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The information in this prospectus supplement and the accompanying prospectus is not complete and may be amended. We may not sell these securities until we deliver a final prospectus supplement and accompanying prospectus. This prospectus and the accompanying prospectus are not an offer to sell nor are they seeking an offer to buy these securities in any state where the offer or sale is not permitted. |
Nissan Auto Leasing LLC II, | Nissan Motor Acceptance Corporation, |
Depositor | Servicer/Sponsor |
You should review carefully the factors set forth under “Risk Factors” beginning onpage S-12 of this prospectus supplement and page 8 in the accompanying prospectus. The main sources for payment of the notes are a selected portfolio of Nissan and Infiniti lease contracts and the related Nissan and Infiniti leased vehicles, payments due on the lease contracts, proceeds from the sale of the leased vehicles, and monies on deposit in a reserve account. The securities are asset-backed securities issued by, and represent obligations of, the issuing entity only and do not represent obligations of or interests in Nissan Motor Acceptance Corporation, Nissan Auto Leasing LLC II or any of their respective affiliates. Neither the securities nor the leases are insured or guaranteed by any governmental agency. This prospectus supplement may be used to offer and sell the offered notes only if it is accompanied by the prospectus dated August 27, 2009. |
• | The issuing entity will issue four classes of notes described in the following table. The issuing entity will also issue certificates that represent all of the undivided beneficial ownership interests in the issuing entity and are not being offered to the public, but instead will be issued to and retained by Nissan Auto Leasing LLC II. One or more classes of notes may be initially retained by Nissan Auto Leasing LLC II or conveyed to certain specified affiliates of Nissan Auto Leasing LLC II. |
• | On the closing date, Nissan-Infiniti LT will issue a 2009-B SUBI Certificate, which will be transferred to the issuing entity at the time that the issuing entity issues the notes and certificates. The 2009-B SUBI Certificate is not being offered to the public under this prospectus supplement or the accompanying prospectus. |
• | The notes accrue interest from and including September 11, 2009. |
• | The principal of and interest on the notes will generally be payable on the 15th day of each month, unless the 15th day is not a business day, in which case payment will be made on the following business day. The first payment will be made on October 15, 2009. |
• | On the closing date, the notes (other than any notes then retained by Nissan Auto Leasing LLC II or conveyed to certain specified affiliates of Nissan Auto Leasing LLC II) will be eligible collateral under the Federal Reserve Bank of New York’s Term Asset-Backed Securities Loan Facility. The notes and the leases will satisfy all applicable criteria or securities relating to “prime” automobile leases under the Term Asset-Backed Securities Loan Facility and are subject to those considerations discussed under “Risk Factors — The requirements of the TALF program, the lack of availability of a TALF loan or the loss of TALF eligibility may adversely affect your financing options and the liquidity and market value of your notes” in this prospectus supplement. |
Final Scheduled | ||||||||||||
Principal Amount | Interest Rate | Payment Date | ||||||||||
Class A-1 Notes | $ | 213,000,000 | % | September 15, 2010 | ||||||||
Class A-2 Notes | $ | 308,000,000 | % | September 15, 2011 | ||||||||
Class A-3 Notes | $ | 423,000,000 | % | January 15, 2015 | ||||||||
Class A-4 Notes | $ | 80,850,000 | % | January 15, 2015 |
Price to Public(1) | Underwriting Discount(1) | Proceeds to the Depositor(1) | ||||||||||
PerClass A-1 Note | % | % | % | |||||||||
PerClass A-2 Note | % | % | % | |||||||||
PerClass A-3 Note | % | % | % | |||||||||
PerClass A-4 Note | % | % | % | |||||||||
(1) | Total price to the public is $ , total underwriting discount is $ and total proceeds to the Depositor are $ . If all of the classes of offered notes are not sold at the initial offering price, the underwriter may change the public offering price and the other selling terms. After the initial public offering, the underwriters may change the public offering price and selling concessions and reallowance discounts to dealers. |
• | Reserve account, with an initial deposit of at least $6,556,992.79, and thereafter a required balance of not less than $19,670,978.36. | |
• | The certificates with an original principal balance of at least $286,548,557.00 are subordinated to the notes to the extent described herein. |
J.P. Morgan | Deutsche Bank Securities | Citi |
RBS | BNP PARIBAS |
SOCIETE GENERALE | Calyon Securities (USA) |
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PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS
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APPENDIX B STATIC POOL INFORMATION REGARDING CERTAIN PREVIOUS SECURITIZATIONS | B-1 | |||
APPENDIX C HISTORICAL POOL PERFORMANCE | C-1 | |||
APPENDIX D ASSUMED CASH FLOWS | D-1 | |||
E-1 |
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• | The special unit of beneficial interest or SUBI represents a beneficial interest in specific Titling Trust assets. | |
• | The SUBI represents a beneficial interest in a pool of closed end Nissan and Infiniti vehicle leases and the related Nissan and Infiniti leased vehicles. | |
• | The UTI represents Titling Trust assets not allocated to the SUBI or any other special unit of beneficial interest similar to the SUBI and the Issuing Entity has no rights in either the UTI assets or the assets of any other SUBI. |
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* | This chart provides only a simplified overview of the priority of the monthly distributions. The order in which funds will flow each month as indicated above is applicable for so long as no indenture default has occurred. For more detailed information or for information regarding the flow of funds upon the occurrence of an indenture default, please refer to this prospectus supplement and the accompanying prospectus for a further description. |
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* | This chart provides only a simplified overview of the monthly flow of funds. Refer to this prospectus supplement for a further description. |
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Issuing Entity: (with respect to the notes and the certificates): | Nissan Auto Lease Trust 2009-B is the trust that was established by a trust agreement dated as of August 18, 2009 and will be the entity that issues the notes and the certificates. | |
Depositor: | Nissan Auto Leasing LLC II. | |
Servicer/Sponsor and Administrative Agent: | Nissan Motor Acceptance Corporation. | |
Indenture Trustee: | U.S. Bank National Association. | |
Owner Trustee: | Wilmington Trust Company. | |
Titling Trust: (also the issuing entity with respect to the SUBI certificate): | Nissan-Infiniti LT. | |
Titling Trustee: | NILT, Inc. | |
Underwriters with respect to the 2009-B SUBI Certificate: | NILT Trust and Nissan Auto Leasing LLC II. | |
Cutoff Date: | Close of business on July 31, 2009. | |
Closing Date: | September 11, 2009. | |
Assets of the Issuing Entity: | The primary assets of the issuing entity will consist of a certificate representing the beneficial interest in a pool of closed-end Nissan and Infiniti leases, the related Nissan and Infiniti leased vehicles and related assets, including the right to receive monthly payments under the leases and the amounts realized from sales of the related leased vehicles, together with amounts in various accounts, including a reserve account. | |
As of the close of business on July 31, 2009, the cutoff date, the leases and the related leased vehicles in the pool had: |
• | an aggregate securitization value of $1,311,398,557.00, | ||
• | an aggregate discounted base residual value of the related leased vehicles of $754,012,728.34 (approximately 57.50% of the aggregate securitization value), | ||
• | a weighted average original lease term of approximately 38 months, and | ||
• | a weighted average remaining term to scheduled maturity of approximately 26 months. |
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The securitization value of each lease and the related leased vehicle will be the sum of the present value of (i) the remaining monthly payments payable under the lease and (ii) the base residual of the leased vehicle. For purposes of presenting the pool information in this prospectus supplement, the present value calculations will be made using a discount rate of 7.25%. | ||
The base residual is the lowest of (a) the residual value of the related leased vehicle at the scheduled termination of the lease established by Automotive Lease Guide in August 2009 as a “mark-to-market” value without making a distinction between value adding options and non-value adding options, (b) the residual value of the related leased vehicle at the scheduled termination of the lease established by Automotive Lease Guide in August 2009 as a “mark-to-market” value giving only partial credit or no credit for options that add little or no value to the resale price of the vehicle and (c) the residual value of the related leased vehicle at the scheduled termination of the lease established or assigned by NMAC at the time of origination of the lease. | ||
On the closing date, the titling trust will issue a SUBI, constituting a beneficial interest in the leases and the related leased vehicles. The 2009-B SUBI Certificate will be transferred to the issuing entity at the time it issues the notes and the certificates. | ||
The 2009-B SUBI Certificate will evidence an indirect beneficial interest, rather than a direct ownership interest, in the related SUBI assets. By holding the 2009-B SUBI Certificate, the issuing entity will receive an amount equal to all payments made on or in respect of the SUBI assets, except as described under “Risk Factors — Interests of other persons in the leases and the leased vehicles could be superior to the issuing entity’s interest,which may result in delayed or reduced payment on your notes” in the accompanying prospectus. Payments made on or in respect of all other titling trust assets will not be available to make payments on the notes and the certificates. The 2009-B SUBI Certificate is not offered to you under this prospectus supplement or the accompanying prospectus. | ||
For more information regarding the issuing entity’s property, you should refer to “The Issuing Entity — Property of the Issuing Entity,” “The SUBI” and “The Leases” in this prospectus supplement. |
Class A-1 notes: | $ | 213,000,000 | ||
Class A-2 notes: | $ | 308,000,000 | ||
Class A-3 notes: | $ | 423,000,000 | ||
Class A-4 notes: | $ | 80,850,000 |
The offered notes will consist of the Class A-1 notes, the Class A-2 notes, the Class A-3 notes and the Class A-4 notes, as described on the cover page of this prospectus supplement. | ||
One or more classes of notes may be initially retained by the depositor or conveyed to certain specified affiliates of the depositor. | ||
Certificates: | The issuing entity will also issue certificates. The issuing entity is not offering the certificates. The certificates will be retained by the depositor. |
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The issuing entity will not make any distributions on the certificates until all principal of and interest on the notes have been paid in full. | ||
Terms of the Notes: | Payment Dates: | |
Interest and principal will generally be payable on the 15th day of each month, unless the 15th day is not a business day, in which case the payment will be made on the following business day. The first payment will be made on October 15, 2009. | ||
Denominations: | ||
The notes will be issued in minimum denominations of $25,000 and integral multiples of $1,000 in excess thereof in book-entry form (provided that any notes retained by the depositor or conveyed to certain specified affiliates of the depositor will be issued as definitive notes). | ||
Per annum interest rates: | ||
The notes will have fixed rates of interest (which we refer to in this prospectus supplement as “fixed rate notes”), as follows: |
Class A-1 notes: | % | |
Class A-2 notes: | % | |
Class A-3 notes: | % | |
Class A-4 notes: | % |
Interest Period and Payments: | ||
Interest on the notes will accrue in the following manner, except that on the first payment date, interest on all of the notes will accrue from and including the closing date: |
Day Count | ||||||
Class | From (Including) | To (Excluding) | Convention | |||
A-1 | Prior Payment Date | Current Payment Date | Actual/360 | |||
A-2 | 15th of prior month | 15th of current month | 30/360 | |||
A-3 | 15th of prior month | 15th of current month | 30/360 | |||
A-4 | 15th of prior month | 15th of current month | 30/360 |
Interest payments on the notes will be paid from all available funds after the servicing fee has been paid and certain advances and expenses have been reimbursed to the servicer. | ||
Principal: | ||
Amounts allocated to the notes; priority of payments: Principal of the notes will be payable on each payment date sequentially, in the following order of priority: | ||
(1) to the Class A-1 notes until they are paid in full, | ||
(2) to the Class A-2 notes until they are paid in full, |
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(3) to the Class A-3 notes until they are paid in full, and | ||
(4) to the Class A-4 notes until they are paid in full. | ||
Principal payments on the notes will be made from all available amounts after the servicing fee has been paid, certain advances have been reimbursed and after payment of interest on the notes. Until all principal due to the notes is paid, no principal will be paid to the certificates. | ||
Notwithstanding the foregoing, after the occurrence of an event of default under the indenture, referred to as an “indenture default,” and an acceleration of the notes (unless and until such acceleration has been rescinded), amounts available for payment of principal on the notes shall be made in the following priority, first to the Class A-1 notes, until the outstanding principal balance of the Class A-1 notes has been paid in full, and then to the Class A-2 notes, the Class A-3 notes and the Class A-4 notes on a pro rata basis, based on the respective outstanding principal balances of those classes of notes, until the outstanding principal balances of those classes of notes have been paid in full. | ||
Final Scheduled Payment Dates: The issuing entity must pay the outstanding principal balance of each class of notes by its final scheduled payment date as follows: |
Final Scheduled | ||||
Class | Payment Date | |||
A-1 | September 15, 2010 | |||
A-2 | September 15, 2011 | |||
A-3 | January 15, 2015 | |||
A-4 | January 15, 2015 |
For more detailed information concerning payments of principal, you should refer to “Description of the Notes — Principal” and “Distributions on the Notes” in this prospectus supplement. | ||
Enhancement: | The enhancement for the offered notes will consist of the reserve account and the subordination of the certificates. The enhancement is intended to protect you against losses and delays in payments on your notes by absorbing losses on the leases and other shortfalls in cash flows. | |
The Reserve Account: | ||
The depositor will establish a reserve account in the name of the indenture trustee. The reserve account will be funded as follows: |
• | on the closing date, the depositor will make an initial deposit into the reserve account of at least $6,556,992.79, which is approximately 0.50% of the aggregate securitization value of the leases and the related leased vehicles as of the cutoff date, and | ||
• | on each payment date while the notes remain outstanding, any excess collections remaining after payment of principal of and |
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interest on the notes and various other obligations and expenses of the issuing entity will be deposited into the reserve account until the reserve account balance is equal to not less than 1.50% of the aggregate securitization value of the leases and the related leased vehicles as of the cutoff date. |
On each payment date, after all appropriate deposits and withdrawals are made to and from the reserve account, any amounts on deposit in the reserve account in excess of the reserve account requirement will be released to the depositor. | ||
Funds in the reserve account on each payment date will be available to cover shortfalls in payments on the notes. The reserve account will be pledged to the indenture trustee to secure repayment of the notes. See “Distributions on the Notes — Deposits to the Distribution Accounts; Priority of Payments” in this prospectus supplement. | ||
For more information regarding the reserve account, you should refer to “Security for the Notes — The Accounts — The Reserve Account” in this prospectus supplement. | ||
Subordination of the Certificates: | ||
The certificates represent all of the ownership interests in the issuing entity. The certificates will not receive any distributions until all principal of and interest on the notes have been paid in full. The certificates will not receive any interest. | ||
Indenture Defaults: | The notes are subject to specified indenture defaults described under “Description of the Indenture — Indenture Defaults” in the accompanying prospectus. Among these indenture defaults are the failure to pay interest on the notes for five days after it is due or the failure to pay principal on the final scheduled payment date for the notes. | |
If an indenture default occurs and continues, the indenture trustee or the holders of at least a majority of the outstanding principal amount of the notes may declare the notes to be immediately due and payable. That declaration, under limited circumstances, may be rescinded by the holders of at least a majority of the outstanding principal amount of the notes. | ||
After an indenture default and the acceleration of the notes, funds on deposit in the collection account and any of the issuing entity’s bank accounts with respect to the affected notes will be applied to pay principal of and interest on the notes in the order and amounts described under “Description of the Notes — Interest” and “— Principal” in this prospectus supplement. | ||
If the notes are accelerated after an indenture default, the indenture trustee may, under certain circumstances: |
• | institute proceedings in its own name for the collection of all amounts then payable on the notes, |
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• | take any other appropriate action to protect and enforce the rights and remedies of the indenture trustee and the noteholders, or | ||
• | foreclose on the assets of the issuing entity, if the indenture default relates to a failure by the issuing entity to pay interest on the notes when due or principal of the notes on their respective final scheduled payment dates, by causing the issuing entity to sell those assets to permitted purchasers under the indenture. |
For more information regarding the events constituting an indenture default under the indenture and the remedies available following an indenture default, you should refer to “Description of the Indenture — Indenture Defaults” and “— Remedies Upon an Indenture Default” in the accompanying prospectus. | ||
Servicing/Administration: | Nissan Motor Acceptance Corporation will service the titling trust assets, including the SUBI assets. In addition, Nissan Motor Acceptance Corporation will perform the administrative obligations required to be performed by the issuing entity or the owner trustee under the indenture and the trust agreement. On each payment date, Nissan Motor Acceptance Corporation will be paid a fee for performing its servicing and administrative obligations in an amount equal to one-twelfth of 1.00% of the aggregate securitization value of the leases and leased vehicles represented by the 2009-B SUBI Certificate at the beginning of the preceding month, or in the case of the first payment date, at the cutoff date. The servicing fee will be payable from amounts collected under the leases and amounts realized from sales of the related leased vehicles, and will be paid to the servicer prior to the payment of principal of and interest on the notes. | |
You should refer to “Additional Information Regarding the Securities — Compensation for Servicer and Administrative Agent” in this prospectus supplement for more detailed information regarding the servicing fees to be paid to Nissan Motor Acceptance Corporation. | ||
Optional Purchase: | On each payment date, the servicer has the option to purchase or cause to be purchased all of the assets of the issuing entity on any payment date when the sum of the then-outstanding principal amount of the notes and the then-outstanding principal amount of the certificates is less than or equal to 5.00% of the sum of the initial principal amount of the notes and the initial principal amount of the certificates. If the servicer exercises this option, any notes that are outstanding at that time will be prepaid in whole at a redemption price equal to their unpaid principal amount plus accrued and unpaid interest. | |
For more information regarding the optional purchase, you should refer to “Additional Information Regarding the Securities — Optional Purchase” in this prospectus supplement. | ||
Advances: | The servicer is required to advance to the issuing entity (i) lease payments that are due but unpaid by the lessees and (ii) proceeds from expected sales on leased vehicles for which the related leases have terminated during the related collection period. The servicer will not be required to make any advance if it determines that it will not be able to recover an advance from future payments on the related lease or leased vehicle. |
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For more detailed information on advances and reimbursement of advances, you should refer to “Additional Information Regarding the Securities — Advances” in this prospectus supplement and “Description of the Servicing Agreement — Advances” in the accompanying prospectus. | ||
Tax Status: | On the closing date, and subject to certain assumptions and qualifications, Mayer Brown LLP, special tax counsel to the depositor, will render an opinion to the effect that the notes (other than notes retained, if any, by the depositor or conveyed to certain specified affiliates of the depositor) will be classified as debt for federal income tax purposes. The depositor will agree, and noteholders and beneficial owners will agree by accepting a note or a beneficial interest therein, to treat the notes as debt for federal income tax purposes. | |
We encourage you to consult your own tax advisor regarding the federal income tax consequences of the purchase, ownership and disposition of the notes and the tax consequences arising under the laws of any state or other taxing jurisdiction. | ||
For additional information concerning the application of federal income tax laws to the issuing entity and the notes, you should refer to “Material Federal Income Tax Consequences” in this prospectus supplement and the accompanying prospectus. | ||
Ratings: | The securities will be issued only if the Class A-1 notes are rated in the highest short-term rating category and the Class A-2 notes, the Class A-3 notes and the Class A-4 notes are rated in the highest long-term category. On the closing date, each class of notes will receive the following ratings from Standard & Poor’s Rating Services, a division of The McGraw Hill Companies, Inc., Moody’s Investors Service, Inc. and Fitch Inc.: |
Standard | ||||||
Class | & Poor’s | Moody’s | Fitch | |||
A-1 | A-1+ | Prime-1 | F1+ | |||
A-2 | AAA | Aaa | AAA | |||
A-3 | AAA | Aaa | AAA | |||
A-4 | AAA | Aaa | AAA |
There can be no assurance that a rating will not be lowered or withdrawn by an assigning rating agency. | ||
ERISA Considerations: | It is expected that the notes (other than the notes initially retained by the depositor or conveyed to certain specified affiliates of the depositor) will be eligible for purchase by Benefit Plans (as defined in “ERISA Considerations” in this prospectus supplement) subject to the considerations discussed under “ERISA Considerations” in this prospectus supplement. However, Benefit Plans contemplating a purchase of notes are encouraged to consult their counsel before making a purchase. | |
Money Market Investment: | The Class A-1 notes have been structured to be eligible securities for purchase by money market funds under Rule 2a-7 under the Investment Company Act of 1940. Money market funds contemplating a purchase |
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of the Class A-1 notes are encouraged to consult their counsel before making a purchase. | ||
Term Asset-Backed Securities Loan Facility Considerations: | On the closing date, the notes (other than any notes then retained by the depositor or conveyed to certain specified affiliates of the depositor) will be “eligible collateral” under the Federal Reserve Bank of New York’s Term Asset-Backed Securities Loan Facility. The notes and the leases will satisfy all applicable criteria or securities relating to “prime” automobile leases under the Term Asset-Backed Securities Loan Facility, and the issuing entity and sponsor have certified to the Federal Reserve Bank of New York that they have satisfied, or have undertaken to satisfy, all applicable requirements under TALF as set forth in the “Certification as to TALF Eligibility for Non-Mortgage-Backed Asset-Backed Securities” attached as Appendix E to this prospectus supplement. | |
You should refer to“TALF Considerations”and “Risk Factors – The requirements of the TALF program, the lack of availability of a TALF loan or the loss of TALF eligibility may adversely affect your financing options and the liquidity and market value of your notes” in this prospectus supplement. If you are an investor intending to pledge the notes as collateral for loans borrowed from the Federal Reserve Bank of New York under its Term Asset-Backed Securities Loan Facility, you are encouraged to consult with your financial and legal advisors regarding the program requirements of, eligibility for, and related legal and economic risks in connection with, loans under the Term Asset-Backed Securities Loan Facility. | ||
CUSIP Numbers: | Each class of notes will have the following CUSIP number: |
Class | CUSIP Number | |
A-1 | 65475D AA8 | |
A-2 | 65475D AB6 | |
A-3 | 65475D AC4 | |
A-4 | 65475D AD2 |
