Sallie Mae 2011 Annual Report Download - page 182

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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
13. Fair Value Measurements (Continued)
The following tables summarize the change in balance sheet carrying value associated with Level 3 financial
instruments carried at fair value on a recurring basis.
Year Ended December 31, 2011(3)
Derivative Instruments
(Dollars in millions)
Interest
Rate Swaps
Cross
Currency
Interest
Rate Swaps Other
Total
Derivative
Instruments
Balance, beginning of period ........................ $(90) $1,427 $ 26 $1,363
Total gains/(losses) (realized and unrealized):
Included in earnings(1) .............................. 69 (176) 33 (74)
Included in other comprehensive income ............... — — — —
Settlements ....................................... (19) (230) (58) (307)
Transfers in and/or out of Level 3 ..................... — — — —
Balance, end of period ............................. $(40) $1,021 $ 1 $ 982
Change in unrealized gains/(losses) relating to instruments
still held at the reporting date(2) ..................... $ 6 $ (408) $ 11 $ (391)
Year Ended December 31, 2010
Derivative instruments
(Dollars in millions)
Residual
Interests
Interest
Rate Swaps
Floor Income
Contracts
Cross
Currency
Interest
Rate Swaps Other
Total
Derivative
Instruments Total
Balance, beginning of
period .................. $1,828 $(272) $(54) $ 1,596 $(18) $1,252 $ 3,080
Total gains/(losses) (realized
and unrealized):
Included in earnings(1) ........ — 234 3 (834) 34 (563) (563)
Included in other comprehensive
income .................. — — — — — — —
Settlements ................ — 4 51 (208) 10 (143) (143)
Cumulative effect of accounting
change(3) ................. (1,828) (56) — 873 — 817 (1,011)
Transfers in and/or out of
Level 3 .................. — — — — — — —
Balance, end of period ....... $ — $ (90) $ — $ 1,427 $ 26 $1,363 $ 1,363
Change in unrealized gains/
(losses) relating to
instruments still held at the
reporting date(2) ........... $ — $111 $— $(1,010) $ 36 $ (863) $ (863)
F-73