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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.

EXCERPTS ON THIS PAGE:

10-Q
Oct 31, 2008
10-Q
Aug 1, 2008
10-Q
May 2, 2008

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