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C » Topics » Key assumptions at September 30, 2007

This excerpt taken from the C 10-K filed Feb 22, 2008.

Key Assumptions at December 31, 2007

 

    

2007

     

Credit

cards

    U.S. Consumer
mortgages (1)		    Markets & Banking
mortgages		    Other (2)

Discount rate

    13.3% to 16.8%    12.4%    2.5% to 30.1%    10.6% to 12.6%

Constant prepayment rate

    7.2% to 21.0%    14.4%    6.1% to 50.0%    3.3% to 11.4%

Anticipated net credit losses

    4.4% to 6.4%    N/A    10.0% to 80.0%    0.3% to 1.1%

Weighted average life

    10.6 to 11.0 months    6.6 years    1.3 to 10.7 years    5 to 9 years

 

(1) Includes mortgage servicing rights.
(2) Other includes student loans and other assets.

 

    2007  
In millions of dollars  

Credit

cards

      U.S.
Consumer
mortgages		      Markets &
Banking
mortgages		      Other (1)  

Carrying value of retained interests

   $ 11,739      $ 13,801      $ 4,617      $ 2,142  

Discount Rates

           

Adverse change of 10%

   $ (67 )    $ (266 )    $ (107 )    $ (27 )

Adverse change of 20%

     (132 )      (519 )      (207 )      (53 )

Constant prepayment rate

           

Adverse change of 10%

   $ (246 )    $ (575 )    $ (11 )    $ (13 )

Adverse change of 20%

     (461 )      (1,099 )      (2 )      (26 )

Anticipated net credit losses

           

Adverse change of 10%

   $ (481 )    $ (7 )    $ (149 )    $ (8 )

Adverse change of 20%

     (891 )      (14 )      (250 )      (15 )

 

(1) Other includes student loans and other assets.

 

157

Table of Contents

 

This excerpt taken from the C 10-Q filed Nov 5, 2007.

Key assumptions at September 30, 2007

 
   September 30, 2007
 
   Credit
Cards
   U.S. Consumer
Mortgages(1)
   Markets &
Banking
Mortgages
   Markets &
Banking
Other
   Other(2)
Discount rate   13.3% to 16.8%   11.5%   4.1% to 27.9%   5.6% to 27.9%   10.7% to 12.7%
Constant prepayment rate   7.2% to 21.5%   10.0%   15.0% to 52.5%   10.0% to 26.0%   3.4% to 11.2%
Anticipated net credit losses   3.8% to 5.9%   N/A   24.0% to 100.0%   N/A   0.3% to 1.1%
Weighted average life   10.7 to 11.0 months   6.9 years   6.5 to 21.2 years   6.5 to 9.8 years   4 to 8 years
(1)
Includes mortgage servicing rights.

(2)
Other includes student loans and other assets.

 
   September 30, 2007
  
In millions of dollars
   Credit Cards
   U.S. Consumer Mortgages
   Markets & Banking Mortgages
   Markets & Banking Other
   Other(1)
  
Carrying value of retained interests   $ 11,105   $ 11,230   $ 3,849   $ 37,835   $ 1,395  
   
 
 
 
 
 
Discount Rates                                
  10%   $ (62 ) $ (317 ) $ (37 ) $ (19 ) $ (26 )
  20%     (122 )   (620 )   (72 )   (37 )   (51 )
   
 
 
 
 
 
Constant prepayment rate                                
  10%   $ (234 ) $ (491 ) $ (21 ) $ (1 ) $ (13 )
  20%     (440 )   (938 )   (46 )   (1 )   (27 )
   
 
 
 
 
 
Anticipated net credit losses                                
  10%   $ (404 ) $ (8 ) $ (53 ) $ —   $ (6 )
  20%     (805 )   (16 )   (101 )   —     (13 )
   
 
 
 
 
 
(1)
Other includes student loans and other assets.

This excerpt taken from the C 10-Q filed May 4, 2007.

Key assumptions at March 31, 2007

 
   March 31, 2007
 
   Credit
Cards
   U.S. Consumer
Mortgages(1)
   Markets &
Banking
Mortgages
   Markets &
Banking
Other
   Other(2)
Discount rate   12.8% to 16.2%   11.0%   4.1% to 27.9%   5.6% to 27.9%   6.0% to 10.7%
Constant prepayment rate   6.7% to 21.0%   11.7%   15.0% to 52.5%   10.0% to 26.0%   5.6% to 20.1%
Anticipated net credit losses   3.7% to 5.9%   0.0%   24.0% to 100.0%   N/A   1.1%
Weighted average life years   11 to 12 Months   6.1 years   6.5 to 21.2   6.5 to 9.8   7 years
(1)
Includes mortgage servicing rights.
(2)
Other includes student loans and other assets.

 
   March 31, 2007
  
In millions of dollars

   Credit Cards
   U.S. Consumer Mortgages
   Markets & Banking Mortgages
   Markets &
Banking Other
   Other(1)
  
Carrying value of retained interests   $ 7,246   $ 9,842   $ 3,559   $ 7,587   $ 1,372  
   
 
 
 
 
 
Discount Rates                                
  10%   $ (66 ) $ (260 ) $ (28 ) $ (19 ) $ (24 )
  20%     (130 )   (505 )   (54 )   (37 )   (47 )
   
 
 
 
 
 
Constant prepayment rate                                
  10%   $ (235 ) $ (474 ) $ (10 ) $ (1 ) $ (15 )
  20%     (443 )   (903 )   (25 )   (1 )   (28 )
   
 
 
 
 
 
Anticipated net credit losses                                
  10%   $ (396 ) $ (8 ) $ (36 )   N/A   $ (5 )
  20%     (789 )   (15 )   (67 )   N/A     (10 )
   
 
 
 
 
 
(1)
Other includes student loans and other assets.

99

EXCERPTS ON THIS PAGE:

10-K
Feb 22, 2008
10-Q
Nov 5, 2007
10-Q
May 4, 2007

RELATED TOPICS for C:

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