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Derivative Financial Instruments (Tables)
3 Months Ended
Mar. 31, 2014
Derivative Financial Instruments [Abstract]  
Interest Rate Swaps - 1:3 Basis swaps
The following table summarizes the Company’s basis swaps outstanding as of March 31, 2014 and December 31, 2013 in which the Company receives three-month LIBOR set discretely in advance and pays one-month LIBOR plus or minus a spread as defined in the agreements (the "1:3 Basis Swaps").
 
 
Maturity
 
Notional amount
 
 
2021
 
 
$
250,000

 
 
2022
 
 
1,900,000

 
 
2023
 
 
3,650,000

 
 
2024
 
 
250,000

 
 
2026
 
 
800,000

 
 
2028
 
 
100,000

 
 
2036
 
 
700,000

 
 
2039
(a)
 
150,000

 
 
2040
(b)
 
200,000

 
 
 
 
 
$
8,000,000

(c)
(a)This derivative has a forward effective start date in 2015.
(b)This derivative has a forward effective start date in 2020.
(c)
The weighted average rate paid by the Company on the 1:3 Basis Swaps as of March 31, 2014 and December 31, 2013 was one-month LIBOR plus 3.5 basis points
Interest Rate Swaps - Floor Income Hedges
The following table summarizes the outstanding derivative instruments used by the Company to economically hedge loans earning fixed rate floor income as of March 31, 2014 and December 31, 2013.
Maturity
 
Notional amount
 
Weighted average fixed rate paid by the Company (a)
 
 
2014
 
$
1,750,000

 
0.71
%
2015
 
1,100,000

 
0.89

2016
 
750,000

 
0.85

2017
 
1,250,000

 
0.86

 
 
$
4,850,000

 
0.81
%

(a)
For all interest rate derivatives, the Company receives discrete three-month LIBOR.
Interest Rate Swaps - Unsecured Debt Hedges
The Company had the following derivatives outstanding as of March 31, 2014 and December 31, 2013 that are used to effectively convert the variable interest rate on a portion of the Junior Subordinated Hybrid Securities ("Hybrid Securities") to a fixed rate.
 
Maturity
 
Notional amount
 
Weighted average fixed rate paid by the Company (a)
2036
 
$
25,000

 
4.28
%
(a)
For all interest rate derivatives, the Company receives discrete three-month LIBOR.
Impact of Foreign Exchange Contracts on the Statement of Income
Foreign Currency Exchange Risk

In 2006, the Company issued €352.7 million of student loan asset-backed Euro Notes (the "Euro Notes") with an interest rate based on a spread to the EURIBOR index. As a result of the Euro Notes, the Company is exposed to market risk related to fluctuations in foreign currency exchange rates between the U.S. dollar and Euro. The principal and accrued interest on these notes are re-measured at each reporting period and recorded in the Company’s consolidated balance sheet in U.S. dollars based on the foreign currency exchange rate on that date.

The Company entered into a cross-currency interest rate swap in connection with the issuance of the Euro Notes. Under the terms of the cross-currency interest rate swap, the Company receives from the counterparty a spread to the EURIBOR index based on a notional amount of €352.7 million and pays a spread to the LIBOR index based on a notional amount of $450.0 million. In addition, under the terms of this agreement, all principal payments on the Euro Notes will effectively be paid at the exchange rate in effect between the U.S. dollar and Euro as of the issuance of the notes.

The following table shows the income statement impact as a result of the re-measurement of the Euro Notes and the change in the fair value of the related derivative instrument.
 
