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This excerpt taken from the C 10-Q filed Aug 3, 2007. Hedging the overall changes in fair
valueCitigroup
primarily hedges the change in the overall fair value of portfolios of similar
held-for-sale mortgage loans. Derivatives used in these hedging relationships
are mainly forward sales of mortgage-backed securities. Citigroup assesses
effectiveness at inception and on an ongoing basis using regression analysis.
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