Annual Report - CoBank

Asset-Backed Securities($ in Millions)AmortizedCostFairValueWeightedAverageYieldIn One Year or Less $ - $ -- %One to Five Years - - -Five to Ten Years - - -After Ten Years 78 54 4.27Total $ 78 $ 544.27While the substantial majority of our mortgage-backedsecurities and all of our asset-backed securities havecontractual maturities in excess of 10 years, expectedmaturities for these securities are shorter than contractualmaturities because borrowers have the right to call or prepayobligations with or without penalties.The following table shows the fair value and grossunrealized losses for investments in a loss position aggregatedby investment category, and the length of time the securitieshave been in a continuous unrealized loss position atDecember 31, 2011, 2010 and 2009, respectively. Thecontinuous loss position is based on the date the impairmentfirst occurred. Unrealized loss positions related to thesesecurities, including those impaired for longer than 12 months,are primarily due to widened credit spreads and decreasedliquidity in the broader financial markets.($ in Millions)Less ThanGreater Than12 Months 12 MonthsFairValueUnrealizedLossesFairValueUnrealizedLossesDecember 31, 2011U.S. Treasury andAgency Debt $ - $ - $ - $-Mortgage-Backed:U.S. Agency 1,297 (3) 275 (1)Non-Agency 57 (1) 143 (22)Asset-Backed - - 54 (24)Total $ 1,354 $ (4) $ 472 $ (47)December 31, 2010U.S. Treasury andAgency Debt $ - $ - $ - $-Mortgage-Backed:U.S. Agency 3,188 (56) 641 (2)Non-Agency - - 315 (24)Asset-Backed - - 115 (25)Total $ 3,188 $ (56) $ 1,071 $ (51)December 31, 2009U.S. Treasury andAgency Debt $ 1,303 $ (5) $ - $-Mortgage-Backed:U.S. Agency 329 (2) 2,537 (24)Non-Agency 9 - 559 (82)Asset-Backed - - 170 (52)Total $ 1,641 $ (7) $ 3,266 $ (158)As of December 31, 2011, with the exception of thesecurities in the table below, we expect to collect all principaland interest payments on our investment securities. We do notintend to sell the securities in unrealized loss positions, and itis not likely that we will be required to sell such securities, forregulatory, liquidity or other purposes before an anticipatedrecovery of our cost basis occurs.The following table summarizes other-than-temporaryimpairment (OTTI) losses recorded in earnings by securitytype for the periods presented.Number of($ in Millions) Securities OTTIDecember 31, 2011Asset-Backed 4 $5Non-AgencyMortgage-Backed 4 5Total 8 $10December 31, 2010Asset-Backed 7 $ 35(1)Non-AgencyMortgage-Backed 3 9Total 10 $44December 31, 2009Asset-Backed 2 $ 11(1)Non-AgencyMortgage-Backed 1 4Total 3 $15(1) During 2011, we sold a previously impaired asset-backed security for proceeds of$41.3 million and recorded a gain on disposition of $4.5 million. Impairment lossesrelated to this security were $11.7 million in 2010 and $8.5 million in 2009.The fair value of our impaired (OTTI) securities was$129.8 million, $184.3 million, and $112.7 million atDecember 31, 2011, 2010, and 2009, respectively.The following table details the activity related to thecredit loss component of investment securities that have beenwritten down for OTTI.Credit Losses on Impaired Investments($ in Millions)Balance at December 31, 2010 $ 59Additional Credit Impairments Related to SecuritiesImpaired as of December 31, 2010 7Initial Credit Impairments Related to SecuritiesNot Previously Impaired 3Sales of Investments with Credit Impairments (20)Subsequent Accretion for Increases in Cash FlowsExpected to be Collected (1)Balance at December 31, 2011 $ 48CoBank 2011 Annual Report81