eTrade 2011 Annual Report Download - page 118
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Recurring Fair Value Measurements
Assets and liabilities measured at fair value on a recurring basis are summarized below (dollars in
thousands):
Level 1 Level 2 Level 3 Fair Value
December 31, 2011:
Assets
Trading securities $53,025 $ 1,347 $ — $ 54,372
Available-for-sale securities:
Residential mortgage-backed securities:
Agency mortgage-backed securities and CMOs — 13,965,712 — 13,965,712
Non-agency CMOs — 244,447 97,106 341,553
Total residential mortgage-backed securities — 14,210,159 97,106 14,307,265
Investment securities:
Agency debentures — 731,280 — 731,280
Other agency debt securities — 554,194 — 554,194
Municipal bonds — 41,069 — 41,069
Corporate bonds — 17,685 — 17,685
Total investment securities — 1,344,228 — 1,344,228
Total available-for-sale securities — 15,554,387 97,106 15,651,493
Other assets:
Derivative assets(1) — 66,534 — 66,534
Total assets measured at fair value on a recurring
basis(2) $53,025 $15,622,268 $97,106 $15,772,399
Liabilities
Derivative liabilities(1) $ — $ 358,203 $ — $ 358,203
Securities sold, not yet purchased 48,185 86 — 48,271
Total liabilities measured at fair value on a
recurring basis(2) $48,185 $ 358,289 $ — $ 406,474
(1) All derivative assets and liabilities are interest rate contracts. Information related to derivative instruments is detailed in Note 7—
Accounting for Derivative Instruments and Hedging Activities.
(2) Assets and liabilities measured at fair value on a recurring basis represented 33% and less than 1% of the Company’s total assets and
total liabilities, respectively.
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