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The requirements of the TALF program, the lack of availability of a TALF loan or the loss of TALF eligibility may adversely affect your financing options and the liquidity and market value of your notes. | On the closing date, the notes (other than any notes then retained by the depositor or conveyed to certain specified affiliates of the depositor) will be “eligible collateral” under the Federal Reserve Bank of New York’s Term Asset-Backed Securities Loan Facility (“TALF”), as described under “TALF Considerations” in this prospectus supplement. Under TALF, subject to the program terms and conditions, the Federal Reserve Bank of New York (the “FRBNY”) may make loans secured by eligible asset-backed securities to eligible borrowers on a limited recourse basis. However, the FRBNY is under no obligation to extend credit to investors requesting TALF loans. If you intend to obtain a TALF loan to finance your investment but are unable to obtain a TALF loan, you may have limited or no alternative financing options and your expected return on your investment in the notes may be significantly reduced. | |
The notes may cease to be “eligible collateral” under TALF, which may adversely affect your financing options and the liquidity and market value of your notes. Although the notes will be eligible collateral for TALF on the closing date, as discussed under “TALF Considerations” in this prospectus supplement, there can be no assurance that the notes will remain eligible collateral for new TALF loans sought at any time after the closing date (or TALF loans sought to be assigned after the closing date), including due to changes in the terms and conditions of the TALF program or the characteristics of the notes or underlying lease and leased vehicles. For example, if any rating on the notes were to be lowered or withdrawn by Standard & Poor’s Rating Services, a division of the McGraw Hill Companies, Inc., Moody’s Investors Services, Inc. or Fitch Inc., the notes were assigned a credit rating below the highest investment-grade rating category from any other TALF-eligible nationally recognized statistical rating organization or the notes were placed on review or watch for downgrade, then the notes would no longer constitute eligible collateral, and an investor would not be able to obtain a new TALF loan secured by the notes or assign a TALF loan secured by the notes subsequent to such ratings action. Although the “Certification as to TALF Eligibility for Non-Mortgage-Backed Asset-Backed Securities” requires the sponsor and the issuing entity to notify FRBNY and all registered holders of the notes upon a determination that certain statements relating to eligibility of the collateral under TALF have ceased to be correct, neither the sponsor nor the issuing entity is obligated to monitor the continuing accuracy of the characteristics of the leases set forth herein after the closing date or to take actions to cause such ratings to be reinstated or such review or watch to be removed or to otherwise maintain the eligibility of the notes to be pledged as collateral under TALF. |
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Further, the FRBNY has indicated that assignment of TALF loans to other eligible borrowers may only occur with the consent of the FRBNY and prior to the expiration of the TALF program on March 31, 2010 (or if the TALF program is extended by the FRBNY to a later date, that later date). To the extent the notes cannot be pledged as collateral for a TALF loan after the closing date, it could limit your ability to resell those notes and adversely impact the price of your notes. | ||
Investors financing a purchase of notes with a TALF loan must access the TALF program through a primary dealer. An investor seeking a loan under the TALF program may only gain access to the TALF program as a borrower through a primary dealer that has agreed to be bound by the Master Loan and Security Agreement (“MLSA”) among the FRBNY, the primary dealers and The Bank of New York Mellon, as custodian and administrator. Although a TALF borrower will have various obligations and make various representations to the FRBNY, such borrower will not be in direct contractual privity with the FRBNY or any other governmental entity. The TALF borrower must enter into a customer agreement with a primary dealer that will act on behalf of the borrower in connection with a TALF loan and will receive from the borrower and deliver to the TALF custodian the eligible collateral, collateral haircut and other amounts due in connection with the closing of a TALF loan. Under the TALF program, the “collateral haircut,” which will be delivered by the borrower in connection with a TALF loan, is an amount of cash equal to the market value of the asset-backed securities to be pledged by a borrower to secure the TALF loan multiplied by a percentage set forth by the FRBNY as the applicable “haircut percentage,” which varies based on the type of asset underlying the asset-backed securities pledged by the related borrower. A TALF loan is limited recourse which exposes you to risk of loss with respect to the collateral haircut. Currently, requests for a TALF loan backed by auto lease-backed securities may be made once per month on the applicable TALF subscription date. On the subscription date, the primary dealer must provide the custodian with the CUSIP numbers and preliminary offering documents of all collateral expected to be pledged to secure the TALF loans, together with other information regarding the prospective borrower and the eligible collateral. On the TALF loan settlement date, the TALF borrower, through its primary dealer, will deliver the pledged collateral, the collateral haircut and the administrative fee due in connection with the TALF loan to The Bank of New York Mellon, as the TALF custodian. While it is not currently expected to do so, FRBNY is entitled to decline to make a TALF loan for any reason. If an investor in the notes fails to subscribe successfully for a TALF loan on the subscription date, or does not close the TALF loan on the TALF loan settlement date, that investor would not be able to apply for another TALF loan until the next TALF subscription date, at which date the notes may no longer constitute eligible collateral and the pricing for TALF loans may be higher. If you intend to obtain a TALF loan to finance your investment but are unable to do so, you may have limited alternative financing options and your expected return on your investment may be significantly reduced. See “—Terms and conditions to obtaining TALF loans may change and a purchaser of the notes may not be able to pledge the notes in the future.” |
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An investor in the notes who obtains a loan under the TALF program will not directly receive payments of interest on and principal of any notes pledged to secure the related TALF loan. Instead, payments with respect to notes pledged under the TALF program will be distributed directly to the TALF custodian, and will then be applied to pay interest on and principal of the TALF loan in accordance with the terms of the MLSA and the applicable customer agreement. While certain terms are required by the MLSA to be contained in each customer agreement, the terms of any particular customer agreement may vary depending on the primary dealer or dealers selected by an investor. We can make no assurances of the creditworthiness or operations of any particular primary dealer, or that the terms offered under any particular primary dealer’s customer agreement will be acceptable to you. | ||
An assignment of a TALF loan may also require the consent of the primary dealer that arranged the TALF loan. In addition, we can give no assurance that any TALF-related request by a primary dealer for future documentation, fees or assurances occurring after the issuance of the notes with respect to secondary market purchases of the notes will be acceptable to you, and it is expected that none of the sponsor, the depositor, the issuing entity, the underwriters or any of their subsidiaries or affiliates will have any obligation to comply with any future request made by a primary dealer. As a result of the foregoing, you may not be able to sell your notes when you want to do so or you may not be able to obtain the price that you wish to receive. See “Risk Factors—Lack of liquidity in the secondary market may adversely affect your notes” in this prospectus supplement. | ||
The FRBNY may enforce its rights in the collateral and sell your notes. The FRBNY is permitted to assign asset-backed securities pledged as collateral to secure a TALF loan to TALF LLC, a special purpose entity, upon the occurrence of certain defaults (including the failure to repay the TALF loan by the applicable maturity date, which is currently three years from the date the loan is made for loans secured by auto lease-backed securities, and failure of the TALF borrower to satisfy the FRBNY’s eligibility criteria) and other events described in the MLSA, and TALF LLC may liquidate the collateral and, under certain circumstances described in “TALF Considerations—Defaults on TALF Loans,” pursue remedies against the TALF borrower. If TALF LLC were to liquidate collateral or pursue remedies with respect to the notes (including as a result of defaults or other actions of other TALF borrowers), or with respect to similar securities, the effect may be to depress the secondary market price of your notes. | ||
If you obtain a TALF loan secured by your notes and the outstanding principal amount of the loan is not repaid on or before the TALF loan’s maturity date, you must repay the outstanding principal amount of the TALF loan on the maturity date or surrender your notes to the FRBNY without compensation for the unamortized collateral haircut. Payment of your notes pledged as collateral for a TALF loan could occur later than the maturity date of the TALF loan, which is three years from the date issued. If your note remains outstanding on the maturity date of the TALF loan and you are unable to repay the outstanding balance of the TALF loan, you may suffer a loss on your |
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investment in your notes. See “Description of the Notes— Principal” in this prospectus supplement. If an investor with a TALF loan defaults on the TALF loan, in most cases, the FRBNY and its designated agents (including TALF LLC) may only exercise remedies against the eligible collateral and related collateral haircut securing the loan. However, there are certain exceptions to the limited recourse nature of the TALF facility outlined in the MLSA that may result in a TALF borrower being subject to recourse for amounts in excess of the value of the collateral haircut and the pledged asset-backed securities collateral, as further described in “TALF Considerations–Defaults on TALF Loans” in this prospectus supplement. | ||
Terms and conditions to obtaining TALF loans may change and a purchaser of notes may not be able to pledge the notes in the future. The FRBNY, the Treasury Department and other agencies of the U.S. government have announced that TALF will be funded with $200 billion, with a possible increase up to $1 trillion. In addition, TALF is capitalized with $20 billion in funds from the U.S. Treasury Department’s Troubled Assets Relief Program (“TARP”). No assurance can be made that the entire amount of funds initially dedicated to TALF or TARP will be available through the maturity of notes pledged as collateral for TALF loans if the U.S. Congress, Treasury Department or Board of Governors of the Federal Reserve System determines that funding should be reduced or reallocated for other purposes. | ||
No assurance can be made that the FRBNY will refrain from changing (including retroactively) the terms of the MLSA and other terms and conditions of the TALF program. In particular, no assurance can be made that the FRBNY will not change the eligibility requirements for collateral to be pledged under TALF or that the collateral haircuts initially announced will remain at their present levels. To the extent the notes cannot be pledged as collateral for a TALF loan after the closing date, it could limit your ability to resell those notes and adversely impact the price of your notes. | ||
For more information about the notes and TALF, see “TALF Considerations” in this prospectus supplement. However, this prospectus supplement does not purport to describe all the requirements of participation in the TALF program or the associated risks or the availability or advisability of financing an investment in the notes with loans from the FRBNY under TALF. Potential investors in the notes should consult with their own financial and legal advisors with respect to the program requirements of, eligibility for, and related legal and economic risks in connection with, TALF loans. | ||
You may have difficulty selling your notes and/or obtaining your desired price due to the absence of a secondary market. | The notes will not be listed on any securities exchange. Therefore, in order to sell your notes, you must first locate a willing purchaser. The absence of a secondary market for the notes could limit your ability to resell them. Currently, no secondary market exists for the notes. We cannot assure you that a secondary market will develop. The underwriters intend to make a secondary market for the offered notes by offering to buy the offered notes from investors that wish to sell. However, the underwriters are not obligated to make offers to buy the |
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offered notes and they may stop making offers at any time. In addition, the underwriters’ offered prices, if any, may not reflect prices that other potential purchasers would be willing to pay were they given the opportunity. There have been times in the past where there have been very few buyers of asset backed securities and, thus, there has been a lack of liquidity. There may be similar lack of liquidity at times in the future. | ||
As a result of the foregoing restrictions and circumstances, you may not be able to sell your notes when you want to do so and you may not be able to obtain the price that you wish to receive. | ||
Payment priorities increase risk of loss or delay in payment to certain notes. | Based on the priorities described under “Distributions on the Notes” in this prospectus supplement, classes of notes that receive payments, particularly principal payments, before other classes will be repaid more rapidly than the other classes of notes. In addition, because principal of each class of notes will be paid sequentially (so long as no event of default has occurred), classes of notes that have higher sequential numerical class designations (i.e., 2 being higher than 1) will be outstanding longer and therefore will be exposed to the risk of losses on the leases during periods after other classes of notes have been receiving most or all amounts payable on their notes, and after which a disproportionate amount of credit enhancement may have been applied and not replenished. | |
Because of the priority of payment on the notes, the yields of the Class A-2 notes, Class A-3 notes and Class A-4 notes will be relatively more sensitive to losses on the leases and the timing of such losses than the Class A-1 notes. Accordingly, the Class A-3 and Class A-4 notes will be relatively more sensitive to losses on the leases and the timing of such losses than the Class A-1 notes and the Class A-2 notes. The Class A-4 notes will be relatively more sensitive to losses on the leases and the timing of such losses than the Class A-1 notes, the Class A-2 notes and the Class A-3 notes. If the actual rate and amount of losses exceed your expectations, and if amounts in the reserve account are insufficient to cover the resulting shortfalls, the yield to maturity on your notes may be lower than anticipated, and you could suffer a loss. | ||
Classes of notes that receive payments earlier than expected are exposed to greater reinvestment risk, and classes of notes that receive principal later than expected are exposed to greater risk of loss. In either case, the yields on your notes could be materially and adversely affected. | ||
The geographic concentration of the leases, economic factors and lease performance could negatively affect the pool assets. | As of the cutoff date, Nissan Motor Acceptance Corporation’s records indicate that the addresses of the vehicle registrations of the leased vehicles were most highly concentrated in the following states: |
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Percentage of | ||||
Aggregate | ||||
State | Securitization Value | |||
New York | 14.28 | % | ||
New Jersey | 12.40 | % | ||
Florida | 12.38 | % | ||
California | 9.31 | % | ||
Texas | 5.88 | % | ||
Pennsylvania | 5.26 | % |
No other state, based on the addresses of the state of registration of the leased vehicles, accounted for more than 5.00% of the aggregate securitization value of the leases as of the cutoff date. Economic conditions or other factors affecting these states in particular could adversely affect the delinquency, credit loss, repossession or prepayment experience of the issuing entity. | ||
The concentration of leased vehicles to particular models could negatively affect the pool assets. | The Altima, Murano and G35 models represent approximately 29.17%, 18.08% and 10.22%, respectively, of the aggregate securitization value of the leases allocated to the SUBI as of the cutoff date. Any adverse change in the value of a specific model type would reduce the proceeds received at disposition of a related leased vehicle. As a result, you may incur a loss on your investment. | |
Risk of loss or delay in payment may result from delays in the transfer of servicing due to the servicing fee structure. | Because the servicing fee is structured as a percentage of the aggregate securitization value of the leases and leased vehicles, the amount of the servicing fee payable to the servicer may be considered insufficient by potential replacement servicers if servicing is required to be transferred at a time when much of the aggregate outstanding securitization value of the leases and leased vehicles has been repaid. Due to the reduction in servicing fee as described in the foregoing, it may be difficult to find a replacement servicer. Consequently, the time it takes to effect the transfer of servicing to a replacement servicer under such circumstances may result in delays and/or reductions in the interest and principal payments on your notes. | |
The return on your notes could be reduced by shortfalls due to extreme weather conditions and natural disasters. | Extreme weather conditions could cause substantial business disruptions, economic losses, unemployment and an economic downturn. As a result, the related lessees’ ability to make payments on the leases could be adversely affected. The issuing entity’s ability to make payments on the notes could be adversely affected if the related obligors were unable to make timely payments. | |
In addition, natural disasters may adversely affect lessees of the leases. The effect of natural disasters on the performance of the leases is unclear, but there may be an adverse effect on general economic conditions, consumer confidence and general market liquidity. |
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Investors should consider the possible effects on delinquency, default and early termination experience on the performance of the leases. | ||
Risks associated with legal proceedings relating to leases. | From time to time, Nissan Motor Acceptance Corporation is a party to legal proceedings, and is presently a party to, and is vigorously defending, various legal proceedings, including proceedings that are or purport to be class actions. Some of these actions may include claims for rescission and/or set-off, among other forms of relief. Each of Nissan Auto Leasing LLC II, the depositor, and Nissan Motor Acceptance Corporation, the servicer, will make representations and warranties relating to the leases’ compliance with law and the issuing entity’s ability to enforce the lease contracts. If there is a breach of any of these representations or warranties, the issuing entity’s sole remedy will be to require Nissan Auto Leasing LLC II to repurchase the affected leases. Nissan Motor Acceptance Corporation believes each such proceeding constitutes ordinary litigation incidental to the business and activities of major lending institutions, including Nissan Motor Acceptance Corporation. The amount of liability on pending claims and actions as of the date of this prospectus supplement is not determinable; however, in the opinion of the management of Nissan Motor Acceptance Corporation, the ultimate liability resulting from such litigation should not have a material adverse effect on Nissan Motor Acceptance Corporation’s consolidated financial position or results of operation. However, there can be no assurance in this regard. | |
The residual value of leased vehicles may be adversely affected by discount pricing incentives, marketing incentive programs and other market factors. | Historical residual value loss experience on leased vehicles is partially attributable to new car pricing policies of all manufacturers. Discount pricing incentives or other marketing incentive programs on new cars by Nissan North America, Inc. or by its competitors that effectively reduce the prices of new cars may have the effect of reducing demand by consumers for used cars. In addition, the pricing of used vehicles is affected by supply and demand for such vehicles, which in turn is affected by consumer tastes, economic factors, fuel costs, the introduction and pricing of new car models and other factors, including concerns about the viability of the related vehicle manufacturer and/or an actual failure or bankruptcy of the related vehicle manufacturer. In addition, decisions by Nissan North America, Inc. with respect to new vehicle production, pricing and incentives may affect used vehicle prices, particularly those for the same or similar models. The reduced demand for used cars resulting from discount pricing incentives, other marketing incentive programs introduced by Nissan North America, Inc. or any of its competitors or other market factors may reduce the prices consumers will be willing to pay for used cars, including leased vehicles included in the pool assets at the end of the related leases and thus reduce the residual value of such leased vehicles. As a result, the proceeds received by the titling trust upon disposition of leased vehicles may be reduced and may not be sufficient to pay amounts owing on the notes. |
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The ratings of the notes may be withdrawn or revised which may have an adverse effect on the market price of the notes. | A security rating is not a recommendation to buy, sell or hold the notes. The ratings are an assessment by the rating agencies of the likelihood that interest on a class of notes will be paid on a timely basis and that a class of notes will be paid in full by its final scheduled payment date. Ratings on the notes may be lowered, qualified or withdrawn at any time without notice from the issuing entity or the depositor. The ratings do not consider to what extent the notes will be subject to prepayment or that the outstanding principal amount of any class of notes will be paid prior to the final scheduled payment date for that class of notes. | |
If any rating on the notes were to be lowered or withdrawn by Standard & Poor’s Rating Services, a division of the McGraw Hill Companies, Inc., Moody’s Investors Services, Inc., Fitch Inc. or their respective successors, the notes were assigned a credit rating below the highest investment grade rating category from any other TALF-eligible nationally recognized statistical rating organization or the notes were placed on review or watch for downgrade, then the notes would no longer constitute “eligible collateral” for purposes of TALF and an investor would not be able to obtain a new TALF loan secured by the notes. See“—The requirements of the TALF program, the lack of availability of a TALF loan or the loss of TALF eligibility may adversely affect your financing options and the liquidity and market value of your notes—The notes may cease to be ‘eligible collateral’ under TALF, which may adversely affect your financing options and the liquidity and marketability of your notes” above. | ||
Lack of liquidity in the secondary market may adversely affect your notes. | The secondary market for asset-backed securities could be and may in the future experience significant reduced liquidity. This period of illiquidity may continue and may adversely affect the market value of your notes. See “Risk Factors – You may have difficulty selling your notes and/or obtaining your desired price due to the absence of a secondary market” in this prospectus supplement. | |
Retention of the notes by the depositor or an affiliate of the depositor may reduce the liquidity of such notes. | Some or all of one or more classes of notes may be retained by the depositor or conveyed to certain specified affiliates of the depositor. Accordingly, the market for such a retained class of notes may be less liquid than would otherwise be the case. In addition, if any retained notes are subsequently sold in the secondary market, demand and market price for notes of that class already in the market could be adversely affected. |
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Credit scores and historical loss experience may not accurately predict the likelihood of losses on the leases. | Information regarding credit scores for the lessees obtained at the time of origination of the related lease is presented in “The Leases—Characteristics of the Leases—General” in this prospectus supplement. A credit score purports only to be a measurement of the relative degree of risk a borrower represents to a lender, i.e., that a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score. Neither the depositor, the sponsor nor any other party makes any representations or warranties as to any lessee’s current credit score or the actual performance of any lease or that a particular credit score should be relied upon as a basis for an expectation that a lease will be paid in accordance with its terms. | |
Additionally, historical loss and delinquency information set forth in this prospectus supplement under “Prepayments, Delinquencies, Repossessions and Net Losses—Delinquency, Repossession and Credit Loss Information” and “—Residual Value Loss Experience” was affected by several variables, including general economic conditions and market residual values, that are likely to differ in the future. Therefore, there can be no assurance that the net loss experience calculated and presented in this prospectus supplement with respect to Nissan Motor Acceptance Corporation’s managed portfolio of leases will reflect actual experience with respect to the leases allocated to the SUBI. There can be no assurance that the future delinquency or loss experience of the servicer with respect to the leases will be better or worse than that set forth in this prospectus supplement with respect to Nissan Motor Acceptance Corporation’s managed portfolio. | ||
The United States is experiencing a severe economic downturn that may adversely affect the performance of the leases. Rising unemployment and continued lack of availability of credit may lead to increased delinquency and default rates by obligors, as well as decreased consumer demand for cars and trucks and reduced used vehicle prices, which could increase the amount of a loss if the lease defaults. Delinquencies and losses on car and truck leases generally have increased in recent months. If the economic downturn worsens, or continues for a prolonged period of time, delinquencies and losses on the leases could continue to increase, which could result in losses on the notes. |
