Sallie Mae 2009 Annual Report Download - page 51

2009 2008 2007
Years Ended December 31,
“Core Earnings” derivative adjustments:
Gains (losses) on derivative and hedging activities, net, included in other
income
(1)
................................................ $(604) $(445) $(1,361)
Less: Realized (gains) losses on derivative and hedging activities, net
(1)
..... 322 (107) 18
Unrealized gains (losses) on derivative and hedging activities, net.......... (282) (552) (1,343)
Other pre-ASC 815 accounting adjustments . . . ...................... (24) (8) 2
Total net impact of ASC 815 derivative accounting
(2)
.................. $(306) $(560) $(1,341)
(1)
See “Reclassification of Realized Gains (Losses) on Derivative and Hedging Activities” below for a detailed breakdown of the
components of realized losses on derivative and hedging activities.
(2)
Negative amounts are subtracted from “Core Earnings” net income to arrive at GAAP net income and positive amounts are added
to “Core Earnings” net income to arrive at GAAP net income.
Reclassification of Realized Gains (Losses) on Derivative and Hedging Activities
ASC 815 requires net settlement income/expense on derivatives and realized gains/losses related to
derivative dispositions (collectively referred to as “realized gains (losses) on derivative and hedging activities”)
that do not qualify as hedges under ASC 815 to be recorded in a separate income statement line item below
net interest income. The table below summarizes the realized losses on derivative and hedging activities and
the associated reclassification on a “Core Earnings” basis for the years ended December 31, 2009, 2008 and
2007.
2009 2008 2007
Years Ended December 31,
Reclassification of realized gains (losses) on derivative and hedging
activities:
Net settlement expense on Floor Income Contracts reclassified to net interest
income . ................................................. $(717) $(488) $ (67)
Net settlement income (expense) on interest rate swaps reclassified to net
interest income . ........................................... 412 563 47
Foreign exchange derivatives gains/(losses) reclassified to other income ..... (15) 11 —
Net realized gains (losses) on terminated derivative contracts reclassified to
other income . . . ........................................... (2) 21 2
Total reclassifications of realized (gains)losses on derivative and hedging
activities ................................................ (322) 107 (18)
Add: Unrealized gains (losses) on derivative and hedging activities, net
(1)
.... (282) (552) (1,343)
Gains (losses) on derivative and hedging activities, net . ................ $(604) $(445) $(1,361)
(1)
“Unrealized gains (losses) on derivative and hedging activities, net” comprises the following unrealized mark-to-market gains
(losses):
2009 2008 2007
Years Ended December 31,
Floor Income Contracts . . ................................................ $483 $(529) $ (209)
Basis swaps ......................................................... (413) (239) 360
Foreign currency hedges . ................................................ (255) 328 73
Equity forward contracts . ................................................ — — (1,558)
Other.............................................................. (97) (112) (9)
Total unrealized gains (losses) on derivative and hedging activities, net . .................. $(282) $(552) $(1,343)
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