Sallie Mae 2011 Annual Report Download - page 97

GAAP-Basis
Index
(Dollars in billions)
Frequency of
Variable
Resets Assets Funding(2)
Funding
Gap
3-month Commercial paper(1) .......... daily $129.6 $ — $ 129.6
3-month Treasury bill ................ weekly 7.6 — 7.6
Prime ............................. annual .7 — .7
Prime ............................. quarterly 4.9 — 4.9
Prime ............................. monthly 21.8 — 21.8
Prime ............................. daily — 2.8 (2.8)
PLUS Index ........................ annual .5 — .5
3-month LIBOR .................... daily — — —
3-month LIBOR .................... quarterly — 120.3 (120.3)
1-month LIBOR .................... monthly 9.6 16.9 (7.3)
CMT/CPI Index .................... monthly/quarterly — 1.6 (1.6)
Non Discrete reset(3) ................. monthly — 32.8 (32.8)
Non Discrete reset(4) ................. daily/weekly 9.8 3.5 6.3
Fixed Rate(5) ....................... 8.8 15.4 (6.6)
Total ............................. $193.3 $193.3 $ —
(1) See Item 7 “Management’s Discussion and Analysis of Financial Condition and Results of Operations
— Business Segment Earnings Summary — “Core Earnings” Basis — FFELP Loans Segment —
FFELP Loans Net Interest Margin” for discussion regarding Consolidated Appropriations Act of 2012
and the effect it will have on the FFELP student lender payment index in 2012.
(2) Funding includes all derivatives that management considers economic hedges of interest rate risk and
reflects how we internally manage our interest rate exposure.
(3) Funding consists of auction rate securities, the ABCP Facilities, the ED Conduit Program facility and the
FHLB-DM facility.
(4) Assets include restricted and unrestricted cash equivalents and other overnight type instruments. Funding
includes retail and other deposits and the obligation to return cash collateral held related to derivatives
exposures.
(5) Assets include receivables and other assets (including goodwill and acquired intangibles). Funding
includes other liabilities and stockholders’ equity (excluding series B Preferred Stock).
The “Funding Gaps” in the above table are primarily interest rate mismatches in short-term indices between
our assets and liabilities. We address this issue typically through the use of basis swaps that typically convert
quarterly reset three-month LIBOR to other indices that are more correlated to our asset indices. These basis
swaps do not qualify as effective hedges and as a result the effect on the funding index is not included in our
interest margin and is therefore excluded from the GAAP presentation.
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