Mercedes 2004 Annual Report Download - page 163

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34. Retained Interests in Sold Receivables and Sales of
Finance Receivables
The fair value of retained interests in sold receivables was as
follows:
At December 31, 2004, the significant assumptions used in
estimating the residual cash flows from sold receivables and the
sensitivity of the current fair value to immediate 10% and 20%
adverse changes are as follows:
The effect of a 10% and 20% adverse change in the discount rate
used to compute the fair value of the retained subordinated secu-
rities would be a decrease of €4 million and €7 million, respec-
tively. Similar changes to the monthly prepayment speed and the
expected remaining net credit losses as a percentage of receiv-
ables sold for the retained subordinated securities would have no
adverse effect on the fair value of the retained subordinated
securities.
These sensitivities are hypothetical and should be used with cau-
tion. The effect of a variation in a particular assumption on the
fair value of the retained interests is calculated without changing
any other assumption; in reality, changes in one assumption may
result in changes in another, which might magnify or counteract
the sensitivities.
Actual and projected credit losses for receivables securitized
were as follows:
Static pool losses are calculated by summing the actual and
projected future credit losses and dividing them by the original
balance of each pool of assets. The amount shown above for
each year is a weighted average for all securitizations during that
year and outstanding at December 31, 2004. Certain cash flows
received and paid to securitization trusts were as follows:
159
(in millions of €)
2004
2,190
(369)
1,821
379
2
2,202
2,960
(508)
2,452
703
2
3,157
2003
At December 31,
Fair value of estimated residual cash flows,
net of prepayments, from sold receivables,
before expected future net credit losses
Expected future net credit losses on sold receivables
Fair value of net residual cash flows from sold
receivables
Retained subordinated securities
Other retained interests
Retained interests in sold receivables, at fair value
(in millions of €)
(32)
(69)
(32)
Impact on fair value
based on adverse
10%
change
Assumption
percentage
(14)
(34)
(16)
20%
change
1.5%
1.1%
12.0%
Actual and projected credit losses
Percentages as of
2.3%
Receivables securitized in
2004200320022001
2.0%
2.5%
1.9%
2.4%
2.6%
2.2%
2.5%
2.4%
2.4%
December 31, 2004
December 31, 2003
December 31, 2002
December 31, 2001
(in millions of €)
2004
11,360
35,393
(35,414)
183
686
10,018
46,623
(46,678)
219
718
2003
Proceeds from new securitizations
Proceeds from collections reinvested in
previous wholesale securitizations
Amounts reinvested in previous
wholesale securitizations
Servicing fees received
Receipt of cash flow on retained interest in
securitized receivables
Prepayment speed, monthly
Expected remaining net credit losses as a
percentage of receivables sold
Residual cash flow discount rate, annualized