Sallie Mae 2007 Annual Report Download - page 165

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, 2007, 2006 and 2005 were as follows:
FFELP
Stafford
and
PLUS
(1)
FFELP
Consolidation
Loans
(1)
Private
Education
Loans
FFELP
Stafford
and PLUS
FFELP
Consolidation
Loans
Private
Education
Loans
FFELP
Stafford
and PLUS
FFELP
Consolidation
Loans
Private
Education
Loans
2007 2006 2005
Years Ended December 31,
Prepayment speed
(annual rate)
(2)
. . . . . — — — * 6% 4% ** 6% 4%
Interim status . . . . . — — 0% — — — — — —
Repayment status . . . — — 4-7% — — — — — —
Life of loan
repayment status . . — — 6% — — — — — —
Weighted average life . . — — 9.4 yrs. 3.7 yrs. 8.2 yrs. 9.4 yrs. 3.8 yrs. 7.9 yrs. 8.9 yrs.
Expected credit losses
(% of principal
securitized) ....... — — 4.69% .15% .19% 4.79% —% —% 4.41%
Residual cash flows
discounted at
(weighted average) . . — — 12.5% 12.4% 10.8% 12.9% 12.2% 10.1% 12.3%
(1)
No securitizations qualified for sale treatment in the period.
(2)
Effective December 31, 2006, the Company implemented Constant Prepayment Rates (“CPR”) curves for Residual Interest valuations
that are based on the number of months since entering repayment that better reflect the CPR as the loan seasons. Under this method-
ology, a different CPR is applied to each year of a loan’s seasoning. Previously, the Company applied a CPR that was based on a
static life of loan assumption, irrespective of seasoning, or, in the case of FFELP Stafford and PLUS loans, the Company used a vec-
tor approach in applying the CPR. The repayment status CPR depends on the number of months since first entering repayment or as
the loans seasons through the portfolio. Life of loan CPR is related to repayment status only and does not include the impact of the
loan while in interim status. The CPR assumption used for all periods includes the impact of projected defaults.
*
CPR of 20 percent for 2006, 15 percent for 2007, and 10 percent thereafter.
**
Securitizations through August 2005 used a CPR of 20 percent for 2005, 15 percent for 2006 and 6 percent 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.
The following table summarizes cash flows received from or paid to the off-balance sheet securitization
trusts during the years ended December 31, 2007, 2006 and 2005:
2007 2006 2005
Years Ended December 31,
(Dollars in millions)
Net proceeds from new securitizations completed during the
period ............................................. $1,977 $19,521 $13,523
Purchases of Private Education Loans from securitization trusts .... (162) (72) (63)
Servicing fees received
(1)
................................. 286 327 320
Cash distributions from trusts related to Residual Interests ........ 782 598 630
(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-44
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Dollars in thousands, except per share amounts, unless otherwise stated)