US Bank 2010 Annual Report Download - page 84

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The following table summarizes other-than-temporary impairment by investment category:
Year Ended December 31 (Dollars in Millions)
Losses
Recorded in
Earnings
Other
Gains
(Losses) Total
Losses
Recorded in
Earnings
Other
Gains
(Losses) Total
2010 2009
Held-to-maturity
Asset-backed securities
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (2) $ – $ (2) $ – $ – $ –
Total held-to-maturity. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (2) $ – $ (2) $ – $ – $ –
Available-for-sale
Mortgage-backed securities
Residential
Non-agency
Prime (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (5) $(10) $ (15) $ (13) $(182) $ (195)
Non-prime . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (63) (60) (123) (151) (304) (455)
Commercial
Non-agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – – – (1) (1) (2)
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations . . . . . . . . . (6) (1) (7) (17) (3) (20)
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13) 4 (9) (186) 88 (98)
Corporate debt securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – – – (7) – (7)
Perpetual preferred securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1) – (1) (223) – (223)
Other investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1) 1 – – – –
Total available-for-sale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(89) $(66) $(155) $(598) $(402) $(1,000)
(a) Prime securities are those designated as such by the issuer or those with underlying asset characteristics and/or credit enhancements consistent with securities
designated as prime.
The Company determined the other-than-temporary impairment recorded in earnings for securities other than perpetual
preferred securities by estimating the future cash flows of each individual security, using market information where available,
and discounting the cash flows at the original effective rate of the security. Other-than-temporary impairment recorded in other
comprehensive income (loss) was measured as the difference between that discounted amount and the fair value of each
security. The following table includes the ranges for principal assumptions used at December 31, 2010 for those
available-for-sale non-agency mortgage-backed securities determined to be other-than-temporarily impaired:
Minimum Maximum Average Minimum Maximum Average
Prime Non-Prime
Estimated lifetime prepayment rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4% 14% 13% 1% 12% 6%
Lifetime probability of default rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 9 3 1 20 8
Lifetime loss severity rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 55 41 37 71 55
Changes in the credit losses on non-agency mortgage-backed securities, including SIV-related securities, and other debt securities
are summarized as follows:
Year Ended December 31 (Dollars in Millions) 2010 2009
Balance at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $335 $ 299
Credit losses on securities not previously considered other-than-temporarily impaired . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 94
Decreases in expected cash flows on securities for which other-than-temporary impairment was previously recognized . . . . . 72 148
Increases in expected cash flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (26) (49)
Realized losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (60) (30)
Credit losses on security sales and securities expected to be sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – (127)
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 –
Balance at end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $358 $ 335
82 U.S. BANCORP