Sallie Mae 2013 Annual Report Download - page 204
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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
12. Fair Value Measurements (Continued)
Year Ended December 31, 2011
Derivative Instruments
(Dollars in millions)
Interest
Rate Swaps
Cross
Currency
Interest
Rate Swaps Other
Total
Derivative
Instruments
Balance, beginning of period ................ $(90) $1,427 $26 $1,363
Total gains/(losses) (realized and unrealized):
Included in earnings(1) ...................... 69 (176) 33 (74)
Included in other comprehensive income ....... — — — —
Settlements ............................... (19) (230) (58) (307)
Transfers in and/or out of level 3 .............. — — — —
Balance, end of period ..................... $(40) $1,021 $ 1 $ 982
Change in unrealized gains/(losses) relating to
instruments still held at the reporting date(2) . . . $ 6 $ (408) $ 11 $(391)
(1) “Included in earnings” is comprised of the following amounts recorded in the specified line item in the consolidated statements of
income:
Years Ended December 31,
(Dollars in millions) 2013 2012 2011
Gains (losses) on derivative and hedging activities, net ........................... $(27) $ 37 $(298)
Interest expense .......................................................... 77 120 224
Total .................................................................. $50 $157 $ (74)
(2) Recorded in “gains (losses) on derivative and hedging activities, net” in the consolidated statements of income.
The following table presents the significant inputs that are unobservable or from inactive markets used in
the recurring valuations of the level 3 financial instruments detailed above.
(Dollars in millions)
Fair Value at
December 31, 2013
Valuation
Technique Input
Range
(Weighted Average)
Derivatives
Consumer Price Index/LIBOR
basis swaps .............. $ 33 Discounted cash flow
Bid/ask adjustment
to discount rate
0.05% — 0.05%
(0.05%)
Prime/LIBOR basis swaps .... (120) Discounted cash flow Constant Prepayment Rate 4.2%
Bid/ask adjustment to
discount rate
0.08% — 0.08%
(0.08%)
Cross-currency interest rate
swaps ................... 1,007 Discounted cash flow Constant Prepayment Rate 2.6%
Other ..................... (21)
Total ..................... $ 899
F-66