US Bank 2015 Annual Report Download - page 99

NOTE 5 INVESTMENT SECURITIES
The amortized cost, other-than-temporary impairment recorded in other comprehensive income (loss), gross unrealized holding
gains and losses, and fair value of held-to-maturity and available-for-sale investment securities at December 31 were as follows:
2015 2014
Unrealized Losses Unrealized Losses
(Dollars in Millions)
Amortized
Cost
Unrealized
Gains
Other-than-
Temporary(e) Other(f) Fair Value
Amortized
Cost
Unrealized
Gains
Other-than-
Temporary(e) Other(f) Fair Value
Held-to-maturity(a)
U.S. Treasury and agencies ............ $ 2,925 $ 14 $ – $ (20) $ 2,919 $ 2,717 $ 15 $ – $ (18) $ 2,714
Mortgage-backed securities
Residential
Agency ......................... 40,619 175 – (273) 40,521 42,204 335 – (176) 42,363
Non-agency non-prime(d) ........... 1 – – – 1 1 – – – 1
Asset-backed securities
Collateralized debt obligations/
Collateralized loan obligations ....... – 6 – – 6 – 7 – – 7
Other ............................ 10 3 – – 13 13 4 – – 17
Obligations of state and political
subdivisions ....................... 8 1 – (1) 8 9 1 – (1) 9
Obligations of foreign governments ...... 9 – – – 9 9 – – – 9
Other debt securities .................. 18 – – (2) 16 21 – – (1) 20
Total held-to-maturity ............. $43,590 $199 $ – $(296) $43,493 $44,974 $362 $ – $(196) $45,140
Available-for-sale(b)
U.S. Treasury and agencies ............ $ 4,611 $ 12 $ – $ (27) $ 4,596 $ 2,622 $ 14 $ – $ (4) $ 2,632
Mortgage-backed securities
Residential
Agency ......................... 50,056 384 – (364) 50,076 44,668 593 – (244) 45,017
Non-agency
Prime(c) ....................... 316 6 (3) (1) 318 399 9 (2) (1) 405
Non-prime(d) ................... 221 20 (1) – 240 261 20 (1) – 280
Commercial agency ................ 52 – – – 52 112 3 – – 115
Asset-backed securities
Collateralized debt obligations/
Collateralized loan obligations ....... 16 3 – – 19 18 4 – – 22
Other ............................ 532 9 – – 541 607 13 – (1) 619
Obligations of state and political
subdivisions ....................... 5,149 169 – (2) 5,316 5,604 265 – (1) 5,868
Obligations of foreign governments ...... – – – – – 6 – – – 6
Corporate debt securities .............. 677 3 – (70) 610 690 3 – (79) 614
Perpetual preferred securities ........... 153 20 – (12) 161 200 27 – (10) 217
Other investments .................... 34 34 – – 68 245 29 – – 274
Total available-for-sale ............. $61,817 $660 $(4) $(476) $61,997 $55,432 $980 $(3) $(340) $56,069
(a) Held-to-maturity investment securities are carried at historical cost or at fair value at the time of transfer from the available-for-sale to held-to-maturity category, adjusted for amortization of
premiums and accretion of discounts and credit-related other-than-temporary impairment.
(b) Available-for-sale investment securities are carried at fair value with unrealized net gains or losses reported within accumulated other comprehensive income (loss) in shareholders’ equity.
(c) 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). When the Company determines the designation, prime securities typically have a weighted average credit score of 725 or higher and a loan-to-value of 80 percent or
lower; however, other pool characteristics may result in designations that deviate from these credit score and loan-to-value thresholds.
(d) Includes all securities not meeting the conditions to be designated as prime.
(e) Represents impairment not related to credit for those investment securities that have been determined to be other-than-temporarily impaired.
(f) Represents unrealized losses on investment securities that have not been determined to be other-than-temporarily impaired.
The weighted-average maturity of the available-for-sale
investment securities was 4.7 years at December 31, 2015,
compared with 4.3 years at December 31, 2014. The
corresponding weighted-average yields were 2.21 percent
and 2.32 percent, respectively. The weighted-average
maturity of the held-to-maturity investment securities was 4.2
years at December 31, 2015, and 4.0 years at December 31,
2014. The corresponding weighted-average yields were both
1.92 percent, respectively.
For amortized cost, fair value and yield by maturity date of
held-to-maturity and available-for-sale investment securities
outstanding at December 31, 2015, refer to Table 13 included
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