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• | to establish a special unit of beneficial interest (the “SUBI”) and | ||
• | to allocate to the SUBI a separate portfolio of leases (the “Leases”), the related vehicles leased under the Leases (the “Leased Vehicles”), the cash proceeds associated with such Leases, the security deposits made by the lessees, the certificates of title relating to the Leased Vehicles and the right to receive payments under any insurance policy relating to the Leases, the Leased Vehicles or the related lessees. |
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• | issuing the Securities, | ||
• | acquiring the 2009-B SUBI Certificate and the other property of the Issuing Entity with the net proceeds from the sale of the Notes and certain capital contributions, and unsecured subordinated loans, made by NMAC, | ||
• | assigning and pledging the property of the Issuing Entity to the Indenture Trustee, | ||
• | making payments on the Notes and the Certificates, | ||
• | entering into and performing its obligations under the Basic Documents (as defined herein) to which it is a party, | ||
• | engaging in other transactions, including entering into agreements, that are necessary, suitable or convenient to accomplish, or that are incidental to or connected with, any of the foregoing activities, and | ||
• | subject to compliance with the Basic Documents, engaging in such other activities as may be required in connection with conservation of the property of the Issuing Entity (the “Issuing Entity’s Estate”) and the making of distributions to the holders of the Notes and the Certificates. |
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Amount | ||||
Class A-1 Notes | $ | 213,000,000.00 | ||
Class A-2 Notes | $ | 308,000,000.00 | ||
Class A-3 Notes | $ | 423,000,000.00 | ||
Class A-4 Notes | $ | 80,850,000.00 | ||
Certificates | $ | 286,548,557.00 | ||
Subtotal | $ | 1,311,398,557.00 | ||
Reserve Account | $ | 6,556,992.79 | ||
Total | $ | 1,317,955,549.79 | ||
• | the 2009-B SUBI Certificate, evidencing a 100% beneficial interest in the SUBI Assets, including the lease payments and the right to payments received after July 31, 2009 (the “Cutoff Date”) from the sale or other disposition of the Leased Vehicles on deposit in the SUBI Collection Account and investment earnings, net of losses and investment expenses, on amounts on deposit in the SUBI Collection Account, | |
• | the Reserve Account and any amounts deposited therein (including investment earnings, net of losses and investment expenses, on amounts on deposit therein), | |
• | the rights of the Indenture Trustee as secured party under a back-up security agreement dated as of the Closing Date among the Issuing Entity, NMAC, the Titling Trust, the UTI Beneficiary, the Depositor and the Indenture Trustee (the “Back-up Security Agreement”) with respect to the 2009-B SUBI Certificate and the 100% undivided interest in the SUBI Assets, |
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• | the rights of the Issuing Entity to funds on deposit from time to time in the Note Distribution Account and any other account or accounts established pursuant to the Indenture, | |
• | the rights of the Depositor, as transferee, under the SUBI Certificate Transfer Agreement, | |
• | the rights of the Issuing Entity, as transferee, under the Trust SUBI Certificate Transfer Agreement, | |
• | the rights of the Issuing Entity as a third-party beneficiary of the Servicing Agreement, to the extent relating to the SUBI Assets, and the SUBI Trust Agreement, and | |
• | all proceeds and other property from and relating to the foregoing; provided that actual sales proceeds will not constitute part of the Issuing Entity’s Estate (as described under “Nissan Motor Acceptance Corporation — Like Kind Exchange” in the accompanying Prospectus). |
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• | amounts in the SUBI Collection Account received in respect of the Leases or the sale of the Leased Vehicles, | ||
• | certain monies due under or payable in respect of the Leases and the Leased Vehicles after the Cutoff Date, including the right to receive payments made to NMAC, the Depositor, the Titling Trust, the Titling Trustee or the Servicer under any insurance policy relating to the Leases, the Leased Vehicles or the related lessees, and | ||
• | all proceeds of the foregoing. |
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• | sell, transfer and assign to the Issuing Entity, without recourse, all of its right, title and interest in and to the 2009-B SUBI Certificate under a transfer agreement, to be dated as of the Closing Date (the “Trust SUBI Certificate Transfer Agreement”) and | ||
• | deliver the 2009-B SUBI Certificate to the Issuing Entity. |
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• | relates to a Nissan or an Infiniti automobile, light duty truck, minivan or sport utility vehicle, of a model year of 2005 or later, | ||
• | is written with respect to a Leased Vehicle that was at the time of the origination of the related Lease a new Nissan or Infiniti motor vehicle, | ||
• | was originated in the United States on or after December 2004, by a Dealer (a) for a lessee with a United States address, (b) in the ordinary course of such Dealer’s business, and (c) pursuant to a Dealer agreement |
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that provides for recourse to the Dealer in the event of certain defects in the Lease, but not for default by the lessee, | |||
• | has a remaining term to maturity, as of the Cutoff Date, of not less than 2 months and not greater than 58 months, | ||
• | provides for level payments (exclusive of taxes) that fully amortize the Adjusted Capitalized Cost of the Contract Residual at a rate implicit in the Lease (the “Lease Rate”) and corresponding to the disclosed rent charge and, in the event of a Lessee Initiated Early Termination, provides for payment of an Early Termination Charge, | ||
• | is not more than 29 days past due as of the Cutoff Date, | ||
• | is owned, and the related Leased Vehicle is owned by the Titling Trust, free of all liens (including tax liens, mechanics’ liens, and other liens that arise by operation of law), other than any lien upon a certificate of title of any Leased Vehicles deemed necessary and useful by the Servicer solely to provide for delivery of title documentation to the Titling Trustee (an “Administrative Lien”), | ||
• | was originated in compliance with, and complies in all material respect with, all material applicable legal requirements, including, to the extent applicable, the Federal Consumer Credit Protection Act, Regulation M of the Board of Governors of the Federal Reserve, all state leasing and consumer protection laws and all state and federal usury laws, | ||
• | is the valid, legal, and binding full-recourse payment obligation of the related lessee, enforceable against such lessee in accordance with its terms, except as such enforceability may be limited by (a) applicable bankruptcy, insolvency, reorganization, moratorium, or other similar laws, now or hereafter in effect, affecting the enforcement of credits’ rights in general or (b) general principles of equity, | ||
• | is payable solely in U.S. dollars, | ||
• | the related lessee of which is a person located in any state within the United States or the District of Columbia and is not (a) NMAC or any of its affiliates, or (b) the United States of America or any state or local government or any agency or potential subdivision thereof, and | ||
• | together with the related Leased Vehicle, has a Securitization Value, as of the Cutoff Date, of no greater than $98,676.77. |
• | 85% or more of the dollar amount of the Leases were originated on or after October 1, 2007; and | ||
• | 95% or more of the dollar amount of the Leases are (a) originated by U.S.-organized entities or institutions or U.S. branches or agencies of foreign banks and (b) exposures to U.S.-domiciled obligors. |
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Percentage of | Percentage of | |||||||||||||||
Number | Total | Aggregate | Aggregate | |||||||||||||
of | Number of | Securitization | Securitization | |||||||||||||
FICO® Score Range | Leases | Leases(1) | Value(1) | Value(1) | ||||||||||||
Unavailable | 1,376 | 2.30 | % | $ | 34,752,915.42 | 2.65 | % | |||||||||
529 – 550 | 1 | 0.00 | 21,407.85 | 0.00 | ||||||||||||
551 – 600 | 77 | 0.13 | 1,526,735.41 | 0.12 | ||||||||||||
601 – 650 | 4,505 | 7.54 | 93,885,582.08 | 7.16 | ||||||||||||
651 – 700 | 10,196 | 17.06 | 222,229,991.13 | 16.95 | ||||||||||||
701 – 750 | 14,679 | 24.55 | 321,235,608.37 | 24.50 | ||||||||||||
751 – 800 | 14,329 | 23.97 | 317,024,328.66 | 24.17 | ||||||||||||
801 – 850 | 13,738 | 22.98 | 301,280,560.55 | 22.97 | ||||||||||||
851 – 886 | 881 | 1.47 | 19,441,427.52 | 1.48 | ||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | |||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Balances and percentages may not add to total due to rounding. | |
1 | FICO® is a federally registered servicemark of Fair, Isaac and Company. |
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Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 21,936.34 | $ | 7,804.73 | $ | 98,676.77 | ||||||
Base Residual | $ | 14,768.78 | $ | 4,776.00 | $ | 60,279.00 | ||||||
Seasoning (Months)(1)(2) | 12 | 1 | 56 | |||||||||
Remaining Term (Months)(1) | 26 | 2 | 58 | |||||||||
Original Term (Months)(1) | 38 | 24 | 60 | |||||||||
Discounted Base Residual as a % of Securitization Value | 57.50 | % | ||||||||||
Base Residual as a % of MSRP | 46.95 | % | ||||||||||
Percentage of Securitization Value Financed through Nissan or Infiniti Dealers | Nissan 71.21 | % | ||||||||||
Infiniti 28.79 | % |
(1) | Weighted average by Securitization Value as of the Cutoff Date. | |
(2) | Seasoning is the number of months elapsed since origination of a Lease. |
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(1) | was originated by a dealer located in the United States (a) in the ordinary course of its business and (b) in compliance with NMAC’s customary credit and collection policies and practices, | ||
(2) | has been validly assigned to the Titling Trust by the related Dealer and is owned by the Titling Trust, free of all liens, encumbrances or rights of others (other than the holder of any Administrative Lien), | ||
(3) | is a U.S. dollar-denominated obligation, | ||
(4) | constitutes “electronic chattel paper” or “tangible chattel paper,” as applicable, as defined under the UCC, or, in the case of Leases that were originated as “electronic chattel paper” and modified via tangible “records,” as such term is used in the UCC, constitutes a combination of electronic “records” and tangible “records,” as such term is used in the UCC (herein called “Hybrid Chattel Paper”), | ||
(5) | is not recourse to the Dealer, | ||
(6) | is a lease as to which no selection procedure that was believed by NMAC to be adverse to the holder of the 2009-B SUBI Certificate was used, | ||
(7) | was created in compliance in all material respects with all applicable federal and state laws, including consumer credit, truth in lending, equal credit opportunity and applicable disclosure laws, | ||
(8) | as of the Cutoff Date, (a) is a legal, valid and binding payment obligation of the related lessee, enforceable against the lessee in accordance with its terms, as amended, (b) has not been satisfied, subordinated, rescinded, canceled or terminated, (c) is a lease as to which no right of rescission, setoff, counterclaim or defense has been asserted or threatened in writing, (d) is a lease as to which no default (other than payment defaults continuing for a period of no more than 29 days as of the Cutoff Date), breach or violation shall have occurred and no continuing condition that, with notice or lapse of time or both, would constitute a default, breach or violation and (e) is a lease as to which none of the foregoing shall have been waived (other than deferrals and waivers of late payment charges or fees permitted under the Servicing Agreement), | ||
(9) | had an original term of not less than 24 months and not greater than 60 months, | ||
(10) | is a Lease for which the related documentation is located at an address specified by NMAC, and | ||
(11) | the Servicer has determined that the lessee has agreed to obtain and maintain physical damage and liability insurance covering the related Leased Vehicle as required under the Lease. |
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Calculation Date | Securitization Value Formula | |
as of any date other than its Lease Maturity Date: | the present value, calculated using the Securitization Rate, of the sum of (a) the aggregate Monthly Payments remaining on the Lease and (b) the Base Residual of the related Leased Vehicle and | |
as of its Lease Maturity Date: | the Base Residual of the related Leased Vehicle. |
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Percentage of | ||||||||||||||||
Number | Percentage of | Aggregate | Aggregate | |||||||||||||
of | Total Number | Securitization | Securitization | |||||||||||||
Models | Leases | of Leases(1) | Value(1) | Value(1) | ||||||||||||
350Z | 62 | 0.10 | % | $ | 1,423,545.07 | 0.11 | % | |||||||||
370Z | 130 | 0.22 | 4,307,929.20 | 0.33 | ||||||||||||
Altima | 22,275 | 37.26 | 382,561,159.32 | 29.17 | ||||||||||||
Altima Coupe | 1,017 | 1.70 | 20,758,508.55 | 1.58 | ||||||||||||
Armada | 164 | 0.27 | 4,312,014.26 | 0.33 | ||||||||||||
Cube | 49 | 0.08 | 865,114.59 | 0.07 | ||||||||||||
EX35 | 1,088 | 1.82 | 30,641,280.89 | 2.34 | ||||||||||||
Frontier | 166 | 0.28 | 2,762,150.39 | 0.21 | ||||||||||||
FX35 | 1,119 | 1.87 | 31,851,579.06 | 2.43 | ||||||||||||
FX45 | 23 | 0.04 | 754,180.60 | 0.06 | ||||||||||||
G35 | 5,274 | 8.82 | 134,064,907.83 | 10.22 | ||||||||||||
G35 Coupe | 54 | 0.09 | 1,213,318.51 | 0.09 | ||||||||||||
G37 | 2,580 | 4.32 | 76,349,938.65 | 5.82 | ||||||||||||
GT-R | 49 | 0.08 | 3,854,379.86 | 0.29 | ||||||||||||
M35 | 1,616 | 2.70 | 47,658,215.98 | 3.63 | ||||||||||||
M45 | 299 | 0.50 | 10,274,821.58 | 0.78 | ||||||||||||
Maxima | 4,853 | 8.12 | 127,191,544.67 | 9.70 | ||||||||||||
Murano | 9,907 | 16.57 | 237,051,433.56 | 18.08 | ||||||||||||
Pathfinder | 1,275 | 2.13 | 24,693,796.91 | 1.88 | ||||||||||||
Q45 | 13 | 0.02 | 314,393.85 | 0.02 | ||||||||||||
Quest | 91 | 0.15 | 1,483,478.33 | 0.11 | ||||||||||||
QX56 | 1,341 | 2.24 | 44,369,870.27 | 3.38 | ||||||||||||
Rogue | 4,999 | 8.36 | 104,040,925.32 | 7.93 | ||||||||||||
Sentra | 815 | 1.36 | 11,225,807.12 | 0.86 | ||||||||||||
Titan | 163 | 0.27 | 2,593,506.95 | 0.20 | ||||||||||||
Versa | 184 | 0.31 | 2,214,846.64 | 0.17 | ||||||||||||
Xterra | 176 | 0.29 | 2,565,909.03 | 0.20 | ||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | |||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Balances and percentages may not add to total due to rounding. |
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Percentage of | Percentage of | |||||||||||||||
Number | Total | Aggregate | Aggregate | |||||||||||||
of | Number of | Securitization | Securitization | |||||||||||||
Vehicle Type | Leases | Leases(1) | Value(1) | Value(1) | ||||||||||||
Car | 39,361 | 65.84 | % | $ | 825,761,909.76 | 62.97 | % | |||||||||
Crossover | 17,136 | 28.66 | 404,339,399.43 | 30.83 | ||||||||||||
SUV | 2,956 | 4.94 | 75,941,590.48 | 5.79 | ||||||||||||
Truck | 329 | 0.55 | 5,355,657.34 | 0.41 | ||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | |||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Balances and percentages may not add to total due to rounding. |
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Percentage | Percentage of | |||||||||||||||
Number | of Total | Aggregate | Aggregate | |||||||||||||
of | Number of | Securitization | Securitization | |||||||||||||
Months | Leases | Leases(1) | Value(1) | Value(1) | ||||||||||||
24 — 36 | 8,434 | 14.11 | % | $ | 186,042,512.52 | 14.19 | % | |||||||||
37 — 42 | 50,870 | 85.09 | 1,113,425,484.23 | 84.90 | ||||||||||||
43 — 48 | 124 | 0.21 | 3,030,013.26 | 0.23 | ||||||||||||
49 — 60 | 354 | 0.59 | 8,900,546.99 | 0.68 | ||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | |||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Balances and percentages may not add to total due to rounding. |
Percentage | Percentage of | |||||||||||||||
Number | of Total | Aggregate | Aggregate | |||||||||||||
of | Number of | Securitization | Securitization | |||||||||||||
Months | Leases | Leases(1) | Value(1) | Value(1) | ||||||||||||
2 — 6 | 1,106 | 1.85 | % | $ | 20,571,942.56 | 1.57 | % | |||||||||
7 — 12 | 2,272 | 3.80 | 54,975,950.37 | 4.19 | ||||||||||||
13 — 18 | 6,289 | 10.52 | 110,264,777.99 | 8.41 | ||||||||||||
19 — 24 | 15,194 | 25.42 | 362,666,617.30 | 27.65 | ||||||||||||
25 — 30 | 18,738 | 31.34 | 369,657,571.25 | 28.19 | ||||||||||||
31 — 36 | 12,224 | 20.45 | 299,060,475.95 | 22.80 | ||||||||||||
37 — 42 | 3,899 | 6.52 | 92,003,795.77 | 7.02 | ||||||||||||
43 — 48 | 28 | 0.05 | 974,875.68 | 0.07 | ||||||||||||
49 — 54 | 1 | 0.00 | 32,753.49 | 0.00 | ||||||||||||
55 — 58 | 31 | 0.05 | 1,189,796.64 | 0.09 | ||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | |||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Balances and percentages may not add to total due to rounding. |
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Percentage | Percentage of | Percentage | ||||||||||||||||||||||
Number | of Total | Aggregate | Aggregate | of Aggregate | ||||||||||||||||||||
of | Number of | Securitization | Securitization | Aggregate | Base | |||||||||||||||||||
Quarter | Leases | Leases(1) | Value(1) | Value(1) | Base Residual(1) | Residual(1) | ||||||||||||||||||
4th Quarter 2009 | 296 | 0.50 | % | $ | 5,238,040.05 | 0.40 | % | $ | 4,771,282.85 | 0.54 | % | |||||||||||||
1st Quarter 2010 | 1,203 | 2.01 | 24,762,678.39 | 1.89 | 21,602,225.93 | 2.45 | ||||||||||||||||||
2nd Quarter 2010 | 925 | 1.55 | 22,767,950.25 | 1.74 | 19,363,905.72 | 2.19 | ||||||||||||||||||
3rd Quarter 2010 | 1,226 | 2.05 | 27,531,366.59 | 2.10 | 22,774,250.58 | 2.58 | ||||||||||||||||||
4th Quarter 2010 | 3,424 | 5.73 | 57,872,612.85 | 4.41 | 43,302,898.57 | 4.90 | ||||||||||||||||||
1st Quarter 2011 | 3,343 | 5.59 | 67,264,705.97 | 5.13 | 49,011,744.30 | 5.55 | ||||||||||||||||||
2nd Quarter 2011 | 7,000 | 11.71 | 171,469,808.78 | 13.08 | 121,296,046.10 | 13.74 | ||||||||||||||||||
3rd Quarter 2011 | 11,738 | 19.63 | 252,907,681.22 | 19.29 | 172,862,285.21 | 19.58 | ||||||||||||||||||
4th Quarter 2011 | 10,296 | 17.22 | 197,306,676.04 | 15.05 | 129,623,448.07 | 14.68 | ||||||||||||||||||
1st Quarter 2012 | 5,514 | 9.22 | 124,210,472.27 | 9.47 | 79,141,304.22 | 8.96 | ||||||||||||||||||
2nd Quarter 2012 | 4,087 | 6.84 | 100,384,540.12 | 7.65 | 62,300,393.67 | 7.06 | ||||||||||||||||||
3rd Quarter 2012 | 10,495 | 17.56 | 253,101,238.78 | 19.30 | 153,660,459.52 | 17.40 | ||||||||||||||||||
4th Quarter 2012 | 139 | 0.23 | 3,525,756.69 | 0.27 | 1,979,591.73 | 0.22 | ||||||||||||||||||
1st Quarter 2013 | 40 | 0.07 | 1,023,681.06 | 0.08 | 409,226.50 | 0.05 | ||||||||||||||||||
2nd Quarter 2013 | 20 | 0.03 | 700,633.02 | 0.05 | 301,220.85 | 0.03 | ||||||||||||||||||
3rd Quarter 2013 | 4 | 0.01 | 108,164.78 | 0.01 | 47,020.30 | 0.01 | ||||||||||||||||||
4th Quarter 2013 | 1 | 0.00 | 32,753.49 | 0.00 | 10,750.35 | 0.00 | ||||||||||||||||||
1st Quarter 2014 | 4 | 0.01 | 129,828.08 | 0.01 | 46,302.15 | 0.01 | ||||||||||||||||||
2nd Quarter 2014 | 27 | 0.05 | 1,059,968.56 | 0.08 | 402,965.05 | 0.05 | ||||||||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | $ | 882,907,321.67 | 100.00 | % | |||||||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Balances and percentages may not add to total due to rounding. |
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Percentage | Percentage of | |||||||||||||||
Number | of Total | Aggregate | Aggregate | |||||||||||||
of | Number of | Securitization | Securitization | |||||||||||||
State of Registration | Leases(1) | Leases(1)(2) | Value(1)(2) | Value(1)(2) | ||||||||||||
Alabama | 362 | 0.61 | % | $ | 7,773,662.86 | 0.59 | % | |||||||||
Alaska | 3 | 0.01 | 59,854.00 | 0.00 | ||||||||||||
Arizona | 745 | 1.25 | 17,520,929.37 | 1.34 | ||||||||||||
Arkansas | 50 | 0.08 | 1,158,910.35 | 0.09 | ||||||||||||
California | 5,260 | 8.80 | 122,145,796.33 | 9.31 | ||||||||||||
Colorado | 626 | 1.05 | 14,482,492.53 | 1.10 | ||||||||||||
Connecticut | 1,894 | 3.17 | 41,263,034.83 | 3.15 | ||||||||||||
Delaware | 141 | 0.24 | 3,198,970.27 | 0.24 | ||||||||||||
District of Columbia | 53 | 0.09 | 1,301,031.20 | 0.10 | ||||||||||||
Florida | 7,467 | 12.49 | 162,330,065.78 | 12.38 | ||||||||||||
Georgia | 1,202 | 2.01 | 27,549,422.73 | 2.10 | ||||||||||||
Hawaii | 129 | 0.22 | 2,685,146.17 | 0.20 | ||||||||||||
Idaho | 48 | 0.08 | 998,647.12 | 0.08 | ||||||||||||
Illinois | 1,672 | 2.80 | 40,222,479.50 | 3.07 | ||||||||||||
Indiana | 854 | 1.43 | 18,002,420.98 | 1.37 | ||||||||||||
Iowa | 260 | 0.43 | 5,850,445.41 | 0.45 | ||||||||||||
Kansas | 216 | 0.36 | 4,871,626.16 | 0.37 | ||||||||||||
Kentucky | 276 | 0.46 | 5,799,851.54 | 0.44 | ||||||||||||
Louisiana | 564 | 0.94 | 13,031,772.82 | 0.99 | ||||||||||||
Maine | 143 | 0.24 | 2,938,010.83 | 0.22 | ||||||||||||
Maryland | 523 | 0.87 | 13,557,850.81 | 1.03 | ||||||||||||
Massachusetts | 1,861 | 3.11 | 40,107,927.58 | 3.06 | ||||||||||||
Michigan | 1,364 | 2.28 | 29,113,599.45 | 2.22 | ||||||||||||
Minnesota | 885 | 1.48 | 19,355,482.89 | 1.48 | ||||||||||||
Mississippi | 174 | 0.29 | 3,970,420.94 | 0.30 | ||||||||||||
Missouri | 485 | 0.81 | 11,447,209.66 | 0.87 | ||||||||||||
Montana | 18 | 0.03 | 389,192.64 | 0.03 | ||||||||||||
Nebraska | 278 | 0.47 | 5,656,782.83 | 0.43 | ||||||||||||
Nevada | 461 | 0.77 | 10,243,116.42 | 0.78 | ||||||||||||
New Hampshire | 394 | 0.66 | 8,150,376.59 | 0.62 | ||||||||||||
New Jersey | 7,257 | 12.14 | 162,666,317.87 | 12.40 | ||||||||||||
New Mexico | 55 | 0.09 | 1,508,335.19 | 0.12 | ||||||||||||
New York | 9,457 | 15.82 | 187,323,256.21 | 14.28 | ||||||||||||
North Carolina | 856 | 1.43 | 19,077,006.54 | 1.45 | ||||||||||||
North Dakota | 95 | 0.16 | 2,002,833.44 | 0.15 | ||||||||||||
Ohio | 2,469 | 4.13 | 53,603,836.72 | 4.09 | ||||||||||||
Oklahoma | 136 | 0.23 | 3,305,214.73 | 0.25 | ||||||||||||
Oregon | 134 | 0.22 | 3,104,001.85 | 0.24 | ||||||||||||
Pennsylvania | 3,157 | 5.28 | 69,033,754.24 | 5.26 | ||||||||||||
Rhode Island | 312 | 0.52 | 6,646,159.29 | 0.51 | ||||||||||||
South Carolina | 291 | 0.49 | 6,616,509.66 | 0.50 | ||||||||||||
South Dakota | 59 | 0.10 | 1,270,260.56 | 0.10 | ||||||||||||
Tennessee | 1,750 | 2.93 | 35,564,021.44 | 2.71 | ||||||||||||
Texas | 3,297 | 5.52 | 77,150,828.86 | 5.88 | ||||||||||||
Utah | 267 | 0.45 | 6,172,595.76 | 0.47 | ||||||||||||
Vermont | 78 | 0.13 | 1,699,558.70 | 0.13 | ||||||||||||
Virginia | 737 | 1.23 | 17,432,662.79 | 1.33 | ||||||||||||
Washington | 333 | 0.56 | 8,133,539.46 | 0.62 | ||||||||||||
West Virginia | 55 | 0.09 | 1,184,103.41 | 0.09 | ||||||||||||
Wisconsin | 553 | 0.93 | 12,130,264.05 | 0.92 | ||||||||||||
Wyoming | 26 | 0.04 | 596,965.64 | 0.05 | ||||||||||||
Total | 59,782 | 100.00 | % | $ | 1,311,398,557.00 | 100.00 | % | |||||||||
Based on a Securitization Rate of 7.25%. | ||
(1) | Based on the current state of registration of the Leased Vehicle. | |
(2) | Balances and percentages may not add to total due to rounding. |
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• | as of the Cutoff Date, 12 months have elapsed since the inception of the Leases, | ||
• | all Monthly Payments are timely received and no Lease is ever delinquent, | ||
• | all Monthly Payments are made according to the schedule set forth in Appendix D to this Prospectus Supplement, | ||
• | no Repurchase Payment is made in respect of any Lease, | ||
• | there are no losses in respect of the Leases, | ||
• | payments on the Notes and the Certificates are made on the 15th day of each month, whether or not the day is a Business Day, | ||
• | the servicing fee rate is 1.00% per annum, | ||
• | all prepayments on the Leases are prepayments in full (and the residual values of the related Leased Vehicles are paid in full), | ||
• | the Reserve Account is initially funded with an amount equal to $6,556,992.79, | ||
• | the aggregate Securitization Value as of the Cutoff Date is $1,311,398,557.00, based on a Securitization Rate of 7.25%, | ||
• | the Closing Date is assumed to be September 11, 2009, and |
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• | the Servicer does not exercise its option to purchase the assets of the Issuing Entity on or after the payment date on which the aggregate unpaid principal amount of the Securities is less than or equal to 5% of the aggregate initial principal amount of the Securities. |
Prepayment Assumption | ||||||||||||||||||||
Payment Date | 25% | 50% | 75% | 100% | 125% | |||||||||||||||
Closing Date | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Oct-09 | 82.29 | % | 79.67 | % | 76.91 | % | 74.00 | % | 70.94 | % | ||||||||||
Nov-09 | 73.08 | % | 69.10 | % | 64.90 | % | 60.46 | % | 55.77 | % | ||||||||||
Dec-09 | 63.75 | % | 58.37 | % | 52.69 | % | 46.68 | % | 40.31 | % | ||||||||||
Jan-10 | 53.03 | % | 46.24 | % | 39.05 | % | 31.44 | % | 23.35 | % | ||||||||||
Feb-10 | 41.78 | % | 33.57 | % | 24.86 | % | 15.61 | % | 5.76 | % | ||||||||||
Mar-10 | 28.77 | % | 19.15 | % | 8.93 | % | 0.00 | % | 0.00 | % | ||||||||||
Apr-10 | 16.06 | % | 5.02 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
May-10 | 6.30 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Jun-10 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Weighted Average Life To Maturity (years)(1) | 0.40 | 0.35 | 0.32 | (2) | 0.28 | 0.26 |
(1) | The weighted average life of the Class A-1 Notes is determined by (a) multiplying the amount of each distribution in reduction of principal amount by the number of years from the Closing Date to the date indicated, (b) adding the results and (c) dividing the sum by the aggregate distributions in reduction of principal amount referred to in clause (a). | |
(2) | This weighted average life to maturity of the Class A-1 Notes has been calculated in accordance with the TALF prepayment assumptions applicable to the weighted average life of ABS as specified in the TALF frequently asked questions dated August 18, 2009 and posted on the FRBNY website at http://www.newyorkfed.org/ markets/talf_faq.html. |
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Prepayment Assumption | ||||||||||||||||||||
Payment Date | 25% | 50% | 75% | 100% | 125% | |||||||||||||||
Closing Date | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Oct-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Nov-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Dec-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jan-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Feb-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Mar-10 | 100.00 | % | 100.00 | % | 100.00 | % | 98.65 | % | 90.61 | % | ||||||||||
