Sallie Mae 2009 Annual Report Download - page 210

16. Fair Value Measurements (Continued)
The following tables summarize the valuation of the Company’s financial instruments that are
marked-to-market on a recurring basis in the consolidated financial statements as of December 31, 2009 and
2008.
(Dollars in millions) Level 1 Level 2 Level 3
Counterparty
Netting Total
(4)
Cash
Collateral Net
Fair Value Measurements on a Recurring
Basis as of December 31, 2009
Assets
Available for sale investments . . . . . $— $ 1,330 $ — $ — $ 1,330 $ — $1,330
Retained Interest in off-balance
sheet securitized loans . . . . . . . . — — 1,828 — 1,828 — 1,828
Derivative instruments
(1)(2)
. . . . . . . — 2,023 1,770 (1,009) 2,784 (1,268) 1,516
Total assets . . . . . . . . . . . . . . . . . . . $— $ 3,353 $3,598 $(1,009) $ 5,942 $(1,268) $4,674
Liabilities
(3)
Derivative instruments
(1)(2)
. . . . . . . $ (2) $(1,650) $ (518) $ 1,009 $(1,161) $ 636 $ (525)
Total liabilities . . . . . . . . . . . . . . . . . $ (2) $(1,650) $ (518) $ 1,009 $(1,161) $ 636 $ (525)
(Dollars in millions) Level 1 Level 2 Level 3
Counterparty
Netting Total
(4)
Cash
Collateral Net
Fair Value Measurements on a Recurring
Basis as of December 31, 2008
Assets
Available for sale investments . . . . . $— $ 899 $ — $ — $ 899 $ — $ 899
Retained Interest in off-balance sheet
securitized loans . . . . . . . . . . . . . — — 2,200 — 2,200 — 2,200
Derivative instruments
(1)(2)
. . . . . . . . — 4,372 236 (1,594) 3,014 (1,624) 1,390
Total assets . . . . . . . . . . . . . . . . . . . . $— $ 5,271 $2,436 $(1,594) $6,113 $(1,624) $4,489
Liabilities
(3)
Derivative instruments
(1)(2)
. . . . . . . . $ (3) $(2,007) $ (577) $ 1,594 $ (993) $ — $ (993)
Total liabilities . . . . . . . . . . . . . . . . . $ (3) $(2,007) $ (577) $ 1,594 $ (993) $ — $ (993)
(1)
Fair value of derivative instruments is comprised of market value less accrued interest and excludes collateral.
(2)
Level 1 derivatives include euro-dollar futures contracts. Level 2 derivatives include derivatives indexed to interest rate indices
and currencies that are considered liquid. Level 3 derivatives include derivatives indexed to illiquid interest rate indices and
derivatives for which significant adjustments were made to observable inputs.
(3)
Borrowings which are the hedged items in a fair value hedge relationship and which are adjusted for changes in value due to
benchmark interest rates only are not carried at full fair value and are not reflected in this table.
(4)
As carried on the balance sheet.
At December 31, 2009 and 2008, the Company had $0 and $462 million (fair value), respectively, of
financial instruments recorded on its balance sheet at fair value on a non-recurring basis. The 2008 amount
related to FFELP Stafford Loans held-for-sale under one of the ED loan purchase programs.
F-83
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)