eTrade 2005 Annual Report Download - page 159

Purchased interest rate
forward-starting swaps:
Mortgage-backed securities
209,000
978
—
978
3.60
%
N/A
N/A
3.43
Brokered certificates of
deposit
20,000
12
(60
)
(48
)
5.25
%
N/A
N/A
12.55
Purchased interest rate
options
(1)
:
Caps
485,000
7,221
—
7,221
N/A
N/A
6.09
%
5.01
Floors
100,000
352
—
352
N/A
N/A
4.25
%
2.75
Swaptions
(3)
335,000
9,065
—
9,065
N/A
N/A
5.98
%
13.30
Total fair value hedges
$
2,829,885
$
21,237
$
(12,126
)
$
9,111
3.93
%
2.71
%
5.85
%
6.25
(1)
Purchased interest rate options were used to hedge mortgage-backed securities.
(2)
Interest rate swap agreement on the Company’s $400.0 million senior notes was terminated during 2005.
(3)
Swaptions are options to enter swaps starting on a given day.
De-designated Fair Value Hedges
During 2005 and 2004, certain fair value hedges were de-designated; therefore, hedge accounting was discontinued during those
periods. The net gain or loss on these derivative instruments at the time of de-designation is amortized to interest expense or interest
income over the original forecasted period of the underlying transactions being hedged. Changes in the fair value of these derivative
instruments after de-designation of fair value hedge accounting were recorded in gain on sales of loans and securities, net in the
consolidated statements of income.
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