Sallie Mae 2006 Annual Report Download - page 171
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12. Fair Values of Financial Instruments (Continued)
Short-term Borrowings and Long-term Borrowings
For borrowings with remaining maturities of three months or less, carrying value approximated fair value.
The fair value of all other financial liabilities was determined through standard bond pricing models using
observable market inputs adjusted for credit spreads specific to the Company; or quotes from broker/dealers.
Derivative Financial Instruments
The fair values of derivative financial instruments were determined by a combination of standard
derivative pricing models using observable market inputs and quotes from counterparties.
Residual Interest
The fair value of the Residual Interest is internally calculated by discounting the projected cash flows to
be received over the life of the trust. In projecting the cash flows to be received, the primary assumptions the
Company makes relate to prepayment speeds and defaults and losses. These assumptions are developed
internally. See Note 9, “Student Loan Securitization,” for further discussion regarding these assumptions.
F-52
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)