Wells Fargo 2011 Annual Report Download - page 44

Balance Sheet Analysis (continued)
marketable equity securities and $170 million in OTTI write-
downs related to nonmarketable equity securities. For a
discussion of our OTTI accounting policies and underlying
considerations and analysis see Note 1 (Summary of Significant
Accounting Policies – Securities) and Note 5 (Securities
Available for Sale) to Financial Statements in this Report.
At December 31, 2011, debt securities available for sale
included $32.6 billion of municipal bonds, of which 78% were
rated “A-” or better, based on external and, in some cases,
internal ratings. Additionally, some of these bonds are
guaranteed against loss by bond insurers. These guaranteed
bonds are predominantly investment grade and were generally
underwritten in accordance with our own investment standards
prior to the determination to purchase, without relying on the
bond insurer’s guarantee in making the investment decision. Our
municipal bond holdings continue to be monitored as part of our
ongoing impairment analysis of our securities available for sale.
The weighted-average expected maturity of debt securities
available for sale was 4.9 years at December 31, 2011. Because
61% of this portfolio is MBS, the expected remaining maturity
may differ from contractual maturity because borrowers
generally have the right to prepay obligations before the
underlying mortgages mature. The estimated effect of a
200 basis point increase or decrease in interest rates on the fair
value and the expected remaining maturity of the MBS available
for sale are shown in Table 11.
Table 11: Mortgage-Backed Securities
Expected
Net
remaining
Fair
unrealized
maturity
(in billions)
value
gain (loss)
(in years)
At December 31, 2011
Actual
$
132.7
5.6
3.8
Assuming a 200 basis point:
Increase in interest rates
122.6
(4.5)
5.2
Decrease in interest rates
137.4
10.3
3.1
See Note 5 (Securities Available for Sale) to Financial
Statements in this Report for securities available for sale by
security type.
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