Mercedes 2003 Annual Report Download - page 168
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The outstanding balance, delinquencies and net credit losses of
sold receivables and other receivables, of those companies that
sell receivables, as of and for the years ended December 31, 2003
and 2002, respectively, were as follows:
DaimlerChrysler mainly sells automotive finance receivables in
the ordinary course of the business to trusts that are considered
Qualifying Special Purpose Entities under SFAS 140 (“QSPEs”) as
well as selling to trusts that are multi-seller and multi-collateralized
bank conduits that may be considered to be Variable Interest Enti-
ties (“VIEs”). The Group also retains a residual beneficial interest
in the receivables sold which is designed to absorb substantially all
of the credit, prepayment, and interest-rate risk of the receivables
transferred to the trusts. This retained interest balance represents
the Group’s maximum exposure to loss. The following summarizes
the outstanding balance of the receivables sold to the QSPEs and
VIEs and corresponding retained interests balances as of December
31, 2003:
During the year ended December 31, 2003, DaimlerChrysler sold
€9,557 million (2002: €8,653 million) and €46,678 million (2002:
€49,965 million) of retail and wholesale receivables, respectively.
From these transactions, the Group recognized gains of €249 mil-
lion (2002: €162 million) and €196 million (2002: €201 million) on
sales of retail and wholesale receivables, respectively.
2002 2003
Outstanding
balance at
48,476
16,754
65,230
(30,103)
35,127
201
1
202
(35)
167
478
13
491
(216)
275
506
–
506
(160)
346
652
19
671
(342)
329
2003 2003 20022002
44,190
15,246
59,436
(22,154)
37,282
(in millions of €)
Delinquencies
> 60 days at
Net credit losses
for the year ended
Retail receivables
Wholesale receivables
Total receivables managed
Less: receivables sold
Receivables held in portfolio
(in millions of €)
Receivables
sold
4,384
17,770
22,154
783
2,374
3,157
Retained
interest
in sold
receivables
Variable interest entities
Qualifying special purpose entities
Significant assumptions used in measuring the residual interest
resulting from the sale of retail and wholesale receivables were
as follows (weighted average rates for securitizations completed
during the year) at December 31, 2003 and 2002:
During the year ended December 31, 2003, the Group recognized
net servicing liabilities of €10 million and related net amortization
of €2 million. There was no servicing asset valuation allowance as
of December 31, 2003. The fair value of net servicing liability at
December 31, 2003 was €18 million and was determined by dis-
counting estimated cash flows at current market rates.
To support the Group’s asset-backed commercial paper program
in North America, a group of financial institutions have provided
contractually committed liquidity facilities aggregating $4.5 billion
which expire in November 2004, and are subject to annual renew-
al. These liquidity facilities can only be drawn upon by the special
purpose entity to which the Group’s North American financial ser-
vices companies will sell receivables under this program. As of
December 31, 2003, none of the liquidity facilities have been uti-
lized.
1
0.0%
12.0%
Wholesale
2002200320022003
1
0.0%
12.0%
1.0-
1.5%
2.6%
12.0%
1.5%
2.5%
12.0%
Retail
Prepayment speed assumption
(monthly rate)
Estimated lifetime net credit losses
(an average percentage of sold receivables)
Residual cash flows discount rate
(annual rate)
1 For the calculation of wholesale gains, the Group estimated the average wholesale
loan liquidated in 210 days.