US Bank 2015 Annual Report Download - page 143

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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
2015
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime(a) .................... $ 405 $ – $(4) $ – $ – $ (83) $ – $ – $ 318 $ (4)
Non-prime(b) ................ 280 (1) (1) – – (38) – – 240 (1)
Asset-backed securities
Other ........................ 62 4 (2) – (51) (11) – – 2 –
Corporate debt securities ......... 9 – – – – – – – 9 –
Total available-for-sale ........ 756 3
(c) (7)(f) – (51) (132) – – 569 (5)
Mortgage servicing rights ........... 2,338 (487)(d) – 29 – – 632(g) – 2,512 (487)(d)
Net derivative assets and liabilities .... 574 707
(e) – 1 (13) – – (771) 498 135(h)
2014
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime(a) .................... $ 478 $ – $15 $ – $ – $ (88) $ – $ – $ 405 $ 14
Non-prime(b) ................ 297 (6) 19 – – (30) – – 280 19
Asset-backed securities
Other ........................ 63 4 – 5 – (10) – – 62 –
Corporate debt securities ......... 9 – – – – – – – 9 –
Total available-for-sale ........ 847 (2)
(i) 34(f) 5 – (128) – – 756 33
Mortgage servicing rights ........... 2,680 (588)(d) – 5 (141) – 382(g) – 2,338 (588)(d)
Net derivative assets and liabilities .... 445 904
(j) – 1 (4) – – (772) 574 188(k)
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)(l) 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)(m) – 1 (5) – – (712) 445 (321)(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) Included in interest income.
(d) Included in mortgage banking revenue.
(e) Approximately $289 million included in other noninterest income and $418 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 $92 million included in other noninterest income and $43 million included in mortgage banking revenue.
(i) Approximately $(3) million included in securities gains (losses) and $1 million included in interest income.
(j) Approximately $404 million included in other noninterest income and $500 million included in mortgage banking revenue.
(k) Approximately $128 million included in other noninterest income and $60 million included in mortgage banking revenue.
(l) Approximately $(14) million included in securities gains (losses) and $(2) million included in interest income.
(m) Approximately $(149) million included in other noninterest income and $131 million included in mortgage banking revenue.
(n) Approximately $(340) million included in other noninterest income and $19 million included in mortgage banking revenue.
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