Sallie Mae 2011 Annual Report Download - page 181
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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
13. Fair Value Measurements (Continued)
The following table summarizes the valuation of our financial instruments that are marked-to-market on a
recurring basis.
Fair Value Measurements on a Recurring
Basis as of December 31, 2011
Fair Value Measurements on a Recurring
Basis as of December 31, 2010
(Dollars in millions) Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Assets
Available-for-sale investments:
U.S. Treasury securities ........... $— $ — $ — $ — $39 $ — $ — $ 39
Agency residential mortgage backed
securities ..................... — 59 — 59 — 68 — 68
Guaranteed investment contracts .... — 20 — 20 — 20 — 20
Other .......................... — 11 — 11 — 12 — 12
Total available-for-sale investments .... — 90 — 90 39 100 — 139
Derivative instruments:(1)
Interest rate swaps ................ — 1,550 183 1,733 — 1,017 150 1,167
Cross currency interest rate swaps . . . — 139 1,220 1,359 — 427 1,599 2,026
Other .......................... — — 1 1 — — 26 26
Total derivative assets ............... — 1,689 1,404 3,093 — 1,444 1,775 3,219
Counterparty netting .............. (891) (782)
Subtotal(3) ...................... 2,202 2,437
Cash collateral held ............... (1,326) (886)
Net derivative assets ................ 876 1,551
Total ............................ $— $1,779 $1,404 $ 966 $39 $ 1,544 $1,775 $ 1,690
Liabilities(2)
Derivative instruments(1)
Interest rate swaps ................ $— $ (47) $ (223) $ (270) $— $ (183) $ (240) $ (423)
Floor Income Contracts ............ — (2,544) — (2,544) — (1,315) — (1,315)
Cross currency interest rate swaps . . . — (44) (199) (243) — (43) (172) (215)
Other .......................... — — — — (1) — — (1)
Total derivative instruments .......... — (2,635) (422) (3,057) (1) (1,541) (412) (1,954)
Counterparty netting .............. 891 782
Subtotal(3) ...................... (2,166) (1,172)
Cash collateral pledged ............ 1,018 809
Net derivative liabilities ............. (1,148) (363)
Total ............................ $— $(2,635) $ (422) $(1,148) $ (1) $(1,541) $ (412) $ (363)
(1) Fair value of derivative instruments excludes accrued interest and the value of collateral.
(2) 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.
(3) As carried on the balance sheet.
F-72