Discover 2010 Annual Report Download - page 152

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The following tables provide changes in the Company’s Level 3 assets and liabilities measured at fair value on a
recurring basis. Net transfers into and/or out of Level 3 are presented using beginning of the period fair values excluding
purchases and other settlements. The Company had no significant transfers between Levels 1, 2 or 3 during the second,
third or fourth quarters of 2010, the effective periods for the new disclosure requirements prescribed by ASU
No. 2010-06.
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
(dollars in thousands)
Beginning
Balance
Derecognition
of assets
upon
adoption of
Statement
No. 167
Total Realized
and Unrealized
Gains (Losses)
Purchases,
Sales, Other
Settlements and
Issuances, net
Net Transfers
In and/
or Out of
Level 3
Ending
Balance
Change in
unrealized
gains
(losses)
related to
assets held
at end of year
For the Year Ended November 30,
2010
Assets
Certificated retained interests in
DCENT ......................................... $2,204,969 $(2,204,969) $ 0 $ 0 $ 0 $ 0 $0
Credit card asset-backed securities of
other issuers .................................. 381,705 0 0 0 (381,705) 0 0
Asset-backed commercial paper notes... 58,792 0 12,101 (70,893) 0 0 0
Equity securities................................. 0 0 0 0 17 17 0
Available-for-sale investment
securities....................................... $2,645,466 $(2,204,969) $12,101 $(70,893) $(381,688) $17 $0
Cash collateral accounts ..................... $ 822,585 $ (822,585) $ 0 $ 0 $ 0 $ 0 $0
Interest-only strip receivable ................ 117,579 (117,579) 0 0 0 0 0
Amounts due from asset
securitization(1) ............................... $ 940,164 $ (940,164) $ 0 $ 0 $ 0 $ 0 $0
Beginning
Balance
Total Realized
and Unrealized
Gains (Losses)
Purchases,
Sales, Other
Settlements and
Issuances, net
Net Transfers
In and/
or Out of
Level 3
Ending
Balance
Change in
unrealized
gains (losses)
related to
assets held at
end of year
For the Year Ended November 30, 2009
Assets
Available-for-sale investment securities ...................... $1,127,090 $ (2,177) $1,520,553 $0 $2,645,466 $ (23,339)
Amounts due from asset securitization(1) ..................... $1,421,567 $(160,087) $ (321,316) $0 $ 940,164 $(160,690)
(1) Balances represent only the components of amounts due from asset securitization that are marked to fair value.
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