Sallie Mae 2006 Annual Report Download - page 167
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10. Derivative Financial Instruments (Continued)
Summary of Derivative Financial Statement Impact
The following tables summarize the fair values and notional amounts or number of contracts of all
derivative instruments at December 31, 2006 and 2005, and their impact on other comprehensive income and
earnings for the years ended December 31, 2006, 2005 and 2004. At December 31, 2006 and 2005,
$418 million (of which $53 million is in restricted cash and investments on the balance sheet) and $666 million
(fair value), respectively, of available-for-sale investment securities and $28 million and $249 million,
respectively, of cash were pledged as collateral against these derivative instruments.
2006 2005 2006 2005 2006 2005 2006 2005
Cash Flow Fair Value Trading Total
December 31,
Fair Values
(1)
(Dollars in millions)
Interest rate swaps ................... $ (9) $ 5 $ (355) $(347) $ (111) $ (48) $ (475) $ (390)
Floor/Cap contracts . . . ............... — — — — (200) (371) (200) (371)
Futures ........................... — — — — — (1) — (1)
Equity forwards ..................... — — — — (213) 67 (213) 67
Cross currency interest rate swaps ....... — — 1,440 (148) — — 1,440 (148)
Total ............................. $ (9) $ 5 $1,085 $(495) $ (524) $ (353) $ 552 $ (843)
Notional Value
(Dollars in billions)
Interest rate swaps ................... $2.1 $1.2 $ 15.6 $14.6 $162.0 $125.4 $179.7 $141.2
Floor/Cap contracts . . . ............... — — — — 21.5 41.8 21.5 41.8
Futures ........................... .1 .1 — — .6 .6 .7 .7
Cross currency interest rate swaps ....... — — 23.0 18.6 — — 23.0 18.6
Other
(2)
........................... — — — — 2.0 2.0 2.0 2.0
Total ............................. $2.2 $1.3 $ 38.6 $33.2 $186.1 $169.8 $226.9 $204.3
Contracts
(Shares in millions)
Equity forwards ..................... — — — — 48.2 42.7 48.2 42.7
(1)
Fair values reported are exclusive of collateral held and/or pledged.
(2)
“Other” consists of an embedded derivative bifurcated from the convertible debenture issuance that relates primarily to certain contin-
gent interest and conversion features of the debt. The embedded derivative has had de minimis fair value since inception. (See Note 8,
“Long-Term Borrowings.”)
F-48
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)