Citigroup Inc.

The table below shows the fair value of investments in HTM that have been in an unrecognized loss position for less than 12 months or for 12 months or longeras of December 31, 2010 and December 31, 2009:In millions of dollarsDecember 31, 2010FairvalueLess than 12 months 12 months or longer TotalGrossunrecognizedlossesFairvalueGrossunrecognizedlossesFairvalueGrossunrecognizedlossesDebt securities held-to-maturityMortgage-backed securities $ 339 $ 30 $14,410 $ 387 $14,749 $ 417State and municipal 24 — 1,273 104 1,297 104Corporate 1,584 143 1,579 124 3,163 267Asset-backed securities 159 11 494 43 653 54Total debt securities held-to-maturity $ 2,106 $ 184 $17,756 $ 658 $19,862 $ 842December 31, 2009Debt securities held-to-maturityMortgage-backed securities $ — $ — $16,923 $ 690 $16,923 $ 690State and municipal 755 79 713 34 1,468 113Corporate — — 1,519 182 1,519 182Asset-backed securities 348 18 5,460 478 5,808 496Total debt securities held-to-maturity $ 1,103 $ 97 $24,615 $ 1,384 $25,718 $1,481Excluded from the gross unrecognized losses presented in the above tableare the $5.0 billion and $7.6 billion of gross unrealized losses recorded inAOCI mainly related to the HTM securities that were reclassified from AFSinvestments as of December 31, 2010 and December 31, 2009, respectively.Virtually all of these unrealized losses relate to securities that have beenin a loss position for 12 months or longer at both December 31, 2010 andDecember 31, 2009.The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of December 31, 2010 andDecember 31, 2009:December 31, 2010 December 31, 2009In millions of dollars Carrying value Fair value Carrying value Fair valueMortgage-backed securitiesDue within 1 year $ 21 $ 23 $ 1 $ 1After 1 but within 5 years 321 309 466 385After 5 but within 10 years 493 434 697 605After 10 years (1) 17,664 18,517 24,337 25,589Total $18,499 $19,283 $25,501 $26,580State and municipalDue within 1 year $ 12 $ 12 $ 6 $ 6After 1 but within 5 years 55 55 53 79After 5 but within 10 years 86 85 99 99After 10 years (1) 2,243 2,151 2,762 2,715Total $ 2,396 $ 2,303 $ 2,920 $ 2,899All other (2)Due within 1 year $ 351 $ 357 $ 4,652 $ 4,875After 1 but within 5 years 1,344 1,621 3,795 3,858After 5 but within 10 years 4,885 4,765 6,240 6,526After 10 years (1) 1,632 1,652 8,419 8,260Total $ 8,212 $ 8,395 $23,106 $23,519Total debt securities held-to-maturity $29,107 $29,981 $51,527 $52,998(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.210