Wells Fargo 2015 Annual Report Download - page 159

Table 5.3 shows the gross unrealized losses and fair value of credit risk than investment grade securities. We have also
debt and perpetual preferred investment securities by those included securities not rated by S&P or Moody’s in the table
rated investment grade and those rated less than investment below based on our internal credit grade of the securities (used
grade according to their lowest credit rating by Standard & for credit risk management purposes) equivalent to the credit
Poor’s Rating Services (S&P) or Moody’s Investors Service rating assigned by major credit agencies. The unrealized losses
(Moody’s). Credit ratings express opinions about the credit and fair value of unrated securities categorized as investment
quality of a security. Securities rated investment grade, that is grade based on internal credit grades were $17 million and
those rated BBB- or higher by S&P or Baa3 or higher by $3.7 billion, respectively, at December 31, 2015, and $25 million
Moody’s, are generally considered by the rating agencies and and $1.6 billion, respectively, at December 31, 2014. If an
market participants to be low credit risk. Conversely, securities internal credit grade was not assigned, we categorized the
rated below investment grade, labeled as "speculative grade" by security as non-investment grade.
the rating agencies, are considered to be distinctively higher
Table 5.3: Gross Unrealized Losses and Fair Value by Investment Grade
Investment grade Non-investment grade
(in millions)
Gross
unrealized
losses Fair value
Gross
unrealized
losses Fair value
December 31, 2015
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies $ (148) 24,795 — —
Securities of U.S. states and political subdivisions (464) 15,470 (38) 360
Mortgage-backed securities:
Federal agencies (828) 46,217 — —
Residential (12) 795 (13) 766
Commercial (59) 6,361 (26) 478
Total mortgage-backed securities (899) 53,373 (39) 1,244
Corporate debt securities (140) 4,167 (309) 1,831
Collateralized loan and other debt obligations (368) 27,058 — —
Other (43) 2,915 (3) 278
Total debt securities (2,062) 127,778 (389) 3,713
Perpetual preferred securities (13) 133 — —
Total available-for-sale securities (2,075) 127,911 (389) 3,713
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies (73) 5,264 — —
Federal agency mortgage-backed securities (314) 23,115 — —
Collateralized loan and other debt obligations (24) 1,381 — —
Other (3) 1,096 — —
Total held-to-maturity securities (414) 30,856 — —
Total $ (2,489) 158,767 (389) 3,713
December 31, 2014
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies $ (138) 12,857 — —
Securities of U.S. states and political subdivisions (459) 13,600 (40) 353
Mortgage-backed securities:
Federal agencies (751) 39,560 — —
Residential — 139 (24) 951
Commercial (24) 3,366 (33) 368
Total mortgage-backed securities (775) 43,065 (57) 1,319
Corporate debt securities (39) 1,807 (131) 1,132
Collateralized loan and other debt obligations (172) 16,609 (12) 104
Other (23) 782 (4) 203
Total debt securities (1,606) 88,720 (244) 3,111
Perpetual preferred securities (70) 725 — —
Total available-for-sale securities (1,676) 89,445 (244) 3,111
Held-to-maturity securities:
Securities of U.S. Treasury and federal agencies (8) 1,889 — —
Collateralized loan and other debt obligations (13) 1,391 — —
Total held-to-maturity securities (21) 3,280 — —
Total $ (1,697) 92,725 (244) 3,111
Wells Fargo & Company
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