eTrade 2012 Annual Report Download - page 127

The following table presents additional information about significant unobservable inputs used in the
valuation of assets measured at fair value on a nonrecurring basis that were categorized in Level 3 of the fair
value hierarchy as of December 31, 2012 (dollars in thousands):
Unobservable Inputs Average Range
One- to four-family Appraised value $371 $6-$3,025
Home equity Appraised value $276 $9-$1,900
Real estate owned Appraised value $329 $1-$3,100
Recurring and Nonrecurring Fair Value Measurements
Assets and liabilities measured at fair value at December 31, 2012 and 2011 are summarized in the
following tables (dollars in thousands):
Level 1 Level 2 Level 3
Total
Fair Value
December 31, 2012:
Recurring fair value measurements:
Assets
Trading securities $100,259 $ 1,011 $ — $ 101,270
Available-for-sale securities:
Residential mortgage-backed securities:
Agency mortgage-backed securities and CMOs — 12,097,298 — 12,097,298
Non-agency CMOs — 185,668 49,495 235,163
Total residential mortgage-backed securities — 12,282,966 49,495 12,332,461
Investment securities:
Agency debentures — 527,996 — 527,996
Agency debt securities — 546,762 — 546,762
Municipal bonds — 31,346 — 31,346
Corporate bonds — 4,455 — 4,455
Total investment securities — 1,110,559 — 1,110,559
Total available-for-sale securities — 13,393,525 49,495 13,443,020
Other assets:
Derivative assets(1) — 14,890 — 14,890
Deposits with clearing organizations(2) 32,000 — — 32,000
Total other assets measured at fair value on a recurring basis 32,000 14,890 — 46,890
Total assets measured at fair value on a recurring basis(3) $132,259 $13,409,426 $ 49,495 $13,591,180
Liabilities
Derivative liabilities(1) $ — $ 328,504 $ — $ 328,504
Securities sold, not yet purchased 87,088 489 — 87,577
Total liabilities measured at fair value on a recurring basis(3) $ 87,088 $ 328,993 $ — $ 416,081
Nonrecurring fair value measurements:(4)
Loans receivable:
One- to four-family $ — $ — $752,008 $ 752,008
Home equity — — 90,663 90,663
Total loans receivable — — 842,671 842,671
REO — — 75,885 75,885
Total assets measured at fair value on a nonrecurring basis $ — $ — $918,556 $ 918,556
(1) The majority of derivative assets and liabilities are interest rate contracts. Information related to derivative instruments is detailed in Note
6—Accounting for Derivative Instruments and Hedging Activities.
(2) Represents U.S. Treasury securities held by a broker-dealer subsidiary.
(3) Assets and liabilities measured at fair value on a recurring basis represented 29% and 1% of the Company’s total assets and total
liabilities, respectively.
(4) Represents the fair value of assets prior to deducting estimated selling costs that were carried on the consolidated balance sheet as of
December 31, 2012, and for which a fair value measurement was recorded during the period.
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