Apr-10 | 100.00 | % | 100.00 | % | 95.34 | % | 86.66 | % | 77.36 | % | ||||||||||
May-10 | 100.00 | % | 95.69 | % | 86.44 | % | 76.53 | % | 65.88 | % | ||||||||||
Jun-10 | 96.83 | % | 87.14 | % | 76.77 | % | 65.62 | % | 53.60 | % | ||||||||||
Jul-10 | 86.36 | % | 75.73 | % | 64.32 | % | 52.01 | % | 38.69 | % | ||||||||||
Aug-10 | 76.34 | % | 64.78 | % | 52.32 | % | 38.84 | % | 24.18 | % | ||||||||||
Sep-10 | 68.16 | % | 55.60 | % | 42.03 | % | 27.29 | % | 11.17 | % | ||||||||||
Oct-10 | 60.84 | % | 47.26 | % | 32.53 | % | 16.46 | % | 0.00 | % | ||||||||||
Nov-10 | 51.84 | % | 37.32 | % | 21.50 | % | 4.17 | % | 0.00 | % | ||||||||||
Dec-10 | 36.94 | % | 21.79 | % | 5.23 | % | 0.00 | % | 0.00 | % | ||||||||||
Jan-11 | 29.65 | % | 13.52 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Feb-11 | 16.39 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Mar-11 | 7.55 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Apr-11 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Weighted Average Life to Maturity (years)(1) | 1.20 | 1.09 | 0.99 | (2) | 0.90 | 0.81 |
(1) | The weighted average life of the Class A-2 Notes is determined by (a) multiplying the amount of each distribution in reduction of principal amount by the number of years from the Closing Date to the date indicated, (b) adding the results and (c) dividing the sum by the aggregate distributions in reduction of principal amount referred to in clause (a). | |
(2) | This weighted average life to maturity of the Class A-2 Notes has been calculated in accordance with the TALF prepayment assumptions applicable to the weighted average life of ABS as specified in the TALF frequently asked questions dated August 18, 2009 and posted on the FRBNY website at http://www.newyorkfed.org/ markets/talf_faq.html. |
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Prepayment Assumption | ||||||||||||||||||||
Payment Date | 25% | 50% | 75% | 100% | 125% | |||||||||||||||
Closing Date | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Oct-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Nov-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Dec-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jan-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Feb-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Mar-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Apr-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
May-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jun-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jul-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Aug-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Sep-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Oct-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 99.12 | % | ||||||||||
Nov-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 89.07 | % | ||||||||||
Dec-10 | 100.00 | % | 100.00 | % | 100.00 | % | 90.52 | % | 75.71 | % | ||||||||||
Jan-11 | 100.00 | % | 100.00 | % | 96.95 | % | 82.66 | % | 66.61 | % | ||||||||||
Feb-11 | 100.00 | % | 99.75 | % | 86.31 | % | 71.32 | % | 54.33 | % | ||||||||||
Mar-11 | 100.00 | % | 92.41 | % | 77.76 | % | 60.98 | % | 40.96 | % | ||||||||||
Apr-11 | 98.13 | % | 84.29 | % | 68.59 | % | 50.24 | % | 27.52 | % | ||||||||||
May-11 | 90.17 | % | 75.71 | % | 59.14 | % | 39.44 | % | 14.34 | % | ||||||||||
Jun-11 | 76.33 | % | 61.87 | % | 45.14 | % | 24.99 | % | 0.00 | % | ||||||||||
Jul-11 | 60.36 | % | 46.28 | % | 29.87 | % | 9.88 | % | 0.00 | % | ||||||||||
Aug-11 | 43.88 | % | 30.45 | % | 14.70 | % | 0.00 | % | 0.00 | % | ||||||||||
Sep-11 | 29.21 | % | 16.70 | % | 2.06 | % | 0.00 | % | 0.00 | % | ||||||||||
Oct-11 | 15.15 | % | 3.63 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Nov-11 | 1.58 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Dec-11 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Weighted Average Life to Maturity (years)(1) | 1.94 | 1.85 | 1.74 | (2) | 1.62 | 1.48 |
(1) | The weighted average life of the Class A-3 Notes is determined by (a) multiplying the amount of each distribution in reduction of principal amount by the number of years from the Closing Date to the date indicated, (b) adding the results and (c) dividing the sum by the aggregate distributions in reduction of principal amount referred to in clause (a). | |
(2) | This weighted average life to maturity of the Class A-3 Notes has been calculated in accordance with the TALF prepayment assumptions applicable to the weighted average life of ABS as specified in the TALF frequently asked questions dated August 18, 2009 and posted on the FRBNY website at http://www.newyorkfed.org/ markets/talf_faq.html. |
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Prepayment Assumption | ||||||||||||||||||||
Payment Date | 25% | 50% | 75% | 100% | 125% | |||||||||||||||
Closing Date | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Oct-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Nov-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Dec-09 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jan-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Feb-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Mar-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Apr-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
May-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jun-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jul-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Aug-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Sep-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Oct-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Nov-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Dec-10 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jan-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Feb-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Mar-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Apr-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
May-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||
Jun-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 93.33 | % | ||||||||||
Jul-11 | 100.00 | % | 100.00 | % | 100.00 | % | 100.00 | % | 0.00 | % | ||||||||||
Aug-11 | 100.00 | % | 100.00 | % | 100.00 | % | 75.47 | % | 0.00 | % | ||||||||||
Sep-11 | 100.00 | % | 100.00 | % | 100.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Oct-11 | 100.00 | % | 100.00 | % | 48.67 | % | 0.00 | % | 0.00 | % | ||||||||||
Nov-11 | 100.00 | % | 53.63 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Dec-11 | 41.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Jan-12 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
Weighted Average Life to Maturity (years)(1) | 2.30 | 2.22 | 2.14 | (2) | 1.99 | 1.84 |
(1) | The weighted average life of the Class A-4 Notes is determined by (a) multiplying the amount of each distribution in reduction of principal amount by the number of years from the Closing Date to the date indicated, (b) adding the results and (c) dividing the sum by the aggregate distributions in reduction of principal amount referred to in clause (a). | |
(2) | This weighted average life to maturity of the Class A-4 Notes has been calculated in accordance with the TALF prepayment assumptions applicable to the weighted average life of ABS as specified in the TALF frequently asked questions dated August 18, 2009 and posted on the FRBNY website at http://www.newyorkfed.org/ markets/talf_faq.html. |
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• | failure of the TALF investor at any time to be an “eligible borrower,” as determined by the criteria in effect at the time the TALF loan was made; and | ||
• | the failure of certain representations and warranties of the borrower made in the MLSA to be true, including but not limited to: |
• | that the MLSA is a binding agreement enforceable against the borrower; | ||
• | that the primary dealer is authorized to enter into the MLSA and act on the borrower’s behalf; | ||
• | that the security interest of the FRBNY in the collateral for the TALF loan is valid, perfected and subject to no adverse claims; and | ||
• | that to the borrower’s knowledge based on its review of the related offering materials, the ABS collateral pledged at the time the TALF loan is made or assumed is “eligible collateral” under TALF. |
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• | All of the Leases were U.S. dollar-denominated. | ||
• | The assets underlying the Notes are Leases of cars and light trucks and the related Leased Vehicles. | ||
• | The aggregate Securitization Value of the Leases that are both (a) originated by U.S.-organized entities or institutions or U.S. branches or agencies of foreign banks, and (b) made to U.S.-domiciled obligors is at least 95% of the aggregate Securitization Value of the Leases. | ||
• | The aggregate Securitization Value of the Leases originated on or after October 1, 2007 is at least 85% of the aggregate Securitization Value of the Leases. | ||
• | The weighted average FICO® score of the lessees is 680 or greater (assuming for purposes of calculating the weighted average that any lessee without an available FICO® score has a FICO® score of 300); which is “prime” for automobile leases under TALF. |
• | The Notes will be U.S. dollar-denominated cash (not synthetic) asset-backed securities. | ||
• | Each class of Notes will have received each of the ratings specified in “Summary—Ratings” above, by two or more major nationally recognized statistical rating organizations and will not have been placed on review or watch for downgrade. The ratings will be obtained without the benefit of any third-party guarantee. | ||
• | The Notes (other than any Notes then retained by the Depositor or conveyed to certain specified affiliates of the Depositor) will be issued in book-entry form and cleared through the facilities of The Depository Trust Company or “DTC,” in the name of Cede & Co., as nominee of DTC. | ||
• | The Notes will be obligations of the Issuing Entity only, and no payments of principal of or interest on the Notes will be guaranteed by any third-party. | ||
• | The weighted average life (in years) to maturity of each class of Notes (assuming 75% of the 100% Prepayment Assumption as described under “Weighted Average Life of the Notes”) will be five years or less. The weighted average life to maturity for the Notes was calculated in accordance with the TALF prepayment assumptions, and for each class of Notes is as follows: |
Weighted Average | ||||
Class | Life to Maturity | |||
Class A-1 Notes | 0.32 | |||
Class A-2 Notes | 0.99 | |||
Class A-3 Notes | 1.74 | |||
Class A-4 Notes | 2.14 |
• | The CUSIP number for each class of Notes will be as set forth in “Summary—CUSIP Numbers” in this Prospectus Supplement. |
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• | A nationally recognized certified public accounting firm that is registered with the Public Company Accounting Oversight Board has delivered an accountants’ report to the FRBNY in a form prescribed by the FRBNY within the time frame required by the FRBNY. | ||
• | NMAC, as Sponsor, will execute and deliver an undertaking to the FRBNY, in the form prescribed by the FRBNY, no later than four Business Days before the Closing Date, under which NMAC will agree to indemnify FRBNY and TALF LLC and their respective affiliates for certain losses. | ||
• | Each of NMAC, as Sponsor, and the Issuing Entity will execute the “Certification as to TALF Eligibility for Non-Mortgage-Backed Asset-Backed Securities” in the most recent form prescribed by the FRBNY as of the date of this prospectus supplement, a copy of which is attached to this Prospectus Supplement as Appendix E. | ||
• | The Sponsor will submit to the FRBNY the final credit rating letters for the Notes from each Rating Agency no later than 10:00 a.m. (New York time) on the Closing Date. |
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(dollars in thousands)
At or For the Three | ||||||||||||||||||||||||||||
Months Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Dollar Amount of Net Receivables Outstanding(3) | $ | 7,701,301 | $ | 8,366,293 | $ | 7,871,791 | $ | 8,518,005 | $ | 8,430,823 | $ | 7,007,794 | $ | 5,086,769 | ||||||||||||||
Ending Number of Lease Contracts Outstanding | 383,671 | 400,889 | 392,751 | 403,326 | 385,730 | 321,818 | 240,665 | |||||||||||||||||||||
Percentage of Delinquent Lease Contracts(4) | ||||||||||||||||||||||||||||
31-60 Days | 1.59 | % | 1.56 | % | 1.49 | % | 1.41 | % | 1.24 | % | 1.18 | % | 1.12 | % | ||||||||||||||
61-90 Days | 0.52 | % | 0.51 | % | 0.47 | % | 0.40 | % | 0.30 | % | 0.27 | % | 0.24 | % | ||||||||||||||
91 Days or more | 0.16 | % | 0.15 | % | 0.14 | % | 0.14 | % | 0.09 | % | 0.07 | % | 0.07 | % | ||||||||||||||
Total | 2.27 | % | 2.22 | % | 2.10 | % | 1.96 | % | 1.63 | % | 1.52 | % | 1.42 | % |
(1) | Includes leases for Nissan motor vehicles that NMAC has sold to third parties but continues to service. | |
(2) | Percentages may not add to total due to rounding. | |
(3) | Dollar amounts based on net book value of vehicles. | |
(4) | An account is considered delinquent if $50 or more of the scheduled monthly payment is past due. |
(dollars in thousands)
At or For the Three | ||||||||||||||||||||||||||||
Months Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Dollar Amount of Net Receivables Outstanding(3) | $ | 4,391,205 | $ | 5,348,932 | $ | 4,671,538 | $ | 5,272,784 | $ | 4,971,445 | $ | 4,005,638 | $ | 2,608,750 | ||||||||||||||
Ending Number of Lease Contracts Outstanding | 139,581 | 166,800 | 147,404 | 164,964 | 154,267 | 124,717 | 85,513 | |||||||||||||||||||||
Percentage of Delinquent Lease Contracts(4) | ||||||||||||||||||||||||||||
31-60 Days | 1.25 | % | 1.10 | % | 1.24 | % | 1.07 | % | 0.90 | % | 0.86 | % | 0.84 | % | ||||||||||||||
61-90 Days | 0.41 | % | 0.37 | % | 0.41 | % | 0.34 | % | 0.23 | % | 0.19 | % | 0.16 | % | ||||||||||||||
91 Days or more | 0.14 | % | 0.13 | % | 0.15 | % | 0.11 | % | 0.09 | % | 0.05 | % | 0.04 | % | ||||||||||||||
Total | 1.79 | % | 1.59 | % | 1.80 | % | 1.52 | % | 1.21 | % | 1.11 | % | 1.04 | % |
(1) | Includes leases for Infiniti motor vehicles that NMAC has sold to third parties but continues to service. | |
(2) | Percentages may not add to total due to rounding. | |
(3) | Dollar amounts based on net book value of vehicles. | |
(4) | An account is considered delinquent if $50 or more of the scheduled monthly payment is past due. |
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(dollars in thousands)
At or For the Three | ||||||||||||||||||||||||||||
Months Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Dollar Amount of Net Receivables Outstanding | $ | 12,092,505 | $ | 13,715,225 | $ | 12,543,330 | $ | 13,790,790 | $ | 13,402,268 | $ | 11,013,433 | $ | 7,695,519 | ||||||||||||||
Ending Number of Lease Contracts Outstanding(3) | 523,252 | 567,689 | 540,155 | 568,290 | 539,997 | 446,535 | 326,178 | |||||||||||||||||||||
Percentage of Delinquent Lease Contracts(4) | ||||||||||||||||||||||||||||
31-60 Days | 1.50 | % | 1.42 | % | 1.42 | % | 1.31 | % | 1.14 | % | 1.09 | % | 1.05 | % | ||||||||||||||
61-90 Days | 0.49 | % | 0.47 | % | 0.45 | % | 0.39 | % | 0.28 | % | 0.25 | % | 0.22 | % | ||||||||||||||
91 Days or more | 0.15 | % | 0.14 | % | 0.14 | % | 0.13 | % | 0.09 | % | 0.07 | % | 0.06 | % | ||||||||||||||
Total | 2.14 | % | 2.03 | % | 2.02 | % | 1.83 | % | 1.51 | % | 1.41 | % | 1.32 | % |
(1) | Includes leases for Nissan and Infiniti motor vehicles that NMAC has sold to third parties but continues to service. | |
(2) | Percentages may not add to total due to rounding. | |
(3) | Dollar amounts based on net book value of vehicles. | |
(4) | An account is considered delinquent if $50 or more of the scheduled monthly payment is past due. |
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(dollars in thousands)
At or For the Three Months | ||||||||||||||||||||||||||||
Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009(7) | 2008(7) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Ending Number of Lease Contracts Outstanding | 383,671 | 400,889 | 392,751 | 403,326 | 385,730 | 321,818 | 240,665 | |||||||||||||||||||||
Average Number of Lease Contracts Outstanding(3) | 386,020 | 401,210 | 401,610 | 397,974 | 363,280 | 287,460 | 215,892 | |||||||||||||||||||||
Repossessions: | ||||||||||||||||||||||||||||
Number of Repossessions | 2,021 | 2,079 | 9,971 | 8,851 | 6,747 | 5,500 | 4,435 | |||||||||||||||||||||
Number of Repossessions as a Percentage of Ending Number of Lease Contracts Outstanding | 2.11 | % | 2.07 | % | 2.54 | % | 2.19 | % | 1.75 | % | 1.71 | % | 1.84 | % | ||||||||||||||
Number of Repossessions as a Percentage of Average Number of Lease Contracts Outstanding | 2.09 | % | 2.07 | % | 2.48 | % | 2.22 | % | 1.86 | % | 1.91 | % | 2.05 | % | ||||||||||||||
Losses: | ||||||||||||||||||||||||||||
Dollar Amount of Net Receivables Outstanding(4) | $ | 7,768,346 | $ | 8,366,293 | $ | 7,871,791 | $ | 8,518,005 | $ | 8,430,823 | $ | 7,007,794 | $ | 5,086,769 | ||||||||||||||
Average Dollar Amount of Net Receivables Outstanding(3)(4) | $ | 7,801,837 | $ | 8,410,706 | $ | 8,254,531 | $ | 8,563,381 | $ | 7,992,174 | $ | 6,194,838 | $ | 4,511,978 | ||||||||||||||
Gross Repossession Losses(5) | $ | 31,388 | $ | 30,954 | $ | 149,544 | $ | 118,108 | $ | 81,517 | $ | 64,349 | $ | 43,891 | ||||||||||||||
Repossession Recoveries(5) | $ | 14,057 | $ | 10,522 | $ | 44,572 | $ | 36,578 | $ | 28,050 | $ | 24,180 | $ | 11,314 | ||||||||||||||
Net Repossession Losses | $ | 17,331 | $ | 20,432 | $ | 104,972 | $ | 81,530 | $ | 53,467 | $ | 40,169 | $ | 32,577 | ||||||||||||||
Average Net Repossession Loss per Liquidated Contract(6) | $ | 8,575 | $ | 9,828 | $ | 10,528 | $ | 9,211 | $ | 7,925 | $ | 7,303 | $ | 7,345 | ||||||||||||||
Net Repossession Losses as a Percentage of Average Net Receivables Outstanding | 0.89 | % | 0.97 | % | 1.27 | % | 0.95 | % | 0.67 | % | 0.65 | % | 0.72 | % |
(1) | Includes leases for Nissan motor vehicles that the Titling Trust has sold to third parties but NMAC continues to service. | |
(2) | Percentages and numbers may not add to total due to rounding. | |
(3) | Average amounts calculated based on month-end data for the periods indicated. | |
(4) | Dollar amounts based on net book value of vehicles. | |
(5) | Includes involuntary and voluntary repossessions, bankruptcy repossessions and charge-offs. | |
(6) | Dollars not in thousands. | |
(7) | The percentages for the three months ended June 30, 2009 and June 30, 2008 have been annualized to facilitate year-to-year comparisons. Actual percentages for the entire year may differ from annualized percentages. |
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(dollars in thousands)
At or For the Three Months | ||||||||||||||||||||||||||||
Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009(7) | 2008(7) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Ending Number of Lease Contracts Outstanding | 139,581 | 166,800 | 147,404 | 164,964 | 154,267 | 124,717 | 85,513 | |||||||||||||||||||||
Average Number of Lease Contracts Outstanding(3) | 142,222 | 166,265 | 158,863 | 162,185 | 142,283 | 108,052 | 72,833 | |||||||||||||||||||||
Repossessions: | ||||||||||||||||||||||||||||
Number of Repossessions | 695 | 607 | 2,943 | 2,343 | 1,471 | 1,042 | 652 | |||||||||||||||||||||
Number of Repossessions as a Percentage of Ending Number of Lease Contracts Outstanding | 1.99 | % | 1.46 | % | 2.00 | % | 1.42 | % | 0.95 | % | 0.84 | % | 0.76 | % | ||||||||||||||
Number of Repossessions as a Percentage of Average Number of Lease Contracts Outstanding | 1.95 | % | 1.46 | % | 1.85 | % | 1.44 | % | 1.03 | % | 0.96 | % | 0.90 | % | ||||||||||||||
Losses: | ||||||||||||||||||||||||||||
Dollar Amount of Net Receivables Outstanding(4) | $ | 4,391,205 | $ | 5,348,932 | $ | 4,671,538 | $ | 5,272,784 | $ | 4,971,445 | $ | 4,005,638 | $ | 2,608,750 | ||||||||||||||
Average Dollar Amount of Net Receivables Outstanding(3)(4) | $ | 4,483,414 | $ | 5,327,328 | $ | 5,085,818 | $ | 5,213,229 | $ | 4,599,334 | $ | 3,421,112 | $ | 2,217,420 | ||||||||||||||
Gross Repossession Losses(5) | $ | 23,953 | $ | 20,088 | $ | 97,452 | $ | 68,612 | $ | 43,498 | $ | 31,052 | $ | 9,302 | ||||||||||||||
Repossession Recoveries(5) | $ | 14,722 | $ | 10,971 | $ | 46,844 | $ | 42,109 | $ | 31,367 | $ | 26,675 | $ | 3,050 | ||||||||||||||
Net Repossession Losses | $ | 9,230 | $ | 9,117 | $ | 50,608 | $ | 26,503 | $ | 12,131 | $ | 4,376 | $ | 6,252 | ||||||||||||||
Average Net Repossession Loss per Liquidated Contract(6) | $ | 13,281 | $ | 15,020 | $ | 17,196 | $ | 11,311 | $ | 8,247 | $ | 4,200 | $ | 9,588 | ||||||||||||||
Net Repossession Losses as a Percentage of Average Net Receivables Outstanding | 0.82 | % | 0.68 | % | 1.00 | % | 0.51 | % | 0.26 | % | 0.13 | % | 0.28 | % |
(1) | Includes leases for Infiniti motor vehicles that the Titling Trust has sold to third parties but NMAC continues to service. | |
(2) | Percentages and numbers may not add to total due to rounding. | |
(3) | Average amounts calculated based on month-end data for the periods indicated. | |
(4) | Dollar amounts based on net book value of vehicles. | |
(5) | Includes involuntary and voluntary repossessions, bankruptcy repossessions and charge-offs. | |
(6) | Dollars not in thousands. | |
(7) | The percentages for the three months ended June 30, 2009 and June 30, 2008 have been annualized to facilitate year-to-year comparisons. Actual percentages for the entire year may differ from annualized percentages. |
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(dollars in thousands)
At or For the Three Months | ||||||||||||||||||||||||||||
Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009(7) | 2008(7) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Ending Number of Lease Contracts Outstanding | 523,252 | 567,689 | 540,155 | 568,290 | 539,997 | 446,535 | 326,178 | |||||||||||||||||||||
Average Number of Lease Contracts Outstanding(3) | 528,242 | 567,475 | 560,474 | 560,159 | 505,563 | 395,512 | 288,725 | |||||||||||||||||||||
Repossessions: | ||||||||||||||||||||||||||||
Number of Repossessions | 2,716 | 2,686 | 12,914 | 11,194 | 8,218 | 6,542 | 5,087 | |||||||||||||||||||||
Number of Repossessions as a Percentage of Ending Number of Lease Contracts Outstanding | 2.08 | % | 1.89 | % | 2.39 | % | 1.97 | % | 1.52 | % | 1.47 | % | 1.56 | % | ||||||||||||||
Number of Repossessions as a Percentage of Average Number of Lease Contracts Outstanding | 2.06 | % | 1.89 | % | 2.30 | % | 2.00 | % | 1.63 | % | 1.65 | % | 1.76 | % | ||||||||||||||
Losses: | ||||||||||||||||||||||||||||
Dollar Amount of Net Receivables Outstanding(4) | $ | 12,159,551 | $ | 13,715,225 | $ | 12,543,330 | $ | 13,790,790 | $ | 13,402,268 | $ | 11,013,433 | $ | 7,695,519 | ||||||||||||||
Average Dollar Amount of Net Receivables Outstanding(3)(4) | $ | 12,285,251 | $ | 13,738,033 | $ | 13,340,349 | $ | 13,776,610 | $ | 12,591,508 | $ | 9,615,950 | $ | 6,729,397 | ||||||||||||||
Gross Repossession Losses(5) | $ | 55,341 | $ | 51,042 | $ | 246,995 | $ | 186,720 | $ | 125,015 | $ | 95,401 | $ | 53,193 | ||||||||||||||
Repossession Recoveries(5) | $ | 28,780 | $ | 21,493 | $ | 91,416 | $ | 78,687 | $ | 59,417 | $ | 50,855 | $ | 14,364 | ||||||||||||||
Net Repossession Losses | $ | 26,561 | $ | 29,549 | $ | 155,579 | $ | 108,033 | $ | 65,598 | $ | 44,545 | $ | 38,829 | ||||||||||||||
Average Net Repossession Loss per Liquidated Contract(6) | $ | 9,779 | $ | 11,001 | $ | 12,047 | $ | 9,651 | $ | 7,982 | $ | 6,809 | $ | 7,633 | ||||||||||||||
Net Repossession Losses as a Percentage of Average Net Receivables Outstanding | 0.86 | % | 0.86 | % | 1.17 | % | 0.78 | % | 0.52 | % | 0.46 | % | 0.58 | % |
(1) | Includes leases for Nissan and Infiniti motor vehicles that the Titling Trust has sold to third parties but NMAC continues to service. | |
(2) | Percentages and numbers may not add to total due to rounding. | |
(3) | Average amounts calculated based on month-end data for the periods indicated. | |
(4) | Dollar amounts based on net book value of vehicles. | |
(5) | Includes involuntary and voluntary repossessions, bankruptcy repossessions and charge-offs. | |
(6) | Dollars not in thousands. | |
(7) | The percentages for the three months ended June 30, 2009 and June 30, 2008 have been annualized to facilitate year-to-year comparisons. Actual percentages for the entire year may differ from annualized percentages. |
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At or For the Three Months | ||||||||||||||||||||||||||||
Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Total Number of Vehicles Scheduled to Terminate(1) | 37,675 | 39,486 | 129,375 | 101,663 | 83,974 | 52,065 | 35,951 | |||||||||||||||||||||
Total Initial ALG Residual on Vehicles Scheduled to Terminate(3) | $ | 505,438,787 | $ | 569,272,972 | $ | 1,849,069,129 | $ | 1,326,531,559 | $ | 973,821,936 | $ | 607,956,871 | $ | 437,950,969 | ||||||||||||||
Number of Vehicles Returned to NMAC(4) | 24,487 | 22,644 | 85,120 | 59,015 | 37,806 | 27,619 | 22,773 | |||||||||||||||||||||
Vehicles Returned to NMAC Ratio | 65.00 | % | 57.35 | % | 65.79 | % | 58.05 | % | 45.02 | % | 53.05 | % | 63.34 | % | ||||||||||||||
Number of Vehicles going to Full Termination(5) | 21,761 | 21,265 | 73,066 | 50,742 | 31,942 | 21,961 | 18,342 | |||||||||||||||||||||
Full Termination Ratio(6) | 57.76 | % | 53.85 | % | 56.48 | % | 49.91 | % | 38.04 | % | 42.18 | % | 51.02 | % | ||||||||||||||
Total Gain/(Loss) on Vehicles Returned to NMAC(4)(7) | $ | (17,731,963 | ) | $ | (32,400,174 | ) | $ | (156,671,515 | ) | $ | (30,424,498 | ) | $ | 11,076,109 | $ | 12,341,806 | $ | (806,032 | ) | |||||||||
Average Gain/(Loss) on Vehicles Returned to NMAC(7) | $ | (724 | ) | $ | (1,431 | ) | $ | (1,841 | ) | $ | (516 | ) | $ | 293 | $ | 447 | $ | (35 | ) | |||||||||
Total Initial ALG Residual on Vehicles Returned to NMAC(3) | $ | 342,001,685 | $ | 342,139,695 | $ | 1,281,507,235 | $ | 802,053,795 | $ | 479,495,765 | $ | 347,673,925 | $ | 287,774,292 | ||||||||||||||
Total Gain/(Loss) on Vehicles Returned to NMAC as a Percentage of Initial ALG Residuals of Returned Vehicles Sold by NMAC | (5.18 | )% | (9.47 | )% | (12.23 | )% | (3.79 | )% | 2.31 | % | 3.55 | % | (0.28 | )% | ||||||||||||||
Total Gain/(Loss) on Vehicles Returned to NMAC as a Percentage of Initial ALG Residuals of Vehicles Scheduled to Terminate | (3.51 | )% | (5.69 | )% | (8.47 | )% | (2.29 | )% | 1.14 | % | 2.03 | % | (0.18 | )% | ||||||||||||||
Average Contract Residual Percentage of Adjusted MSRP | 54.16 | % | 55.15 | % | 55.19 | % | 56.41 | % | 51.82 | % | 50.95 | % | 51.03 | % | ||||||||||||||
Average Initial ALG Residual Percentage of Adjusted MSRP | 49.03 | % | 50.08 | % | 50.13 | % | 51.69 | % | 46.74 | % | 45.68 | % | 46.08 | % | ||||||||||||||
Percentage Difference | 5.13 | % | 5.07 | % | 5.07 | % | 4.72 | % | 5.08 | % | 5.27 | % | 4.95 | % |
(1) | Includes leases for Nissan motor vehicles which NMAC has sold to third parties but continues to service. These leases are grouped by scheduled lease maturity date. Excludes leases that have been terminated pursuant to a lessee default (including, but not limited to, as a result of the lessee’s failure to maintain insurance coverage required by the lease, the failure of the lessee to timely or properly perform any obligation under the lease, or any other act by the lessee constituting a default under applicable law). | |
