US Bank 2012 Annual Report Download - page 133

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, 2012
Available-for-sale securities
U.S. Treasury and agencies ............................................... $491 $ 735 $ – $ – $ 1,226
Mortgage-backed securities
Residential
Agency ............................................................... – 29,495 – – 29,495
Non-agency
Prime (a) ........................................................... – – 624 – 624
Non-prime (b) ..................................................... – – 355 – 355
Commercial
Agency ............................................................... – 193 – – 193
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations ......... – 42 – – 42
Other ................................................................... – 577 15 – 592
Obligations of state and political subdivisions ............................ – 6,455 – – 6,455
Obligations of foreign governments ....................................... – 6 – – 6
Corporate debt securities ................................................. – 722 9 – 731
Perpetual preferred securities ............................................. – 218 – – 218
Other investments ......................................................... 187 15 – – 202
Total available-for-sale ............................................ 678 38,458 1,003 – 40,139
Mortgage loans held for sale ................................................. – 7,957 – – 7,957
Mortgage servicing rights .................................................... – – 1,700 – 1,700
Derivative assets ............................................................. – 572 1,234 (418) 1,388
Other assets ................................................................. 94 386 – – 480
Total ............................................................... $772 $47,373 $3,937 $ (418) $51,664
Derivative liabilities .......................................................... $ – $ 2,128 $ 55 $(1,549) $ 634
Short-term borrowings (c).................................................... 50 351 – – 401
Total ............................................................... $ 50 $ 2,479 $ 55 $(1,549) $ 1,035
December 31, 2011
Available-for-sale securities
U.S. Treasury and agencies ............................................... $562 $ 495 $ – $ – $ 1,057
Mortgage-backed securities
Residential
Agency ............................................................... – 40,314 – – 40,314
Non-agency
Prime (a) ........................................................... – – 803 – 803
Non-prime (b) ..................................................... – – 802 – 802
Commercial
Agency ............................................................... – 140 – – 140
Non-agency .......................................................... – – 42 – 42
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations ......... – 86 120 – 206
Other ................................................................... – 564 117 – 681
Obligations of state and political subdivisions ............................ – 6,539 – – 6,539
Obligations of foreign governments ....................................... – 6 – – 6
Corporate debt securities ................................................. – 818 9 – 827
Perpetual preferred securities ............................................. – 318 – – 318
Other investments ......................................................... 193 9 – – 202
Total available-for-sale ............................................ 755 49,289 1,893 – 51,937
Mortgage loans held for sale ................................................. – 6,925 – – 6,925
Mortgage servicing rights .................................................... – – 1,519 – 1,519
Derivative assets ............................................................. – 632 1,281 (294) 1,619
Other assets ................................................................. 146 467 – – 613
Total ............................................................... $901 $57,313 $4,693 $ (294) $62,613
Derivative liabilities .......................................................... $ – $ 2,501 $ 53 $(1,889) $ 665
Short-term borrowings (c).................................................... 75 538 – – 613
Total ............................................................... $ 75 $ 3,039 $ 53 $(1,889) $ 1,278
(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.
U.S. BANCORP 129