Cabela's 2008 Annual Report Download - page 102

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97
CABELA’S INCORPORATED AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Dollars in Thousands Except Share and Per Share Amounts)
Level 3 is comprised of financial instruments whose fair value is estimated based on internally developed
models or methodologies utilizing significant inputs that are primarily unobservable from objective sources. In
determining the appropriate hierarchy levels, we performed an analysis of the assets and liabilities that are subject to
FAS 157 and determined that at December 27, 2008, all applicable financial instruments carried on our consolidated
balance sheets are classified as Level 3. The following table summarizes the valuation of our recurring financial
instruments at December 27, 2008.
Assets Fair Value at
December 27, 2008 (1)
Retained interests in securitized loans $ 61,605
Economic development bonds 112,585
$ 174,190
(1) All fair value measurements using Level 3 category.
The table below presents changes in fair value of our assets measured at fair value on a recurring basis using
significant unobservable inputs (Level 3), as defined in FAS 157, for the year ended December 27, 2008.
Retained
Interests in
Securitized
Loans
Economic
Development
Bonds
Balance, December 30, 2007 $ 51,777 $ 98,035
Total gains or losses (realized/unrealized):
Included in earnings (4,356 ) (42)
Included in other comprehensive income - (8,584)
Purchases, issuances, and settlements, net 14,184 23,176
Balance, December 27, 2008 $ 61,605 $ 112,585
Included in retained interests in asset securitizations are interest-only strips, cash reserve accounts, and
cash accounts. For interest-only strips and cash reserve accounts WFB estimates related fair values based on
the present value of future expected cash flows using assumptions for credit losses, payment rates, and discount
rates commensurate with the risks involved. For cash accounts, WFB estimates related fair values based on the
present value of future expected cash flows using discount rates commensurate with risks involved. WFB retains the
rights to remaining cash flows (including interchange fees) after the other costs of the trust are paid. However, future
expected cash flows for valuation of the interest-only strips and cash reserve accounts do not include interchange
income since interchange income is earned only when a charge is made to a customer’s account.
WFB also owns asset-backed securities from three of its securitizations. Asset-backed trading securities
fluctuate daily based on the short-term operational needs of WFB. Advances and pay downs on the trading securities
are at par value. Therefore, the par value of the asset-backed trading securities approximates fair value.
Fair values of economic development bonds (“bonds”) are estimated using discounted cash flow projections
based on available market interest rates and management estimates including the estimated amounts and timing of
expected future tax payments to be received by the municipalities under development zones. These fair values do