Sallie Mae 2011 Annual Report Download - page 183
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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
13. Fair Value Measurements (Continued)
Year Ended December 31, 2009
(Dollars in millions)
Residual
Interests
Derivative
Instruments Total
Balance, beginning of period ............................. $2,200 $ (341) $1,859
Total gains/(losses) (realized and unrealized):
Included in earnings(1) .................................... 120 91 211
Included in other comprehensive income ..................... — — —
Settlements ............................................. (492) 434 (58)
Transfers in and/or out of Level 3 ........................... — 1,068 1,068
Balance, end of period ................................... $1,828 $1,252 $3,080
Change in unrealized gains/(losses) relating to instruments still
held at the reporting date ................................ $ (330)(4) $ 439(2) $ 109
(1) “Included in earnings” comprises the following amounts recorded in the specified line item in the consolidated statements of
income:
Years Ended December 31,
(Dollars in millions) 2011 2010 2009
Servicing and securitization revenue ............................................ $ — $ — $120
Gains (losses) on derivative and hedging activities, net ............................. (298) (732) 298
Interest expense ............................................................ 224 169 (207)
Total ..................................................................... $ (74) $(563) $ 211
(2) Recorded in “gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
(3) Upon adoption of new consolidation accounting guidance on January 1, 2010, we consolidated all of our previously off-balance
sheet securitization trusts (see “Note 2 — Significant Accounting Policies — Consolidation”). This resulted in the removal of the
Residual Interest and the recording of the fair value of swaps previously not in our consolidated results.
(4) Recorded in “securitization servicing and Residual Interest revenue” in the consolidated statements of income.
F-74