Sallie Mae 2015 Annual Report Download - page 115

SLM CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
(Dollars in thousands, unless otherwise noted)
4. Investments (Continued)
F-25
The following table summarizes the amount of gross unrealized losses for our mortgage-backed securities and the
estimated fair value by length of time the securities have been in an unrealized loss position:
Less than 12 months 12 months or more Total
Gross
unrealized
losses Estimated fair value
Gross
unrealized
losses Estimated fair value
Gross
unrealized
losses Estimated fair value
As of December 31, 2015:
Mortgage-backed securities . . . . . . . $ (827) $ 73,802 $ (1,554) $ 39,271 $ (2,381) $ 113,073
As of December 31, 2014:
Mortgage-backed securities . . . . . . . $ (27) $ 12,147 $ (1,465) $ 41,462 $ (1,492) $ 53,609
Our investment portfolio is comprised of mortgage-backed securities issued by Ginnie Mae, Fannie Mae and Freddie
Mac, with amortized costs of $93.6 million, $78.7 million, and $24.1 million, respectively, at December 31, 2015. We own
these securities to meet our requirements under the Community Reinvestment Act. As of December 31, 2015, there were 35 of
74 separate mortgage-backed securities with unrealized losses in our investment portfolio. Fourteen of the 35 securities in a net
loss position were issued under Ginnie Mae programs that carry a full faith and credit guarantee from the U.S. Government.
The remaining securities in a net loss position carry a principal and interest guarantee by Fannie Mae. As of December 31,
2014, there were 13 of 56 separate mortgage-backed securities with unrealized losses in our investment portfolio. Nine of the
13 securities in a net loss position were issued by Ginnie Mae. We have the ability and the intent to hold these securities for a
period of time sufficient for the market price to recover to at least the adjusted amortized cost of the security.
As of December 31, 2015, the amortized cost and fair value of securities, by contractual maturities, are summarized
below. Contractual maturities versus actual maturities may differ due to the effect of prepayments.
Year of Maturity Amortized
Cost Estimated Fair Value
2038. . . . . . . . . . . . . . . . . . $ 284 $ 307
2039. . . . . . . . . . . . . . . . . . 7,539 8,054
2042. . . . . . . . . . . . . . . . . . 22,336 21,282
2043. . . . . . . . . . . . . . . . . . 59,961 60,165
2044. . . . . . . . . . . . . . . . . . 47,833 47,815
2045. . . . . . . . . . . . . . . . . . 58,449 57,768
Total. . . . . . . . . . . . . . . . . . $ 196,402 $ 195,391
In October 2013, we sold our asset-backed security portfolio for a gain of $63.8 million. We no longer hold asset-backed
securities in our investment portfolio.
The mortgage-backed securities have been pledged to the FRB as collateral against any advances and accrued interest
under the Primary Credit program or any other program sponsored by the FRB. We had $188.3 million and $160.9 million par
value of mortgage-backed securities pledged to this borrowing facility at December 31, 2015 and 2014, respectively, as
discussed further in Note 9, “Borrowings.”