(2) | Percentages and numbers may not add to total due to rounding. | |
(3) | ALG Residual for Standard Mileage Leases (15,000 miles/year) (not adjusted Maximum Residualized MSRP). | |
(4) | Excludes repossessions, vehicles in inventory and NMAC Residual Percentages of less than 10% and greater than 95%. MSRP adjusted for Dealer add-ins in accordance with NMAC policy. Includes lessee initiated early terminations. | |
(5) | Includes all vehicles terminating at scheduled maturity, terminating past scheduled maturity and terminating within 90 days prior to scheduled maturity. | |
(6) | The ratio of the vehicles that went to full termination during the stated period over the vehicles scheduled to terminate. | |
(7) | Gain/(Loss) net of the difference between the Contract Residual and the ALG Residual. |
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At or For the Three Months | ||||||||||||||||||||||||||||
Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||||
Total Number of Vehicles Scheduled to Terminate(1) | 15,267 | 15,159 | 67,879 | 42,164 | 24,029 | 11,038 | 7,081 | |||||||||||||||||||||
Total Initial ALG Residual on Vehicles Scheduled to Terminate(3) | $ | 353,820,555 | $ | 352,007,701 | $ | 1,569,435,179 | $ | 958,653,030 | $ | 447,252,027 | $ | 201,043,794 | $ | 125,296,025 | ||||||||||||||
Number of Vehicles Returned to NMAC(4) | 11,582 | 10,113 | 54,347 | 28,553 | 12,910 | 6,427 | 4,468 | |||||||||||||||||||||
Vehicles Returned to NMAC Ratio | 75.86 | % | 66.71 | % | 80.06 | % | 67.72 | % | 53.73 | % | 58.23 | % | 63.10 | % | ||||||||||||||
Number of Vehicles going to Full Termination(5) | 10,979 | 10,593 | 48,867 | 25,907 | 11,171 | 5,691 | 3,891 | |||||||||||||||||||||
Full Termination Ratio(6) | 71.91 | % | 69.88 | % | 71.99 | % | 61.44 | % | 46.49 | % | 51.56 | % | 54.95 | % | ||||||||||||||
Total Gain/(Loss) on Vehicles Returned to NMAC(4)(7) | $ | (25,617,817 | ) | $ | (36,734,389 | ) | $ | (251,950,541 | ) | $ | (77,969,862 | ) | $ | (7,526,546 | ) | $ | (3,425,778 | ) | $ | (570,115 | ) | |||||||
Average Gain/(Loss) on Vehicles Returned to NMAC(7) | $ | (2,212 | ) | $ | (3,632 | ) | $ | (4,636 | ) | $ | (2,731 | ) | $ | (583 | ) | $ | (533 | ) | $ | (128 | ) | |||||||
Total Initial ALG Residual on Vehicles Returned to NMAC(3) | $ | 276,849,559 | $ | 240,716,736 | $ | 1,289,935,540 | $ | 693,125,405 | $ | 251,716,606 | $ | 121,770,936 | $ | 80,551,702 | ||||||||||||||
Total Gain/(Loss) on Vehicles Returned to NMAC as a Percentage of Initial ALG Residuals of Returned Vehicles Sold by NMAC | (9.25 | )% | (15.26 | )% | (19.53 | )% | (11.25 | )% | (2.99 | )% | (2.81 | )% | (0.71 | )% | ||||||||||||||
Total Gain/(Loss) on Vehicles Returned to NMAC as a Percentage of Initial ALG Residuals of Vehicles Scheduled to Terminate | (7.24 | )% | (10.44 | )% | (16.05 | )% | (8.13 | )% | (1.68 | )% | (1.70 | )% | (0.46 | )% | ||||||||||||||
Average Contract Residual Percentage of Adjusted MSRP | 58.96 | % | 60.79 | % | 59.70 | % | 62.78 | % | 51.54 | % | 51.32 | % | 52.37 | % | ||||||||||||||
Average Initial ALG Residual Percentage of Adjusted MSRP | 54.37 | % | 57.51 | % | 56.03 | % | 59.39 | % | 48.44 | % | 46.96 | % | 47.78 | % | ||||||||||||||
Percentage Difference | 4.59 | % | 3.28 | % | 3.66 | % | 3.39 | % | 3.10 | % | 4.36 | % | 4.59 | % |
(1) | Includes leases for Infiniti motor vehicles which NMAC has sold to third parties but continues to service. These leases are grouped by scheduled lease maturity date. Excludes leases that have been terminated pursuant to a lessee default (including, but not limited to, as a result of the lessee’s failure to maintain insurance coverage required by the lease, the failure of the lessee to timely or properly perform any obligation under the lease, or any other act by the lessee constituting a default under applicable law). | |
(2) | Percentages and numbers may not add to total due to rounding. | |
(3) | Excludes vehicles for which no ALG Residual is available due to the absence of an equivalent vehicle or contract term on the ALG tables. | |
(4) | Excludes repossessions, vehicles in inventory and NMAC Residual Percentages of less than 10% and greater than 95%. MSRP adjusted for Dealer add-ins in accordance with IFS policy. Includes lessee initiated early terminations. | |
(5) | Includes all vehicles terminating at scheduled maturity, terminating past scheduled maturity and terminating within 90 days prior to scheduled maturity. | |
(6) | The ratio of the vehicles that went to full termination during the stated period over the vehicles scheduled to terminate. | |
(7) | Gain/(Loss) net of the difference between the Contract Residual and the ALG Residual. |
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At or For the | ||||||||||||||||||||||||
Three Months | ||||||||||||||||||||||||
Ended June 30, | At or For the Twelve Months Ended March 31, | |||||||||||||||||||||||
2009 | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
Number of leased vehicle contracts purchased by NMAC: | 37,892 | 171,232 | 193,248 | 218,553 | 212,942 | 136,466 | ||||||||||||||||||
Leasing Revenues(1): | $754,005 | $3,227,827 | $ | 3,232,111 | $2,811,656 | $2,118,581 | $1,515,457 |
(1) | Dollars in thousands. |
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• | for the Class A-1 Notes, % per annum, | ||
• | for the Class A-2 Notes, % per annum, | ||
• | for the Class A-3 Notes, % per annum, and | ||
• | for the Class A-4 Notes, % per annum. |
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• | for each Leased Vehicle for which the related Lease did not terminate during that Collection Period, the difference between the Securitization Value of the Lease at the beginning and at the end of that Collection Period, | ||
• | for each Leased Vehicle for which the related Lease reached its Lease Maturity Date during that Collection Period, the Securitization Value of the Lease as of the Lease Maturity Date, | ||
• | for each Leased Vehicle purchased by the Servicer before its Lease Maturity Date during that Collection Period, the Repurchase Payment, and | ||
• | for each Lease that became subject to an Early Lease Termination during that Collection Period, the Securitization Value of the Lease as of the effective date of the Early Lease Termination. |
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• | for the Class A-1 Notes, September 15, 2010, | ||
• | for the Class A-2 Notes, September 15, 2011, | ||
• | for the Class A-3 Notes, January 15, 2015, and | ||
• | for the Class A-4 Notes, January 15, 2015. |
(a) | to the Servicer, the Payment Date Advance Reimbursement, | ||
(b) | to the Servicer, the Servicing Fees, together with any unpaid Servicing Fees in respect of one or more prior Collection Periods, | ||
(c) | to the Note Distribution Account, on a pro rata basis based on the amount distributable to each class of Notes, to pay (x) interest due on the outstanding Notes on that Payment Date (including any overdue interest) and (y) to the extent permitted under applicable law, interest on any overdue interest thereon at the applicable Note Rate, |
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(d) | to the Note Distribution Account, the Monthly Principal Distributable Amount, which will be allocated to pay principal, first, to the Class A-1 Notes, until they have been paid in full, and second, to the Class A-2 Notes, the Class A-3 Notes and the Class A-4 Notes, pro rata, until all such Notes have been paid in full, | ||
(e) | to the Indenture Trustee, any accrued and unpaid fees, expenses and indemnity payments due pursuant to the Indenture but only to the extent that such fees, expenses or indemnity payments have been outstanding for at least 60 days, and | ||
(f) | to the Certificate Distribution Account, for the Certificateholder. |
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• | the amount remaining in the SUBI Collection Account after the payments in clauses (a) through (c) under “Distributions on the Notes — Deposits to the Distribution Accounts; Priority of Payments” have been made on such Payment Date (the “Excess Amounts”), if any, and | ||
• | income received on the investment of funds on deposit in the SUBI Collection Account and the Reserve Account |
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(a) | to the Servicer, the Payment Date Advance Reimbursement, | ||
(b) | to the Servicer, the Servicing Fees, together with any unpaid Servicing Fees in respect of one or more prior Collection Periods, | ||
(c) | to the Note Distribution Account, on a pro rata basis based on the amount distributable to each class of Notes, to pay (x) interest due on the outstanding Notes on that Payment Date (including any overdue interest) and (y) to the extent permitted under applicable law, interest on any overdue interest thereon at the applicable Note Rate, | ||
(d) | to the Note Distribution Account, (i) the Monthly Principal Distributable Amount, which will be allocated to pay principal first, to the Class A-1 Notes, until they have been paid in full, second, to the Class A-2 Notes, until they have been paid in full, third, to the Class A-3 Notes, until they have been paid in full and fourth, to the Class A-4 Notes, until they have been paid in full, unless the maturity of the Notes has been accelerated following an Indenture Default, or (ii) if the maturity of the Notes has been accelerated |
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following an Indenture Default (unless and until such acceleration has been rescinded), the Monthly Principal Distributable Amount, first to the Class A-1 Notes until they have been paid in full and then second, pro rata, to the Class A-2 Notes, the Class A-3 Notes and the Class A-4 Notes until they have been paid in full, |
(e) | while any of the Notes remain outstanding and unless the maturity of the Notes has been accelerated following an Indenture Default, to the Reserve Account, the Excess Amounts, | ||
(f) | to the Indenture Trustee, any accrued and unpaid fees, expenses and indemnity payments due pursuant to the Indenture but only to the extent that such fees, expenses or indemnity payments have been outstanding for at least 60 days, and | ||
(g) | to the Certificate Distribution Account, for the Certificateholder. |
(a) | to the Note Distribution Account, to pay, on a pro rata basis based on the amount distributable to each class of Notes, any remaining interest due on the outstanding Notes on that Payment Date, and, to the extent permitted under applicable law, interest on any overdue interest at the applicable Note Rate; | ||
(b) | to the Note Distribution Account, the remaining Monthly Principal Distributable Amount, which will be allocated to pay principal on the Notes in the amounts and order of priority described under “— Deposits to the Distribution Accounts; Priority of Payments — SUBI Collection Account” above; | ||
(c) | to the Indenture Trustee, any accrued and unpaid fees, expenses and indemnity payments due pursuant to the Indenture but only to the extent that such fees, expenses or indemnity payments have been outstanding for at least 60 days; and | ||
(e) | to the Certificate Distribution Account, for the Certificateholder. |
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(i) | the amount of Collections allocable to the 2009-B SUBI Certificate, | ||
(ii) | the amount of Available Funds, | ||
(iii) | the amount of interest accrued during the related Accrual Period on each class of Notes, | ||
(iv) | the Note Balance for each class of Notes, in each case before giving effect to payments on such Payment Date, | ||
(v) | (A) the Reserve Account Requirement, (B) the amount deposited in the Reserve Account, if any, (C) the Reserve Account Draw Amount, if any, (D) the balance on deposit in the Reserve Account after giving effect to withdrawals therefrom and deposits thereto in respect of such Payment Date and (E) the change in such balance from the immediately preceding Payment Date, | ||
(vi) | the amount being distributed to each class of the Noteholders (the “Note Distribution Amount”) and to the Certificateholder (the “Certificate Distribution Amount”), | ||
(vii) | the amount of the Note Distribution Amount allocable to interest on and principal of each class of the Notes and any Principal Carryover Shortfall for each class of the Notes, | ||
(viii) | the amount of any principal paid on, and Principal Carryover Shortfall for, the Certificates, | ||
(ix) | the Monthly Principal Distributable Amount and the Optimal Principal Distributable Amount, | ||
(x) | the Note Factor for each class of the Notes after giving effect to the distribution of the Note Distribution Amount, | ||
(xi) | the amount of Residual Value Losses and Residual Value Surplus for such Collection Period, | ||
(xii) | the amount of Sales Proceeds Advances and Monthly Payment Advances included in Available Funds, | ||
(xiii) | the amount of any Payment Date Advance Reimbursement for such Collection Period, | ||
(xiv) | the Servicing Fee for such Collection Period, | ||
(xv) | delinquency and loss information for the Collection Period, | ||
(xvi) | any material change in practices with respect to charge-offs, collection and management of delinquent Leases, and the effect of any grace period, re-aging, re-structure, partial payments or other practices on delinquency and loss experience, |
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(xix) | any material modifications, extensions or waivers to Lease terms, fees, penalties or payments during the Collection Period, | ||
(xx) | any material breaches of representations, warranties or covenants contained in the Leases, | ||
(xxi) | any new issuance of notes or other securities backed by the SUBI Assets (if applicable), | ||
(xxii) | any material additions, removals or substitutions of SUBI Assets, repurchases of SUBI Assets, and | ||
(xxiii) | any material change in the underwriting, origination or acquisition of Leases. |
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Party | ||||||
Type of Fee | Amount of Fee | Receiving Fee | Priority in Distribution | |||
Servicing Fee(1) | One-twelfth of the product of (a) 1.00% and (b) the aggregate Securitization Value of all Leases as of the first day of the Collection Period or, in the case of the first Payment Date, as of the Cutoff Date | Servicer and Administrative Agent | Payable prior to payment of interest and principal on the Notes | |||
Reimbursable Expenses(2) | Costs and expenses incurred by the Servicer in a legal proceeding to protect or otherwise enforce the rights of the Titling Trust or the Titling Trustee in a Lease or Leased Vehicle | Servicer | Payable prior to payment of interest and principal on the Notes |
(1) | The formula for calculating the Servicing Fee may not be changed without the consent of all of the holders of the Notes and Certificates then outstanding and delivery of an opinion of counsel as to certain tax matters. See “Description of the Servicing Agreement — Amendment” in the accompanying Prospectus. The fees and expenses of the Indenture Trustee, the Owner Trustee and the Titling Trustee will not be paid out of Available Funds on each Payment Date. Instead, such fees and expenses will be paid by NMAC, both as the Servicer, pursuant to the Servicing Agreement and as the Administrative Agent, pursuant to the Trust Administration Agreement. | |
(2) | Reimbursable Expenses will be paid to the Servicer on any day after the Servicer supplies the Titling Trustee and Indenture Trustee with an officer’s certificate setting forth the calculations for such Reimbursable Expenses. See “Security for the Notes — The Accounts — The SUBI Collection Account — Withdrawals from the SUBI Collection Account” in this Prospectus Supplement. The formula for calculating Reimbursable Expenses may not be changed without the consent of all of the holders of the Notes and Certificates then outstanding and delivery of an opinion of counsel as to certain tax matters. See “Description of the Servicing Agreement — Amendment” in the accompanying Prospectus. |
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Principal Amount | Principal Amount | Principal Amount | Principal Amount | |||||||||||||
of | of | of | of | |||||||||||||
Underwriters | Class A-1 | Class A-2 | Class A-3 | Class A-4 | ||||||||||||
Notes | Notes | Notes | Notes | |||||||||||||
J.P. Morgan Securities Inc. | ||||||||||||||||
Deutsche Bank Securities, Inc. | ||||||||||||||||
Citigroup Global Markets Inc. | ||||||||||||||||
Greenwich Capital Markets, Inc. | ||||||||||||||||
BNP Paribas Securities Corp. | ||||||||||||||||
SG Americas Securities, LLC | ||||||||||||||||
Calyon Securities (USA) Inc. | ||||||||||||||||
Total | $ | $ | $ | $ | ||||||||||||
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100% Prepayment Assumption | S-42 | |||
1934 Act | S-23 | |||
2009-B SUBI Certificate | S-21 | |||
25% Prepayment Assumption | S-43 | |||
50% Prepayment Assumption | S-43 | |||
ABS | S-42 | |||
Accounts | S-69 | |||
Accrual Period | S-63 | |||
Adjusted Capitalized Cost | S-29 | |||
Administrative Agent | S-25 | |||
Administrative Lien | S-29 | |||
Advance | S-75 | |||
Agreement of Definitions | S-22 | |||
ALG | S-33 | |||
ALG Residual | S-33 | |||
Asset-Backed Securities | E-1 | |||
Available Funds | S-71 | |||
Available Funds Shortfall Amount | S-71 | |||
Available Principal Distribution Amount | S-64 | |||
Back-up Security Agreement | S-23 | |||
Base Residual | S-33 | |||
Basic Documents | S-22 | |||
Basic Servicing Agreement | S-26 | |||
Benefit Plan | S-79 | |||
Business Day | S-63 | |||
Casualty Termination | S-28 | |||
Cede | S-58 | |||
Certificate Balance | S-66 | |||
Certificate Distribution Account | S-69 | |||
Certificate Distribution Amount | S-73 | |||
Certificateholder | S-21 | |||
Certificates | S-21 | |||
Closing Date | S-21 | |||
Code | S-79 | |||
Collection Period | S-71 | |||
Collections | S-71 | |||
Contingent and Excess Liability Insurance | S-67 | |||
Contract Residual | S-33 | |||
Credit Termination | S-28 | |||
Cutoff Date | S-23 | |||
Dealers | S-21 | |||
Defaulted Vehicle | S-67 | |||
Definitive Notes | S-62 | |||
Deposit Date | S-32 | |||
Depositor | S-21 | |||
Determination Date | S-71 | |||
Distribution Accounts | S-69 | |||
DTC | S-58 | |||
Early Lease Termination | S-28 | |||
Early Termination Charge | S-29 | |||
ERISA | S-79 | |||
ERISA Considerations | S-79 | |||
Excess Amounts | S-68 | |||
Excess Mileage and Excess Wear and Tear Charges | S-50 | |||
Final Scheduled Payment Date | S-65 | |||
Fitch | S-22 | |||
FRBNY | S-12 | |||
FSMA | S-81 | |||
Global Securities | A-1 | |||
Hybrid Chattel Paper | S-32 | |||
IFS | S-21 | |||
Indenture | S-22 | |||
Indenture Default | S-41 | |||
Indenture Trustee | S-22 | |||
Initial ALG Residual | S-60 | |||
Initial Certificate Balance | S-21 | |||
Initial Note Balance | S-21 | |||
Insurance Expenses | S-74 | |||
Issuing Entity | S-21 | |||
Issuing Entity’s Estate | S-22 | |||
Lease Maturity Date | S-28 | |||
Lease Rate | S-29 | |||
Lease Term | S-28 | |||
Leased Vehicles | S-21 | |||
Leases | S-21 | |||
Lessee Initiated Early Termination | S-28 | |||
Liquidation Proceeds | S-65 | |||
Matured Vehicle | S-67 | |||
MLSA | S-13 | |||
Monthly Payment | S-28 | |||
Monthly Payment Advance | S-76 | |||
Monthly Principal Distributable Amount | S-64 | |||
Monthly Remittance Condition | S-67 | |||
Moody’s | S-22 | |||
MRM Residual | S-33 | |||
MSRP | S-60 | |||
NALT 2000-A | S-60 | |||
Net Auction Proceeds | S-74 | |||
Net Insurance Proceeds | S-74 | |||
Net Liquidation Proceeds | S-65 | |||
NMAC | S-21 | |||
NML | S-62 | |||
NNA | S-60 | |||
Note Balance | S-64 | |||
Note Distribution Account | S-69 | |||
Note Distribution Amount | S-73 | |||
Note Factor | S-58 | |||
Note Owner | S-62 | |||
Note Rate | S-63 | |||
Noteholders | S-21 | |||
Notes | S-21 | |||
Offered Notes | S-78 | |||
OID | S-78 | |||
Optimal Principal Distributable Amount | S-64 | |||
Optional Purchase | S-75 |
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Optional Purchase Price | S-75 | |||
Other SUBI | S-21 | |||
Owner Trustee | S-22 | |||
Payment Date | S-62 | |||
Payment Date Advance Reimbursement | S-72 | |||
Payment Date Certificate | S-73 | |||
Permitted Investments | S-69 | |||
Principal Carryover Shortfall | S-64 | |||
Principal Distribution Amount | S-63 | |||
Public ABS Transaction | S-67 | |||
Rating Agencies | S-22 | |||
Rating Agency Condition | S-68 | |||
Reallocation Payments | S-64 | |||
Record Date | S-62 | |||
Redemption Price | S-75 | |||
Reimbursable Expenses | S-67 | |||
Repurchase Payment | S-33 | |||
Required Deposit Rating | S-69 | |||
Reserve Account | S-68 | |||
Reserve Account Draw Amount | S-68 | |||
Reserve Account Requirement | S-68 | |||
Residual Value Loss | S-74 | |||
Residual Value Surplus | S-74 | |||
Retained Notes | S-58 | |||
Sales Proceeds Advance | S-76 | |||
SEC | S-23 | |||
Securities | S-21 | |||
Securitization Rate | S-34 | |||
Securitization Value | S-33 | |||
Securityholders | S-21 | |||
Servicer | S-26 | |||
Servicing Agreement | S-26 | |||
Servicing Fee | S-76 | |||
Servicing Supplement | S-26 | |||
Standard & Poor’s | S-21 | |||
SUBI | S-21 | |||
SUBI Assets | S-21 | |||
SUBI Certificate Transfer Agreement | S-26 | |||
SUBI Collection Account | S-66 | |||
SUBI Supplement | S-26 | |||
SUBI Trust Agreement | S-26 | |||
TALF | S-12 | |||
TALF Rules | E-1 | |||
TARP | S-15 | |||
Titling Trust | S-21 | |||
Titling Trust Agreement | S-26 | |||
Titling Trustee | S-26 | |||
Treasury | E-2 | |||
Trust Administration Agreement | S-25 | |||
Trust Agent | S-26 | |||
Trust Agreement | S-22 | |||
Trust SUBI Certificate Transfer Agreement | S-27 | |||
Trustees | S-22 | |||
U.S. Bank | S-25 | |||
Underwriters | S-78 | |||
Underwriting Agreement | S-80 | |||
UTI | S-21 | |||
UTI Beneficiary | S-21 | |||
Warranty Breach | E-2 |
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TAX DOCUMENTATION PROCEDURES
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A-2
Table of Contents
(1) | borrowing through Clearstream Banking Luxembourg or Euroclear for one day (until the purchase side of the day trade is reflected in their Clearstream Banking Luxembourg or Euroclear accounts) in accordance with the clearing system’s customary procedures; | ||
(2) | borrowing the Global Securities in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Securities sufficient time to be reflected in their Clearstream Banking Luxembourg or Euroclear account in order to settle the sale side of the trade; or | ||
(3) | staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the Clearstream Banking Luxembourg Participant or Euroclear Participant. |
A-3
Table of Contents
B-1
Table of Contents
Original Pool Characteristics as of Cutoff Date | ||||
Number of Leases | 70,936 | |||
Aggregate Securitization Value | $ | 1,680,098,819.60 | ||
Base Residual | $ | 937,810,006.51 | ||
Securitization Rate | 4.50 | % | ||
Weighted Average Original Term (Months) | 42.35 | |||
Weighted Average Remaining Term (Months) | 33.69 | |||
Seasoning (Months)(1) | 8.66 | |||
Reserve Account Required Balance | $ | 50,402,964.59 | ||
Range of FICO Scores | 563 to 900 | |||
Weighted Average FICO Score | 720 |
Cutoff Date | August 31, 2004 | |||
Base Residual as a % of Securitization Value | 55.82 | % | ||
Base Residual as a % of MSRP | 46.81 | % |
Nissan | 100 | % | ||
Infiniti | 0 | % |
Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 23,684.71 | $ | 7,212.66 | $ | 51,922.22 | ||||||
Base Residual | $ | 13,220.51 | $ | 3,555.00 | $ | 26,564.00 | ||||||
Seasoning (Months)(1) | 8.66 | (2) | 1 | 45 | ||||||||
Remaining Term (Months) | 33.69 | (2) | 3 | 58 | ||||||||
Original Term (Months) | 42.35 | (2) | 19 | 60 |
(1) | Seasoning refers to the number of months elapsed from origination of the leases to the Cutoff Date. |
(2) | Weighted average by Securitization Value as of the Cutoff Date. |
B-2
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
Vehicle Types | Leases | Leases | Value | Value | ||||||||||||
Altima | 24,600 | 34.68 | % | $ | 474,322,964.50 | 28.23 | % | |||||||||
Maxima | 11,434 | 16.12 | % | $ | 294,706,408.38 | 17.54 | % | |||||||||
Pathfinder | 11,957 | 16.86 | % | $ | 278,857,644.97 | 16.60 | % | |||||||||
Murano | 6,301 | 8.88 | % | $ | 182,303,684.03 | 10.85 | % | |||||||||
Quest | 5,019 | 7.08 | % | $ | 133,226,656.04 | 7.93 | % | |||||||||
350Z | 2,880 | 4.06 | % | $ | 95,929,924.58 | 5.71 | % | |||||||||
Armada | 2,312 | 3.26 | % | $ | 84,208,011.04 | 5.01 | % | |||||||||
Titan | 1,624 | 2.29 | % | $ | 48,771,717.26 | 2.90 | % | |||||||||
Xterra | 2,211 | 3.12 | % | $ | 48,393,993.28 | 2.88 | % | |||||||||
Sentra | 1,908 | 2.69 | % | $ | 25,429,104.75 | 1.51 | % | |||||||||
Frontier | 690 | 0.97 | % | $ | 13,948,710.77 | 0.83 | % | |||||||||
Total | 70,936 | 100.00 | % | $ | 1,680,098,819.60 | 100.00 | % |
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
New York | 13,930 | 19.64 | % | $ | 310,605,029.39 | 18.49 | % | |||||||||
New Jersey | 9,675 | 13.64 | % | $ | 220,208,410.31 | 13.11 | % | |||||||||
Florida | 7,123 | 10.04 | % | $ | 168,156,301.22 | 10.01 | % | |||||||||
California | 6,856 | 9.67 | % | $ | 174,871,668.83 | 10.41 | % | |||||||||
Pennsylvania | 3,328 | 4.69 | % | $ | 75,324,967.63 | 4.48 | % | |||||||||
Texas | 3,230 | 4.55 | % | $ | 86,444,452.01 | 5.15 | % | |||||||||
Connecticut | 2,449 | 3.45 | % | $ | 54,130,163.09 | 3.22 | % | |||||||||
Massachusetts | 2,374 | 3.35 | % | $ | 52,856,947.40 | 3.15 | % | |||||||||
Illinois | 2,294 | 3.23 | % | $ | 59,732,783.45 | 3.56 | % | |||||||||
Ohio | 2,072 | 2.92 | % | $ | 47,618,431.87 | 2.83 | % | |||||||||
Michigan | 1,722 | 2.43 | % | $ | 38,677,285.69 | 2.30 | % | |||||||||
Georgia | 1,617 | 2.28 | % | $ | 40,782,538.26 | 2.43 | % | |||||||||
Minnesota | 1,022 | 1.44 | % | $ | 23,453,787.17 | 1.40 | % | |||||||||
Arizona | 998 | 1.41 | % | $ | 24,419,081.95 | 1.45 | % | |||||||||
Indiana | 981 | 1.38 | % | $ | 23,060,403.69 | 1.37 | % | |||||||||
North Carolina | 922 | 1.30 | % | $ | 22,594,903.38 | 1.34 | % | |||||||||
Virginia | 872 | 1.23 | % | $ | 22,739,502.95 | 1.35 | % | |||||||||
Louisiana | 742 | 1.05 | % | $ | 19,075,353.33 | 1.14 | % | |||||||||
Colorado | 700 | 0.99 | % | $ | 17,196,932.63 | 1.02 | % | |||||||||
Maryland | 630 | 0.89 | % | $ | 17,011,345.92 | 1.01 | % | |||||||||
Missouri | 604 | 0.85 | % | $ | 14,831,600.25 | 0.88 | % | |||||||||
Wisconsin | 569 | 0.80 | % | $ | 13,299,362.52 | 0.79 | % | |||||||||
Rhode Island | 562 | 0.79 | % | $ | 12,371,640.01 | 0.74 | % | |||||||||
New Hampshire | 550 | 0.78 | % | $ | 12,758,249.74 | 0.76 | % |
B-3
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
Tennessee | 531 | 0.75 | % | $ | 13,139,768.42 | 0.78 | % | |||||||||
Nevada | 521 | 0.73 | % | $ | 13,537,034.55 | 0.81 | % | |||||||||
Washington | 471 | 0.66 | % | $ | 12,629,194.28 | 0.75 | % | |||||||||
Kentucky | 437 | 0.62 | % | $ | 10,288,524.34 | 0.61 | % | |||||||||
South Carolina | 322 | 0.45 | % | $ | 8,270,382.54 | 0.49 | % | |||||||||
Delaware | 301 | 0.42 | % | $ | 7,245,106.10 | 0.43 | % | |||||||||
Oklahoma | 293 | 0.41 | % | $ | 8,044,208.32 | 0.48 | % | |||||||||
Utah | 283 | 0.40 | % | $ | 7,048,544.53 | 0.42 | % | |||||||||
Iowa | 258 | 0.36 | % | $ | 6,223,975.52 | 0.37 | % | |||||||||
Nebraska | 253 | 0.36 | % | $ | 5,614,213.69 | 0.33 | % | |||||||||
Mississippi | 249 | 0.35 | % | $ | 6,499,407.08 | 0.39 | % | |||||||||
