Company: USB-PA
Filing Date: 2025-08-07
Form Type: 10-Q
Source: 0000036104-25-000055
Chunk: 221

Company: US BANCORP \DE\
Filing Date: 2025-08-07
Form: 10-Q
Chunk 221
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 Average(a) |     |   |
| Expected loan close rate                   |     | 11 | %       |     | 100 | %       |            |  83 | % |
| Inherent MSR value (basis points per loan) |     | 47 |         |     | 211 |         |            | 110 |   |

(a) Determined based on the relative fair value of the related mortgage loans.

The significant unobservable input used in the fair value measurement of certain of the Company’s asset/liability and customer-related derivatives is the credit valuation adjustment related to the risk of counterparty nonperformance. A significant increase in the credit valuation adjustment would have resulted in a lower fair value measurement. A significant decrease in the credit valuation adjustment would have resulted in a higher fair value measurement. The credit valuation adjustment is impacted by changes in market rates, volatility, market implied credit spreads, and loss recovery rates, as well as the Company’s assessment of the counterparty’s credit position. At June 30, 2025, the minimum, maximum and weighted-average credit valuation adjustment as a percentage of the net fair value of the counterparty’s derivative contracts prior to adjustment was 0 percent, 263percent and 2percent, respectively.

The significant unobservable inputs used in the fair value measurement of the Visa swaps are management’s estimate of the probability of certain litigation scenarios occurring, and the timing of the resolution of the related litigation loss estimates in excess, or shortfall, of the Company’s proportional share of escrow funds. An increase in the loss estimate or a delay in the resolution of the related litigation would have resulted in an increase in the derivative liability. A decrease in the loss estimate or an acceleration of the resolution of the related litigation would have resulted in a decrease in the derivative liability.

| U.S. Bancorp |     | 67 |

The following table summarizes the balances of assets and liabilities measured at fair value on a recurring basis:

| (Dollars in Millions)                           
 June 30, 2025                                   |     |   |        | Level 1 |   |        | Level 2 |   |       | Level 3 |   |        | Netting |   |         | Total |
|:------------------------------------------------|:----|:--|-------:|:--------|:--|-------:|:--------|:--|------:|:--------|:--|-------:|:--------|:--|--------:|:------|
| Available-for-sale securities