US Bank 2015 Annual Report Download - page 142

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, 2015
Available-for-sale securities
U.S. Treasury and agencies ...................................... $3,708 $ 888 $ – $ – $ 4,596
Mortgage-backed securities
Residential
Agency ................................................... – 50,076 – – 50,076
Non-agency
Prime(a) ................................................. – – 318 – 318
Non-prime(b) ............................................. – – 240 – 240
Commercial
Agency ................................................... – 52 – – 52
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations ......... – 19 – – 19
Other ...................................................... – 539 2 – 541
Obligations of state and political subdivisions ........................ – 5,316 – – 5,316
Corporate debt securities ........................................ 102 499 9 – 610
Perpetual preferred securities ..................................... 48 113 – – 161
Other investments .............................................. 40 28 – – 68
Total available-for-sale ..................................... 3,898 57,530 569 – 61,997
Mortgage loans held for sale ....................................... – 3,110 – – 3,110
Mortgage servicing rights .......................................... – – 2,512 – 2,512
Derivative assets ................................................. – 1,632 615 (807) 1,440
Other assets .................................................... 202 589 – – 791
Total ................................................... $4,100 $62,861 $3,696 $ (807) $69,850
Derivative liabilities ............................................... $ 2 $ 2,266 $ 117 $(1,283) $ 1,102
Short-term borrowings(c) ........................................... 122 645 – – 767
Total ................................................... $ 124 $ 2,911 $ 117 $(1,283) $ 1,869
December 31, 2014
Available-for-sale securities
U.S. Treasury and agencies ...................................... $1,351 $ 1,281 $ – $ – $ 2,632
Mortgage-backed securities
Residential
Agency ................................................... – 45,017 – – 45,017
Non-agency
Prime(a) ................................................. – – 405 – 405
Non-prime(b) ............................................. – – 280 – 280
Commercial
Agency ................................................... – 115 – – 115
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations ......... – 22 – – 22
Other ...................................................... – 557 62 – 619
Obligations of state and political subdivisions ........................ – 5,868 – – 5,868
Obligations of foreign governments ................................ – 6 – – 6
Corporate debt securities ........................................ 101 504 9 – 614
Perpetual preferred securities ..................................... 55 162 – – 217
Other investments .............................................. 251 23 – – 274
Total available-for-sale ..................................... 1,758 53,555 756 – 56,069
Mortgage loans held for sale ....................................... – 4,774 – – 4,774
Mortgage servicing rights .......................................... – – 2,338 – 2,338
Derivative assets ................................................. – 1,408 660 (870) 1,198
Other assets .................................................... 231 641 – – 872
Total ................................................... $1,989 $60,378 $3,754 $ (870) $65,251
Derivative liabilities ............................................... $ – $ 2,103 $ 86 $(1,317) $ 872
Short-term borrowings(c) ........................................... 101 608 – – 709
Total ................................................... $ 101 $ 2,711 $ 86 $(1,317) $ 1,581
(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) Represents the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.
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