Mercedes 2002 Annual Report Download - page 143
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Other Notes |137
The effect of a 10% and 20% adverse change in the discount
rate used to compute the fair value of the retained subor-
dinated securities would be a decrease of 118 million and 134
million, respectively. Similar changes to the monthly prepay-
ment speed and the estimated remaining net credit losses as a
percentage of receivables 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
caution. 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, 2002.
Certain cash flows received and paid to securitization trusts
were as follows:
(in millions of 3)
Prepayment speed, monthly
Estimated remaining net credit losses
as a percentage of receivables sold
Residual cash flow discount rate,
annualized
(16)
(122)
(66)
Impact on fair value
based on adverse
10%
change
Assumption
percentage
(11)
(61)
(33)
1.5%
1.3%
12.0%
20%
change
Actual and projected credit losses
Percentages as of:
2.6%
Receivables securitized in
2002200120001999
2.4%
2.4%
2.3%
1.7%
1.2%
2.6%
2.2%
1.1%
1.0%
(in millions of 3)2002
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
10,705
49,888
(49,965)
304
553
18,219
56,040
(56,040)
353
580
2001
December 31, 2002
December 31, 2001
December 31, 2000
December 31, 1999
The outstanding balance, delinquencies and net credit loss-
es of sold receivables and other receivables, of those financial
services businesses that sell receivables, as of and for the
years ended December 31, 2002 and 2001, respectively, were
as follows:
2001 2002
Outstanding
balance at
Retail receivables
Wholesale receivables
Total receivables managed
Less: receivables sold
Receivables held in portfolio
58,224
17,448
75,672
(42,312)
33,360
506
–
506
(160)
346
652
19
671
(342)
329
584
24
608
(182)
426
691
18
709
(310)
399
2002 2001
48,476
16,754
65,230
(30,103)
35,127
(in millions of 3)
Delinquencies
> 60 days at
Net credit losses
for the year ended
20012002