Sallie Mae 2006 Annual Report Download - page 159

9. Student Loan Securitization (Continued)
Key economic assumptions used in estimating the fair value of the Residual Interests at the date of
securitization resulting from the student loan securitization sale transactions completed during the years ended
December 31, 2006, 2005 and 2004 were as follows:
FFELP
Stafford
FFELP
Consolidation
Loans
Private
Education
Loans
FFELP
Stafford
FFELP
Consolidation
Loans
Private
Education
Loans
FFELP
Stafford
FFELP
Consolidation
Loans
(2)
Private
Education
Loans
2006 2005 2004
Years Ended December 31,
Prepayment speed
(annual rate)
(1)
....... * 6% 4% ** 6% 4% *** — 6%
Weighted average life .... 3.7yrs. 8.2 yrs. 9.4 yrs. 3.8 yrs. 7.9 yrs. 8.9 yrs. 4.2 yrs — 7.2 yrs.
Expected credit losses
(% of principal
securitized). ......... .15% .19% 4.79% —% —% 4.41% .12% — 4.72%
Residual cash flows
discounted at (weighted
average). . . ......... 12.4% 10.8% 12.9% 12.2% 10.1% 12.3% 12.0% — 12.1%
(1)
The prepayment assumptions include the impact of projected defaults.
(2)
No securitizations in the period, or such securitizations did not qualify for sale treatment.
*
20 percent for 2006, 15 percent for 2007, and 10 percent thereafter.
**
Securitizations through August 2005 used a Constant Prepayment Rate (“CPR”) of 20 percent for 2005, 15 percent for 2006 and 6 per-
cent thereafter. Securitizations from September 2005 through December 2005 used a CPR of 30 percent for 2005, 20 percent for
2006, 15 percent for 2007 and 10 percent thereafter.
***
Securitizations through August 2004 used a CPR of 20 percent for 2004, 15 percent for 2005 and 6 percent thereafter. Securitizations
from September 2004 through December 2004 used a CPR of 20 percent for 2004 through 2005, 15 percent for 2006 and 6 percent
thereafter.
The following table summarizes cash flows received from or paid to the off-balance sheet securitization
trusts during the years ended December 31, 2006, 2005 and 2004:
2006 2005 2004
Years Ended December 31,
(Dollars in millions)
Net proceeds from new securitizations completed during the
period ............................................ $19,521 $13,523 $12,476
Purchases of delinquent Private Education Loans from
securitization trusts .................................. (72) (63) (33)
Servicing fees received
(1)
................................ 327 320 319
Cash distributions from trusts related to Residual Interests ....... 598 630 844
(1)
The Company receives annual servicing fees of 90 basis points, 50 basis points and 70 basis points of the outstanding securitized
loan balance related to its FFELP Stafford, FFELP Consolidation Loan and Private Education Loan securitizations, respectively.
F-40
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)