Kansas | 217 | 0.31 | % | $ | 5,316,162.69 | 0.32 | % | |||||||||
Oregon | 209 | 0.29 | % | $ | 5,576,786.98 | 0.33 | % | |||||||||
Vermont | 170 | 0.24 | % | $ | 3,897,667.11 | 0.23 | % | |||||||||
Maine | 95 | 0.13 | % | $ | 2,120,095.03 | 0.13 | % | |||||||||
South Dakota | 93 | 0.13 | % | $ | 2,392,237.93 | 0.14 | % | |||||||||
West Virginia | 77 | 0.11 | % | $ | 1,849,836.51 | 0.11 | % | |||||||||
Idaho | 69 | 0.10 | % | $ | 1,655,783.35 | 0.10 | % | |||||||||
Arkansas | 67 | 0.09 | % | $ | 1,614,502.43 | 0.10 | % | |||||||||
New Mexico | 48 | 0.07 | % | $ | 1,162,540.61 | 0.07 | % | |||||||||
District of Columbia | 47 | 0.07 | % | $ | 1,094,168.09 | 0.07 | % | |||||||||
Montana | 35 | 0.05 | % | $ | 914,519.37 | 0.05 | % | |||||||||
Wyoming | 33 | 0.05 | % | $ | 853,529.20 | 0.05 | % | |||||||||
North Dakota | 23 | 0.03 | % | $ | 549,153.86 | 0.03 | % | |||||||||
Alaska | 12 | 0.02 | % | $ | 340,334.38 | 0.02 | % | |||||||||
Total | 70,936 | 100.00 | % | $ | 1,680,098,819.60 | 100.00 | % |
(1) | Excludes Alabama and Hawaii. |
B-4
Table of Contents
Percentage of | Percentage of | |||||||||||||||||||||||
Total | Aggregate | Percentage of | ||||||||||||||||||||||
Number of | Number of | Securitization | Securitization | Base | Aggregate Base | |||||||||||||||||||
Quarters | Leases | Leases | Value | Value | Residual | Residual | ||||||||||||||||||
4th quarter 2004 | 23 | 0.03 | % | $ | 326,843.40 | 0.02 | % | $ | 304,111.79 | 0.03 | % | |||||||||||||
1st quarter 2005 | 92 | 0.13 | % | $ | 1,385,331.11 | 0.08 | % | $ | 1,228,214.25 | 0.13 | % | |||||||||||||
2nd quarter 2005 | 103 | 0.15 | % | $ | 1,591,213.97 | 0.09 | % | $ | 1,311,999.75 | 0.14 | % | |||||||||||||
3rd quarter 2005 | 255 | 0.36 | % | $ | 4,725,694.77 | 0.28 | % | $ | 3,626,142.66 | 0.39 | % | |||||||||||||
4th quarter 2005 | 617 | 0.87 | % | $ | 12,108,807.54 | 0.72 | % | $ | 8,990,501.26 | 0.96 | % | |||||||||||||
1st quarter 2006 | 1,427 | 2.01 | % | $ | 28,614,856.85 | 1.70 | % | $ | 20,565,746.88 | 2.19 | % | |||||||||||||
2nd quarter 2006 | 2,601 | 3.67 | % | $ | 52,479,418.41 | 3.12 | % | $ | 35,906,032.17 | 3.83 | % | |||||||||||||
3rd quarter 2006 | 5,554 | 7.83 | % | $ | 111,317,746.01 | 6.63 | % | $ | 71,366,824.83 | 7.61 | % | |||||||||||||
4th quarter 2006 | 9,631 | 13.58 | % | $ | 198,506,103.50 | 11.82 | % | $ | 122,919,721.06 | 13.11 | % | |||||||||||||
1st quarter 2007 | 8,696 | 12.26 | % | $ | 194,529,373.20 | 11.58 | % | $ | 117,797,687.18 | 12.56 | % | |||||||||||||
2nd quarter 2007 | 9,085 | 12.81 | % | $ | 210,986,708.57 | 12.56 | % | $ | 125,164,477.62 | 13.35 | % | |||||||||||||
3rd quarter 2007 | 10,655 | 15.02 | % | $ | 258,029,780.89 | 15.36 | % | $ | 144,258,626.30 | 15.38 | % | |||||||||||||
4th quarter 2007 | 6,969 | 9.82 | % | $ | 176,515,343.04 | 10.51 | % | $ | 91,473,621.95 | 9.75 | % | |||||||||||||
1st quarter 2008 | 5,096 | 7.18 | % | $ | 139,433,490.97 | 8.30 | % | $ | 64,969,974.51 | 6.93 | % | |||||||||||||
2nd quarter 2008 | 6,819 | 9.61 | % | $ | 194,662,215.35 | 11.59 | % | $ | 88,085,491.91 | 9.39 | % | |||||||||||||
3rd quarter 2008 | 2,056 | 2.90 | % | $ | 58,746,891.26 | 3.50 | % | $ | 25,679,614.40 | 2.74 | % | |||||||||||||
4th quarter 2008 | 382 | 0.54 | % | $ | 10,631,874.75 | 0.63 | % | $ | 4,288,462.62 | 0.46 | % | |||||||||||||
1st quarter 2009 | 322 | 0.45 | % | $ | 9,428,863.75 | 0.56 | % | $ | 3,657,939.97 | 0.39 | % | |||||||||||||
2nd quarter 2009 | 416 | 0.59 | % | $ | 12,011,336.31 | 0.71 | % | $ | 4,653,329.17 | 0.50 | % | |||||||||||||
3rd quarter 2009 | 137 | 0.19 | % | $ | 4,066,925.95 | 0.24 | % | $ | 1,561,486.23 | 0.17 | % | |||||||||||||
Total | 70,936 | 100.00 | % | $ | 1,680,098,819.60 | 100.00 | % | $ | 937,810,006.51 | 100.00 | % |
B-5
Table of Contents
Original Pool Characteristics as of Cutoff Date | ||||
Number of Leases | 68,257 | |||
Aggregate Securitization Value | $ | 1,550,442,391.02 | ||
Base Residual | $ | 941,165,061.74 | ||
Securitization Rate | 8.15 | % | ||
Weighted Average Original Term (Months) | 43.02 | |||
Weighted Average Remaining Term (Months) | 31.98 | |||
Seasoning (Months)(1) | 11.04 | |||
Reserve Account Required Balance | 46,513,271.73 | |||
Range of FICO Scores | 600 to 900 | |||
Weighted Average FICO Score | 730 |
Cutoff Date | September 30, 2005 | |||
Base Residual as a % of Securitization Value | 60.70 | % | ||
Base Residual as a % of MSRP | 47.37 | % |
Nissan | 81.29 | % | ||
Infiniti | 18.71 | % |
Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 22,714.77 | $ | 6,335.92 | $ | 47,671.20 | ||||||
Base Residual | $ | 13,788.55 | $ | 2,820.32 | $ | 30,096.00 | ||||||
Seasoning (Months)(1) | 11.04 | (2) | 2 | 49 | ||||||||
Remaining Term (Months) | 31.98 | (2) | 5 | 58 | ||||||||
Original Term (Months) | 43.02 | (2) | 24 | 60 |
(1) | Seasoning refers to the number of months elapsed from origination of the leases to the Cutoff Date. |
(2) | Weighted average by Securitization Value as of the Cutoff Date. |
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
Vehicle Types | Leases | Leases | Value | Value | ||||||||||||
Altima | 20,335 | 29.79 | % | $ | 360,451,272.10 | 23.25 | % | |||||||||
G35(1) | 6,540 | 9.58 | % | $ | 192,862,196.33 | 12.44 | % | |||||||||
Pathfinder | 7,818 | 11.45 | % | $ | 192,859,305.19 | 12.44 | % | |||||||||
Maxima | 7,849 | 11.50 | % | $ | 182,628,685.89 | 11.78 | % | |||||||||
Murano | 5,897 | 8.64 | % | $ | 155,970,938.26 | 10.06 | % | |||||||||
FX35 | 2,765 | 4.05 | % | $ | 93,882,566.27 | 6.06 | % | |||||||||
Xterra | 3,998 | 5.86 | % | $ | 76,776,861.46 | 4.95 | % | |||||||||
Titan | 2,938 | 4.30 | % | $ | 76,145,737.21 | 4.91 | % | |||||||||
Quest | 3,477 | 5.09 | % | $ | 76,133,043.44 | 4.91 | % | |||||||||
350Z | 2,537 | 3.72 | % | $ | 73,644,094.68 | 4.75 | % | |||||||||
Crew Cab | 1,489 | 2.18 | % | $ | 31,552,821.83 | 2.04 | % | |||||||||
Sentra | 1,793 | 2.63 | % | $ | 21,431,632.06 | 1.38 | % | |||||||||
Frontier | 735 | 1.08 | % | $ | 12,833,513.72 | 0.83 | % | |||||||||
FX45 | 86 | 0.13 | % | $ | 3,269,722.59 | 0.21 | % | |||||||||
Total | 68,257 | 100.00 | % | $ | 1,550,442,391.02 | 100.00 | % |
(1) | Includes Coupe. |
B-6
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
New York | 10,738 | 15.73 | % | $ | 230,168,987.76 | 14.85 | % | |||||||||
California | 8,543 | 12.52 | % | $ | 203,308,687.66 | 13.11 | % | |||||||||
New Jersey | 7,738 | 11.34 | % | $ | 170,150,868.90 | 10.97 | % | |||||||||
Florida | 7,130 | 10.45 | % | $ | 159,862,708.30 | 10.31 | % | |||||||||
Texas | 5,573 | 8.16 | % | $ | 139,082,802.41 | 8.97 | % | |||||||||
Illinois | 2,469 | 3.62 | % | $ | 60,599,451.26 | 3.91 | % | |||||||||
Pennsylvania | 2,696 | 3.95 | % | $ | 58,436,511.56 | 3.77 | % | |||||||||
Ohio | 2,483 | 3.64 | % | $ | 54,261,553.99 | 3.50 | % | |||||||||
Georgia | 1,738 | 2.55 | % | $ | 41,261,728.08 | 2.66 | % | |||||||||
Massachusetts | 1,724 | 2.53 | % | $ | 37,706,102.96 | 2.43 | % | |||||||||
Connecticut | 1,610 | 2.36 | % | $ | 33,485,362.23 | 2.16 | % | |||||||||
Arizona | 1,361 | 1.99 | % | $ | 30,819,267.18 | 1.99 | % | |||||||||
North Carolina | 1,303 | 1.91 | % | $ | 29,817,698.44 | 1.92 | % | |||||||||
Michigan | 1,374 | 2.01 | % | $ | 29,596,981.31 | 1.91 | % | |||||||||
Virginia | 1,173 | 1.72 | % | $ | 27,961,851.75 | 1.80 | % | |||||||||
Indiana | 900 | 1.32 | % | $ | 19,773,671.02 | 1.28 | % | |||||||||
Maryland | 745 | 1.09 | % | $ | 19,163,952.04 | 1.24 | % | |||||||||
Minnesota | 820 | 1.20 | % | $ | 18,041,741.89 | 1.16 | % | |||||||||
Washington | 691 | 1.01 | % | $ | 17,132,895.30 | 1.11 | % | |||||||||
Nevada | 699 | 1.02 | % | $ | 16,213,298.60 | 1.05 | % | |||||||||
Colorado | 673 | 0.99 | % | $ | 15,323,506.52 | 0.99 | % | |||||||||
Tennessee | 627 | 0.92 | % | $ | 14,202,080.60 | 0.92 | % | |||||||||
Missouri | 569 | 0.83 | % | $ | 12,957,128.54 | 0.84 | % | |||||||||
Wisconsin | 573 | 0.84 | % | $ | 12,727,221.56 | 0.82 | % | |||||||||
South Carolina | 445 | 0.65 | % | $ | 10,365,269.73 | 0.67 | % | |||||||||
Kentucky | 479 | 0.70 | % | $ | 10,125,880.08 | 0.65 | % | |||||||||
New Hampshire | 456 | 0.67 | % | $ | 10,066,799.52 | 0.65 | % | |||||||||
Oklahoma | 380 | 0.56 | % | $ | 9,430,190.30 | 0.61 | % | |||||||||
Utah | 357 | 0.52 | % | $ | 8,447,691.09 | 0.54 | % | |||||||||
Oregon | 282 | 0.41 | % | $ | 6,617,745.02 | 0.43 | % | |||||||||
Delaware | 284 | 0.42 | % | $ | 6,502,720.95 | 0.42 | % | |||||||||
Iowa | 283 | 0.41 | % | $ | 6,431,796.46 | 0.41 | % | |||||||||
Kansas | 215 | 0.31 | % | $ | 4,968,696.23 | 0.32 | % | |||||||||
Nebraska | 221 | 0.32 | % | $ | 4,584,530.68 | 0.30 | % | |||||||||
Vermont | 143 | 0.21 | % | $ | 3,058,815.30 | 0.20 | % | |||||||||
Maine | 122 | 0.18 | % | $ | 2,496,667.80 | 0.16 | % | |||||||||
Arkansas | 95 | 0.14 | % | $ | 2,284,435.91 | 0.15 | % | |||||||||
New Mexico | 86 | 0.13 | % | $ | 2,124,856.36 | 0.14 | % | |||||||||
West Virginia | 89 | 0.13 | % | $ | 1,963,943.63 | 0.13 | % | |||||||||
Idaho | 77 | 0.11 | % | $ | 1,846,443.20 | 0.12 | % | |||||||||
South Dakota | 79 | 0.12 | % | $ | 1,821,870.80 | 0.12 | % | |||||||||
Alaska | 50 | 0.07 | % | $ | 1,337,584.77 | 0.09 | % | |||||||||
North Dakota | 49 | 0.07 | % | $ | 1,129,485.96 | 0.07 | % | |||||||||
Montana | 48 | 0.07 | % | $ | 1,110,858.79 | 0.07 | % | |||||||||
District of Columbia | 44 | 0.06 | % | $ | 1,084,719.92 | 0.07 | % | |||||||||
Wyoming | 23 | 0.03 | % | $ | 585,328.69 | 0.04 | % | |||||||||
Total | 68,257 | 100.00 | % | $ | 1,550,442,391.02 | 100.00 | % |
(1) | Excludes Alabama, Hawaii, Louisiana, Mississippi, and Rhode Island. |
B-7
Table of Contents
Percentage of | Percentage of | |||||||||||||||||||||||
Total | Aggregate | Percentage of | ||||||||||||||||||||||
Number of | Number of | Securitization | Securitization | Base | Aggregate Base | |||||||||||||||||||
Quarters | Leases | Leases | Value | Value | Residual | Residual | ||||||||||||||||||
1st quarter 2006 | 1 | 0.00 | % | $ | 14,660.86 | 0.00 | % | $ | 11,546.80 | 0.00 | % | |||||||||||||
2nd quarter 2006 | 11 | 0.02 | % | $ | 164,258.32 | 0.01 | % | $ | 133,871.55 | 0.01 | % | |||||||||||||
3rd quarter 2006 | 81 | 0.12 | % | $ | 1,556,684.16 | 0.10 | % | $ | 1,231,091.15 | 0.13 | % | |||||||||||||
4th quarter 2006 | 1,821 | 2.67 | % | $ | 28,257,102.27 | 1.82 | % | $ | 21,465,643.14 | 2.28 | % | |||||||||||||
1st quarter 2007 | 2,504 | 3.67 | % | $ | 42,565,083.02 | 2.75 | % | $ | 31,954,160.58 | 3.40 | % | |||||||||||||
2nd quarter 2007 | 4,244 | 6.22 | % | $ | 73,518,994.89 | 4.74 | % | $ | 54,595,082.96 | 5.80 | % | |||||||||||||
3rd quarter 2007 | 4,368 | 6.40 | % | $ | 79,274,480.56 | 5.11 | % | $ | 55,422,587.86 | 5.89 | % | |||||||||||||
4th quarter 2007 | 8,559 | 12.54 | % | $ | 172,552,442.77 | 11.13 | % | $ | 117,066,277.16 | 12.44 | % | |||||||||||||
1st quarter 2008 | 9,716 | 14.23 | % | $ | 214,752,720.03 | 13.85 | % | $ | 143,605,973.75 | 15.26 | % | |||||||||||||
2nd quarter 2008 | 10,037 | 14.70 | % | $ | 245,446,960.22 | 15.83 | % | $ | 155,394,876.22 | 16.51 | % | |||||||||||||
3rd quarter 2008 | 9,685 | 14.19 | % | $ | 234,776,659.12 | 15.14 | % | $ | 133,469,022.86 | 14.18 | % | |||||||||||||
4th quarter 2008 | 5,356 | 7.85 | % | $ | 138,691,231.57 | 8.95 | % | $ | 75,682,598.09 | 8.04 | % | |||||||||||||
1st quarter 2009 | 3,708 | 5.43 | % | $ | 97,489,936.04 | 6.29 | % | $ | 50,095,932.73 | 5.32 | % | |||||||||||||
2nd quarter 2009 | 3,405 | 4.99 | % | $ | 90,282,693.19 | 5.82 | % | $ | 43,449,021.88 | 4.62 | % | |||||||||||||
3rd quarter 2009 | 1,780 | 2.61 | % | $ | 46,342,172.86 | 2.99 | % | $ | 21,287,073.20 | 2.26 | % | |||||||||||||
4th quarter 2009 | 983 | 1.44 | % | $ | 27,220,438.65 | 1.76 | % | $ | 12,122,469.18 | 1.29 | % | |||||||||||||
1st quarter 2010 | 974 | 1.43 | % | $ | 27,748,034.33 | 1.79 | % | $ | 12,135,588.49 | 1.29 | % | |||||||||||||
2nd quarter 2010 | 826 | 1.21 | % | $ | 24,156,492.58 | 1.56 | % | $ | 9,859,918.30 | 1.05 | % | |||||||||||||
3rd quarter 2010 | 198 | 0.29 | % | $ | 5,631,345.59 | 0.36 | % | $ | 2,182,325.84 | 0.23 | % | |||||||||||||
Total | 68,257 | 100.00 | % | $ | 1,550,442,391.02 | 100.00 | % | $ | 941,165,061.74 | 100.00 | % |
B-8
Table of Contents
Original Pool Characteristics as of the Cutoff Date | ||||
Number of Leases | 73,877 | |||
Aggregate Securitization Value | $ | 1,719,278,529.36 | ||
Base Residual | $ | 1,111,217,474.00 | ||
Securitization Rate | 9.00 | % | ||
Weighted Average Original Term (Months) | 40.67 | |||
Weighted Average Remaining Term (Months) | 29.70 | |||
Seasoning (Months)(1) | 10.98 | |||
Reserve Account Required Balance | $ | 34,385,570.59 | ||
Range of FICO Scores | 600 to 900 | |||
Weighted Average FICO Score | 732 | |||
Cutoff Date | October 31, 2006 | |||
Base Residual as a % of Securitization Value | 64.63 | % | ||
Base Residual as a % of MSRP | 48.29 | % |
Nissan | 73.62 | % | ||
Infiniti | 26.38 | % |
Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 23,272.18 | $ | 6,870.13 | $ | 44,949.99 | ||||||
Base Residual | $ | 15,041.45 | $ | 3,960.00 | $ | 36,708.00 | ||||||
Seasoning (Months)(1) | 10.98 | (2) | 4 | 57 | ||||||||
Remaining Term (Months) | 29.70 | (2) | 3 | 56 | ||||||||
Original Term (Months) | 40.67 | (2) | 24 | 60 |
(1) | Seasoning refers to the number of months elapsed from origination of the leases to the Cutoff Date. | |
(2) | Weighted average by Securitization Value as of the Cutoff Date. |
B-9
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
Vehicle Type | Leases | Leases | Value | Value | ||||||||||||
Murano | 15,652 | 21.19 | % | $ | 384,609,059.38 | 22.37 | % | |||||||||
Altima | 16,409 | 22.21 | % | $ | 285,547,085.88 | 16.61 | % | |||||||||
Pathfinder | 10,108 | 13.68 | % | $ | 244,218,331.52 | 14.20 | % | |||||||||
G35 | 5,880 | 7.96 | % | $ | 158,908,710.36 | 9.24 | % | |||||||||
Maxima | 6,016 | 8.14 | % | $ | 137,946,193.97 | 8.02 | % | |||||||||
FX35 | 3,688 | 4.99 | % | $ | 118,003,646.72 | 6.86 | % | |||||||||
G35 Coupe | 2,790 | 3.78 | % | $ | 88,083,883.01 | 5.12 | % | |||||||||
M35 | 2,316 | 3.13 | % | $ | 82,612,716.87 | 4.81 | % | |||||||||
Xterra | 2,491 | 3.37 | % | $ | 51,000,923.69 | 2.97 | % | |||||||||
350Z | 1,507 | 2.04 | % | $ | 44,021,805.82 | 2.56 | % | |||||||||
Quest | 1,876 | 2.54 | % | $ | 39,418,125.67 | 2.29 | % | |||||||||
Sentra | 2,722 | 3.68 | % | $ | 33,019,623.28 | 1.92 | % | |||||||||
Crew Cab | 1,440 | 1.95 | % | $ | 31,284,251.20 | 1.82 | % | |||||||||
Frontier | 806 | 1.09 | % | $ | 14,655,153.82 | 0.85 | % | |||||||||
FX45 | 93 | 0.13 | % | $ | 3,164,170.87 | 0.18 | % | |||||||||
M45 | 83 | 0.11 | % | $ | 2,784,847.29 | 0.16 | % | |||||||||
Total | 73,877 | 100.00 | % | $ | 1,719,278,529.36 | 100.00 | % |
B-10
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
New York | 10,941 | 14.81 | % | $ | 246,344,072.67 | 14.33 | % | |||||||||
Florida | 9,596 | 12.99 | % | $ | 223,868,709.79 | 13.02 | % | |||||||||
California | 8,782 | 11.89 | % | $ | 210,915,931.46 | 12.27 | % | |||||||||
New Jersey | 7,495 | 10.15 | % | $ | 170,888,633.47 | 9.94 | % | |||||||||
Texas | 6,139 | 8.31 | % | $ | 154,197,319.61 | 8.97 | % | |||||||||
Illinois | 2,778 | 3.76 | % | $ | 67,756,561.50 | 3.94 | % | |||||||||
Pennsylvania | 3,024 | 4.09 | % | $ | 67,278,548.55 | 3.91 | % | |||||||||
Ohio | 2,559 | 3.46 | % | $ | 57,480,561.95 | 3.34 | % | |||||||||
Georgia | 2,009 | 2.72 | % | $ | 48,186,892.07 | 2.80 | % | |||||||||
Massachusetts | 1,914 | 2.59 | % | $ | 41,820,827.33 | 2.43 | % | |||||||||
Arizona | 1,674 | 2.27 | % | $ | 39,213,577.12 | 2.28 | % | |||||||||
North Carolina | 1,472 | 1.99 | % | $ | 34,767,508.26 | 2.02 | % | |||||||||
Connecticut | 1,549 | 2.10 | % | $ | 33,729,143.47 | 1.96 | % | |||||||||
Michigan | 1,271 | 1.72 | % | $ | 28,002,458.42 | 1.63 | % | |||||||||
Virginia | 1,157 | 1.57 | % | $ | 27,894,964.12 | 1.62 | % | |||||||||
Minnesota | 1,061 | 1.44 | % | $ | 23,698,814.24 | 1.38 | % | |||||||||
Nevada | 1,013 | 1.37 | % | $ | 22,908,781.20 | 1.33 | % | |||||||||
Indiana | 1,014 | 1.37 | % | $ | 22,548,948.61 | 1.31 | % | |||||||||
Maryland | 833 | 1.13 | % | $ | 21,850,657.91 | 1.27 | % | |||||||||
Washington | 738 | 1.00 | % | $ | 17,996,961.29 | 1.05 | % | |||||||||
Colorado | 769 | 1.04 | % | $ | 17,826,975.87 | 1.04 | % | |||||||||
Wisconsin | 713 | 0.97 | % | $ | 16,114,024.40 | 0.94 | % | |||||||||
Missouri | 640 | 0.87 | % | $ | 15,315,852.81 | 0.89 | % | |||||||||
South Carolina | 598 | 0.81 | % | $ | 14,206,955.83 | 0.83 | % | |||||||||
New Hampshire | 540 | 0.73 | % | $ | 11,332,592.53 | 0.66 | % | |||||||||
Kentucky | 486 | 0.66 | % | $ | 10,843,959.88 | 0.63 | % | |||||||||
Utah | 423 | 0.57 | % | $ | 9,752,950.56 | 0.57 | % | |||||||||
Oklahoma | 351 | 0.48 | % | $ | 8,662,704.88 | 0.50 | % | |||||||||
Iowa | 322 | 0.44 | % | $ | 7,199,217.72 | 0.42 | % | |||||||||
Oregon | 266 | 0.36 | % | $ | 6,676,604.44 | 0.39 | % | |||||||||
Delaware | 278 | 0.38 | % | $ | 6,394,242.02 | 0.37 | % | |||||||||
Nebraska | 267 | 0.36 | % | $ | 5,628,244.94 | 0.33 | % | |||||||||
Kansas | 239 | 0.32 | % | $ | 5,617,511.74 | 0.33 | % | |||||||||
New Mexico | 154 | 0.21 | % | $ | 3,828,398.25 | 0.22 | % | |||||||||
Maine | 160 | 0.22 | % | $ | 3,404,753.89 | 0.20 | % | |||||||||
Arkansas | 106 | 0.14 | % | $ | 2,652,540.36 | 0.15 | % | |||||||||
Vermont | 109 | 0.15 | % | $ | 2,392,922.12 | 0.14 | % | |||||||||
Idaho | 92 | 0.12 | % | $ | 2,171,870.99 | 0.13 | % | |||||||||
West Virginia | 81 | 0.11 | % | $ | 1,743,926.23 | 0.10 | % | |||||||||
South Dakota | 65 | 0.09 | % | $ | 1,409,884.09 | 0.08 | % | |||||||||
District of Columbia | 49 | 0.07 | % | $ | 1,208,562.61 | 0.07 | % | |||||||||
Montana | 49 | 0.07 | % | $ | 1,172,874.36 | 0.07 | % | |||||||||
North Dakota | 44 | 0.06 | % | $ | 1,002,447.45 | 0.06 | % | |||||||||
Wyoming | 39 | 0.05 | % | $ | 967,664.29 | 0.06 | % | |||||||||
Alaska | 14 | 0.02 | % | $ | 308,100.43 | 0.02 | % | |||||||||
Louisiana | 4 | 0.01 | % | $ | 92,873.63 | 0.01 | % | |||||||||
Total | 73,877 | 100.00 | % | $ | 1,719,278,529.36 | 100.00 | % |
(1) | Excludes Alabama, Hawaii, Mississippi, Rhode Island and Tennessee. |
B-11
Table of Contents
Percentage of | Percentage of | |||||||||||||||||||||||
Total | Aggregate | Percentage of | ||||||||||||||||||||||
Number of | Number of | Securitization | Securitization | Base | Aggregate Base | |||||||||||||||||||
Quarters | Leases | Leases | Value | Value | Residual | Residual | ||||||||||||||||||
1st quarter 2007 | 633 | 0.86 | % | $ | 9,698,240.99 | 0.56 | % | $ | 9,450,097.19 | 0.85 | % | |||||||||||||
2nd quarter 2007 | 1,140 | 1.54 | % | $ | 17,258,727.00 | 1.00 | % | $ | 16,547,996.91 | 1.49 | % | |||||||||||||
3rd quarter 2007 | 1,356 | 1.84 | % | $ | 20,810,452.30 | 1.21 | % | $ | 19,258,657.29 | 1.73 | % | |||||||||||||
4th quarter 2007 | 574 | 0.78 | % | $ | 12,536,930.67 | 0.73 | % | $ | 11,064,037.82 | 1.00 | % | |||||||||||||
1st quarter 2008 | 1,128 | 1.53 | % | $ | 24,079,944.03 | 1.40 | % | $ | 20,382,865.38 | 1.83 | % | |||||||||||||
2nd quarter 2008 | 4,105 | 5.56 | % | $ | 91,340,791.87 | 5.31 | % | $ | 73,930,457.42 | 6.65 | % | |||||||||||||
3rd quarter 2008 | 5,876 | 7.95 | % | $ | 126,483,409.59 | 7.36 | % | $ | 95,901,461.84 | 8.63 | % | |||||||||||||
4th quarter 2008 | 5,798 | 7.85 | % | $ | 130,271,240.40 | 7.58 | % | $ | 92,431,786.34 | 8.32 | % | |||||||||||||
1st quarter 2009 | 10,017 | 13.56 | % | $ | 230,140,983.33 | 13.39 | % | $ | 152,418,397.87 | 13.72 | % | |||||||||||||
2nd quarter 2009 | 12,122 | 16.41 | % | $ | 287,680,120.38 | 16.73 | % | $ | 180,289,343.86 | 16.22 | % | |||||||||||||
3rd quarter 2009 | 14,926 | 20.20 | % | $ | 370,554,454.52 | 21.55 | % | $ | 226,249,694.97 | 20.36 | % | |||||||||||||
4th quarter 2009 | 9,316 | 12.61 | % | $ | 229,345,425.99 | 13.34 | % | $ | 134,397,657.94 | 12.09 | % | |||||||||||||
1st quarter 2010 | 2,629 | 3.56 | % | $ | 61,103,377.03 | 3.55 | % | $ | 30,470,186.81 | 2.74 | % | |||||||||||||
2nd quarter 2010 | 1,963 | 2.66 | % | $ | 48,960,280.36 | 2.85 | % | $ | 23,249,602.60 | 2.09 | % | |||||||||||||
3rd quarter 2010 | 469 | 0.63 | % | $ | 11,859,174.40 | 0.69 | % | $ | 5,317,075.75 | 0.48 | % | |||||||||||||
4th quarter 2010 | 587 | 0.79 | % | $ | 14,605,303.15 | 0.85 | % | $ | 6,344,369.32 | 0.57 | % | |||||||||||||
1st quarter 2011 | 699 | 0.95 | % | $ | 17,991,691.22 | 1.05 | % | $ | 7,668,041.13 | 0.69 | % | |||||||||||||
2nd quarter 2011 | 537 | 0.73 | % | $ | 14,504,557.90 | 0.84 | % | $ | 5,828,262.36 | 0.52 | % | |||||||||||||
3rd quarter 2011 | 2 | 0.00 | % | $ | 53,424.23 | 0.00 | % | $ | 17,481.20 | 0.00 | % | |||||||||||||
Total | 73,877 | 100.00 | % | $ | 1,719,278,529.36 | 100.00 | % | $ | 1,111,217,474.00 | 100.00 | % |
B-12
Table of Contents
Original Pool Characteristics as of the Cutoff Date | ||||
Number of Leases | 54,392 | |||
Aggregate Securitization Value | $ | 1,197,889,471.05 | ||
Base Residual | $ | 769,483,988.32 | ||
Securitization Rate | 9.20 | % | ||
Weighted Average Original Term (Months) | 38.67 | |||
Weighted Average Remaining Term (Months) | 29.04 | |||
Seasoning (Months)(1) | 9.63 | |||
Reserve Account Required Balance | $ | 26,952,513.10 | ||
Range of FICO Scores | 600 to 900 | |||
Weighted Average FICO Score | 724 | |||
Cutoff Date | June 30, 2007 | |||
Base Residual as a % of Securitization Value | 64.24 | % | ||
Base Residual as a % of MSRP | 47.61 | % |
Nissan | 84.24 | % | ||
Infiniti | 15.76 | % |
Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 22,023.27 | $ | 7,558.11 | $ | 44,193.86 | ||||||
Base Residual | $ | 14,147.01 | $ | 2,403.65 | $ | 31,492.50 | ||||||
Seasoning (Months)(1) | 9.63 | (2) | 0 | 49 | ||||||||
Remaining Term (Months) | 29.04 | (2) | 8 | 55 | ||||||||
Original Term (Months) | 38.67 | (2) | 24 | 60 |
(1) | Seasoning refers to the number of months elapsed from origination of the leases to the Cutoff Date. |
(2) | Weighted average by Securitization Value as of the Cutoff Date. |
B-13
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
Vehicle Type | Leases | Leases | Value | Value | ||||||||||||
Altima | 15,306 | 28.14 | % | $ | 273,062,659.52 | 22.80 | % | |||||||||
Pathfinder | 8,183 | 15.04 | % | $ | 193,904,206.24 | 16.19 | % | |||||||||
Murano | 8,133 | 14.95 | % | $ | 203,364,604.22 | 16.98 | % | |||||||||
Maxima | 7,780 | 14.30 | % | $ | 177,107,297.64 | 14.78 | % | |||||||||
G35 | 2,754 | 5.06 | % | $ | 74,002,275.27 | 6.18 | % | |||||||||
Sentra | 2,332 | 4.29 | % | $ | 31,531,969.97 | 2.63 | % | |||||||||
Xterra | 1,761 | 3.24 | % | $ | 35,474,074.34 | 2.96 | % | |||||||||
M35 | 1,420 | 2.61 | % | $ | 46,884,430.41 | 3.91 | % | |||||||||
Quest | 1,262 | 2.32 | % | $ | 28,388,265.96 | 2.37 | % | |||||||||
G35 Coupe | 1,057 | 1.94 | % | $ | 30,157,443.10 | 2.52 | % | |||||||||
FX35 | 1,005 | 1.85 | % | $ | 31,875,484.83 | 2.66 | % | |||||||||
Crew Cab | 993 | 1.83 | % | $ | 21,235,156.47 | 1.77 | % | |||||||||
Versa | 971 | 1.79 | % | $ | 12,675,681.36 | 1.06 | % | |||||||||
350Z | 679 | 1.25 | % | $ | 19,548,948.94 | 1.63 | % | |||||||||
Frontier | 482 | 0.89 | % | $ | 8,780,417.51 | 0.73 | % | |||||||||
QX56 | 93 | 0.17 | % | $ | 3,790,089.40 | 0.32 | % | |||||||||
Armada | 77 | 0.14 | % | $ | 2,782,197.72 | 0.23 | % | |||||||||
M45 | 49 | 0.09 | % | $ | 1,749,032.64 | 0.15 | % | |||||||||
Titan | 45 | 0.08 | % | $ | 1,217,268.44 | 0.10 | % | |||||||||
FX45 | 10 | 0.02 | % | $ | 357,967.07 | 0.03 | % | |||||||||
Total | 54,392 | 100.00 | % | $ | 1,197,889,471.05 | 100.00 | % |
B-14
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
New York | 8,365 | 15.38 | % | $ | 179,237,713.84 | 14.96 | % | |||||||||
Florida | 6,456 | 11.87 | % | $ | 142,309,932.58 | 11.88 | % | |||||||||
New Jersey | 5,636 | 10.36 | % | $ | 123,293,953.60 | 10.29 | % | |||||||||
California | 5,492 | 10.10 | % | $ | 121,822,278.38 | 10.17 | % | |||||||||
Texas | 4,152 | 7.63 | % | $ | 96,209,938.67 | 8.03 | % | |||||||||
Pennsylvania | 2,204 | 4.05 | % | $ | 47,255,859.63 | 3.94 | % | |||||||||
Illinois | 1,860 | 3.42 | % | $ | 43,617,996.04 | 3.64 | % | |||||||||
Ohio | 1,693 | 3.11 | % | $ | 36,884,262.23 | 3.08 | % | |||||||||
Massachusetts | 1,435 | 2.64 | % | $ | 30,114,030.18 | 2.51 | % | |||||||||
Georgia | 1,413 | 2.60 | % | $ | 31,626,603.71 | 2.64 | % | |||||||||
Connecticut | 1,149 | 2.11 | % | $ | 24,004,849.03 | 2.00 | % | |||||||||
Alabama | 1,141 | 2.10 | % | $ | 24,536,524.28 | 2.05 | % | |||||||||
North Carolina | 1,069 | 1.97 | % | $ | 23,458,869.69 | 1.96 | % | |||||||||
Arizona | 1,032 | 1.90 | % | $ | 22,555,398.27 | 1.88 | % | |||||||||
Michigan | 974 | 1.79 | % | $ | 20,508,336.12 | 1.71 | % | |||||||||
Virginia | 910 | 1.67 | % | $ | 21,135,078.69 | 1.76 | % | |||||||||
Nevada | 809 | 1.49 | % | $ | 17,200,812.45 | 1.44 | % | |||||||||
Louisiana | 784 | 1.44 | % | $ | 17,805,417.80 | 1.49 | % | |||||||||
Indiana | 735 | 1.35 | % | $ | 16,046,467.64 | 1.34 | % | |||||||||
Minnesota | 637 | 1.17 | % | $ | 13,881,665.54 | 1.16 | % | |||||||||
Maryland | 557 | 1.02 | % | $ | 13,801,519.33 | 1.15 | % | |||||||||
Colorado | 540 | 0.99 | % | $ | 12,198,027.78 | 1.02 | % | |||||||||
Wisconsin | 494 | 0.91 | % | $ | 10,468,969.52 | 0.87 | % | |||||||||
Missouri | 484 | 0.89 | % | $ | 11,200,638.44 | 0.94 | % | |||||||||
South Carolina | 478 | 0.88 | % | $ | 10,505,764.53 | 0.88 | % | |||||||||
Washington | 472 | 0.87 | % | $ | 10,787,661.77 | 0.90 | % | |||||||||
New Hampshire | 402 | 0.74 | % | $ | 8,296,534.93 | 0.69 | % | |||||||||
Utah | 388 | 0.71 | % | $ | 8,735,192.83 | 0.73 | % | |||||||||
Kentucky | 359 | 0.66 | % | $ | 7,624,192.29 | 0.64 | % | |||||||||
Oklahoma | 293 | 0.54 | % | $ | 6,978,980.74 | 0.58 | % | |||||||||
Mississippi | 260 | 0.48 | % | $ | 5,979,473.26 | 0.50 | % | |||||||||
Iowa | 243 | 0.45 | % | $ | 5,327,100.14 | 0.44 | % | |||||||||
Nebraska | 188 | 0.35 | % | $ | 3,943,619.67 | 0.33 | % | |||||||||
Oregon | 181 | 0.33 | % | $ | 4,219,315.55 | 0.35 | % | |||||||||
Kansas | 175 | 0.32 | % | $ | 3,991,419.82 | 0.33 | % | |||||||||
Delaware | 171 | 0.31 | % | $ | 3,732,617.07 | 0.31 | % | |||||||||
Maine | 165 | 0.30 | % | $ | 3,449,274.69 | 0.29 | % | |||||||||
Idaho | 102 | 0.19 | % | $ | 2,145,441.37 | 0.18 | % | |||||||||
Vermont | 78 | 0.14 | % | $ | 1,704,318.69 | 0.14 | % | |||||||||
Arkansas | 76 | 0.14 | % | $ | 1,708,396.21 | 0.14 | % | |||||||||
New Mexico | 72 | 0.13 | % | $ | 1,795,672.99 | 0.15 | % | |||||||||
North Dakota | 62 | 0.11 | % | $ | 1,207,564.17 | 0.10 | % | |||||||||
West Virginia | 54 | 0.10 | % | $ | 1,235,845.47 | 0.10 | % | |||||||||
South Dakota | 50 | 0.09 | % | $ | 1,013,667.78 | 0.08 | % | |||||||||
Montana | 35 | 0.06 | % | $ | 788,997.79 | 0.07 | % | |||||||||
Wyoming | 31 | 0.06 | % | $ | 706,836.81 | 0.06 | % | |||||||||
District of Columbia | 27 | 0.05 | % | $ | 641,800.52 | 0.05 | % | |||||||||
Alaska | 9 | 0.02 | % | $ | 194,638.52 | 0.02 | % | |||||||||
Total | 54,392 | 100.00 | % | $ | 1,197,889,471.05 | 100.00 | % |
(1) | Excludes, Hawaii, Rhode Island and Tennessee. |
B-15
Table of Contents
Percentage of | Percentage of | Percentage of | ||||||||||||||||||||||
Number of | Total Number | Securitization | Aggregate | Base | Aggregate Base | |||||||||||||||||||
Quarters | Leases | of Leases | Value | Securitization Value | Residual | Residual | ||||||||||||||||||
1st Quarter 2008 | 5 | 0.01 | % | $ | 144,728.82 | 0.01 | % | $ | 118,973.60 | 0.02 | % | |||||||||||||
2nd Quarter 2008 | 86 | 0.16 | % | $ | 2,024,159.55 | 0.17 | % | $ | 1,640,580.42 | 0.21 | % | |||||||||||||
3rd Quarter 2008 | 631 | 1.16 | % | $ | 11,095,063.90 | 0.93 | % | $ | 8,812,090.02 | 1.15 | % | |||||||||||||
