C » Topics » Key Assumptions at September 30, 2008

This excerpt taken from the C 10-Q filed Oct 31, 2008.

Key Assumptions at September 30, 2008

 
  September 30, 2008
 
  Credit Cards   U.S. Consumer Mortgages(1)   Institutional Clients Group mortgages   Other(2)

Discount rate

  17.4% to 20.9%   12.5%   5.0% to 53.8%   11.1% to 14.1%

Constant prepayment rate

  5.9% to 19.9%   8.5%   2.0% to 23.2%   1.1% to 9.9%

Anticipated net credit losses

  6.2% to 8.3%   N/A   25.0% to 80.0%   0.3% to 0.9%

Weighted average life

  11.7 to 12.0 months   6.7 years   2 to 22 years   4 to 10 years

(1)
Includes mortgage servicing rights.

(2)
Other includes student loans and other assets.

110


 
  September 30, 2008  
 
  Credit Cards    
   
   
 
In millions of dollars
  Residual interest   Retained certificates   Other retained interests   U.S. Consumer mortgages   Institutional Clients Group mortgages   Other(1)  

Carrying value of retained interests

  $ 1,036   $ 6,013   $ 3,374   $ 11,178   $ 1,611   $ 2,133  
                           

Discount Rates

                                     

Adverse change of 10%

  $ (54 ) $ (9 ) $ (7 ) $ (344 ) $ (73 ) $ (30 )

Adverse change of 20%

    (106 )   (15 )   (14 )   (662 )   (139 )   (58 )
                           

Constant prepayment rate

                                     

Adverse change of 10%

  $ (112 ) $   $   $ (522 ) $ (19 ) $ (10 )

Adverse change of 20%

    (210 )           (998 )   (33 )   (20 )
                           

Anticipated net credit losses

                                     

Adverse change of 10%

  $ (380 ) $   $ (55 ) $ (20 ) $ (74 ) $ (7 )

Adverse change of 20%

    (611 )       (109 )   (40 )   (132 )   (14 )

(1)
Other includes student loans and other assets. Sensitivity analysis excludes $946 million of retained interests that are valued using third-party quotations and thus are not dependent on proprietary valuation models.
This excerpt taken from the C 10-Q filed Aug 1, 2008.

Key Assumptions at June 30, 2008

 
  June 30, 2008
 
  Credit Cards
  U.S. Consumer
Mortgages(1)

  Institutional Clients
Group mortgages

  Other(2)
Discount rate   14.5% to 17.9%   11.3%   2.7% to 34.9%   10.6% to 13.6%
Constant prepayment rate   5.9% to 20.3%   8.1%   2.0% to 28.4%   1.2% to 11.6%
Anticipated net credit losses   5.2% to 6.6%   N/A   20% to 100%   0.2% to 0.8%
Weighted average life   10.6 to 12.0 months   7 years   0 to 18.2 years   4.1 to 9.1 years

(1)
Includes mortgage servicing rights.

(2)
Other includes student loans and other assets.

96


 
  June 30, 2008
 
In millions of dollars

  Credit
cards

  U.S. Consumer
mortgages

  Institutional Clients
Group mortgages

  Other(1)
 
Carrying value of retained interests   $ 12,126   $ 13,831   $ 2,135   $ 1,866  
   
 
 
 
 

Discount Rates

 

 

 

 

 

 

 

 

 

 

 

 

 
Adverse change of 10%   $ (74 ) $ (369 ) $ (78 ) $ (28 )
Adverse change of 20%     (142 )   (716 )   (149 )   (53 )
   
 
 
 
 

Constant prepayment rate

 

 

 

 

 

 

 

 

 

 

 

 

 
Adverse change of 10%   $ (196 ) $ (516 ) $ (13 ) $ (11 )
Adverse change of 20%     (371 )   (987 )   (22 )   (22 )
   
 
 
 
 

Anticipated net credit losses

 

 

 

 

 

 

 

 

 

 

 

 

 
Adverse change of 10%   $ (577 ) $ (20 ) $ (78 ) $ (7 )
Adverse change of 20%     (1,148 )   (39 )   (135 )   (14 )
   
 
 
 
 

(1)
Other includes student loans and other assets. Sensitivity analysis excludes $660 million of retained interests that are valued using third-party quotations and thus are not dependent on proprietary valuation models.
This excerpt taken from the C 10-Q filed May 2, 2008.

Key Assumptions at March 31, 2008

 
  March 31, 2008
 
  Credit Cards
  U.S. Consumer
Mortgages(1)

  Markets & Banking
Mortgages

  Other(2)
Discount rate   14.5% to 17.9%   13.8%   0.7% to 47.8%   11.0% to 13.0%
Constant prepayment rate   7.0% to 20.4%   14.5%   4.0% to 37.5%   1.5% to 11.5%
Anticipated net credit losses   5.2% to 6.7%   N/A   20.0% to 85.0%   0.3% to 0.7%
Weighted average life   10.6 to 11.0 months   7 years   0.7 to 17.4 years   3.8 years

(1)
Includes mortgage servicing rights.

(2)
Other includes student loans and other assets.

 
  March 31, 2008
 
In millions of dollars

  Credit
cards

  U.S. Consumer
mortgages

  Markets & Banking
mortgages

  Other(1)
 
Carrying value of retained interests   $ 12,594   $ 13,278   $ 3,401   $ 1,784  
   
 
 
 
 
Discount Rates                          
Adverse change of 10%   $ (38 ) $ (363 ) $ (216 ) $ (27 )
Adverse change of 20%     (134 )   (700 )   (310 )   (53 )
   
 
 
 
 
Constant prepayment rate                          
Adverse change of 10%   $ (211 ) $ (593 ) $ (19 ) $ (13 )
Adverse change of 20%     (413 )   (1,155 )   (32 )   (26 )
   
 
 
 
 
Anticipated net credit losses                          
Adverse change of 10%   $ (536 ) $ (7 ) $ (97 ) $ (8 )
Adverse change of 20%     (1,067 )   (15 )   (171 )   (15 )
   
 
 
 
 

(1)
Other includes student loans and other assets. Sensitivity analysis excludes $609 million of retained interests that are valued using third-party quotations and thus are not dependent on proprietary valuation models.
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