eTrade 2010 Annual Report Download - page 119
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Recurring Fair Value Measurements
Assets and liabilities measured at fair value on a recurring basis are summarized below (dollars in
thousands):
Level 1 Level 2 Level 3 Fair Value
December 31, 2010:
Assets
Trading securities $ 55,630 $ 5,913 $ 630 $ 62,173
Available-for-sale securities:
Residential mortgage-backed securities:
Agency mortgage-backed securities and CMOs — 12,898,114 — 12,898,114
Non-agency CMOs — 200,169 195,220 395,389
Total residential mortgage-backed securities — 13,098,283 195,220 13,293,503
Investment securities:
Debt securities:
Agency debentures — 1,269,552 — 1,269,552
Other agency debt securities — 187,462 — 187,462
Municipal bonds — 37,331 — 37,331
Corporate bonds — 17,829 — 17,829
Total investment securities — 1,512,174 — 1,512,174
Total available-for-sale securities — 14,610,457 195,220 14,805,677
Other assets:
Derivative assets(1) — 248,911 — 248,911
Deposits with clearing organizations(2) 38,000 — — 38,000
Total other assets measured at fair value on a
recurring basis 38,000 248,911 — 286,911
Total assets measured at fair value on a recurring
basis(3) $ 93,630 $14,865,281 $195,850 $15,154,761
Liabilities
Derivative liabilities(1) $ — $ 106,863 $ — $ 106,863
Securities sold, not yet purchased 51,889 2,846 — 54,735
Total liabilities measured at fair value on a recurring
basis(3) $ 51,889 $ 109,709 $ — $ 161,598
(1) All derivative assets and liabilities are interest rate contracts. Information related to derivative instruments is detailed in Note 8—
Accounting for Derivative Instruments and Hedging Activities.
(2) Represents U.S. Treasury securities held by a broker-dealer subsidiary.
(3) Assets and liabilities measured at fair value on a recurring basis represented 33% and less than 1% of the Company’s total assets and
total liabilities, respectively.
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