Mercedes 2006 Annual Report Download - page 219

Consolidated Financial Statements | Other Notes | 203
The following table summarizes the outstanding balance of
the receivables sold to the qualifying special purpose entities
and variable interest entities and the corresponding retained
interest balances as of December 31, 2006:
Liquidity facilities of special purpose entities. To support
an asset-backed commercial paper program in North America,
a group of financial institutions has provided contractually
committed liquidity facilities aggregating US $6.3 billion which
expire in August 2007, and are subject to annual renewal. These liq-
uidity facilities can only be drawn upon by the special purpose
entity to which the Group’s North American financial services com-
panies may sell receivables under this program. As of December
31, 2006, none of the liquidity facilities have been utilized.
Managed receivables. The outstanding balances, delinquencies
and net credit losses of recognized and sold receivables,
of those companies that manage receivables in connection with
ABS-transactions, were as follows:
As of December 31, 2006, the outstanding balance of
receivables managed in connection with whole loans sales
was €2,567 million (2005: €1,931 million).
Servicing assets and servicing liabilities. Servicing assets
(servicing liabilities) represent the present value derived from
retaining the right (obligation) to service securitized receivables
compared to adequate servicer compensation. During the year
ended December 31, 2006, the Group recognized servicing assets
of €17 million (2005: €7 million) and related amortization of €8
million (2005: €2 million). The Group also recognized servicing
liabilities of €7 million (2005: €10 million) and related amortization
of €10 million (2005: €13 million). At December 31, 2006, the
fair value of servicing assets on sold receivables was €14 million
(2005: €6 million), and the fair value of servicing liabilities was
€10 million (2005: €15 million). These values were determined
by discounting expected cash flows at current market rates.
Trusts and third-party entities. Trusts sponsored by Daimler-
Chrysler are considered qualifying special purpose entities under
SFAS 140 and are not consolidated by the Group. The third-party
entities are multi-seller and multi-collateralized bank conduits.
These trusts are considered to be variable interest entities under
FIN 46R. A bank conduit generally receives substantially
all of its funding from issuing asset-backed securities that are
cross-collateralized by the assets held by the entity. Although
its interest in these variable interest entities is significant, Daimler-
Chrysler has concluded that it is not the primary beneficiary of
these bank conduits and therefore is not required to consolidate
them under FIN 46R.
(in millions of €)
227
7
234
124
–
124
351
7
358
102
7
109
31
–
31
133
7
140
24,994
10,115
35,109
16,305
6,995
23,300
41,299
17,110
58,409
79
8
87
32
–
32
111
8
119
33,539
10,276
43,815
14,677
8,703
23,380
48,216
18,979
67,195
273
3
276
155
3
158
428
6
434
Net credit losses
2005
Delinquencies > 60 days
at December 31,
2005
Outstanding
balance at December 31,
2005 200620062006
Recognized retail receivables
Recognized wholesale receivables
Recognized receivables (total)
Sold retail receivables
Sold wholesale receivables
Sold receivables (total)
Managed retail receivables
Managed wholesales receivables
Managed receivables (total)
Retained
interest in sold
receivables
Receivables
sold
3,578
19,722
23,300
351
2,355
2,706
Variable interest entities
Qualifying special purpose entities
(in millions of €)