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C » Topics » Cash Flows and Retained Interests

This excerpt taken from the C 8-K filed Oct 13, 2009.

Cash Flows and Retained Interests

 

The following tables summarize selected cash flow information related to CDO and CLO securitizations for the year 2008:

 

In billions of dollars

 

CDOs

 

CLOs

 

Cash flows received on retained interests

 

0.1

 

—

 

 

The key assumptions, used for the securitization of CDOs and CLOs during 2008 in measuring the fair value of retained interests at the date of sale or securitization, are as follows:

 

 

 

CDOs

 

CLOs

 

Discount rate

 

28.5% to 31.2

%

4.7% to 5.2

%

 

The effect of two negative changes in discount rates used to determine the fair value of retained interests is disclosed below.

 

In millions of dollars

 

CDOs

 

CLOs

 

Carrying value of retained interests

 

$

928

 

$

763

 

Discount rates

 

 

 

 

 

Adverse change of 10%

 

$

(21

)

$

(11

)

Adverse change of 20%

 

(41

)

(23

)

 

This excerpt taken from the C 10-Q filed May 11, 2009.

Cash Flows and Retained Interests

        The following tables summarize selected cash flow information related to CDO and CLO securitizations for the three months ended March 31, 2009:

In billions of dollars   CDOs   CLOs  
Cash flows received on retained interests     —     —  
           

        The key assumptions, used for the securitization of CDOs and CLOs during the three months ended March 31, 2009, in measuring the fair value of retained interests at the date of sale or securitization, are as follows:

 
   CDOs   CLOs
Discount rate   43.3% to 47.2%   5.5% to 6.0%
         

        The effect of two negative changes in discount rates used to determine the fair value of retained interests is disclosed below.

In millions of dollars   CDOs   CLOs  
Carrying value of retained interests   $ 236   $ 1,043  
Discount rates              
  Adverse change of 10%   $ (26 ) $ (17 )
  Adverse change of 20%     (50 )   (33 )
           
These excerpts taken from the C 10-K filed Feb 27, 2009.

Cash Flows and Retained Interests

The following tables summarize selected cash flow information related to CDO and CLO securitizations for the year 2008:

 

In billions of dollars   CDOs    CLOs

Cash flows received on retained interests

   0.1    —

The key assumptions, used for the securitization of CDOs and CLOs during 2008 in measuring the fair value of retained interests at the date of sale or securitization, are as follows:

 

     CDOs     CLOs  

Discount rate

   28.5% to 31.2 %   4.7% to 5.2 %

The effect of two negative changes in discount rates used to determine the fair value of retained interests is disclosed below.

 

In millions of dollars   CDOs      CLOs  

Carrying value of retained interests

     $928      $ 763  

Discount rates

     

Adverse change of 10%

   $ (21 )    $ (11 )

Adverse change of 20%

     (41 )      (23 )

Cash Flows and Retained Interests

The following tables summarize selected cash flow information related to CDO and CLO securitizations for the year 2008:

 

In billions of dollars   CDOs    CLOs

Cash flows received on retained interests

   0.1    —

The key assumptions, used for the securitization of CDOs and CLOs during 2008 in measuring the fair value of retained interests at the date of sale or securitization, are as follows:

 

     CDOs     CLOs  

Discount rate

   28.5% to 31.2 %   4.7% to 5.2 %

The effect of two negative changes in discount rates used to determine the fair value of retained interests is disclosed below.

 

In millions of dollars   CDOs      CLOs  

Carrying value of retained interests

     $928      $ 763  

Discount rates

     

Adverse change of 10%

   $ (21 )    $ (11 )

Adverse change of 20%

     (41 )      (23 )

EXCERPTS ON THIS PAGE:

8-K
Oct 13, 2009
10-Q
May 11, 2009
10-K (2 sections)
Feb 27, 2009

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