4th Quarter 2008 | 1,709 | 3.14 | % | $ | 34,695,940.70 | 2.90 | % | $ | 27,331,112.03 | 3.55 | % | |||||||||||||
1st Quarter 2009 | 2,527 | 4.65 | % | $ | 54,407,486.39 | 4.54 | % | $ | 41,837,586.39 | 5.44 | % | |||||||||||||
2nd Quarter 2009 | 5,030 | 9.25 | % | $ | 113,562,617.39 | 9.48 | % | $ | 84,109,900.23 | 10.93 | % | |||||||||||||
3rd Quarter 2009 | 11,786 | 21.67 | % | $ | 245,512,573.50 | 20.50 | % | $ | 173,488,322.91 | 22.55 | % | |||||||||||||
4th Quarter 2009 | 7,179 | 13.20 | % | $ | 151,328,692.73 | 12.63 | % | $ | 92,032,051.82 | 11.96 | % | |||||||||||||
1st Quarter 2010 | 9,923 | 18.24 | % | $ | 220,496,344.56 | 18.41 | % | $ | 134,578,242.52 | 17.49 | % | |||||||||||||
2nd Quarter 2010 | 8,642 | 15.89 | % | $ | 193,615,878.91 | 16.16 | % | $ | 118,625,217.05 | 15.42 | % | |||||||||||||
3rd Quarter 2010 | 4,994 | 9.18 | % | $ | 124,700,769.57 | 10.41 | % | $ | 66,391,202.61 | 8.63 | % | |||||||||||||
4th Quarter 2010 | 863 | 1.59 | % | $ | 23,557,586.22 | 1.97 | % | $ | 11,274,537.42 | 1.47 | % | |||||||||||||
1st Quarter 2011 | 148 | 0.27 | % | $ | 3,568,507.07 | 0.30 | % | $ | 1,509,046.13 | 0.20 | % | |||||||||||||
2nd Quarter 2011 | 63 | 0.12 | % | $ | 1,421,646.77 | 0.12 | % | $ | 617,350.10 | 0.08 | % | |||||||||||||
3rd Quarter 2011 | 450 | 0.83 | % | $ | 9,678,542.44 | 0.81 | % | $ | 3,942,571.32 | 0.51 | % | |||||||||||||
4th Quarter 2011 | 250 | 0.46 | % | $ | 5,666,490.35 | 0.47 | % | $ | 2,233,908.89 | 0.29 | % | |||||||||||||
1st Quarter 2012 | 106 | 0.19 | % | $ | 2,412,442.18 | 0.20 | % | $ | 941,294.86 | 0.12 | % | |||||||||||||
Total | 54,392 | 100.00 | % | $ | 1,197,889,471.05 | 100.00 | % | $ | 769,483,988.32 | 100.00 | % |
B-16
Table of Contents
Original Pool Characteristics as of the Cutoff Date | ||||
Number of Leases | 25,834 | |||
Aggregate Securitization Value | $ | 550,081,594.75 | ||
Base Residual | $ | 354,827,388.56 | ||
Securitization Rate | 9.25 | % | ||
Weighted Average Original Term (Months) | 39.62 | |||
Weighted Average Remaining Term (Months) | 29.06 | |||
Seasoning (Months)(1) | 10.55 | |||
Reserve Account Required Balance | $ | 16,502,447.84 | ||
Range of FICO Scores | 600 to 900 | |||
Weighted Average FICO Score | 729 | |||
Cutoff Date | March 31, 2008 | |||
Base Residual as a % of Securitization Value | 64.50 | % | ||
Base Residual as a % of MSRP | 47.77 | % |
Nissan | 97.66 | % | ||
Infiniti | 2.34 | % |
Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 21,292.93 | $ | 8,292.43 | $ | 60,709.37 | ||||||
Base Residual | $ | 13,734.90 | $ | 3,683.85 | $ | 25,260.00 | ||||||
Seasoning (Months)(1) | 10.55 | (2) | 3 | 49 | ||||||||
Remaining Term (Months) | 29.06 | (2) | 10 | 57 | ||||||||
Original Term (Months) | 39.62 | (2) | 36 | 60 |
(1) | Seasoning refers to the number of months elapsed from origination of the leases to the Cutoff Date | |
(2) | Weighted average by Securitization Value as of the Cutoff Date |
B-17
Table of Contents
Percentage of | ||||||||||||||||
Aggregate | ||||||||||||||||
Percentage of | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Total Number of | Securitization | Securitization | |||||||||||||
Vehicle Type | Leases | Leases | Value | Value | ||||||||||||
Altima | 7,871 | 30.47 | % | $ | 151,378,074.20 | 27.52 | % | |||||||||
Murano | 7,551 | 29.23 | % | $ | 176,233,188.36 | 32.04 | % | |||||||||
Pathfinder | 2,905 | 11.24 | % | $ | 70,404,549.99 | 12.80 | % | |||||||||
Sentra | 1,922 | 7.44 | % | $ | 27,265,287.66 | 4.96 | % | |||||||||
Maxima | 1,173 | 4.54 | % | $ | 27,557,095.24 | 5.01 | % | |||||||||
Xterra | 651 | 2.52 | % | $ | 12,529,195.93 | 2.28 | % | |||||||||
Versa | 586 | 2.27 | % | $ | 7,411,069.40 | 1.35 | % | |||||||||
Quest | 472 | 1.83 | % | $ | 9,823,628.44 | 1.79 | % | |||||||||
Armada | 464 | 1.80 | % | $ | 12,286,435.99 | 2.23 | % | |||||||||
Altima Coupe | 451 | 1.75 | % | $ | 10,253,309.22 | 1.86 | % | |||||||||
Crew Cab | 449 | 1.74 | % | $ | 9,105,567.52 | 1.66 | % | |||||||||
Titan | 444 | 1.72 | % | $ | 9,931,547.43 | 1.81 | % | |||||||||
350Z | 271 | 1.05 | % | $ | 7,858,268.40 | 1.43 | % | |||||||||
Frontier | 203 | 0.79 | % | $ | 3,431,904.41 | 0.62 | % | |||||||||
M35 | 137 | 0.53 | % | $ | 4,768,825.38 | 0.87 | % | |||||||||
G37 | 118 | 0.46 | % | $ | 4,569,125.66 | 0.83 | % | |||||||||
Rogue | 76 | 0.29 | % | $ | 1,728,357.45 | 0.31 | % | |||||||||
FX35 | 38 | 0.15 | % | $ | 1,424,330.32 | 0.26 | % | |||||||||
G35 | 27 | 0.10 | % | $ | 911,577.29 | 0.17 | % | |||||||||
QX56 | 13 | 0.05 | % | $ | 663,641.54 | 0.12 | % | |||||||||
M45 | 11 | 0.04 | % | $ | 505,317.57 | 0.09 | % | |||||||||
G35 Coupe | 1 | 0.00 | % | $ | 41,297.34 | 0.01 | % | |||||||||
Total | 25,834 | 100.00 | % | $ | 550,081,594.75 | 100.00 | % |
B-18
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
New York | 4,032 | 15.61 | % | $ | 84,311,217.88 | 15.33 | % | |||||||||
Florida | 3,274 | 12.67 | % | $ | 68,364,527.45 | 12.43 | % | |||||||||
California | 2,633 | 10.19 | % | $ | 56,323,272.89 | 10.24 | % | |||||||||
New Jersey | 2,626 | 10.16 | % | $ | 55,897,170.75 | 10.16 | % | |||||||||
Texas | 1,914 | 7.41 | % | $ | 43,633,024.38 | 7.93 | % | |||||||||
Pennsylvania | 1,055 | 4.08 | % | $ | 22,031,397.74 | 4.01 | % | |||||||||
Ohio | 838 | 3.24 | % | $ | 17,792,114.47 | 3.23 | % | |||||||||
Illinois | 813 | 3.15 | % | $ | 18,697,316.07 | 3.40 | % | |||||||||
Massachusetts | 707 | 2.74 | % | $ | 14,450,659.24 | 2.63 | % | |||||||||
Connecticut | 617 | 2.39 | % | $ | 12,520,065.63 | 2.28 | % | |||||||||
Georgia | 579 | 2.24 | % | $ | 12,805,673.56 | 2.33 | % | |||||||||
Michigan | 458 | 1.77 | % | $ | 9,256,848.98 | 1.68 | % | |||||||||
North Carolina | 444 | 1.72 | % | $ | 9,389,418.71 | 1.71 | % | |||||||||
Minnesota | 431 | 1.67 | % | $ | 9,286,200.57 | 1.69 | % | |||||||||
Arizona | 414 | 1.60 | % | $ | 8,857,919.89 | 1.61 | % | |||||||||
Indiana | 398 | 1.54 | % | $ | 8,525,791.81 | 1.55 | % | |||||||||
Virginia | 395 | 1.53 | % | $ | 8,568,546.01 | 1.56 | % | |||||||||
Louisiana | 329 | 1.27 | % | $ | 6,807,755.57 | 1.24 | % | |||||||||
Nevada | 307 | 1.19 | % | $ | 6,180,989.62 | 1.12 | % | |||||||||
Hawaii | 291 | 1.13 | % | $ | 5,583,921.36 | 1.02 | % | |||||||||
Maryland | 263 | 1.02 | % | $ | 5,919,607.23 | 1.08 | % | |||||||||
Colorado | 248 | 0.96 | % | $ | 5,355,586.95 | 0.97 | % | |||||||||
Rhode Island | 245 | 0.95 | % | $ | 5,079,977.74 | 0.92 | % | |||||||||
Wisconsin | 222 | 0.86 | % | $ | 4,706,725.76 | 0.86 | % | |||||||||
Washington | 221 | 0.86 | % | $ | 4,978,488.78 | 0.91 | % | |||||||||
New Hampshire | 212 | 0.82 | % | $ | 4,403,416.84 | 0.80 | % | |||||||||
South Carolina | 195 | 0.75 | % | $ | 4,278,054.09 | 0.78 | % | |||||||||
Utah | 192 | 0.74 | % | $ | 4,295,294.83 | 0.78 | % | |||||||||
Missouri | 173 | 0.67 | % | $ | 3,664,159.15 | 0.67 | % | |||||||||
Kentucky | 164 | 0.63 | % | $ | 3,498,591.03 | 0.64 | % | |||||||||
Iowa | 135 | 0.52 | % | $ | 2,979,788.73 | 0.54 | % | |||||||||
Mississippi | 122 | 0.47 | % | $ | 2,522,913.07 | 0.46 | % | |||||||||
Nebraska | 120 | 0.46 | % | $ | 2,451,519.94 | 0.45 | % | |||||||||
Kansas | 111 | 0.43 | % | $ | 2,387,078.13 | 0.43 | % | |||||||||
Maine | 103 | 0.40 | % | $ | 2,078,803.93 | 0.38 | % | |||||||||
Oklahoma | 88 | 0.34 | % | $ | 1,886,942.20 | 0.34 | % | |||||||||
Oregon | 73 | 0.28 | % | $ | 1,576,945.40 | 0.29 | % | |||||||||
Vermont | 60 | 0.23 | % | $ | 1,281,929.07 | 0.23 | % | |||||||||
Delaware | 59 | 0.23 | % | $ | 1,282,771.38 | 0.23 | % | |||||||||
Idaho | 55 | 0.21 | % | $ | 1,230,950.06 | 0.22 | % | |||||||||
Arkansas | 37 | 0.14 | % | $ | 816,984.97 | 0.15 | % | |||||||||
North Dakota | 36 | 0.14 | % | $ | 793,641.68 | 0.14 | % | |||||||||
West Virginia | 32 | 0.12 | % | $ | 724,300.43 | 0.13 | % | |||||||||
South Dakota | 27 | 0.10 | % | $ | 616,342.57 | 0.11 | % | |||||||||
Montana | 23 | 0.09 | % | $ | 560,420.09 | 0.10 | % | |||||||||
New Mexico | 21 | 0.08 | % | $ | 467,499.33 | 0.08 | % | |||||||||
District of Columbia | 20 | 0.08 | % | $ | 429,060.67 | 0.08 | % | |||||||||
Wyoming | 15 | 0.06 | % | $ | 333,241.24 | 0.06 | % | |||||||||
Alaska | 6 | 0.02 | % | $ | 151,209.11 | 0.03 | % | |||||||||
Alabama | 1 | 0.00 | % | $ | 45,517.78 | 0.01 | % | |||||||||
Total | 25,834 | 100.00 | % | $ | 550,081,594.75 | 100.00 | % |
(1) | Excludes Tennessee. |
B-19
Table of Contents
Percentage of | Percentage of | Percentage of | ||||||||||||||||||||||
Number of | Total Number | Securitization | Aggregate | Base | Aggregate Base | |||||||||||||||||||
Quarters | Leases | of Leases | Value | Securitization Value | Residual | Residual | ||||||||||||||||||
1st Quarter 2009 | 3 | 0.01 | % | $ | 54,056.44 | 0.01 | % | $ | 43,332.70 | 0.01 | % | |||||||||||||
2nd Quarter 2009 | 28 | 0.11 | % | $ | 530,859.57 | 0.10 | % | $ | 384,177.55 | 0.11 | % | |||||||||||||
3rd Quarter 2009 | 142 | 0.55 | % | $ | 2,740,698.40 | 0.50 | % | $ | 1,887,105.95 | 0.53 | % | |||||||||||||
4th Quarter 2009 | 454 | 1.76 | % | $ | 9,184,425.07 | 1.67 | % | $ | 6,307,212.36 | 1.78 | % | |||||||||||||
1st Quarter 2010 | 1,045 | 4.05 | % | $ | 20,243,850.99 | 3.68 | % | $ | 13,800,738.95 | 3.89 | % | |||||||||||||
2nd Quarter 2010 | 7,793 | 30.17 | % | $ | 162,304,357.13 | 29.51 | % | $ | 110,777,456.01 | 31.22 | % | |||||||||||||
3rd Quarter 2010 | 6,890 | 26.67 | % | $ | 143,277,956.32 | 26.05 | % | $ | 95,490,602.20 | 26.91 | % | |||||||||||||
4th Quarter 2010 | 6,687 | 25.88 | % | $ | 140,453,103.97 | 25.53 | % | $ | 88,057,761.96 | 24.82 | % | |||||||||||||
1st Quarter 2011 | 1,579 | 6.11 | % | $ | 36,010,026.94 | 6.55 | % | $ | 21,483,115.47 | 6.05 | % | |||||||||||||
2nd Quarter 2011 | 465 | 1.80 | % | $ | 14,591,540.06 | 2.65 | % | $ | 8,234,908.72 | 2.32 | % | |||||||||||||
3rd Quarter 2011 | 161 | 0.62 | % | $ | 4,296,482.45 | 0.78 | % | $ | 1,940,356.00 | 0.55 | % | |||||||||||||
4th Quarter 2011 | 46 | 0.18 | % | $ | 1,532,603.74 | 0.28 | % | $ | 689,970.12 | 0.19 | % | |||||||||||||
1st Quarter 2012 | 66 | 0.26 | % | $ | 1,562,015.71 | 0.28 | % | $ | 635,861.75 | 0.18 | % | |||||||||||||
2nd Quarter 2012 | 100 | 0.39 | % | $ | 2,692,407.77 | 0.49 | % | $ | 1,094,534.65 | 0.31 | % | |||||||||||||
3rd Quarter 2012 | 139 | 0.54 | % | $ | 4,010,164.78 | 0.73 | % | $ | 1,566,525.92 | 0.44 | % | |||||||||||||
4th Quarter 2012 | 235 | 0.91 | % | $ | 6,573,335.51 | 1.19 | % | $ | 2,423,018.25 | 0.68 | % | |||||||||||||
1st Quarter 2013 | 1 | 0.00 | % | $ | 23,709.91 | 0.00 | % | $ | 10,710.00 | 0.00 | % | |||||||||||||
Total | 25,834 | 100.00 | % | $ | 550,081,594.75 | 100.00 | % | $ | 354,827,388.56 | 100.00 | % |
B-20
Table of Contents
Original Pool Characteristics as of the Cutoff Date | ||||
Number of Leases | 68,370 | |||
Aggregate Securitization Value | $ | 1,410,566,560.08 | ||
Base Residual | $ | 947,930,333.20 | ||
Securitization Rate | 7.40 | % | ||
Weighted Average Original Term (Months) | 38.25 | |||
Weighted Average Remaining Term (Months) | 25.26 | |||
Seasoning (Months)(1) | 13.00 | |||
Reserve Fund Required Balance | $ | 21,158,498.40 | ||
Range of FICO Scores | 525 to 883 | |||
Weighted Average FICO Score | 740 | |||
Cutoff Date | May 31, 2009 | |||
Discounted Base Residual as a % of Securitization Value | 57.53 | % | ||
Base Residual as a % of MSRP | 46.19 | % |
Nissan | 78.47 | % | ||
Infiniti | 21.53 | % |
Average | Minimum | Maximum | ||||||||||
Securitization Value | $ | 20,631.37 | $ | 7,431.29 | $ | 95,095.38 | ||||||
Base Residual | $ | 13,864.71 | $ | 4,186.05 | $ | 54,923.60 | ||||||
Seasoning (Months)(1) | 13.00 | (2) | 2 | 51 | ||||||||
Remaining Term (Months) | 25.26 | (2) | 9 | 58 | ||||||||
Original Term (Months) | 38.25 | (2) | 24 | 60 |
(1) | Seasoning refers to the number of months elapsed from origination of the leases to the Cutoff Date | |
(2) | Weighted average by Securitization Value as of the Cutoff Date |
B-21
Table of Contents
Percentage of | ||||||||||||||||
Aggregate | ||||||||||||||||
Percentage of | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Total Number of | Securitization | Securitization | |||||||||||||
Vehicle Type | Leases | Leases | Value | Value | ||||||||||||
Altima | 18,349 | 26.84 | % | $ | 305,772,093.57 | 21.68 | % | |||||||||
Rogue | 10,017 | 14.65 | % | $ | 200,660,303.10 | 14.23 | % | |||||||||
Murano | 6,752 | 9.88 | % | $ | 139,857,981.89 | 9.92 | % | |||||||||
Maxima | 6,396 | 9.35 | % | $ | 162,326,395.70 | 11.51 | % | |||||||||
Pathfinder | 5,587 | 8.17 | % | $ | 110,324,576.96 | 7.82 | % | |||||||||
G35 | 4,096 | 5.99 | % | $ | 103,727,846.21 | 7.35 | % | |||||||||
Sentra | 3,718 | 5.44 | % | $ | 50,283,278.45 | 3.56 | % | |||||||||
Altima Coupe | 2,195 | 3.21 | % | $ | 43,161,728.78 | 3.06 | % | |||||||||
G37 | 1,912 | 2.80 | % | $ | 58,675,767.75 | 4.16 | % | |||||||||
FX35 | 1,394 | 2.04 | % | $ | 44,980,889.38 | 3.19 | % | |||||||||
M35 | 1,317 | 1.93 | % | $ | 37,308,520.08 | 2.64 | % | |||||||||
Versa | 1,001 | 1.46 | % | $ | 13,065,423.47 | 0.93 | % | |||||||||
Xterra | 978 | 1.43 | % | $ | 15,802,037.19 | 1.12 | % | |||||||||
QX56 | 935 | 1.37 | % | $ | 32,987,907.00 | 2.34 | % | |||||||||
Crew Cab | 899 | 1.31 | % | $ | 15,596,073.90 | 1.11 | % | |||||||||
Armada | 609 | 0.89 | % | $ | 17,620,216.11 | 1.25 | % | |||||||||
EX35 | 506 | 0.74 | % | $ | 14,811,086.18 | 1.05 | % | |||||||||
350Z | 383 | 0.56 | % | $ | 9,077,459.03 | 0.64 | % | |||||||||
Quest | 340 | 0.50 | % | $ | 6,351,147.80 | 0.45 | % | |||||||||
Frontier | 316 | 0.46 | % | $ | 4,691,174.17 | 0.33 | % | |||||||||
M45 | 271 | 0.40 | % | $ | 9,003,454.97 | 0.64 | % | |||||||||
Titan | 173 | 0.25 | % | $ | 3,713,970.85 | 0.26 | % | |||||||||
370Z | 102 | 0.15 | % | $ | 3,580,422.44 | 0.25 | % | |||||||||
GT-R | 67 | 0.10 | % | $ | 5,043,012.59 | 0.36 | % | |||||||||
FX50 | 24 | 0.04 | % | $ | 1,151,573.58 | 0.08 | % | |||||||||
FX45 | 18 | 0.03 | % | $ | 636,238.75 | 0.05 | % | |||||||||
G35 Coupe | 15 | 0.02 | % | $ | 355,980.18 | 0.03 | % | |||||||||
Total | 68,370 | 100.00 | % | $ | 1,410,566,560.08 | 100.00 | % |
B-22
Table of Contents
Percentage of | ||||||||||||||||
Percentage of | Aggregate | |||||||||||||||
Total | Cutoff Date | Cutoff Date | ||||||||||||||
Number of | Number of | Securitization | Securitization | |||||||||||||
State of Registration(1) | Leases | Leases | Value | Value | ||||||||||||
New York | 11,172 | 16.34 | % | $ | 204,963,929.26 | 14.53 | % | |||||||||
Florida | 8,877 | 12.98 | % | $ | 180,797,834.88 | 12.82 | % | |||||||||
New Jersey | 8,216 | 12.02 | % | $ | 171,862,115.91 | 12.18 | % | |||||||||
California | 6,259 | 9.15 | % | $ | 139,628,718.99 | 9.90 | % | |||||||||
Pennsylvania | 3,682 | 5.39 | % | $ | 74,627,947.77 | 5.29 | % | |||||||||
Texas | 3,576 | 5.23 | % | $ | 80,940,744.54 | 5.74 | % | |||||||||
Ohio | 2,591 | 3.79 | % | $ | 52,577,737.25 | 3.73 | % | |||||||||
Massachusetts | 2,418 | 3.54 | % | $ | 48,257,500.50 | 3.42 | % | |||||||||
Connecticut | 2,341 | 3.42 | % | $ | 46,800,757.63 | 3.32 | % | |||||||||
Illinois | 1,947 | 2.85 | % | $ | 43,190,565.89 | 3.06 | % | |||||||||
Michigan | 1,464 | 2.14 | % | $ | 29,519,526.23 | 2.09 | % | |||||||||
Georgia | 1,399 | 2.05 | % | $ | 31,525,424.40 | 2.23 | % | |||||||||
Indiana | 1,013 | 1.48 | % | $ | 20,180,201.22 | 1.43 | % | |||||||||
North Carolina | 988 | 1.45 | % | $ | 21,088,736.88 | 1.50 | % | |||||||||
Minnesota | 963 | 1.41 | % | $ | 19,625,235.26 | 1.39 | % | |||||||||
Virginia | 914 | 1.34 | % | $ | 20,048,391.19 | 1.42 | % | |||||||||
Arizona | 907 | 1.33 | % | $ | 19,896,270.59 | 1.41 | % | |||||||||
Colorado | 794 | 1.16 | % | $ | 17,073,640.05 | 1.21 | % | |||||||||
Wisconsin | 707 | 1.03 | % | $ | 14,604,752.17 | 1.04 | % | |||||||||
Louisiana | 676 | 0.99 | % | $ | 15,390,270.07 | 1.09 | % | |||||||||
Nevada | 601 | 0.88 | % | $ | 12,448,673.54 | 0.88 | % | |||||||||
Maryland | 556 | 0.81 | % | $ | 13,398,551.76 | 0.95 | % | |||||||||
New Hampshire | 555 | 0.81 | % | $ | 10,973,051.03 | 0.78 | % | |||||||||
Missouri | 533 | 0.78 | % | $ | 11,826,531.83 | 0.84 | % | |||||||||
Washington | 472 | 0.69 | % | $ | 10,288,960.62 | 0.73 | % | |||||||||
Alabama | 471 | 0.69 | % | $ | 9,903,163.33 | 0.70 | % | |||||||||
Rhode Island | 397 | 0.58 | % | $ | 7,973,495.36 | 0.57 | % | |||||||||
Kentucky | 386 | 0.56 | % | $ | 7,995,769.35 | 0.57 | % | |||||||||
Nebraska | 376 | 0.55 | % | $ | 7,174,859.61 | 0.51 | % | |||||||||
Utah | 370 | 0.54 | % | $ | 8,173,196.97 | 0.58 | % | |||||||||
Iowa | 365 | 0.53 | % | $ | 7,645,835.30 | 0.54 | % | |||||||||
South Carolina | 364 | 0.53 | % | $ | 7,794,761.18 | 0.55 | % | |||||||||
Kansas | 252 | 0.37 | % | $ | 5,361,017.66 | 0.38 | % | |||||||||
Maine | 231 | 0.34 | % | $ | 4,412,917.91 | 0.31 | % | |||||||||
Hawaii | 188 | 0.27 | % | $ | 3,733,140.30 | 0.26 | % | |||||||||
Delaware | 184 | 0.27 | % | $ | 3,721,271.91 | 0.26 | % | |||||||||
Oklahoma | 160 | 0.23 | % | $ | 3,829,573.92 | 0.27 | % | |||||||||
Oregon | 157 | 0.23 | % | $ | 3,370,532.66 | 0.24 | % | |||||||||
Mississippi | 152 | 0.22 | % | $ | 3,523,087.80 | 0.25 | % | |||||||||
Vermont | 140 | 0.20 | % | $ | 2,687,263.74 | 0.19 | % | |||||||||
North Dakota | 103 | 0.15 | % | $ | 1,876,980.00 | 0.13 | % | |||||||||
West Virginia | 87 | 0.13 | % | $ | 1,839,413.30 | 0.13 | % | |||||||||
New Mexico | 76 | 0.11 | % | $ | 1,794,070.20 | 0.13 | % | |||||||||
Idaho | 66 | 0.10 | % | $ | 1,361,289.22 | 0.10 | % | |||||||||
South Dakota | 65 | 0.10 | % | $ | 1,382,005.08 | 0.10 | % | |||||||||
Arkansas | 60 | 0.09 | % | $ | 1,319,305.61 | 0.09 | % | |||||||||
District of Columbia | 51 | 0.07 | % | $ | 1,169,098.96 | 0.08 | % | |||||||||
Montana | 23 | 0.03 | % | $ | 434,463.43 | 0.03 | % | |||||||||
Wyoming | 19 | 0.03 | % | $ | 422,855.64 | 0.03 | % | |||||||||
Alaska | 6 | 0.01 | % | $ | 131,122.18 | 0.01 | % | |||||||||
Total | 68,370 | 100.00 | % | $ | 1,410,566,560.08 | 100.00 | % |
(1) | Excludes Tennessee |
B-23
Table of Contents
Percentage of | Percentage of | Percentage of | ||||||||||||||||||||||
Number of | Total Number | Securitization | Aggregate | Base | Aggregate Base | |||||||||||||||||||
Quarters | Leases | of Leases | Value | Securitization Value | Residual | Residual | ||||||||||||||||||
1st Quarter 2010 | 557 | 0.81 | % | $ | 12,746,397.11 | 0.90 | % | $ | 11,257,892.83 | 1.19 | % | |||||||||||||
2nd Quarter 2010 | 3,269 | 4.78 | % | $ | 73,242,353.78 | 5.19 | % | $ | 62,443,705.66 | 6.59 | % | |||||||||||||
3rd Quarter 2010 | 4,499 | 6.58 | % | $ | 74,485,522.98 | 5.28 | % | $ | 58,910,111.35 | 6.21 | % | |||||||||||||
4th Quarter 2010 | 3,546 | 5.19 | % | $ | 66,398,571.19 | 4.71 | % | $ | 48,977,039.48 | 5.17 | % | |||||||||||||
1st Quarter 2011 | 8,497 | 12.43 | % | $ | 188,869,430.63 | 13.39 | % | $ | 133,087,951.07 | 14.04 | % | |||||||||||||
2nd Quarter 2011 | 12,216 | 17.87 | % | $ | 240,020,501.01 | 17.02 | % | $ | 162,311,269.41 | 17.12 | % | |||||||||||||
3rd Quarter 2011 | 11,757 | 17.20 | % | $ | 220,113,564.55 | 15.60 | % | $ | 143,066,504.26 | 15.09 | % | |||||||||||||
4th Quarter 2011 | 10,561 | 15.45 | % | $ | 209,221,003.43 | 14.83 | % | $ | 129,996,483.54 | 13.71 | % | |||||||||||||
1st Quarter 2012 | 5,734 | 8.39 | % | $ | 127,467,786.90 | 9.04 | % | $ | 81,686,802.39 | 8.62 | % | |||||||||||||
2nd Quarter 2012 | 5,623 | 8.22 | % | $ | 129,606,259.88 | 9.19 | % | $ | 81,964,835.91 | 8.65 | % | |||||||||||||
3rd Quarter 2012 | 1,249 | 1.83 | % | $ | 38,590,310.90 | 2.74 | % | $ | 21,723,735.01 | 2.29 | % | |||||||||||||
4th Quarter 2012 | 212 | 0.31 | % | $ | 7,184,790.66 | 0.51 | % | $ | 3,229,818.38 | 0.34 | % | |||||||||||||
1st Quarter 2013 | 278 | 0.41 | % | $ | 9,798,617.90 | 0.69 | % | $ | 4,485,633.00 | 0.47 | % | |||||||||||||
2nd Quarter 2013 | 41 | 0.06 | % | $ | 1,316,017.00 | 0.09 | % | $ | 531,624.75 | 0.06 | % | |||||||||||||
3rd Quarter 2013 | 24 | 0.04 | % | $ | 815,181.07 | 0.06 | % | $ | 301,334.97 | 0.03 | % | |||||||||||||
4th Quarter 2013 | 153 | 0.22 | % | $ | 5,138,735.67 | 0.36 | % | $ | 1,844,298.71 | 0.19 | % | |||||||||||||
1st Quarter 2014 | 153 | 0.22 | % | $ | 5,533,091.03 | 0.39 | % | $ | 2,105,213.28 | 0.22 | % | |||||||||||||
2nd Quarter 2014 | 1 | 0.00 | % | $ | 18,424.39 | 0.00 | % | $ | 6,079.20 | 0.00 | % | |||||||||||||
Total | 68,370 | 100.00 | % | $ | 1,410,566,560.08 | 100.00 | % | $ | 947,930,333.20 | 100.00 | % |
B-24
Table of Contents
Public | Public | Public | Public | Public | Public | |||||||||||||||||||
Offering Type Transaction | 2009-A | 2008-A | 2007-A | 2006-A | 2005-A | 2004-A | ||||||||||||||||||
Aggregate Securitization Value | $ | 1,410,566,560 | $ | 550,081,595 | $ | 1,197,889,471 | $ | 1,719,278,529 | $ | 1,550,442,391 | $ | 1,680,098,820 | ||||||||||||
Aggregate Base Residual | $ | 947,930,333 | $ | 354,827,389 | $ | 769,483,988 | $ | 1,111,217,474 | $ | 941,165,062 | $ | 937,810,007 | ||||||||||||
Weighted Average(3) | ||||||||||||||||||||||||
Remaining Term (months) | 25.26 | 29.06 | 29.04 | 29.70 | 31.98 | 33.69 | ||||||||||||||||||
Original Term (months) | 38.25 | 39.62 | 38.67 | 40.67 | 43.02 | 42.35 | ||||||||||||||||||
Seasoning (months) | 13.00 | 10.55 | 9.63 | 10.98 | 11.04 | 8.66 | ||||||||||||||||||
Base Residual as a % of | ||||||||||||||||||||||||
Initial Securitization Value | 67.20 | % | 64.50 | % | 64.24 | % | 64.63 | % | 60.70 | % | 55.82 | % | ||||||||||||
Original Lease Term | ||||||||||||||||||||||||
24-30 months | 6.57 | % | N/A | 4.53 | % | 4.99 | % | 4.00 | % | 1.28 | %(1) | |||||||||||||
31-36 months | 8.57 | % | 28.46 | % | 21.90 | % | 14.80 | % | 19.43 | % | 6.07 | % | ||||||||||||
37-42 months | 82.34 | % | 63.86 | % | 67.85 | % | 64.67 | % | 41.44 | % | 56.75 | % | ||||||||||||
43-48 months | 1.21 | % | 3.02 | % | 3.96 | % | 11.79 | % | 21.22 | % | 33.01 | % | ||||||||||||
49-60 months | 1.30 | % | 4.65 | % | 1.76 | % | 3.75 | % | 13.90 | % | 2.88 | % | ||||||||||||
Top 5 Models | ||||||||||||||||||||||||
Maxima | 11.51 | % | 5.01 | % | 14.78 | % | 8.02 | % | 11.78 | % | 17.54 | % | ||||||||||||
Altima | 21.68 | % | 27.52 | % | 22.80 | % | 16.61 | % | 23.25 | % | 28.23 | % | ||||||||||||
Pathfinder | 7.82 | % | 12.80 | % | 16.19 | % | 14.20 | % | 12.44 | % | 16.60 | % | ||||||||||||
Murano | 9.92 | % | 32.04 | % | 16.98 | % | 22.37 | % | 10.06 | % | 10.85 | % | ||||||||||||
Quest | N/A | N/A | N/A | N/A | N/A | 7.93 | % | |||||||||||||||||
Sentra | N/A | 4.96 | % | N/A | N/A | N/A | N/A | |||||||||||||||||
G35 | N/A | N/A | 6.18 | % | 9.24 | % | 12.44 | % | N/A | |||||||||||||||
Rogue | 14.23 | % | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Top 3 States | ||||||||||||||||||||||||
New York | 14.53 | % | 15.33 | % | 14.96 | % | 14.33 | % | 14.85 | % | 18.49 | % | ||||||||||||
New Jersey | 12.18 | % | N/A | 10.29 | % | N/A | 10.97 | % | 13.11 | % | ||||||||||||||
Florida | 12.82 | % | 12.43 | % | 11.88 | % | 13.02 | % | N/A | N/A | ||||||||||||||
California | N/A | 10.24 | % | N/A | 12.27 | % | 13.11 | % | 10.41 | % | ||||||||||||||
Weighted Average Credit Score(2)(3) | 740 | 729 | 724 | 732 | 730 | 720 | ||||||||||||||||||
Range of Credit Scores(2) | 525-883 | 600-900 | 600-900 | 600-900 | 600-900 | 563-900 |
(1) | 2004-A transaction contained one lease with an original lease term of 19 months. |
(2) | From September 1996 through October 2001, NMAC utilized its own statistically derived empirical credit scoring process. In October of 2001, NMAC switched to FICO Scores. |
(3) | Weighted average by Securitization Value as of the Cutoff Date |
B-25
Table of Contents
1) | Prepayment assumption based on 50% prepayment speed. For more information regarding the prepayment assumption model, you should refer to “Weighted Average Life of the Notes” in this prospectus supplement. |
2) | Pool characteristics will vary from series to series and investors are encouraged to carefully review the characteristics of the leases for each of the series represented in the above graph beginning onpage B-1 of this prospectus supplement under “— Characteristics of the Leases.” Performance may also vary from series to series, and there can be no assurance that the performance of the prior series will correspond to or be an accurate predictor of the performance of the leases. |
3) | Investors are encouraged to carefully review the information set forth under “Historical Pool Performance” beginning onpage C-1 of this prospectus supplement which contains the underlying historical data used in preparing the above chart. |
B-26
Table of Contents
1) | Prepayment assumption based on 50% prepayment speed. For more information regarding the prepayment assumption model, you should refer to “Weighted Average Life of the Notes” in this prospectus supplement. |
2) | For more information regarding calculation of Pool Factor, you should refer to “Pool Factors and Trading Information” in this prospectus. |
B-27
Table of Contents
1) | Prepayment assumption based on 75% prepayment speed. For more information regarding the prepayment assumption model, you should refer Average Life of the notes in this prospectus supplement. |
2) | For more information regarding calculation of Pool Factor, you should refer to “pool Factors and Trading Information” in this prospectus. |
B-28
Table of Contents
1) | Prepayment assumption based on 75% prepayment speed. For more information regarding the prepayment assumption model, you should refer Average Life of the notes in this prospectus supplement. |
2) | For more information regarding calculation of Pool Factor, you should refer to “pool Factors and Trading Information” in this prospectus. |
B-29
Table of Contents
1) | Prepayment assumption based on 75% prepayment speed. For more information regarding the prepayment assumption model, you should refer Average Life of the notes in this prospectus supplement. |
2) | For more information regarding calculation of Pool Factor, you should refer to “pool Factors and Trading Information” in this prospectus. |
B-30
Table of Contents
1) | Prepayment assumption based on 75% prepayment speed. For more information regarding the prepayment assumption model, you should refer Average Life of the notes in this prospectus supplement. |
2) | For more information regarding calculation of Pool Factor, you should refer to “pool Factors and Trading Information” in this prospectus. |
B-31
Table of Contents
B-32
Table of Contents
1) | Percentage based on outstanding securitization value of the delinquent leases, divided by outstanding aggregate securitization value of all leases. |
2) | Investors are encouraged to carefully review the information set forth under “Historical Pool Performance” beginning onpage C-1 of this prospectus supplement which contains the underlying historical data used in preparing the above graph. Pool characteristics will vary from series to series and investors are encouraged to carefully review the characteristics of the leases for each of the series represented in the above graph beginning onpage B-1 of this prospectus supplement under “— Characteristics of the Leases.” Performance may also vary from series to series, and there can be no assurance that the performance of the prior series will correspond to or be an accurate predictor of the performance of the leases. |
B-33
Table of Contents
1) | Net losses are calculated based on gross losses, less the amount of recoveries received for each repossessed or charged-off vehicle. |
B-34
Table of Contents
Securitization Value(1)
1) | Residual value losses exclude repossessions, vehicles in inventory and NMAC Residual Percentage of less than 10% and greater than 95%. Includes lessee initiated early terminations. |
