US Bank 2013 Annual Report Download - page 135

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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) Purchases Sales
Principal
Payments Issuances Settlements
End
of Period
Balance
Net Change in
Unrealized Gains
(Losses) Relating
to Assets and
Liabilities
Still Held at
End of Period
2013
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a) ....................... $ 624 $ (6) $ 8 $ – $ – $(148) $ – $ – $ 478 $ 9
Non-prime (b) .................. 355 (13) 17 – (20) (42) – – 297 17
Asset-backed securities
Other ............................. 15 3 1 51 – (7) – – 63 –
Corporate debt securities ........... 9– ––––– –9 –
Total available-for-sale ......... 1,003 (16)(c) 26(f) 51 (20) (197) – – 847 26
Mortgage servicing rights ............. 1,700 203(d) – 8 – – 769(g) – 2,680 203(d)
Net derivative assets and liabilities .... 1,179 (18)(e) – 1 (5) – – (712) 445 (321)(h)
2012
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a) ....................... $ 803 $ (10) $ 91 $ – $(109) $(151) $ – $ – $ 624 $ 65
Non-prime (b) .................. 802 (24) 228 – (562) (89) – – 355 80
Commercial non-agency ......... 42 1 – – (38) (5) – – – –
Asset-backed securities
Collateralized debt obligations/
Collateralized loan
obligations ..................... 120 13 (8) – (104) (21) – – – –
Other ............................. 117 7 – 3 (93) (19) – – 15 2
Corporate debt securities ........... 9– ––––– –9 –
Total available-for-sale ......... 1,893 (13)(i) 311(f) 3 (906) (285) – – 1,003 147
Mortgage servicing rights ............. 1,519 (818)(d) – 42 – – 957(g) – 1,700 (818)(d)
Net derivative assets and liabilities .... 1,228 2,398(j) – 3 (5) – – (2,445) 1,179 150(k)
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a) ....................... $1,103 $ 6 $ 4 $ – $(115) $(195) $ – $ – $ 803 $ (4)
Non-prime (b) .................. 947 (7) 1 – (13) (126) – – 802 1
Commercial non-agency ......... 50 3 (3) – (4) (4) – – 42 (2)
Asset-backed securities
Collateralized debt obligations/
Collateralized loan
obligations ..................... 135 13 5 – – (33) – – 120 5
Other ............................. 133 10 (7) 5 – (24) – – 117 (7)
Corporate debt securities ........... 9– ––––– –9 –
Total available-for-sale ......... 2,377 25(l) –(f) 5 (132) (382) – – 1,893 (7)
Mortgage servicing rights ............. 1,837 (972)(d) – 35 – – 619(g) – 1,519 (972)(d)
Net derivative assets and liabilities .... 851 1,550(m) – 1 (8) – – (1,166) 1,228 442(n)
(a) Prime securities are those designated as such by the issuer at origination. When an issuer designation is unavailable, the Company determines at acquisition date the categorization
based on asset pool characteristics (such as weighted-average credit score, loan-to-value, loan type, prevalence of low documentation loans) and deal performance (such as pool
delinquencies and security market spreads).
(b) Includes all securities not meeting the conditions to be designated as prime.
(c) Approximately $(14) million included in securities gains (losses) and $(2) million included in interest income.
(d) Included in mortgage banking revenue.
(e) Approximately $(149) million included in other noninterest income and $131 million included in mortgage banking revenue.
(f) Included in changes in unrealized gains and losses on securities available-for-sale.
(g) Represents MSRs capitalized during the period.
(h) Approximately $(340) million included in other noninterest income and $19 million included in mortgage banking revenue.
(i) Approximately $(47) million included in securities gains (losses) and $34 million included in interest income.
(j) Approximately $359 million included in other noninterest income and $2.0 billion included in mortgage banking revenue.
(k) Approximately $(109) million included in other noninterest income and $259 million included in mortgage banking revenue.
(l) Approximately $(31) million included in securities gains (losses) and $56 million included in interest income.
(m)Approximately $716 million included in other noninterest income and $834 million included in mortgage banking revenue.
(n) Approximately $262 million included in other noninterest income and $180 million included in mortgage banking revenue.
U.S. BANCORP 133