Annual Report - CoBank

Assets and Liabilities Measured at Fair Value on aRecurring BasisThe following tables present the assets and liabilities thatare measured at fair value on a recurring basis atDecember 31, 2011, 2010 and 2009 for each of the fair valuehierarchy levels.Assets and Liabilities Measured atFair Value on a Recurring BasisDecember 31, 2011($ in Millions) Level 1 Level 2 Level 3 TotalAssetsInvestment Securities:U.S. Treasury Debt $ - $ 1,363 $ - $ 1,363U.S. Agency Debt - 2,275 - 2,275U.S. Agency -Mortgage-Backed - 9,061 - 9,061Non-AgencyMortgage-Backed - 242 - 242Asset-Backed - - 54 54Interest Rate Swaps andOther Financial Instruments - 1,049 - 1,049Assets Held in Trust(included in Other Assets) 36 - - 36Collateral Assets (includedin Other Assets) - 15 - 15Total Assets $ 36 $ 14,005 $ 54 $ 14,095LiabilitiesInterest Rate Swaps andOther Financial Instruments $ - $ 137 $ - $ 137Collateral Liabilities(included in Bonds and Notes) - 792 - 792Standby Letters of Credit(included in Other Liabilities) - - 10 10Total Liabilities $ - $ 929 $ 10 $ 939Assets and Liabilities Measured atFair Value on a Recurring BasisDecember 31, 2010($ in Millions) Level 1 Level 2 Level 3 TotalAssetsInvestment Securities:U.S. Treasury Debt $ - $ 854 $ - $ 854U.S. Agency Debt - 2,504 - 2,504U.S. AgencyMortgage-Backed - 8,739 - 8,739Non-AgencyMortgage-Backed - 402 - 402Asset-Backed - - 118 118Interest Rate Swaps andOther Financial Instruments - 1,001 - 1,001Assets Held in Trust(included in Other Assets) 34 - - 34Collateral Assets (includedin Other Assets) - 7 - 7Total Assets $ 34 $ 13,507 $ 118 $ 13,659LiabilitiesInterest Rate Swaps andOther Financial Instruments $ - $ 93 $ - $ 93Collateral Liabilities(included in Bonds and Notes) - 891 - 891Standby Letters of Credit(included in Other Liabilities) - - 11 11Total Liabilities $ - $ 984 $ 11 $ 995CoBank 2011 Annual Report99