Sallie Mae 2008 Annual Report Download - page 106

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Management analyzes interest rate risk on a Managed basis, which consists of both on-balance sheet and
off-balance sheet assets and liabilities and includes all derivatives that are economically hedging our debt
whether they qualify as effective hedges under SFAS No. 133 or not. Accordingly, we are also presenting the
asset and liability funding gap on a Managed basis in the table that follows the GAAP presentation.
GAAP Basis
Index
(Dollars in billions)
Frequency of
Variable
Resets Assets Funding
(1)
Funding
Gap
3-month Commercial paper
(2)
............. daily $114.7 $ 7.4 $ 107.3
3-month Treasury bill ................... weekly 7.2 .1 7.1
Prime ............................... annual .5 — .5
Prime ............................... quarterly 1.5 — 1.5
Prime ............................... monthly 17.5 — 17.5
PLUS Index .......................... annual .5 — .5
3-month LIBOR ....................... daily — —
3-month LIBOR ....................... quarterly .1 109.8 (109.7)
1-month LIBOR
(3)
..................... monthly 2.3 2.0 .3
CMT/CPI index ....................... monthly/quarterly — 3.1 (3.1)
Non Discrete reset
(4)
.................... monthly — 25.3 (25.3)
Non Discrete reset
(5)
.................... daily/weekly 8.5 2.1 6.4
Fixed Rate
(6)
.......................... 16.0 19.0 (3.0)
Total................................ $168.8 $168.8 $
(1)
Funding includes all derivatives that qualify as hedges under SFAS No. 133.
(2)
Funding includes $7.4 billion of ED Purchase and Participation Program.
(3)
Funding includes the 2008 Asset-Backed Loan Facility.
(4)
Funding includes auction rate securities and the 2008 ABCP Facilities.
(5)
Assets include restricted and non-restricted cash equivalents and other overnight-type instruments.
(6)
Assets include receivables and other assets (including Retained Interests, goodwill and acquired intangibles). Funding includes
other liabilities and stockholders’ equity (excluding Series B Preferred Stock).
The “Funding Gaps” in the above table are primarily interest rate mismatches in short-term indices
between our assets and liabilities. We address this issue typically through the use of basis swaps that typically
convert quarterly three-month LIBOR to other indices that are more correlated to our asset indices. These
basis swaps do not qualify as effective hedges under SFAS No. 133 and as a result the effect on the funding
index is not included in our interest margin and is therefore excluded from the GAAP presentation.
105