US Bank 2005 Annual Report Download - page 78

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Sensitivity Analysis At December 31, 2005, key economic assumptions and the sensitivity of the current fair value of residual
cash flows to immediate 10 percent and 20 percent adverse changes in those assumptions for the investment securities conduit
were as follows:
December 31, 2005 (Dollars in Millions)
Current economic assumptions sensitivity analysis
Carrying value (fair value) of residual interest ********************************************************************************* $27.9
Weighted average life (in years) ******************************************************************************************** 1.6
Expected remaining life (in years)*************************************************************************************** 2.7
Impact of 10% adverse change ******************************************************************************************** $ (2.8)
Impact of 20% adverse change ******************************************************************************************** (5.1)
Expected credit losses (annual) (a) ************************************************************************************** NA
Impact of 10% adverse change ******************************************************************************************** $—
Impact of 20% adverse change ******************************************************************************************** —
Residual cash flow discount rate *************************************************************************************** 6.2%
Impact of 10% adverse change ******************************************************************************************** $ (.2)
Impact of 20% adverse change ******************************************************************************************** (.4)
Interest rate on variable rate bonds (b) ********************************************************************************* NA
Impact of 10% adverse change ******************************************************************************************** $—
Impact of 20% adverse change ******************************************************************************************** —
(a) Credit losses are zero as the investments are all AAA/Aaa rated or insured investments.
(b) The investment securities conduit is mostly match funded. Therefore, interest rate movements create no material impact to the value of the residual interest.
These sensitivities are hypothetical and should be used particular assumption on the fair value of the retained
with caution. As the figures indicate, changes in fair value interest is calculated without changing any other
based on a 10 percent variation in assumptions generally assumptions; in reality, changes in one factor may result in
cannot be extrapolated because the relationship of the change changes in another (for example, increases in market interest
in the assumptions to the change in fair value may not be rates may result in lower prepayments and increased credit
linear. Also, in this table the effect of a variation in a losses), which might magnify or counteract the sensitivities.
Cash Flow Information The table below summarizes certain cash flows received from and paid to conduit or structured
entities:
Unsecured
Small Business Investment
Year Ended December 31 (Dollars in Millions) Receivables (a) Securities
2005
Proceeds from
Collections used by trust to purchase new receivables in revolving securitizations ************************** $50 $—
Servicing and other fees received and cash flows on retained interests*************************************** 62 22
2004
Proceeds from
Collections used by trust to purchase new receivables in revolving securitizations ************************** $329 $—
Servicing and other fees received and cash flows on retained interests*************************************** 74 35
(a) The small business credit securitization was a revolving transaction where proceeds were reinvested until their legal terminations.
76 U.S. BANCORP