Sallie Mae 2013 Annual Report Download - page 192

SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
7. Derivative Financial Instruments (Continued)
Impact of Derivatives on Consolidated Statements of Changes in Stockholders’ Equity (net of tax)
Years Ended
December 31,
(Dollars in millions) 2013 2012 2011
Total gains (losses) on cash flow hedges ........................ $16 $(7) $(4)
Realized losses recognized in interest expense(1)(2)(3) ............... 6 16 35
Total change in stockholders’ equity for unrealized gains on
derivatives ............................................. $22 $ 9 $31
(1) Amounts included in “Realized gain (loss) on derivatives” in the “Impact of Derivatives on Consolidated Statements of
Income” table above.
(2) Includes net settlement income/expense.
(3) We expect to reclassify $0.3 million of after-tax net losses from accumulated other comprehensive income to earnings during
the next 12 months related to net settlement accruals on interest rate swaps.
Collateral
The following table details collateral held and pledged related to derivative exposure between us and our
derivative counterparties.
(Dollars in millions)
December 31,
2013
December 31,
2012
Collateral held:
Cash (obligation to return cash collateral is recorded in short-term borrowings)(1) . . . $ 687 $1,423
Securities at fair value — on-balance sheet securitization derivatives (not recorded in
financial statements)(2) ................................................ 629 613
Total collateral held .................................................... $1,316 $2,036
Derivative asset at fair value including accrued interest ........................ $1,878 $2,570
Collateral pledged to others:
Cash (right to receive return of cash collateral is recorded in investments) ......... $ 777 $ 973
Total collateral pledged ................................................. $ 777 $ 973
Derivative liability at fair value including accrued interest and premium
receivable .......................................................... $ 948 $1,204
(1) At December 31, 2013 and 2012, $0 million and $9 million, respectively, were held in restricted cash accounts.
(2) The trusts do not have the ability to sell or re-pledge securities they hold as collateral.
Our corporate derivatives contain credit contingent features. At our current unsecured credit rating, we have
fully collateralized our corporate derivative liability position (including accrued interest and net of premiums
receivable) of $762 million with our counterparties. Further downgrades would not result in any additional
collateral requirements, except to increase the frequency of collateral calls. Two counterparties have the right to
terminate the contracts with further downgrades. We currently have a liability position with these derivative
counterparties (including accrued interest and net of premiums receivable) of $148 million and have posted $148
million of collateral to these counterparties. If the credit contingent feature was triggered for these two
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