Sallie Mae 2010 Annual Report Download - page 92

(Dollars in millions) Fair Value $ % $ %
Change from
Increase of
100 Basis
Points
Change from
Increase of
300 Basis
Points
Interest Rates:
At December 31, 2010
Effect on Fair Values
Assets
Total FFELP Loans ............................... $147,163 $ (649) —% $(1,318) (1)%
Private Education Loans ............................ 30,949 — — — —
Other earning assets ............................... 11,641 (1) — (2) —
Other assets ..................................... 9,449 (565) (6) (996) (11)%
Total assets ..................................... $199,202 $(1,215) (1)% $(2,316) (1)%
Liabilities
Interest bearing liabilities ........................... $187,959 $ (704) —% $(1,938) (1)%
Other liabilities .................................. 3,136 (217) (7) 257 8
Total liabilities ................................... $191,095 $ (921) —% $(1,681) (1)%
(Dollars in millions) Fair Value $ % $ %
Change from
Increase of
100 Basis
Points
Change from
Increase of
300 Basis
Points
Interest Rates:
At December 31, 2009
Effect on Fair Values
Assets
Total FFELP Loans ............................... $119,747 $ (470) —% $ (979) (1)%
Private Education Loans ............................ 20,278 — — — —
Other earning assets ............................... 13,472 (4) — (11) —
Other assets ..................................... 12,506 (690) (6) (1,266) (10)
Total assets ..................................... $166,003 $(1,164) (1)% $(2,256) (1)%
Liabilities
Interest bearing liabilities ........................... $154,037 $ (852) (1)% $(2,159) (1)%
Other liabilities .................................. 3,263 (21) (1) 547 17
Total liabilities ................................... $157,300 $ (873) (1)% $(1,612) (1)%
A primary objective in our funding is to minimize our sensitivity to changing interest rates by generally
funding our floating rate student loan portfolio with floating rate debt. However, as discussed in Item 7
“Management’s Discussion and Analysis of Financial Condition and Results of Operations — Segment
Earnings Summary — ‘Core Earnings’ Basis — FFELP Loans Segment — Floor Income — ‘Core Earnings’
Basis,” we can have a fixed versus floating mismatch in funding if the student loan earns at the fixed borrower
rate and the funding remains floating. In addition, we can have a mismatch in the index (including the
frequency of reset) of floating rate debt versus floating rate assets.
During the years ended December 31, 2010 and 2009, certain FFELP Loans were earning Floor Income
and we locked in a portion of that Floor Income through the use of Floor Income Contracts. The result of
these hedging transactions was to convert a portion of the fixed rate nature of student loans to variable rate,
and to fix the relative spread between the student loan asset rate and the variable rate liability.
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