eTrade 2005 Annual Report Download - page 151

Table of Contents
The carrying values of the retained beneficial interests are subject to future volatility in credit, interest rate and prepayment risk. The
following table presents a sensitivity analysis of each of portfolio of securitized receivables (dollars in thousands):
RV
1999-1
(1)
Marine
1999-2
RV
1999-3
RV/Marine
2001-1
RV/Marine
2004-1
Fair value of residual investment
(2)
At December31, 2005
$
7,870
$
11,861
$
2,021
$
2,125
$
13,527
At initial value
(3)
$
9,740
$
12,775
$
4,223
$
3,981
$
10,877
Weighted-average remaining life (years)
0.08
0.33
1.24
2.24
2.28
Weighted-average prepayment speed
17
%
20
%
17
%
21
%
25
%
Impact of 10% adverse change
$
(1
)
$
(1
)
$
51
$
50
$
(133
)
Impact of 20% adverse change
$
(1
)
$
(2
)
$
51
$
58
$
(236
)
Weighted-average discount rate
9
%
9
%
9
%
9
%
16
%
Impact of 10% adverse change
$
(5
)
$
(32
)
$
(21
)
$
(39
)
$
(477
)
Impact of 20% adverse change
$
(11
)
$
(64
)
$
(41
)
$
(77
)
$
(926
)
Weighted-average expected credit losses
1.83
%
1.58
%
1.92
%
1.97
%
0.48
%
Impact of 10% adverse change
$
(16
)
$
(32
)
$
(106
)
$
(324
)
$
(269
)
Impact of 20% adverse change
$
(32
)
$
(64
)
$
(212
)
$
(590
)
$
(511
)
Actual credit losses
Since trust inception
(4)
$
32,346
$
10,596
$
11,218
$
14,557
$
624
Since acquisition on October20, 2003
$
6,833
$
1,595
$
2,957
$
6,172
N/A
For the year ended December31, 2005
Actual interest payments received
$
259
$
222
$
107
$
253
$
—
Actual principal payments received
$
54
$
241
$
310
N/A
$
—
(1)
On December14, 2005, the Company exercised its option to redeem at par the collateral associated with 1999-1 and receive cash for its residual interest. Payment of the residual
interest was received in January 2006.
(2)
Based on calculated discounted expected future cash flows, premised on weighted-average life, prepayment speed, discount rate and expected credit losses shown in this table.
(3)
Initial value at December31, 2004 for 2004-1 andOctober20, 2003 for all remaining.
(4)
Default base on the entire balance of the amount securitized as follows: 1990-1: $1,000,003; 1992-2: $550,000; 1999-3: $374,531; 2001-1: $529,467; 2004-1: $308,996.
The sensitivities and estimates shown in the preceding table are hypothetical; actual future performance and results can vary
significantly. As the sensitivity analysis table shows, changes in the fair value based on a 10% variation in assumptions generally
cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, in this
table, the effect of a variation in a particular assumption on the fair value of the preference shares is calculated without changing any
other assumption. Changes in one factor may result in changes in another factor (for example, increases in market interest rates may
result in lower prepayments and increased credit losses), which might magnify or counteract the sensitivities.
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