Three months ended March 31,
 
2014
 
2013 (b)
Re-measurement of Euro Notes
$
(952
)
 
28,763

Change in fair value of cross-currency interest rate swaps
(39
)
 
(34,844
)
Total impact to consolidated statements of income - income (expense) (a)
$
(991
)
 
(6,081
)
(a)
The financial statement impact of the above items is included in "Derivative market value and foreign currency adjustments and derivative settlements, net" in the Company's consolidated statements of income.
(b)
The 2013 operating results includes the re-measurement of €420.5 million of student loan asset-backed Euro notes and the change in fair value of a related cross-currency interest rate swap entered into in connection with the issuance of such notes. In November 2013, the notional amount outstanding on the notes was changed to U.S. dollars and the cross-currency interest swap was terminated.
The re-measurement of the Euro-denominated bonds generally correlates with the change in fair value of the cross-currency interest rate swaps. However, the Company will experience unrealized gains or losses related to the cross-currency interest rate swaps if the two underlying indices (and related forward curve) do not move in parallel.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
Consolidated Financial Statement Impact Related to Derivatives

The following table summarizes the fair value of the Company’s derivatives as reflected in the consolidated balance sheets:
 
Fair value of asset derivatives
 
Fair value of liability derivatives
 
As of
 
As of
 
As of
 
As of
 
March 31,
2014
 
December 31,
2013
 
March 31,
2014
 
December 31,
2013
1:3 basis swaps
$
19,600

 
18,490

 

 

Interest rate swaps - floor income hedges
7,607

 
7,183

 
12,915

 
15,849

Interest rate swaps - hybrid debt hedges

 

 
3,632

 
2,120

Cross-currency interest rate swaps
36,795


36,834

 

 

Total
$
64,002

 
62,507

 
16,547

 
17,969



During the three months ended March 31, 2013, the Company terminated certain derivatives for gross proceeds and payments of $2.7 million and $2.9 million, respectively. There were no derivative terminations during the first quarter of 2014.
Schedule of Derivative Instruments [Table Text Block]
Offsetting of Derivative Assets/Liabilities

The Company records derivative instruments in the consolidated balance sheets on a gross basis as either an asset or liability measured at its fair value. Certain of the Company's derivative instruments are subject to right of offset provisions with counterparties. The following tables include the gross amounts related to the Company's derivative portfolio recognized in the consolidated balance sheets, reconciled to the net amount when excluding derivatives subject to enforceable master netting arrangements and cash collateral received/pledged:
 
 
 
 
Gross amounts not offset in the consolidated balance sheets
 
 
Derivative assets
 
Gross amounts of recognized assets presented in the consolidated balance sheets
 
Derivatives subject to enforceable master netting arrangement
 
Cash collateral received
 
Net asset (liability)
Balance as of March 31, 2014
 
$
64,002

 
(15,313
)
 
(323
)
 
48,366

Balance as of December 31, 2013
 
62,507

 
(15,437
)
 
(15,959
)
 
31,111


 
 
 
 
Gross amounts not offset in the consolidated balance sheets
 
 
Derivative liabilities
 
Gross amounts of recognized liabilities presented in the consolidated balance sheets
 
Derivatives subject to enforceable master netting arrangement
 
Cash collateral pledged
 
Net asset (liability)
Balance as of March 31, 2014
 
$
(16,547
)
 
15,313

 
3,140

 
1,906

Balance as of December 31, 2013
 
(17,969
)
 
15,437

 
3,630

 
1,098

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table summarizes the effect of derivative instruments in the consolidated statements of income.
 
Three months ended March 31,
 
2014
 
2013
Settlements:
 

 
 

1:3 basis swaps
$
881

 
911

Interest rate swaps - floor income hedges
(6,950
)
 
(8,304
)
Interest rate swaps - hybrid debt hedges
(252
)
 
(645
)
Cross-currency interest rate swaps
92

 
(146
)
Total settlements - expense
(6,229
)
 
(8,184
)
Change in fair value:
 

 
 

1:3 basis swaps
1,110

 
1,933

Interest rate swaps - floor income hedges
3,358

 
9,422

Interest rate swaps - hybrid debt hedges
(1,513
)
 
3,640

Cross-currency interest rate swaps
(39
)
 
(34,844
)
Other

 
342

Total change in fair value - income (expense)
2,916

 
(19,507
)
Re-measurement of Euro Notes (foreign currency transaction adjustment) - (expense) income
(952
)
 
28,763

Derivative market value and foreign currency adjustments and derivative settlements, net - (expense) income
$
(4,265
)
 
1,072