eTrade 2009 Annual Report Download - page 136
Download and view the complete annual report
Please find page 136 of the 2009 eTrade annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.-
1 -
2
-
3
-
4
-
5
-
6
-
7
-
8
-
9
-
10
-
11
-
12
-
13
-
14
-
15
-
16
-
17
-
18
-
19
-
20
-
21
-
22
-
23
-
24
-
25
-
26
-
27
-
28
-
29
-
30
-
31
-
32
-
33
-
34
-
35
-
36
-
37
-
38
-
39
-
40
-
41
-
42
-
43
-
44
-
45
-
46
-
47
-
48
-
49
-
50
-
51
-
52
-
53
-
54
-
55
-
56
-
57
-
58
-
59
-
60
-
61
-
62
-
63
-
64
-
65
-
66
-
67
-
68
-
69
-
70
-
71
-
72
-
73
-
74
-
75
-
76
-
77
-
78
-
79
-
80
-
81
-
82
-
83
-
84
-
85
-
86
-
87
-
88
-
89
-
90
-
91
-
92
-
93
-
94
-
95
-
96
-
97
-
98
-
99
-
100
-
101
-
102
-
103
-
104
-
105
-
106
-
107
-
108
-
109
-
110
-
111
-
112
-
113
-
114
-
115
-
116
-
117
-
118
-
119
-
120
-
121
-
122
-
123
-
124
-
125
-
126 -
127 -
128 -
129 -
130 -
131 -
132 -
133 -
134 -
135 -
136 -
137 -
138 -
139 -
140 -
141 -
142 -
143 -
144 -
145 -
146 -
147
-
148
-
149
-
150
-
151
-
152
-
153
-
154
-
155
-
156
-
157
-
158
-
159
-
160
-
161
-
162
-
163
-
164
-
165
-
166
-
167
-
168
-
169
-
170
-
171
-
172
-
173
-
174
-
175
-
176
-
177
-
178
-
179
-
180
-
181
-
182
-
183
-
184
-
185
-
186
-
187
-
188
-
189
-
190
-
191
-
192
-
193
-
194
-
195
-
196
-
197
-
198
-
199
-
200
-
201
-
202
-
203
-
204
-
205
-
206
-
207
-
208
-
209
-
210
-
211
-
212
-
213
-
214
-
215
-
216
-
217
-
218
-
219
-
220
-
221
-
222
-
223
-
224
-
225
-
226
-
227
-
228
-
229
-
230
-
231
-
232
-
233
-
234
-
235
-
236
-
237
-
238
-
239
-
240
-
241
-
242
-
243
-
244
-
245
-
246
-
247
-
248
-
249
-
250
-
251
-
252
-
253
-
254
-
255
-
256
 |
 |
market conditions in future periods could impact the ability to issue this debt. The Company believes the
forecasted issuance of debt in the form of repurchase agreements is most susceptible to an unexpected change in
market conditions.
The following table summarizes information related to the Company’s interest rate contracts in cash flow
hedge relationships hedging variable-rate assets and liabilities and the forecasted issuances of liabilities (dollars
in thousands):
Notional
Amount
Fair Value Weighted-Average
Asset Liability Net
Pay
Rate
Receive
Rate
Strike
Rate
Remaining
Life (Years)
December 31, 2009:
Pay-fixed interest rate
swaps:
Repurchase
agreements $1,565,000 $ — $(125,954) $(125,954) 4.87% 0.26% N/A 9.68
FHLB advances 530,000 — (17,648) (17,648) 4.32% 0.25% N/A 8.11
Purchased interest rate
forward-starting swaps:
Repurchase
agreements 200,000 2,031 — 2,031 3.88% N/A N/A 10.09
Purchased interest rate
options(1) :
Caps 2,185,000 36,233 — 36,233 N/A N/A 4.76% 3.42
Floors 1,900,000 49,270 — 49,270 N/A N/A 6.43% 1.46
Total cash flow
hedges $6,380,000 $ 87,534 $(143,602) $ (56,068) 4.66% 0.25% 5.54% 4.97
December 31, 2008:
Pay-fixed interest rate
swaps:
Repurchase
agreements $2,080,000 $ — $(415,410) $(415,410) 4.88% 2.61% N/A 9.89
FHLB advances 330,000 — (44,135) (44,135) 4.50% 1.91% N/A 7.85
Purchased interest rate
forward-starting swaps:
Repurchase
agreements 100,000 — (11,254) (11,254) 3.90% N/A N/A 10.15
Purchased interest rate
options(1) :
Caps 1,635,000 2,620 — 2,620 N/A N/A 5.19% 3.13
Floors 1,900,000 99,473 — 99,473 N/A N/A 6.43% 2.46
Total cash flow
hedges $6,045,000 $102,093 $(470,799) $(368,706) 4.79% 2.52% 5.86% 5.62
(1) Caps are used to hedge repurchase agreements. Floors are used to hedge home equity lines of credit.
Additionally, the Company enters into forward purchase and sale agreements, which are considered cash
flow hedges, when the terms of the commitments exactly match the terms of the securities purchased or sold. As
of December 31, 2009, there were no forward contracts accounted for as cash flow hedges.
133