eTrade 2002 Annual Report Download - page 87

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Table of Contents
Index to Financial Statements
The decrease in the notional value of the Bank’ s derivative portfolio was offset by a change in the composition of the portfolio such that a
similar level of protection was maintained with lower notional balances. The average maturity of the pay-fixed interest rate swap portfolio was
extended to take advantage of the low interest rate environment. The cap portfolio was transitioned to a swaption portfolio that offered more
precisely targeted protection.
Statement of Financial Accounting Standards No. 133
The Company adopted SFAS No. 133, “ Accounting for Derivative Instruments and Hedging Activities ”, as amended and interpreted on
October 1, 2000. See Notes 2 and 28 of the Consolidated Financial Statements for additional information on SFAS No. 133.
Mortgage Production Activities
In the production of mortgage product, the Bank is exposed to interest rate risk between the commitment dates of the loans and their funding
dates. At December 31, 2002 and 2001, there were $1.1 billion and $0.4billion in mortgage loan commitments awaiting funding, respectively.
61
2003. EDGAR Online, Inc.