Wells Fargo 2014 Annual Report Download - page 217

on top model risk issues to the Company’s Risk Committee of the
Board.
VENDOR-DEVELOPED VALUATIONS In certain limited
circumstances we obtain pricing from third-party vendors for the
value of our Level 3 assets or liabilities. We have processes in
place to approve such vendors to ensure information obtained
and valuation techniques used are appropriate. Once these
vendors are approved to provide pricing information, we
monitor and review the results to ensure the fair values are
reasonable and in line with market experience in similar asset
classes. While the input amounts used by the pricing vendor in
determining fair value are not provided, and therefore
unavailable for our review, we do perform one or more of the
following procedures to validate the prices received:
• comparison to other pricing vendors (if available);
• variance analysis of prices;
• corroboration of pricing by reference to other independent
market data, such as market transactions and relevant
benchmark indices;
• review of pricing by Company personnel familiar with
market liquidity and other market-related conditions; and
• investigation of prices on a specific instrument-by-
instrument basis.
Fair Value Measurements from Vendors
For certain assets and liabilities, we obtain fair value
measurements from vendors, which predominantly consist of
third-party pricing services, and record the unadjusted fair value
in our financial statements. For instruments where we utilize
vendor prices to record the price of an instrument, we perform
additional procedures. We evaluate pricing vendors by
comparing prices from one vendor to prices of other vendors for
identical or similar instruments and evaluate the consistency of
prices to known market transactions when determining the level
of reliance to place on a particular pricing vendor.
Methodologies employed, controls in place and inputs used by
third-party pricing vendors are subject to additional review
when such services are provided. This review may consist of, in
part, obtaining and evaluating control reports issued and pricing
methodology materials distributed.
The fair value measurements provided by brokers or third-
party pricing services, and not adjusted by us, are shown by fair
value hierarchy level in the table below. Fair value
measurements obtained from brokers or third-party pricing
services that we have adjusted to determine the fair value
recorded in our financial statements are not included in the
following table.
Brokers Third-party pricing services
(in millions) Level 1 Level 2 Level 3 Level 1 Level 2 Level 3
December 31, 2014
Trading assets (excluding derivatives)
Available-for-sale securities:
$ — — — 2 105 —
Securities of U.S. Treasury and federal agencies
Securities of U.S. states and political subdivisions
Mortgage-backed securities
Other debt securities (1)
Total debt securities
Total marketable equity securities
—
—
—
—
—
—
—
—
152
1,035
1,187
—
—
—
—
601
601
—
19,899
—
—
—
19,899
—
5,905
42,666
135,997
41,933
226,501
569
—
61
133
541
735
—
Total available-for-sale securities — 1,187 601 19,899 227,070 735
Derivatives (trading and other assets) — 1 — — 290 —
Derivatives (liabilities) — (1) — — (292) —
Other liabilities — — — — (1) —
December 31, 2013
Trading assets (excluding derivatives) $ — 122 1 1,804 652 3
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies — — — 557 5,723 —
Securities of U.S. states and political subdivisions — — — — 39,257 63
Mortgage-backed securities — 621 — — 148,074 180
Other debt securities (1) — 1,537 722 — 44,681 746
Total debt securities — 2,158 722 557 237,735
Total marketable equity securities — — — — 630 —
Total available-for-sale securities — 2,158 722 557 238,365 989
Derivatives (trading and other assets) — 5 — — 417
Derivatives (liabilities) — (12) — — (418) —
Other liabilities — (115) — — (36) —
(1) Includes corporate debt securities, collateralized loan and other debt obligations, asset-backed securities, and other debt securities.
989
3
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