Wells Fargo 2010 Annual Report Download - page 179

The following table provides details of sold and purchased credit derivatives.
Notional amount
Protection Protection
sold - purchased Net
non- with protection Other
Fair value Protection investment identical sold protection Range of
(in millions)
liability
sold (A) grade underlyings (B) (A) - (B) purchased maturities
December 31, 2010
Credit default swaps on:
Corporate bonds $ 810 30,445 16,360 17,978 12,467 9,440 2011-2020
Structured products 4,145 5,825 5,246 4,948 877 2,482 2016-2056
Credit protection on:
Default swap index 12 2,700 909 2,167 533 1,106 2011-2017
Commercial mortgage-
backed securities index 717 1,977 612 924 1,053 779 2049-2052
Asset-backed securities index 128 144 144 46 98 142 2037-2046
Loan deliverable credit default swaps 2 481 456 391 90 261 2011-2014
Other 12 6,127 5,348 41 6,086 2,745 2011-2056
Total credit derivatives $ 5,826 47,699 29,075 26,495 21,204 16,955
December 31, 2009
Credit default swaps on:
Corporate bonds $ 2,419 55,511 23,815 44,159 11,352 12,634 2010-2018
Structured products 4,498 6,627 5,084 4,999 1,628 3,018 2014-2056
Credit protection on:
Default swap index 23 6,611 2,765 4,202 2,409 2,510 2010-2017
Commercial mortgage-backed securities index 1,987 5,188 453 4,749 439 189 2049-2052
Asset-backed securities index 637 830 660 696 134 189 2037-2046
Loan deliverable credit default swaps 12 510 494 423 87 287 2010-2014
Other (1) 16 9,264 8,657 32 9,232 4,757 2010-2020
Total credit derivatives $ 9,592 84,541 41,928 59,260 25,281 23,584
(1) Balances at December 31, 2009, have been revised to conform with the current presentation.
Protection sold represents the estimated maximum exposure
to loss that would be incurred under an assumed hypothetical
circumstance, where the value of our interests and any
associated collateral declines to zero, without any consideration
of recovery or offset from any economic hedges. We believe this
hypothetical circumstance to be an extremely remote possibility
and accordingly, this required disclosure is not an indication of
expected loss. The amounts under non-investment grade
represent the notional amounts of those credit derivatives on
which we have a higher risk of being required to perform under
the terms of the credit derivative and are a function of the
underlying assets.
We consider the risk of performance to be high if the
underlying assets under the credit derivative have an external
rating that is below investment grade or an internal credit
default grade that is equivalent thereto. We believe the net
protection sold, which is representative of the net notional
amount of protection sold and purchased with identical
underlyings, in combination with other protection purchased, is
more representative of our exposure to loss than either non-
investment grade or protection sold. Other protection purchased
represents additional protection, which may offset the exposure
to loss for protection sold, that was not purchased with an
identical underlying of the protection sold.
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