Sallie Mae 2010 Annual Report Download - page 183
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15. Fair Value Measurements (Continued)
(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)
(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.
F-80
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)