Wells Fargo 2011 Annual Report Download - page 191

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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, 2011
Credit default swaps on:
Corporate bonds
$
1,002
24,634
14,043
13,329
11,305
9,404
2012-2021
Structured products
3,308
4,691
4,300
2,194
2,497
1,335
2016-2056
Credit protection on:
Default swap index
68
3,006
843
2,341
665
912
2012-2017
Commercial mortgage-
backed securities index
713
1,357
458
19
1,338
1,403
2049-2052
Asset-backed securities index
76
83
83
8
75
116
2037-2046
Loan deliverable credit default swaps
2
460
453
355
105
251
2012-2016
Other
9
4,172
3,637
126
4,046
4,422
2012-2056
Total credit derivatives
$
5,178
38,403
23,817
18,372
20,031
17,843
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
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.
189