eTrade 2005 Annual Report Download - page 158

Table of Contents
Accordingly, the net difference or hedge ineffectiveness, if any, is recognized currently in fair value adjustments of financial
derivatives in the consolidated statements of income.
The following table summarizes information related to financial derivatives in fair value hedge relationships (dollars in thousands):
Notional
Amount of
Derivative
Fair Value of Derivatives
Weighted-Average
Asset
Liability
Net
Pay
Rate
Receive
Rate
Strike
Rate
Remaining
Life(Years)
December31, 2005
:
Pay-fixed interest rate
swaps:
Mortgage-backed securities
$
961,000
$
12,485
$
(598
)
$
11,887
4.50
%
4.35
%
N/A
4.88
Investment securities
119,485
1,315
(1,750
)
(435
)
4.62
%
4.18
%
N/A
7.70
Receive-fixed interest rate
swaps:
Brokered certificates of
deposit
132,313
—
(3,740
)
(3,740
)
4.33
%
5.22
%
N/A
12.50
FHLB advances
100,000
—
(3,894
)
(3,894
)
4.37
%
3.64
%
N/A
3.79
Purchased interest rate
forward-starting swaps:
Mortgage-backed securities
70,000
—
(470
)
(470
)
5.03
%
N/A
N/A
10.01
Purchased interest rate
options
(1)
:
Caps
770,000
21,324
—
21,324
N/A
N/A
4.89
%
4.82
Floors
1,325,000
3,952
—
3,952
N/A
N/A
3.82
%
3.71
Swaptions
(3)
2,241,000
36,982
—
36,982
N/A
N/A
4.93
%
8.47
Total fair value hedges
$
5,718,798
$
76,058
$
(10,452
)
$
65,606
4.51
%
4.37
%
4.59
%
6.29
December31, 2004
:
Pay-fixed interest rate
swaps:
Mortgage-backed securities
$
1,045,000
$
3,157
$
(5,099
)
$
(1,942
)
4.42
%
2.23
%
N/A
6.06
Investment securities
160,885
—
(3,747
)
(3,747
)
4.63
%
2.09
%
N/A
8.83
Receive-fixed interest rate
swaps:
Certificates of deposit
315,000
—
(1,901
)
(1,901
)
2.26
%
3.39
%
N/A
2.90
Brokered certificates of
deposit
10,000
—
(160
)
(160
)
2.50
%
5.00
%
N/A
10.01
FHLB advances
100,000
—
(1,159
)
(1,159
)
2.40
%
3.64
%
N/A
4.80
Senior Notes
(2)
50,000
452
—
452
5.98
%
8.00
%
N/A
6.46
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