Sallie Mae 2007 Annual Report Download - page 187
Download and view the complete annual report
Please find page 187 of the 2007 Sallie Mae 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
 |
 |
16. Fair Values of Financial Instruments (Continued)
remaining term of less than 90 days when purchased, are estimated at cost. Adjustments for liquidity and
credit spreads are made if determined to have a material impact.
Short-term Borrowings and Long-term Borrowings
Borrowings are accounted for at cost in the financial statements except when designated as the hedged
item in a fair value hedge relationship under SFAS No. 133. When the hedged risk is the benchmark interest
rate and not full fair value, the cost basis is adjusted for changes in value due to benchmark interest rates only.
The fair values of all borrowings are disclosed as required by SFAS No. 107. Fair value was determined
through standard bond pricing models and option models (when applicable) using the stated terms of the
borrowings, and observable yield curves, forward foreign currency exchange rates, volatilities and credit
spreads specific to the Company from active markets; or from quotes from broker-dealers.
Derivative Financial Instruments
All derivatives are accounted for at fair value in the financial statements. The fair values of a majority of
derivative financial instruments, including swaps and floors, were determined by standard derivative pricing
and option models using the stated terms of the contracts and observable yield curves, forward foreign
currency exchange rates and volatilities from active markets. In some cases, management utilized internally
developed amortization streams to model the fair value for swaps whose notional matched securitized asset
balances. The fair value of some derivatives is determined using counterparty valuations.
Residual Interests
The Residual Interests are carried at fair value in the financial statements. The fair value is calculated
using discounted cash flow models and option models. Observable inputs from active markets are used where
available, including yield curves and volatilities. Significant unobservable inputs such as prepayment speeds,
default rates, and discount rates are used in determining the fair value and require significant judgment. In
addition, market transactions are not available to validate the models’ results. (See Note 9, “Student Loan
Securitization,” for further discussion regarding these assumptions.)
F-66
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Dollars in thousands, except per share amounts, unless otherwise stated)