eTrade 2005 Annual Report Download - page 162

Table of Contents
Under SFAS No.133, we are required to record the fair value of gains and losses on derivatives designated as cash flow hedges in
AOCI in the consolidated balance sheets. In addition, during the normal course of business, the Company terminates certain interest
rate swaps and options.
The following tables show: 1)amounts recorded in AOCI related to derivative instruments accounted for as cash flow hedges; 2) the
notional amounts and fair values of derivatives terminated for the periods presented; and 3) the amortization of terminated interest rate
swaps includedin interest expense and interest income (in thousands):
Year Ended December31,
2005
2004
2003
Impact on AOCI (net of taxes):
Beginning balance
$
(118,018
)
$
(123,754
)
$
(188,280
)
Gains (losses) on cash flow hedges related to derivatives, net
7,032
(51,137
)
(21,173
)
Reclassifications into earnings, net
40,155
56,873
85,699
Ending balance
$
(70,831
)
$
(118,018
)
$
(123,754
)
Derivatives terminated during the year:
Notional
$
17,920,000
$
5,423,500
$
6,329,500
Fair value of net gains (losses) recognized in AOCI
$
2,228
$
(68,039
)
$
45,927
Amortization of terminated interest rate swaps and options
included in interest expense and interest income
$
65,110
$
101,807
$
125,800
The gains (losses) accumulated in AOCI on the derivative instruments terminated shown in the preceding table will be included in
interest expense and interest income over the periods the hedged forecasted issuance of liabilities will affect earnings, ranging from
6days to 15years.
The following table represents the balance in AOCI attributable to open cash flow hedges and discontinued cash flow hedges (in
thousands):
At December31,
2005
2004
2003
AOCI balance (net of taxes) related to:
Open cash flow hedges
$
(36,736
)
$
(43,027
)
$
(30,775
)
Discontinued cash flow hedges
(34,095
)
(74,991
)
(92,979
)
Total cash flow hedges
$
(70,831
)
$
(118,018
)
$
(123,754
)
Hedge Ineffectiveness
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2006. EDGAR Online, Inc.