Sallie Mae 2013 Annual Report Download - page 191

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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
7. Derivative Financial Instruments (Continued)
Impact of Derivatives on Consolidated Statements of Income
Years Ended December 31,
Unrealized Gain
(Loss) on
Derivatives(1)(2)
Realized Gain
(Loss) on
Derivatives(3)
Unrealized Gain
(Loss) on
Hedged Item(1) Total Gain (Loss)
(Dollars in millions) 2013 2012 2011 2013 2012 2011 2013 2012 2011 2013 2012 2011
Fair Value Hedges:
Interest rate swaps ...... $(806) $ (75) $ 503 $ 414 $ 449 $ 481 $ 873 $ 41 $(554) $ 481 $ 415 $ 430
Cross-currency interest
rate swaps ........... 1 42 (723) 98 167 314 (183) (182) 664 (84) 27 255
Total fair value
derivatives .......... (805) (33) (220) 512 616 795 690 (141) 110 397 442 685
Cash Flow Hedges:
Interest rate swaps ...... — (1) (1) (9) (26) (39) — — — (9) (27) (40)
Total cash flow
derivatives .......... — (1) (1) (9) (26) (39) — — — (9) (27) (40)
Trading:
Interest rate swaps ...... (107) (66) 183 71 108 69———(36) 42 252
Floor Income Contracts . . 785 412 (267) (815) (859) (903) — — — (30) (447) (1,170)
Cross-currency interest
rate swaps ........... (101) (59) 29 35 7 8———(66) (52) 37
Other ................ (19) 5 22 (2) (1) 11———(21) 4 33
Total trading
derivatives .......... 558 292 (33) (711) (745) (815) — — — (153) (453) (848)
Total ................. (247) 258 (254) (208) (155) (59) 690 (141) 110 235 (38) (203)
Less: realized gains
(losses) recorded in
interest expense ...... — — — 503 590 756———503590 756
Gains (losses) on
derivative and hedging
activities, net ........ $(247) $258 $(254) $(711) $(745) $(815) $ 690 $(141) $ 110 $(268) $(628) $ (959)
(1) Recorded in “Gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
(2) Represents ineffectiveness related to cash flow hedges.
(3) For fair value and cash flow hedges, recorded in interest expense. For trading derivatives, recorded in “Gains (losses) on derivative and
hedging activities, net.”
F-53