US Bank 2011 Annual Report Download - page 120

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The following table summarizes the balances of assets and liabilities measured at fair value on a recurring basis:
(Dollars in Millions) Level 1 Level 2 Level 3 Netting Total
December 31, 2011
Available-for-sale securities
U.S. Treasury and agencies ........................................... $ 562 $ 495 $ – $ – $ 1,057
Mortgage-backed securities
Residential
Agency ........................................................... – 40,314 – – 40,314
Non-agency
Prime .......................................................... – – 803 – 803
Non-prime ..................................................... – – 802 802
Commercial
Agency ........................................................... – 140 – – 140
Non-agency ...................................................... – – 42 – 42
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations ..... – 86 120 – 206
Other................................................................ – 564 117 – 681
Obligations of state and political subdivisions......................... – 6,539 – – 6,539
Obligations of foreign governments ................................... – 6 – – 6
Corporate debt securities ............................................. – 818 9 – 827
Perpetual preferred securities ......................................... – 318 – – 318
Other investments ..................................................... 193 9 – – 202
Total available-for-sale ........................................ 755 49,289 1,893 – 51,937
Mortgage loans held for sale ............................................. – 6,925 – – 6,925
Mortgage servicing rights ................................................ – – 1,519 – 1,519
Derivative assets ......................................................... – 632 1,281 (294) 1,619
Other assets ............................................................. 146 467 – – 613
Total ........................................................... $ 901 $57,313 $4,693 $ (294) $62,613
Derivative liabilities ....................................................... $ – $ 2,501 $ 53 $(1,889) $ 665
Other liabilities ........................................................... 75 538 – – 613
Total ........................................................... $ 75 $ 3,039 $ 53 $(1,889) $ 1,278
December 31, 2010
Available-for-sale securities
U.S. Treasury and agencies ........................................... $ 873 $ 1,664 $ – $ – $ 2,537
Mortgage-backed securities
Residential
Agency ........................................................... – 37,703 – – 37,703
Non-agency
Prime .......................................................... – – 1,103 – 1,103
Non-prime ..................................................... – – 947 – 947
Commercial
Agency ........................................................... – 197 – – 197
Non-agency ...................................................... – – 50 – 50
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations ..... – 89 135 – 224
Other................................................................ – 587 133 – 720
Obligations of state and political subdivisions......................... – 6,417 – – 6,417
Obligations of foreign governments ................................... – 6 – – 6
Corporate debt securities ............................................. – 949 9 – 958
Perpetual preferred securities ......................................... – 448 – – 448
Other investments ..................................................... 181 18 – – 199
Total available-for-sale ........................................ 1,054 48,078 2,377 – 51,509
Mortgage loans held for sale ............................................. – 8,100 – – 8,100
Mortgage servicing rights ................................................ – – 1,837 – 1,837
Derivative assets ......................................................... – 846 953 (280) 1,519
Other assets ............................................................. – 470 – – 470
Total ........................................................... $1,054 $57,494 $5,167 $ (280) $63,435
Derivative liabilities ....................................................... $ – $ 2,072 $ 102 $(1,163) $ 1,011
Other liabilities ........................................................... – 470 – – 470
Total ........................................................... $ – $ 2,542 $ 102 $(1,163) $ 1,481
118 U.S. BANCORP