US Bank 2011 Annual Report Download - page 122

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Additional detail of purchases, sales, principal payments, issuances and settlements for assets and liabilities classified within Level
3 for the year ended December 31, 2011, was as follows:
(Dollars in Millions) Purchases Sales
Principal
Payments Issuances Settlements Net Total
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime ........................................... $ – $(115) $(195) $ – $ – $ (310)
Non-prime ...................................... – (13) (126) – – (139)
Commercial non-agency .......................... – (4) (4) – – (8)
Asset-backed securities
Collateralized debt obligations/Collateralized loan
obligations ..................................... – – (33) – – (33)
Other .............................................. 5 – (24) – – (19)
Total available-for-sale ......................... 5 (132) (382) – – (509)
Mortgage servicing rights .............................. 35 – – 619(a) – 654
Net derivative assets and liabilities ..................... 1 (8) – – (1,166) (1,173)
(a) Represents MSRs capitalized during the period
The Company is also required periodically to measure certain other financial assets at fair value on a nonrecurring basis. These
measurements of fair value usually result from the application of lower-of-cost-or-fair value accounting or write-downs of
individual assets.
The following table summarizes the adjusted carrying values and the level of valuation assumptions for assets measured at fair
value on a nonrecurring basis as of December 31:
2011 2010
(Dollars in Millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Loans (a) ................................... $– $– $168 $168 $– $404 $1 $405
Other intangible assets ..................... – – – – – – 1 1
Other assets (b) ............................ – – 310 310 – 816 9 825
(a) Represents the carrying value of loans for which adjustments were based on the fair value of the collateral, excluding loans fully charged-off.
(b) Primarily represents the fair value of foreclosed properties that were measured at fair value based on an appraisal or broker price opinion of the collateral subsequent to their initial acquisition.
The following table summarizes losses recognized related to nonrecurring fair value measurements of individual assets or
portfolios for the years ended December 31:
(Dollars in Millions) 2011 2010 2009
Loans held for sale ............................................................................................... $ – $ – $ 2
Loans (a) ......................................................................................................... 177 363 293
Other intangible assets ........................................................................................... – 1 2
Other assets (b) .................................................................................................. 316 308 178
(a) Represents write-downs of loans which were based on the fair value of the collateral, excluding loans fully charged-off.
(b) Primarily represents related losses of foreclosed properties that were measured at fair value subsequent to their initial acquisition.
Fair Value Option
The following table summarizes the differences between the aggregate fair value carrying amount of MLHFS for which the fair
value option has been elected and the aggregate unpaid principal amount that the Company is contractually obligated to receive
at maturity as of December 31:
2011 2010
(Dollars in Millions)
Fair Value
Carrying
Amount
Aggregate
Unpaid
Principal
Carrying
Amount Over
(Under) Unpaid
Principal
Fair Value
Carrying
Amount
Aggregate
Unpaid
Principal
Carrying
Amount Over
(Under) Unpaid
Principal
Total loans .................................. $6,925 $6,635 $290 $8,100 $8,034 $66
Nonaccrual loans ........................... 10 15 (5) 11 18 (7)
Loans 90 days or more past due ........... 3 4 (1) 6 6 –
120 U.S. BANCORP