US Bank 2011 Annual Report Download - page 121

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The following table presents the changes in fair value for all assets and liabilities measured at fair value on a recurring basis using
significant unobservable inputs (Level 3) for the years ended December 31:
(Dollars in Millions)
Beginning
of Period
Balance
Net Gains
(Losses)
Included in
Net
Income
Net Gains
(Losses)
Included in
Other
Comprehensive
Income (Loss)
Net Total
Purchases,
Sales, Principal
Payments,
Issuances and
Settlements
Transfers into
Level 3
End
of Period
Balance
Net Change in
Unrealized Gains
(Losses) Relating
to Assets
Still Held at
End of Period
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime ........................................ $1,103 $ 6 $ 4 $ (310) $ – $ 803 $ (4)
Non-prime ................................... 947 (7) 1 (139) – 802 1
Commercial non-agency ....................... 50 3 (3) (8) – 42 (2)
Asset-backed securities
Collateralized debt
obligations/Collateralized
loan obligations .............................. 135 13 5 (33) – 120 5
Other ........................................... 133 10 (7) (19) – 117 (7)
Corporate debt securities.......................... 9 – – – – 9 –
Total available-for-sale ...................... 2,377 25 (a) – (509) – 1,893 (7)
Mortgage servicing rights ............................. 1,837 (972)(b) – 654 – 1,519 (972)(b)
Net derivative assets and liabilities ................... 851 1,550 (c) – (1,173) – 1,228 (383)(d)
2010
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime ........................................ $1,429 $ 2 $ 82 $ (410) $ – $1,103 $ 76
Non-prime ................................... 968 (47) 146 (120) – 947 145
Commercial non-agency ....................... 13 2 3 32 – 50 3
Asset-backed securities
Collateralized debt obligations/Collateralized
loan obligations .............................. 98 7 – 30 – 135 4
Other ........................................... 357 2 11 (237) – 133 12
Corporate debt securities.......................... 10 (1) – – – 9 –
Other investments ................................. 231 5 10 (246) – – –
Total available-for-sale ...................... 3,106 (30)(e) 252 (951) – 2,377 240
Mortgage servicing rights ............................. 1,749 (616)(b) – 704 – 1,837 (616)(b)
Net derivative assets and liabilities ................... 815 1,427 (f) – (1,391) – 851 (318)(g)
2009
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime ........................................ $ 183 $ (4) $542 $(1,540) $2,248 $1,429 $ 358
Non-prime ................................... 1,022 (141) 151 (197) 133 968 29
Commercial non-agency ....................... 17 (1) (1) (3) 1 13 (1)
Asset-backed securities
Collateralized debt obligations/Collateralized
loan obligations .............................. 86 (3) 2 9 4 98 3
Other ........................................... 523 (180) 101 (90) 3 357 3
Corporate debt securities.......................... 13 (3) – – – 10 –
Other investments ................................. – 2 (10) (4) 243 231 (10)
Total available-for-sale ...................... 1,844 (330)(h) 785 (1,825) 2,632 3,106 382
Mortgage servicing rights ............................. 1,194 (394)(b) – 949 – 1,749 (394)(b)
Net derivative assets and liabilities ................... 1,698 (755)(i) – (129) 1 815 (1,328)(j)
(a) Approximately $(31) million included in securities gains (losses) and $56 million included in interest income.
(b) Included in mortgage banking revenue.
(c) Approximately $716 million included in other noninterest income and $834 million included in mortgage banking revenue.
(d) Approximately $262 million included in other noninterest income and $(645) million included in mortgage banking revenue.
(e) Approximately $(91) million included in securities gains (losses) and $61 million included in interest income.
(f) Approximately $632 million included in other noninterest income and $795 million included in mortgage banking revenue.
(g) Approximately $483 million included in other noninterest income and $(801) million included in mortgage banking revenue.
(h) Approximately $(361) million included in securities gains (losses) and $31 million included in interest income.
(i) Approximately $(1.4) billion included in other noninterest income and $611 million included in mortgage banking revenue.
(j) Approximately $(630) million included in other noninterest income and $(698) million included in mortgage banking revenue.
U.S. BANCORP 119