Sallie Mae 2013 Annual Report Download - page 190
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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
7. Derivative Financial Instruments (Continued)
The above fair values include adjustments for counterparty credit risk for both when we are exposed to the
counterparty, net of collateral postings, and when the counterparty is exposed to us, net of collateral postings.
The net adjustments decreased the overall net asset positions at December 31, 2013 and 2012 by $91 million and
$111 million, respectively. In addition, the above fair values reflect adjustments for illiquid derivatives as
indicated by a wide bid/ask spread in the interest rate indices to which the derivatives are indexed. These
adjustments decreased the overall net asset positions at December 31, 2013 and 2012 by $84 million and
$107 million, respectively.
Cash Flow Fair Value Trading Total
(Dollars in billions)
Dec. 31,
2013
Dec. 31,
2012
Dec. 31,
2013
Dec. 31,
2012
Dec. 31,
2013
Dec. 31,
2012
Dec. 31,
2013
Dec. 31,
2012
Notional Values:
Interest rate swaps ................ $0.7 $0.7 $16.0 $15.8 $46.3 $ 56.9 $ 63.0 $ 73.4
Floor Income Contracts ............ — — — — 31.8 51.6 31.8 51.6
Cross-currency interest rate swaps .... — — 11.1 13.7 .3 0.3 11.4 14.0
Other(1) ......................... — — — — 3.9 1.4 3.9 1.4
Total derivatives .................. $0.7 $0.7 $27.1 $29.5 $82.3 $110.2 $110.1 $140.4
(1) “Other” includes embedded derivatives bifurcated from securitization debt, as well as derivatives related to our Total Return Swap
Facility and back-to-back private credit floors.
F-52