eTrade 2007 Annual Report Download - page 113

The following table summarizes information related to financial derivatives in fair value hedge relationships
(dollars in thousands):
Notional
Amount of
Derivatives
Fair Value of Derivatives
Weighted-Average
Remaining
Life (Years)Asset Liability Net
Pay
Rate
Receive
Rate
Strike
Rate
December 31, 2007:
Pay-fixed interest rate swaps:
Mortgage-backed securities $ 527,000 $ — $(21,318) $(21,318) 5.11% 5.16% N/A 7.00
Receive-fixed interest rate
swaps:
Corporate debt 1,214,000 57,760 — 57,760 7.04% 7.71% N/A 5.32
Brokered certificates of
deposit 110,948 — (1,343) (1,343) 4.97% 5.33% N/A 11.46
FHLB advances 100,000 — (194) (194) 5.03% 3.64% N/A 1.79
Purchased interest rate
options(1):
Swaptions(2) 905,000 17,881 — 17,881 N/A N/A 5.40% 10.20
Total fair value hedges $ 2,856,948 $ 75,641 $(22,855) $ 52,786 6.30% 6.68% 5.40% 7.29
December 31, 2006:
Pay-fixed interest rate swaps:
Mortgage-backed securities $ 4,774,000 $ 22,399 $(25,894) $ (3,495) 5.12% 5.36% N/A 4.20
Recreational vehicle loans 2,030,000 — (8,046) (8,046) 5.46% 5.35% N/A 1.62
Home equity loans 490,000 — (2,625) (2,625) 5.40% 5.35% N/A 2.16
Investment securities 335,162 1,128 (2,887) (1,759) 5.07% 5.37% N/A 6.69
Asset backed securities 232,000 1,013 — 1,013 5.08% 5.37% N/A 6.52
Receive-fixed interest rate
swaps:
Brokered certificates of
deposit 127,138 — (3,392) (3,392) 5.31% 5.21% N/A 11.41
FHLB advances 100,000 — (3,534) (3,534) 5.35% 3.64% N/A 2.79
Purchased interest rate
options(1):
Caps 6,720,000 38,237 — 38,237 N/A N/A 5.36% 2.18
Swaptions(2) 3,338,000 50,218 — 50,218 N/A N/A 5.37% 10.69
Floors 1,200,000 19,786 — 19,786 N/A N/A 4.74% 4.81
Total fair value hedges $19,346,300 $132,781 $(46,378) $ 86,403 5.22% 5.34% 5.30% 4.44
(1) Purchased interest rate options were used to hedge mortgage loans and mortgage-backed securities.
(2) Swaptions are options to enter swaps starting on a given day.
De-designated Fair Value Hedges
During the years ended December 31, 2007 and 2006, certain fair value hedges were de-designated;
therefore, hedge accounting was discontinued during those periods. The net gain or loss on the underlying
transactions being hedged is amortized to operating interest expense or operating interest income over the
original forecasted period at the time of de-designation. Changes in the fair value of these derivative instruments
after de-designation of fair value hedge accounting were recorded in the gain (loss) on loans and securities, net
line item in the consolidated statement of income (loss).
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