Sallie Mae 2015 Annual Report Download - page 136
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SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, unless otherwise noted)
11. Derivative Financial Instruments (Continued)
F-46
Cash Flow Fair Value Trading Total
December
31, December
31, December
31, December
31, December
31, December
31, December
31, December
31,
2015 2014 2015 2014 2015 2014 2015 2014
Notional Values
Interest rate
swaps . . . . . . . . $ 1,109,933 $ 1,106,920 $ 3,080,167 $ 3,044,492 $ 1,305,757 $ 973,539 $ 5,495,857 $ 5,124,951
Impact of Derivatives on the Consolidated Statements of Income
Years Ended December 31,
2015 2014 2013
Fair Value Hedges
Interest rate swaps:
Hedge ineffectiveness gains
(losses) recorded in earnings . . $ 2,695 $ 1,718 $ (558)
Realized gains recorded in
interest expense . . . . . . . . . . . . 29,940 20,958 28,668
Total . . . . . . . . . . . . . . . . . . . . . $ 32,635 $ 22,676 $ 28,110
Cash Flow Hedges
Interest rate swaps:
Hedge ineffectiveness losses
recorded in earnings. . . . . . . . . $ (1,427) $ (520) $ —
Realized losses recorded in
interest expense . . . . . . . . . . . . (21,475) (9,070) —
Total . . . . . . . . . . . . . . . . . . . . . $ (22,902) $ (9,590) $ —
Trading
Interest rate swaps:
Interest reclassification. . . . . . . $ 3,451 $ (2,250) $ 1,285
Change in fair value of future
interest payments recorded in
earnings . . . . . . . . . . . . . . . . . . 581 (2,944) (87)
Total(1)
. . . . . . . . . . . . . . . . . . . . 4,032 (5,194) 1,198
Total . . . . . . . . . . . . . . . . . . . . . . $ 13,765 $ 7,892 $ 29,308
(1) Amounts included in "gains (losses) on derivatives and hedging activities, net."