Mercedes 2001 Annual Report Download - page 116

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112 Other Notes
31. Retained Interests in Sold Receivables and Sales of
Finance Receivables
The fair value of retained interests in sold receivables
was as follows:
20001999 2001
Receivables securitized in
1998
Actual and projected
credit losses
Percentages as of:
December 31, 2001
December 31, 2000
December 31, 1999
2.8% 2.2% 1.7% 2.4%
2.1% 1.1% 1.2%
1.6% 1.0%
At December 31, 2001, the significant assump-
tions 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:
Proceeds from new securitizations
Proceeds from collections reinvested in
previous wholesale securitizations
Amounts reinvested in previous
wholesale securitizations
Servicing fees received
Receipt of cash flows on retained
interest in securitized receivables
18,219 15,883
56,040 46,285
(56,040) (46,122)
353 283
580 435
2001 2000
These sensitivities are hypothetical and should be
used with caution. The effect of a variation in a particu-
lar assumption on the fair value of the retained interest
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.
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
Restricted cash accounts
Retained subordinated securities
Retained interests in sold receivables,
at fair value
2000
At December 31,
2001
5,311 4,319
(787) (389)
4,524 3,930
2202
956 684
5,482 4,816
10%
change
Assumption
percentage
20%
change
Impact on fair value
based on adverse
Prepayment speed, monthly
Estimated net credit losses as
a percentage of receivables
sold
Residual cash flow discount
rate, annualized
1.5% (8) (14)
1.3% (66) (132)
12.0% (65) (127)
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, 2001.
Certain cash flows received and paid to
securitization trusts were as follows:
(in millions of €)
(in millions of €)
(in millions of €)