securities held-to-maturityMortgage-backed securities (3)Prime $ 6,118 $ 1,151 $ 4,967 $ 317 $ 5 $ 5,279Alt-A 14,710 4,276 10,434 905 243 11,096Subprime 1,087 128 959 77 100 936Non-U.S. residential 9,002 1,119 7,883 469 134 8,218Commercial 1,303 45 1,258 1 208 1,051Total mortgage-backed securities $32,220 $ 6,719 $25,501 $ 1,769 $ 690 $ 26,580State and municipal 3,067 147 2,920 92 113 2,899Corporate 7,457 264 7,193 524 182 7,535Asset-backed securities (3) 16,348 435 15,913 567 496 15,984Total debt securities held-to-maturity $59,092 $ 7,565 $51,527 $ 2,952 $ 1,481 $ 52,998(1) For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value amount of the securities at the date of transfer plus any accretion income and less any impairments recognizedin 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 and the changes in the value of these securities other than impairment charges are not reported on the financial statements, except forHTM securities that have suffered credit impairment, for which declines in fair value for reasons other than credit losses are recorded in AOCI.(3) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered variable interest entities (VIEs). The Company's maximum exposure to loss from these VIEs is equalto 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, information is provided in Note 22 tothe Consolidated Financial Statements.FairvalueThe net unrealized losses classified in AOCI relate to debt securitiesreclassified from AFS investments to HTM investments. Additionally, forHTM securities that have suffered credit impairment, declines in fair valuefor reasons other than credit losses are recorded in AOCI. The AOCI balancewas $5.0 billion as of December 31, 2010, compared to $7.6 billion as ofDecember 31, 2009. The AOCI balance for HTM securities is amortized overthe remaining life of the related securities as an adjustment of yield in amanner consistent with the accretion of discount on the same debt securities.This will have no impact on the Company’s net income because theamortization of the unrealized holding loss reported in equity will offset theeffect on interest income of the accretion of the discount on these securities.The credit-related impairment on HTM securities is recognized in earnings.209