Annual Report - CoBank

Assets and Liabilities Measured atFair Value on a Recurring BasisDecember 31, 2009($ in Millions) Level 1 Level 2 Level 3 TotalAssetsInvestment Securities:U.S. Treasury Debt $ - $ 847 $ - $ 847U.S. Agency Debt - 2,474 - 2,474U.S. AgencyMortgage-Backed - 7,740 - 7,740Non-AgencyMortgage-Backed - 574 - 574Asset-Backed - - 173 173Federal Funds Sold, SecuritiesPurchased Under ResaleAgreements and Other - 5 - 5Interest Rate Swaps andOther Financial Instruments - 984 - 984Assets Held in Trust(included in Other Assets) 32 - - 32Total Assets $ 32 $ 12,624 $ 173 $ 12,829LiabilitiesInterest Rate Swaps andOther Financial Instruments $ - $ 123 $ - $ 123Collateral Liabilities(included in Bonds and Notes) - 914 - 914Standby Letters of Credit(included in Other Liabilities) - - 10 10Total Liabilities $ - $ 1,037 $ 10 $ 1,047The following table presents the changes in Level 3 assetsand liabilities measured at fair value on a recurring basis:Level 3 Assets and Liabilities Measured atFair Value on a Recurring BasisAsset-Backed StandbyInvestment Letters of($ in Millions) Securities CreditBalance at December 31, 2010 $ 118 $11Total Gains or Losses(Realized/Unrealized):Included in OtherNoninterest Expense (5) -Included in OtherComprehensive Income 1 -Purchases - -Sales (41) -Issuances - 7Settlements (19) (8)Balance at December 31, 2011 $ 54 $10Balance at December 31, 2009 $ 173 $10Total Gains or Losses(Realized/Unrealized):Included in OtherNoninterest Expense (35) -Included in OtherComprehensive Loss 27 -Purchases - -Sales - -Issuances - 5Settlements (47) (4)Balance at December 31, 2010 $ 118 $11Balance at December 31, 2008 $ 316 $7Total Gains or Losses(Realized/Unrealized):Included in OtherNoninterest Expense (11) -Included in OtherComprehensive Loss (30) -Purchases - -Sales - -Issuances - 7Settlements (92) (4)Transfers into Level 2 (10) -Balance at December 31, 2009 $ 173 $10CoBank 2011 Annual Report100