Wells Fargo 2011 Annual Report Download - page 197

Assets and Liabilities Recorded at Fair Value on a
Recurring Basis
The tables below present the balances of assets and liabilities
measured at fair value on a recurring basis.
(in millions)
Level 1
Level 2
Level 3
Netting
Total
December 31, 2011
Trading assets (excluding derivatives)
Securities of U.S. Treasury and federal agencies
$
3,342
3,638
-
-
6,980
Securities of U.S. states and political subdivisions
-
2,438
53
-
2,491
Collateralized debt obligations(1)
-
-
1,582
-
1,582
Corporate debt securities
-
6,479
97
-
6,576
Mortgage-backed securities
-
34,959
108
-
35,067
Asset-backed securities
-
1,093
190
-
1,283
Equity securities
1,682
172
4
-
1,858
Total trading securities
5,024
48,779
2,034
-
55,837
Other trading assets
1,847
68
115
-
2,030
Total trading assets (excluding derivatives)
6,871
48,847
2,149
-
57,867
Securities of U.S. Treasury and federal agencies
869
6,099
-
-
6,968
Securities of U.S. states and political subdivisions
-
21,077
11,516
-
32,593
Mortgage-backed securities:
Federal agencies
-
96,754
-
-
96,754
Residential
-
17,775
61
-
17,836
Commercial
-
17,918
232
-
18,150
Total mortgage-backed securities
-
132,447
293
-
132,740
Corporate debt securities
317
17,792
295
-
18,404
Collateralized debt obligations(2)
-
-
8,599
-
8,599
Asset-backed securities:
Auto loans and leases
-
86
6,641
-
6,727
Home equity loans
-
650
282
-
932
Other asset-backed securities
-
8,326
2,863
-
11,189
Total asset-backed securities
-
9,062
9,786
-
18,848
Other debt securities
-
1,044
-
-
1,044
Total debt securities
1,186
187,521
30,489
-
219,196
Marketable equity securities:
Perpetual preferred securities (3)
552
631
1,344
-
2,527
Other marketable equity securities
814
53
23
-
890
Total marketable equity securities
1,366
684
1,367
-
3,417
Total securities available for sale
2,552
188,205
31,856
-
222,613
Mortgages held for sale
-
41,381
3,410
-
44,791
Loans held for sale
-
1,176
-
-
1,176
Loans
-
5,893
23
-
5,916
Mortgage servicing rights (residential)
-
-
12,603
-
12,603
Derivative assets:
Interest rate contracts
-
91,022
1,055
-
92,077
Commodity contracts
-
4,351
-
-
4,351
Equity contracts
471
2,737
560
-
3,768
Foreign exchange contracts
35
4,873
16
-
4,924
Credit contracts
-
2,219
1,357
-
3,576
Other derivative contracts
-
-
-
-
-
Netting
-
-
-
(81,143)
(4)
(81,143)
Total derivative assets (5)
506
105,202
2,988
(81,143)
27,553
Other assets
88
135
244
-
467
Total assets recorded at fair value
$
10,017
390,839
53,273
(81,143)
372,986
Derivative liabilities:
Interest rate contracts
$
(4)
(88,164)
(446)
-
(88,614)
Commodity contracts
-
(4,234)
-
-
(4,234)
Equity contracts
(229)
(2,797)
(635)
-
(3,661)
Foreign exchange contracts
(31)
(3,324)
(23)
-
(3,378)
Credit contracts
-
(2,099)
(3,355)
-
(5,454)
Other derivative contracts
-
-
(117)
-
(117)
Netting
-
-
-
89,990
(4)
89,990
Total derivative liabilities (6)
(264)
(100,618)
(4,576)
89,990
(15,468)
Short sale liabilities:
Securities of U.S. Treasury and federal agencies
(3,820)
(919)
-
-
(4,739)
Securities of U.S. states and political subdivisions
-
(2)
-
-
(2)
Corporate debt securities
-
(4,112)
-
-
(4,112)
Equity securities
(944)
(298)
-
-
(1,242)
Other securities
-
(737)
-
-
(737)
Total short sale liabilities
(4,764)
(6,068)
-
-
(10,832)
Other liabilities
-
(98)
(44)
-
(142)
Total liabilities recorded at fair value
$
(5,028)
(106,784)
(4,620)
89,990
(26,442)
(1) Includes collateralized loan obligations of $583 million that are classified as trading assets.
(2) Includes collateralized loan obligations of $8.1 billion that are classified as securities available for sale.
(3) Perpetual preferred securities include ARS and corporate preferred securities. See Note 8 for additional information.
(4) Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to
certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.
(5) Derivative assets include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets.
(6) Derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading liabilities.
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