eTrade 2009 Annual Report Download - page 137

The following table shows: 1) amounts recorded in accumulated other comprehensive loss related to
derivative instruments accounted for as cash flow hedges; 2) amount of ineffectiveness recorded in earnings
related to derivative instruments accounted for as cash flow hedges; 3) the notional amount and fair value of
terminated derivative instruments accounted for as cash flow hedges for the periods presented; and 4) the
amortization of terminated derivative instruments accounted for as cash flow hedges included in net operating
interest income (dollars in thousands):
Year Ended December 31,
2009 2008 2007
Impact on accumulated other comprehensive loss (net of tax):
Beginning balance $ (417,489) $ (132,223) $ (27,844)
Unrealized gains (losses), net 101,886 (302,132) (116,101)
Reclassifications into earnings, net 37,055 16,866 11,722
Ending balance $ (278,548) $ (417,489) $ (132,223)
Cash flow hedge ineffectiveness(1)(2) $ 579 $ 180 $ (336)
Derivatives terminated during the period:
Notional $1,140,000 $7,135,000 $11,435,000
Fair value of net losses recognized in accumulated other
comprehensive loss $ (128,869) $ (268,364) $ (17,530)
Amortization of terminated interest rate swaps and options included in
net operating interest income $ (39,629) $ 5,811 $ 1,090
(1) The amount of ineffectiveness recorded in earnings for cash flow hedges is equal to the excess of the cumulative change in the fair value
of the actual derivative over the cumulative change in the fair value of a hypothetical derivative which is created to match the exact terms
of the underlying instruments being hedged.
(2) The cash flow hedge ineffectiveness is reflected in the gains (losses) on loans and securities, net line item.
During the upcoming twelve months, the Company expects to include a pre-tax amount of approximately
$19.3 million of net unrealized gains that are currently reflected in accumulated other comprehensive loss in net
operating interest income as a yield adjustment in the same periods in which the related items affect earnings.
The losses accumulated in other comprehensive loss on terminated derivative instruments will be included in net
operating interest income over the periods the related items will affect earnings, ranging from 48 days to
approximately 13 years.
The following table shows the balance in accumulated other comprehensive loss attributable to open cash
flow hedges and discontinued cash flow hedges (dollars in thousands):
As of December 31,
2009 2008
Accumulated other comprehensive loss balance (net of tax) related to:
Open cash flow hedges $ (73,368) $(266,704)
Discontinued cash flow hedges (205,180) (150,785)
Total cash flow hedges $(278,548) $(417,489)
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