Discover 2011 Annual Report Download - page 156

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144
Disclosures concerning assets and liabilities measured at fair value on a recurring basis are as follows (dollars in
thousands):
Balance at November 30, 2011
Assets
U.S Treasury securities
U.S government agency securities
Credit card asset-backed securities of other issuers
Corporate debt securities
Equity securities
Available-for-sale investment securities
Derivative financial instruments
Liabilities
Derivative financial instruments
Balance at November 30, 2010
Assets
U.S Treasury securities
U.S government agency securities
Credit card asset-backed securities of other issuers
Corporate debt securities
Equity securities
Available-for-sale investment securities
Derivative financial instruments
Liabilities
Derivative financial instruments
Quoted Prices in
Active Markets
for Identical
Assets (Level 1)(1)
$ 2,563,250
2,795,223
—
—
—
$ 5,358,473
$—
$—
$ 1,574,853
1,888,701
—
—
—
$ 3,463,554
$—
$—
Significant
Other
Observable
Inputs (Level 2)(1)
$—
—
299,889
449,469
—
$ 749,358
$ 63,576
$ 448
$—
—
1,031,112
507,896
—
$ 1,539,008
$ 4,995
$ 6,594
Significant
Unobservable
Inputs (Level 3)
$—
—
—
—
—
$—
$—
$—
$—
—
—
—
17
$17
$—
$—
Total
$ 2,563,250
2,795,223
299,889
449,469
—
$ 6,107,831
$ 63,576
$ 448
$ 1,574,853
1,888,701
1,031,112
507,896
17
$ 5,002,579
$ 4,995
$ 6,594
(1) There were no transfers between Levels 1 and 2 within the fair value hierarchy for the years ended November 30, 2011 and 2010.
At November 30, 2011, amounts reported in credit card asset-backed securities issued by other institutions reflected
senior-rated Class A securities having a par value of $255.2 million and more junior-rated Class B and Class C securities with
par values of $22.0 million and $22.3 million, respectively. The Class A securities had a weighted-average coupon of 0.78% and
a weighted-average remaining maturity of 11.8 months, the Class B, 0.55% and 16.9 months, respectively, and the Class C,
0.67% and 7.6 months, respectively. The assets underlying these securities are predominantly prime general-purpose credit card
loan receivables. Amounts reported in corporate debt securities reflected AAA-rated corporate debt obligations issued under the
Temporary Liquidity Guarantee Program (“TLGP”) that are guaranteed by the FDIC with a par value of $445.0 million, a
weighted-average coupon of 2.35% and a weighted-average remaining maturity of 6.2 months.
Regarding the corporate debt obligations issued under TLGP, fair values estimates are derived utilizing a spread relative
to an underlying benchmark curve which reflects the terms and conditions of specific instruments being valued. Regarding
credit card asset-backed securities, the expected cash flow models used to derive fair value estimates utilize observable market
data to the extent available and other valuation inputs such as benchmark yields, reported trades, broker quotes, issuer spreads,
bids and offers, the priority of which may vary based on availability of information.
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