eTrade 2009 Annual Report Download - page 125

Level 1 Level 2 Level 3 Fair Value
December 31, 2008:
Assets
Trading securities $ 2,363 $ 19,712 $ 33,406 $ 55,481
Available-for-sale securities:
Residential mortgage-backed securities — 10,408,528 304,661 10,713,189
Investment securities — 92,735 170 92,905
Total available-for-sale securities — 10,501,263 304,831 10,806,094
Other assets:
Derivative assets — 137,308 8 137,316
Deposits with clearing organizations(1) 28,000 11,659 — 39,659
Total other assets measured at fair value on a
recurring basis 28,000 148,967 8 176,975
Total assets measured at fair value on a
recurring basis(2) $30,363 $10,669,942 $338,245 $11,038,550
Liabilities
Derivative liabilities $ — $ 484,681 $ 500 $ 485,181
Securities sold, not yet purchased 1,844 4,926 — 6,770
Total liabilities measured at fair value on a
recurring basis(2) $ 1,844 $ 489,607 $ 500 $ 491,951
(1) Represents U.S. Treasuries and other investment securities held by broker-dealer subsidiaries.
(2) Assets and liabilities measured at fair value on a recurring basis represented 23% and 1% of the Company’s total assets and total
liabilities, respectively.
The following tables present additional information about Level 3 assets and liabilities measured at fair
value on a recurring basis (dollars in thousands):
December 31,
2008
Realized and Unrealized Gains
(Losses) Purchases,
Sales, Other
Settlements
and Issuances
Net
Net
Transfers
In and/or
(Out) of
Level 3
December 31,
2009
Included in
Earnings(1)
Included in
Other
Comprehensive
Income Total(2)
Trading securities $ 33,406 $ 2,016 $ — $ 2,016 $(37,377) $ 3,446 $ 1,491
Available-for-sale securities:
Agency mortgage-backed
securities and CMOs $ — $ — $ (783) $ (783) $ 4 $18,751 $ 17,972
Non-agency CMOs and
other $304,661 $(86,215) $102,346 $16,131 $(84,050) $ (2,113) $234,629
Corporate investments $ 170 $ — $ 3 $ 3 $ — $ — $ 173
Derivative instruments, net(3) $ (492) $ 492 $ — $ 492 $ — $ — $ —
(1) The majority of realized and unrealized gains (losses) included in earnings are reported in the net impairment line item.
(2) The majority of total realized and unrealized gains (losses) were related to instruments held at December 31, 2009.
(3) Represents derivative assets net of derivative liabilities for presentation purposes only.
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