Sallie Mae 2009 Annual Report Download - page 194

9. Derivative Financial Instruments (Continued)
Impact of Derivatives on Consolidated Statements of Changes in Stockholders’ Equity (net of tax)
(Dollars in millions) 2009 2008 2007
Years Ended
December 31,
Total gains (losses) on cash flow hedges ............................ $(22) $(95) $(17)
Realized (gains) losses recognized in interest expense
(1)(2)(3)
............. 63 24 2
Hedge ineffectiveness reclassified to earnings
(1)(4)
..................... (1) — —
Total change in stockholders’ equity for unrealized gains (losses) on
derivatives ................................................ $40 $(71) $(15)
(1)
Amounts included in “Realized gain (loss) on derivatives” in the “Impact of Derivatives on Consolidated Statements of Income”
table above.
(2)
Includes net settlement income/expense.
(3)
The Company expects to reclassify $3 million of after-tax net losses from accumulated other comprehensive income to earnings
during the next 12 months related to net settlement accruals on interest rate swaps.
(4)
Recorded in “Gains (losses) derivatives and hedging activities, net” in the consolidated statements of income.
Collateral
Collateral held and pledged at December 31, 2009 and 2008 related to derivative exposures between the
Company and its derivative counterparties are detailed in the following table:
(Dollars in millions)
December 31,
2009
December 31,
2008
Collateral held:
Cash (obligation to return cash collateral is recorded in short-term
borrowings)
(1)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,268 $1,624
Securities at fair value — corporate derivatives (not recorded in financial
statements)
(2)
.............................................. 112 689
Securities at fair value — on-balance sheet securitization derivatives (not
recorded in financial statements)
(3)
............................... 717 688
Total collateral held . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,097 $3,001
Derivative asset at fair value including accrued interest . . . . . . . . . . . . . . . . . . . $3,119 $3,741
Collateral pledged to others:
Cash (right to receive return of cash collateral is recorded in investments) . . . . . . $ 636 $ —
Securities at fair value (recorded in investments)
(4)
...................... 25 26
Securities at fair value (recorded in restricted investments)
(5)
............... 25 —
Securities at fair value re-pledged (not recorded in financial statements)
(5)(6)
. . . . 87 191
Total collateral pledged . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 773 $ 217
Derivative liability at fair value including accrued interest and premium receivable . . $ 758 $ 677
(1)
At December 31, 2009 and 2008, $447 million and $0, respectively, was held in restricted cash accounts.
(2)
Effective with the downgrade in the Company’s unsecured credit ratings on May 13, 2009, certain counterparties do not allow
the Company to sell or re-pledge securities it holds as collateral.
(3)
The trusts do not have the ability to sell or re-pledge securities they hold as collateral.
(4)
Counterparty does not have the right to sell or re-pledge securities.
(5)
Counterparty has the right to sell or re-pledge securities.
(6)
Represents securities the Company holds as collateral that have been pledged to other counterparties.
F-67
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)