Sallie Mae 2008 Annual Report Download - page 171
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8. 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, 2008, 2007 and 2006 were as follows:
FFELP
Stafford
and
PLUS
(1)
FFELP
Consolidation
Loans
(1)
Private
Education
Loans
(1)
FFELP
Stafford
and PLUS
(1)
FFELP
Consolidation
Loans
(1)
Private
Education
Loans
FFELP
Stafford
and PLUS
FFELP
Consolidation
Loans
Private
Education
Loans
2008 2007 2006
Years Ended December 31,
Prepayment speed
(annual rate)
(2)
. . . — — — — — — * 6% 4%
Interim status ...... — — — — — 0% — — —
Repayment status . . . — — — — — 4-7% — — —
Life of loan
repayment status . . — — — — — 6% — — —
Weighted average
life ........... — — — — — 9.4yrs. 3.7 yrs. 8.2 yrs. 9.4 yrs.
Expected credit losses
(% of principal
securitized) . . . . . — — — — — 4.69% .15% .19% 4.79%
Residual cash flows
discounted at
(weighted
average) ....... — — — — — 12.5% 12.4% 10.8% 12.9%
(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 methodol-
ogy, 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 vector
approach in applying the CPR. The repayment status CPR used is based on the number of months since first entering repayment (sea-
soning). 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.
F-51
SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, except per share amounts, unless otherwise stated)