B-35
Table of Contents
Oct-04 | Nov-04 | Dec-04 | Jan-05 | Feb-05 | Mar-05 | Apr-05 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | 265,000,000.00 | 210,675,000.00 | 183,115,000.00 | 154,998,500.00 | 126,511,000.00 | 97,917,500.00 | 68,979,500.00 | |||||||||||||||||||||
Class A-2 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | |||||||||||||||||||||
Class A-3 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | |||||||||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | |||||||||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | |||||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | |||||||||||||||||||||
1,680,098,819.60 | 1,625,773,819.60 | 1,598,213,819.60 | 1,570,097,319.60 | 1,541,609,819.60 | 1,513,016,319.60 | 1,484,078,319.60 | ||||||||||||||||||||||
2004-A Prepayment Assumption | 1.000000 | 0.967666 | 0.951262 | 0.934527 | 0.917571 | 0.900552 | 0.883328 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 265,000,000.00 | 207,217,249.87 | 177,220,777.00 | 145,136,622.77 | 112,949,565.91 | 80,658,515.08 | 44,620,881.32 | |||||||||||||||||||||
Class A-2 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | 260,000,000.00 | |||||||||||||||||||||
Class A-3 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | |||||||||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | |||||||||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | |||||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | |||||||||||||||||||||
1,680,098,819.60 | 1,622,316,069.47 | 1,592,319,596.60 | 1,560,235,442.37 | 1,528,048,385.51 | 1,495,757,334.68 | 1,459,719,700.92 | ||||||||||||||||||||||
2004-A Pool Factor | 1.000000 | 0.965608 | 0.947754 | 0.928657 | 0.909499 | 0.890279 | 0.868830 | |||||||||||||||||||||
Monthly Residual Losses | (104,725.56 | ) | (126,799.82 | ) | (125,294.53 | ) | (232,897.17 | ) | (270,451.76 | ) | (344,086.95 | ) | (153,567.88 | ) | ||||||||||||||
2004-A Cumulative Residual Losses | (104,725.56 | ) | (231,525.38 | ) | (356,819.91 | ) | (589,717.08 | ) | (860,168.84 | ) | (1,204,255.79 | ) | (1,357,823.67 | ) | ||||||||||||||
2004-A Residual Losses (as a % of Original Pool Balance) | 0.006 | % | 0.014 | % | 0.021 | % | 0.035 | % | 0.051 | % | 0.072 | % | 0.081 | % | ||||||||||||||
Monthly Net Credit Losses | (1,565,466.42 | ) | (818,879.66 | ) | (748,620.42 | ) | (827,349.22 | ) | (993,587.48 | ) | (1,138,280.24 | ) | (244,029.08 | ) | ||||||||||||||
2004-A Cumulative Net Credit Losses | (1,565,466.42 | ) | (2,384,346.08 | ) | (3,132,966.50 | ) | (3,960,315.72 | ) | (4,953,903.20 | ) | (6,092,183.44 | ) | (6,336,212.52 | ) | ||||||||||||||
2004-A Net Credit Losses (as a % of Original Pool Balance) | 0.093 | % | 0.142 | % | 0.186 | % | 0.236 | % | 0.295 | % | 0.363 | % | 0.377 | % |
C-1
Table of Contents
Oct-04 | Nov-04 | Dec-04 | Jan-05 | Feb-05 | Mar-05 | Apr-05 | ||||||||||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 12,375,473.15 | 15,421,163.08 | 16,826,582.88 | 15,166,746.42 | 15,611,264.17 | 13,278,109.22 | 13,892,452.20 | |||||||||||||||||||||
61-90 | 2,027,996.47 | 2,591,597.70 | 2,993,798.17 | 4,055,641.07 | 3,828,950.34 | 2,664,389.19 | 2,927,370.90 | |||||||||||||||||||||
91-120+ | 14,085.88 | 550,667.26 | 1,122,066.41 | 1,306,883.49 | 1,254,910.42 | 666,960.56 | 544,217.09 | |||||||||||||||||||||
Total | 14,417,555.50 | 18,563,428.04 | 20,942,447.46 | 20,529,270.98 | 20,695,124.93 | 16,609,458.97 | 17,364,040.19 | |||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 0.74 | % | 0.95 | % | 1.06 | % | 0.97 | % | 1.02 | % | 0.89 | % | 0.95 | % | ||||||||||||||
61-90 | 0.12 | % | 0.16 | % | 0.19 | % | 0.26 | % | 0.25 | % | 0.18 | % | 0.20 | % | ||||||||||||||
91-120+ | 0.00 | % | 0.03 | % | 0.07 | % | 0.08 | % | 0.08 | % | 0.04 | % | 0.04 | % | ||||||||||||||
Total | 0.86 | % | 1.14 | % | 1.32 | % | 1.32 | % | 1.35 | % | 1.11 | % | 1.19 | % | ||||||||||||||
2004-A 60+ | 0.12 | % | 0.19 | % | 0.26 | % | 0.34 | % | 0.33 | % | 0.22 | % | 0.24 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 511 | 635 | 706 | 637 | 667 | 584 | 609 | |||||||||||||||||||||
61-90 | 76 | 100 | 117 | 164 | 155 | 109 | 124 | |||||||||||||||||||||
91-120+ | 1 | 20 | 37 | 50 | 48 | 28 | 22 | |||||||||||||||||||||
Total | 588 | 755 | 860 | 851 | 870 | 721 | 755 |
C-2
Table of Contents
Oct-04 | Nov-04 | Dec-04 | Jan-05 | Feb-05 | Mar-05 | Apr-05 | ||||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | — | 597,331.62 | 1,000,644.98 | 1,743,358.48 | 2,028,039.49 | 2,465,579.08 | 2,030,955.27 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | — | 409,186.50 | 539,173.02 | 1,164,027.79 | 1,089,760.35 | 1,610,181.24 | 1,139,664.21 | |||||||||||||||||||||
Additional Advance for Current Period | 597,331.62 | 812,499.86 | 1,281,886.52 | 1,448,708.80 | 1,527,299.94 | 1,175,557.43 | 2,058,690.05 | |||||||||||||||||||||
Ending Residual Advances | 597,331.62 | 1,000,644.98 | 1,743,358.48 | 2,028,039.49 | 2,465,579.08 | 2,030,955.27 | 2,949,981.11 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | — | 3,089,568.61 | 3,260,479.91 | 3,321,179.70 | 3,012,394.42 | 3,785,992.42 | 2,769,781.69 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | — | 1,235,242.53 | 1,352,766.10 | 1,506,487.21 | 1,119,344.33 | 1,992,568.47 | 1,078,839.13 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 3,089,568.61 | 1,406,153.83 | 1,413,465.89 | 1,197,701.93 | 1,892,942.33 | 976,357.74 | 1,428,190.35 | |||||||||||||||||||||
Ending Balance of Payment Advance | 3,089,568.61 | 3,260,479.91 | 3,321,179.70 | 3,012,394.42 | 3,785,992.42 | 2,769,781.69 | 3,119,132.91 | |||||||||||||||||||||
Total Collections | 70,747,427.84 | 37,197,271.46 | 39,736,704.27 | 40,615,042.92 | 38,516,919.98 | 45,028,984.09 | 41,274,612.83 | |||||||||||||||||||||
2004-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 5.211 | % | 5.965 | % | 6.783 | % | 6.516 | % | 8.880 | % | 4.779 | % | 8.448 | % |
C-3
Table of Contents
May-05 | Jun-05 | Jul-05 | Aug-05 | Sep-05 | Oct-05 | |||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||
Class A-1 | 39,776,500.00 | 10,494,000.00 | — | — | — | — | ||||||||||||||||||
Class A-2 | 260,000,000.00 | 260,000,000.00 | 241,098,000.00 | 211,224,000.00 | 180,648,000.00 | 149,682,000.00 | ||||||||||||||||||
Class A-3 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | ||||||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | ||||||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | ||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | ||||||||||||||||||
1,454,875,319.60 | 1,425,592,819.60 | 1,396,196,819.60 | 1,366,322,819.60 | 1,335,746,819.60 | 1,304,780,819.60 | |||||||||||||||||||
2004-A Prepayment Assumption | 0.865946 | 0.848517 | 0.831021 | 0.813240 | 0.795041 | 0.776610 | ||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||
Class A-1 | 10,100,740.83 | — | — | — | — | — | ||||||||||||||||||
Class A-2 | 260,000,000.00 | 236,404,728.18 | 200,966,463.68 | 166,323,286.27 | 128,733,211.25 | 94,247,379.01 | ||||||||||||||||||
Class A-3 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | ||||||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | ||||||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | ||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | ||||||||||||||||||
1,425,199,560.43 | 1,391,503,547.78 | 1,356,065,283.28 | 1,321,422,105.87 | 1,283,832,030.85 | 1,249,346,198.61 | |||||||||||||||||||
2004-A Pool Factor | 0.848283 | 0.828227 | 0.807134 | 0.786515 | 0.764141 | 0.743615 | ||||||||||||||||||
Monthly Residual Losses | (295,578.22 | ) | (264,207.96 | ) | (342,249.57 | ) | (293,699.07 | ) | (398,949.43 | ) | (445,097.69 | ) | ||||||||||||
2004-A Cumulative Residual Losses | (1,653,401.89 | ) | (1,917,609.85 | ) | (2,259,859.42 | ) | (2,553,558.49 | ) | (2,952,507.92 | ) | (3,397,605.61 | ) | ||||||||||||
2004-A Residual Losses (as a % of Original Pool Balance) | 0.098 | % | 0.114 | % | 0.135 | % | 0.152 | % | 0.176 | % | 0.202 | % | ||||||||||||
Monthly Net Credit Losses | (281,245.13 | ) | (628,832.59 | ) | (321,132.95 | ) | (1,098,373.74 | ) | (597,124.54 | ) | (567,268.85 | ) | ||||||||||||
2004-A Cumulative Net Credit Losses | (6,617,457.65 | ) | (7,246,290.24 | ) | (7,567,423.19 | ) | (8,665,796.93 | ) | (9,262,921.47 | ) | (9,830,190.32 | ) | ||||||||||||
2004-A Net Credit Losses (as a % of Original Pool Balance) | 0.394 | % | 0.431 | % | 0.450 | % | 0.516 | % | 0.551 | % | 0.585 | % | ||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||
31-60 | 13,937,801.29 | 14,689,816.76 | 16,861,699.40 | 13,469,315.66 | 17,239,171.53 | 17,789,501.67 | ||||||||||||||||||
61-90 | 2,736,708.07 | 3,674,726.85 | 3,637,943.64 | 4,667,206.82 | 3,393,856.69 | 4,035,197.81 | ||||||||||||||||||
91-120+ | 959,864.15 | 736,923.88 | 1,640,976.74 | 1,471,036.53 | 1,800,593.49 | 1,514,768.47 | ||||||||||||||||||
Total | 17,634,373.51 | 19,101,467.49 | 22,140,619.78 | 19,607,559.01 | 22,433,621.71 | 23,339,467.95 |
C-4
Table of Contents
May-05 | Jun-05 | Jul-05 | Aug-05 | Sep-05 | Oct-05 | |||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||
31-60 | 0.98 | % | 1.06 | % | 1.24 | % | 1.02 | % | 1.34 | % | 1.42 | % | ||||||||||||
61-90 | 0.19 | % | 0.26 | % | 0.27 | % | 0.35 | % | 0.26 | % | 0.32 | % | ||||||||||||
91-120+ | 0.07 | % | 0.05 | % | 0.12 | % | 0.11 | % | 0.14 | % | 0.12 | % | ||||||||||||
Total | 1.24 | % | 1.37 | % | 1.63 | % | 1.48 | % | 1.75 | % | 1.87 | % | ||||||||||||
2004-A 60+ | 0.26 | % | 0.32 | % | 0.39 | % | 0.46 | % | 0.40 | % | 0.44 | % | ||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||
31-60 | 619 | 656 | 774 | 641 | 822 | 866 | ||||||||||||||||||
61-90 | 115 | 156 | 161 | 212 | 158 | 195 | ||||||||||||||||||
91-120+ | 40 | 31 | 71 | 63 | 79 | 72 | ||||||||||||||||||
Total | 774 | 843 | 1,006 | 916 | 1,059 | 1,133 | ||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||
Beginning Balance of Residual Advance | 2,949,981.11 | 2,815,194.74 | 2,822,976.90 | 3,247,361.67 | 4,363,867.63 | 4,206,384.21 | ||||||||||||||||||
Reimbursement of Outstanding Advance | 1,852,824.87 | 1,807,888.84 | 1,872,397.38 | 1,717,418.06 | 2,448,205.27 | 2,211,761.18 | ||||||||||||||||||
Additional Advance for Current Period | 1,718,038.50 | 1,815,671.00 | 2,296,782.15 | 2,833,924.02 | 2,290,721.85 | 2,824,396.85 | ||||||||||||||||||
Ending Residual Advances | 2,815,194.74 | 2,822,976.90 | 3,247,361.67 | 4,363,867.63 | 4,206,384.21 | 4,819,019.88 | ||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,119,132.91 | 3,142,042.64 | 2,968,217.40 | 3,400,873.54 | 2,961,513.43 | 3,180,054.52 | ||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,318,583.77 | 1,390,820.48 | 1,090,329.95 | 1,517,834.42 | 1,166,185.24 | 1,309,039.86 | ||||||||||||||||||
Additional Payment Advance for Current Period | 1,341,493.50 | 1,216,995.24 | 1,522,986.09 | 1,078,474.31 | 1,384,726.33 | 1,325,244.70 | ||||||||||||||||||
Ending Balance of Payment Advance | 3,142,042.64 | 2,968,217.40 | 3,400,873.54 | 2,961,513.43 | 3,180,054.52 | 3,196,259.36 | ||||||||||||||||||
Total Collections | 42,189,957.72 | 44,540,553.41 | 41,736,669.14 | 45,643,093.61 | 42,673,754.86 | 43,274,226.20 | ||||||||||||||||||
2004-A | ||||||||||||||||||||||||
Total Advances as a % of Total Collections | 7.252 | % | 6.809 | % | 9.152 | % | 8.572 | % | 8.613 | % | 9.589 | % |
C-5
Table of Contents
Nov-05 | Dec-05 | Jan-06 | Feb-06 | Mar-06 | Apr-06 | |||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | ||||||||||||||||||
Class A-2 | 118,716,000.00 | 87,750,000.00 | 52,650,000.00 | 16,250,000.00 | — | — | ||||||||||||||||||
Class A-3 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 357,000,000.00 | 337,579,200.00 | 302,985,900.00 | ||||||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | ||||||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | ||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | ||||||||||||||||||
1,273,814,819.60 | 1,242,848,819.60 | 1,207,748,819.60 | 1,171,348,819.60 | 1,135,678,019.60 | 1,101,084,719.60 | |||||||||||||||||||
2004-A Prepayment Assumption | 0.758179 | 0.739747 | 0.718856 | 0.697190 | 0.675959 | 0.655369 | ||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | ||||||||||||||||||
Class A-2 | 59,237,613.39 | 24,338,027.89 | — | — | — | — | ||||||||||||||||||
Class A-3 | 357,000,000.00 | 357,000,000.00 | 343,399,707.17 | 302,971,219.44 | 264,333,430.62 | 219,181,835.12 | ||||||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | ||||||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | ||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | ||||||||||||||||||
1,214,336,432.99 | 1,179,436,847.49 | 1,141,498,526.77 | 1,101,070,039.04 | 1,062,432,250.22 | 1,017,280,654.72 | |||||||||||||||||||
2004-A Pool Factor | 0.722777 | 0.702004 | 0.679423 | 0.655360 | 0.632363 | 0.605489 | ||||||||||||||||||
Monthly Residual Losses | (405,398.76 | ) | (270,974.00 | ) | (317,225.07 | ) | (387,323.13 | ) | (475,925.14 | ) | (404,228.76 | ) | ||||||||||||
2004-A Cumulative Residual Losses | (3,803,004.37 | ) | (4,073,978.37 | ) | (4,391,203.44 | ) | (4,778,526.57 | ) | (5,254,451.71 | ) | (5,658,680.47 | ) | ||||||||||||
2004-A Residual Losses (as a % of Original Pool Balance) | 0.226 | % | 0.242 | % | 0.261 | % | 0.284 | % | 0.313 | % | 0.337 | % | ||||||||||||
Monthly Net Credit Losses | (1,255,563.12 | ) | (651,631.37 | ) | (903,950.28 | ) | 224,429.93 | (35,450.49 | ) | 203,163.79 | ||||||||||||||
2004-A Cumulative Net Credit Losses | (11,085,753.44 | ) | (11,737,384.81 | ) | (12,641,335.09 | ) | (12,416,905.16 | ) | (12,452,355.65 | ) | (12,249,191.86 | ) | ||||||||||||
2004-A Net Credit Losses (as a % of Original Pool Balance) | 0.660 | % | 0.699 | % | 0.752 | % | 0.739 | % | 0.741 | % | 0.729 | % | ||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||
31-60 | 17,890,992.40 | 17,322,040.01 | 14,249,041.86 | 15,501,400.20 | 12,424,506.40 | 12,100,728.45 | ||||||||||||||||||
61-90 | 4,859,123.87 | 4,334,638.74 | 5,258,588.55 | 3,493,877.82 | 2,678,992.54 | 3,580,148.99 | ||||||||||||||||||
91-120+ | 1,406,826.58 | 1,616,639.31 | 1,304,902.64 | 1,520,576.07 | 643,800.20 | 701,705.76 | ||||||||||||||||||
Total | 24,156,942.85 | 23,273,318.06 | 20,812,533.05 | 20,515,854.09 | 15,747,299.14 | 16,382,583.20 |
C-6
Table of Contents
Nov-05 | Dec-05 | Jan-06 | Feb-06 | Mar-06 | Apr-06 | |||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||
31-60 | 1.47 | % | 1.47 | % | 1.25 | % | 1.41 | % | 1.17 | % | 1.19 | % | ||||||||||||
61-90 | 0.40 | % | 0.37 | % | 0.46 | % | 0.32 | % | 0.25 | % | 0.35 | % | ||||||||||||
91-120+ | 0.12 | % | 0.14 | % | 0.11 | % | 0.14 | % | 0.06 | % | 0.07 | % | ||||||||||||
Total | 1.99 | % | 1.97 | % | 1.82 | % | 1.86 | % | 1.48 | % | 1.61 | % | ||||||||||||
2004-A 60+ | 0.52 | % | 0.50 | % | 0.57 | % | 0.46 | % | 0.31 | % | 0.42 | % | ||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||
31-60 | 878 | 876 | 718 | 794 | 652 | 638 | ||||||||||||||||||
61-90 | 240 | 215 | 272 | 175 | 137 | 187 | ||||||||||||||||||
91-120+ | 69 | 81 | 64 | 73 | 32 | 37 | ||||||||||||||||||
Total | 1,187 | 1,172 | 1,054 | 1,042 | 821 | 862 | ||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||
Beginning Balance of Residual Advance | 4,819,019.88 | 5,941,273.42 | 7,248,191.39 | 8,546,019.67 | 7,136,613.38 | 7,834,558.87 | ||||||||||||||||||
Reimbursement of Outstanding Advance | 2,511,711.21 | 3,052,025.43 | 4,729,618.91 | 6,206,708.77 | 5,123,820.93 | 5,092,098.72 | ||||||||||||||||||
Additional Advance for Current Period | 3,633,964.75 | 4,358,943.40 | 6,027,447.19 | 4,797,302.48 | 5,821,766.42 | 5,971,629.78 | ||||||||||||||||||
Ending Residual Advances | 5,941,273.42 | 7,248,191.39 | 8,546,019.67 | 7,136,613.38 | 7,834,558.87 | 8,714,089.93 | ||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,196,259.36 | 3,319,482.89 | 3,302,091.85 | 2,869,803.58 | 3,284,706.47 | 2,317,583.41 | ||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,265,511.98 | 1,347,258.22 | 1,514,890.42 | 1,095,458.13 | 1,743,824.08 | 843,832.43 | ||||||||||||||||||
Additional Payment Advance for Current Period | 1,388,735.51 | 1,329,867.18 | 1,082,602.15 | 1,510,361.02 | 776,701.02 | 1,413,920.42 | ||||||||||||||||||
Ending Balance of Payment Advance | 3,319,482.89 | 3,302,091.85 | 2,869,803.58 | 3,284,706.47 | 2,317,583.41 | 2,887,671.40 | ||||||||||||||||||
Total Collections | 42,603,080.17 | 46,973,968.40 | 51,573,821.74 | 50,582,177.19 | 58,097,279.74 | 50,731,465.36 | ||||||||||||||||||
2004-A | ||||||||||||||||||||||||
Total Advances as a % of Total Collections | 11.790 | % | 12.111 | % | 13.786 | % | 12.470 | % | 11.358 | % | 14.558 | % |
C-7
Table of Contents
May-06 | Jun-06 | Jul-06 | Aug-06 | Sep-06 | ||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||
Class A-1 | — | — | — | — | — | |||||||||||||||
Class A-2 | — | — | — | — | — | |||||||||||||||
Class A-3 | 267,107,400.00 | 231,157,500.00 | 182,391,300.00 | 135,017,400.00 | 87,536,400.00 | |||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | |||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | |||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | |||||||||||||||
1,065,206,219.60 | 1,029,256,319.60 | 980,490,119.60 | 933,116,219.60 | 885,635,219.60 | ||||||||||||||||
2004-A Prepayment Assumption | 0.634014 | 0.612617 | 0.583591 | 0.555394 | 0.527133 | |||||||||||||||
Actual prepayment | ||||||||||||||||||||
Class A-1 | — | — | — | — | — | |||||||||||||||
Class A-2 | — | — | — | — | — | |||||||||||||||
Class A-3 | 178,412,868.94 | 133,069,284.38 | 80,291,933.86 | 29,735,255.99 | — | |||||||||||||||
Class A-4a | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 488,000,000.00 | 469,287,546.52 | |||||||||||||||
Class A-4b | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 100,000,000.00 | 96,165,480.85 | |||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | |||||||||||||||
976,511,688.54 | 931,168,103.98 | 878,390,753.46 | 827,834,075.59 | 775,551,846.97 | ||||||||||||||||
2004-A Pool Factor | 0.581223 | 0.554234 | 0.522821 | 0.492729 | 0.461611 | |||||||||||||||
Monthly Residual Losses | (516,815.64 | ) | (585,682.62 | ) | (559,596.40 | ) | (869,475.42 | ) | (853,273.82 | ) | ||||||||||
2004-A Cumulative Residual Losses | (6,175,496.11 | ) | (6,761,178.73 | ) | (7,320,775.13 | ) | (8,190,250.55 | ) | (9,043,524.37 | ) | ||||||||||
2004-A Residual Losses (as a % of Original Pool Balance) | 0.368 | % | 0.402 | % | 0.436 | % | 0.487 | % | 0.538 | % | ||||||||||
Monthly Net Credit Losses | (213,406.13 | ) | 110,027.72 | (275,219.45 | ) | (173,887.06 | ) | (184,212.83 | ) | |||||||||||
2004-A Cumulative Net Credit Losses | (12,462,597.99 | ) | (12,352,570.27 | ) | (12,627,789.72 | ) | (12,801,676.78 | ) | (12,985,889.61 | ) | ||||||||||
2004-A Net Credit Losses (as a % of Original Pool Balance) | 0.742 | % | 0.735 | % | 0.752 | % | 0.762 | % | 0.773 | % | ||||||||||
Delinquencies ($) | ||||||||||||||||||||
31-60 | 12,134,535.17 | 11,472,703.51 | 11,659,890.19 | 9,550,231.37 | 10,837,477.57 | |||||||||||||||
61-90 | 2,107,780.63 | 2,659,964.73 | 2,045,122.10 | 3,138,564.53 | 2,162,634.10 | |||||||||||||||
91-120+ | 838,928.69 | 682,902.62 | 952,025.83 | 836,655.73 | 983,816.64 | |||||||||||||||
Total | 15,081,244.49 | 14,815,570.86 | 14,657,038.12 | 13,525,451.63 | 13,983,928.31 |
C-8
Table of Contents
May-06 | Jun-06 | Jul-06 | Aug-06 | Sep-06 | ||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||
31-60 | 1.24 | % | 1.23 | % | 1.33 | % | 1.15 | % | 1.40 | % | ||||||||||
61-90 | 0.22 | % | 0.29 | % | 0.23 | % | 0.38 | % | 0.28 | % | ||||||||||
91-120+ | 0.09 | % | 0.07 | % | 0.11 | % | 0.10 | % | 0.13 | % | ||||||||||
Total | 1.54 | % | 1.59 | % | 1.67 | % | 1.63 | % | 1.80 | % | ||||||||||
2004-A 60+ | 0.30 | % | 0.36 | % | 0.34 | % | 0.48 | % | 0.41 | % | ||||||||||
Delinquencies (units) | ||||||||||||||||||||
31-60 | 654 | 624 | 642 | 535 | 615 | |||||||||||||||
61-90 | 112 | 146 | 112 | 173 | 119 | |||||||||||||||
91-120+ | 47 | 36 | 50 | 46 | 56 | |||||||||||||||
Total | 813 | 806 | 804 | 754 | 790 | |||||||||||||||
Residual Advances | ||||||||||||||||||||
Beginning Balance of Residual Advance | 8,714,089.93 | 11,573,425.44 | 18,270,524.47 | 19,973,700.56 | 20,079,188.29 | |||||||||||||||
Reimbursement of Outstanding Advance | 5,288,955.15 | 7,232,820.29 | 10,848,032.59 | 13,702,681.13 | 13,262,841.81 | |||||||||||||||
Additional Advance for Current Period | 8,148,290.66 | 13,929,919.32 | 12,551,208.68 | 13,808,168.86 | 13,601,197.31 | |||||||||||||||
Ending Residual Advances | 11,573,425.44 | 18,270,524.47 | 19,973,700.56 | 20,079,188.29 | 20,417,543.79 | |||||||||||||||
Payment Advances | ||||||||||||||||||||
Beginning Balance of Payment Advance | 2,887,671.40 | 2,429,280.80 | 2,431,111.96 | 2,392,626.75 | 2,205,566.70 | |||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,348,870.38 | 1,024,073.78 | 1,051,118.46 | 1,103,527.06 | 876,507.27 | |||||||||||||||
Additional Payment Advance for Current Period | 890,479.78 | 1,025,904.94 | 1,012,633.25 | 916,467.01 | 1,094,608.39 | |||||||||||||||
Ending Balance of Payment Advance | 2,429,280.80 | 2,431,111.96 | 2,392,626.75 | 2,205,566.70 | 2,423,667.82 | |||||||||||||||
Total Collections | 57,544,111.12 | 66,977,140.18 | 68,317,938.34 | 73,803,219.07 | 66,341,513.32 | |||||||||||||||
2004-A | ||||||||||||||||||||
Total Advances as a % of Total Collections | 15.708 | % | 22.330 | % | 19.854 | % | 19.951 | % | 22.152 | % |
C-9
Table of Contents
Oct-06 | Nov-06 | Dec-06 | Jan-07 | Feb-07 | ||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||
Class A-1 | — | — | — | — | — | |||||||||||||||
Class A-2 | — | — | — | — | — | |||||||||||||||
Class A-3 | 35,378,700.00 | — | — | — | — | |||||||||||||||
Class A-4a | 488,000,000.00 | 472,774,400.00 | 421,924,800.00 | 375,076,800.00 | 331,010,400.00 | |||||||||||||||
Class A-4b | 100,000,000.00 | 96,880,000.00 | 86,460,000.00 | 76,860,000.00 | 67,830,000.00 | |||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | |||||||||||||||
833,477,519.60 | 779,753,219.60 | 718,483,619.60 | 662,035,619.60 | 608,939,219.60 | ||||||||||||||||
2004-A Prepayment Assumption | 0.496088 | 0.464112 | 0.427644 | 0.394046 | 0.362443 | |||||||||||||||
Actual prepayment | ||||||||||||||||||||
Class A-1 | — | — | — | — | — | |||||||||||||||
Class A-2 | — | — | — | — | — | |||||||||||||||
Class A-3 | — | — | — | — | — | |||||||||||||||
Class A-4a | 429,926,356.51 | 387,876,584.22 | 345,312,114.45 | 300,354,914.15 | 256,237,738.35 | |||||||||||||||
Class A-4b | 88,099,663.22 | 79,482,906.60 | 70,760,679.19 | 61,548,138.14 | 52,507,733.27 | |||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | |||||||||||||||
728,124,839.33 | 677,458,310.42 | 626,171,613.24 | 572,001,871.89 | 518,844,291.22 | ||||||||||||||||
2004-A Pool Factor | 0.433382 | 0.403225 | 0.372699 | 0.340457 | 0.308818 | |||||||||||||||
Monthly Residual Losses | (815,597.09 | ) | (855,712.96 | ) | (855,180.26 | ) | (1,178,602.57 | ) | (968,087.29 | ) | ||||||||||
2004-A Cumulative Residual Losses | (9,859,121.46 | ) | (10,714,834.42 | ) | (11,570,014.68 | ) | (12,748,617.25 | ) | (13,716,704.54 | ) | ||||||||||
2004-A Residual Losses (as a % of Original Pool Balance) | 0.587 | % | 0.638 | % | 0.689 | % | 0.759 | % | 0.816 | % | ||||||||||
Monthly Net Credit Losses | (249,679.98 | ) | (361,215.89 | ) | (279,106.51 | ) | (232,017.14 | ) | 293,425.40 | |||||||||||
2004-A Cumulative Net Credit Losses | (13,235,569.59 | ) | (13,596,785.48 | ) | (13,875,891.99 | ) | (14,107,909.13 | ) | (13,814,483.73 | ) | ||||||||||
2004-A Net Credit Losses (as a % of Original Pool Balance) | 0.788 | % | 0.809 | % | 0.826 | % | 0.840 | % | 0.822 | % | ||||||||||
Delinquencies ($) | ||||||||||||||||||||
31-60 | 10,282,171.13 | 10,513,708.72 | 10,543,427.96 | 8,298,839.88 | 8,277,828.67 | |||||||||||||||
61-90 | 2,581,581.87 | 2,817,444.66 | 2,698,808.48 | 2,747,505.14 | 1,938,415.98 | |||||||||||||||
91-120+ | 926,396.90 | 742,071.33 | 1,053,860.63 | 714,736.69 | 775,839.61 | |||||||||||||||
Total | 13,790,149.90 | 14,073,224.71 | 14,296,097.07 | 11,761,081.71 | 10,992,084.26 |
C-10
Table of Contents
Oct-06 | Nov-06 | Dec-06 | Jan-07 | Feb-07 | ||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||
31-60 | 1.41 | % | 1.55 | % | 1.68 | % | 1.45 | % | 1.60 | % | ||||||||||
61-90 | 0.35 | % | 0.42 | % | 0.43 | % | 0.48 | % | 0.37 | % | ||||||||||
91-120+ | 0.13 | % | 0.11 | % | 0.17 | % | 0.12 | % | 0.15 | % | ||||||||||
Total | 1.89 | % | 2.08 | % | 2.28 | % | 2.06 | % | 2.12 | % | ||||||||||
2004-A 60+ | 0.48 | % | 0.53 | % | 0.60 | % | 0.61 | % | 0.52 | % | ||||||||||
Delinquencies (units) | ||||||||||||||||||||
31-60 | 590 | 609 | 625 | 504 | 488 | |||||||||||||||
61-90 | 142 | 162 | 157 | 162 | 121 | |||||||||||||||
91-120+ | 50 | 41 | 59 | 42 | 44 | |||||||||||||||
Total | 782 | 812 | 841 | 708 | 653 | |||||||||||||||
Residual Advances | ||||||||||||||||||||
Beginning Balance of Residual Advance | 20,417,543.79 | 23,660,639.66 | 28,115,975.90 | 35,471,352.67 | 30,648,796.98 | |||||||||||||||
Reimbursement of Outstanding Advance | 12,471,455.23 | 14,681,382.34 | 17,418,558.46 | 25,017,569.10 | 19,491,261.85 | |||||||||||||||
Additional Advance for Current Period | 15,714,551.10 | 19,136,718.58 | 24,773,935.23 | 20,195,013.41 | 18,348,157.17 | |||||||||||||||
Ending Residual Advances | 23,660,639.66 | 28,115,975.90 | 35,471,352.67 | 30,648,796.98 | 29,505,692.30 | |||||||||||||||
Payment Advances | ||||||||||||||||||||
Beginning Balance of Payment Advance | 2,423,667.82 | 2,098,216.09 | 2,225,742.60 | 2,274,648.01 | 1,807,780.67 | |||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,122,822.12 | 846,697.55 | 938,160.24 | 1,124,899.34 | 733,156.73 | |||||||||||||||
Additional Payment Advance for Current Period | 797,370.39 | 974,224.06 | 987,065.65 | 658,032.00 | 897,854.49 | |||||||||||||||
Ending Balance of Payment Advance | 2,098,216.09 | 2,225,742.60 | 2,274,648.01 | 1,807,780.67 | 1,972,478.43 | |||||||||||||||
Total Collections | 69,226,309.87 | 73,663,595.79 | 76,597,638.26 | 83,436,384.68 | 69,409,009.36 | |||||||||||||||
2004-A | ||||||||||||||||||||
Total Advances as a % of Total Collections | 23.852 | % | 27.301 | % | 33.632 | % | 24.993 | % | 27.728 | % |
C-11
Table of Contents
Mar-07 | Apr-07 | May-07 | Jun-07 | Jul-07 | Aug-07 | |||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | ||||||||||||||||||
Class A-2 | — | — | — | — | — | — | ||||||||||||||||||
Class A-3 | — | — | — | — | — | — | ||||||||||||||||||
Class A-4a | 290,018,400.00 | 253,369,600.00 | 215,647,200.00 | 176,558,400.00 | 138,396,800.00 | 101,601,600.00 | ||||||||||||||||||
Class A-4b | 59,430,000.00 | 51,920,000.00 | 44,190,000.00 | 36,180,000.00 | 28,360,000.00 | 20,820,000.00 | ||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | ||||||||||||||||||
559,547,219.60 | 515,388,419.60 | 469,936,019.60 | 422,837,219.60 | 376,855,619.60 | 332,520,419.60 | |||||||||||||||||||
2004-A Prepayment Assumption | 0.333044 | 0.306761 | 0.279707 | 0.251674 | 0.224306 | 0.197917 | ||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | ||||||||||||||||||
Class A-2 | — | — | — | — | — | — | ||||||||||||||||||
Class A-3 | — | — | — | — | — | — | ||||||||||||||||||
Class A-4a | 218,124,458.70 | 172,423,713.25 | 132,092,619.11 | 93,651,933.08 | 58,068,173.37 | 23,679,070.76 | ||||||||||||||||||
Class A-4b | 44,697,634.98 | 35,332,728.12 | 27,068,159.65 | 19,190,969.89 | 11,899,215.85 | 4,852,268.60 | ||||||||||||||||||
Overcollateralization | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | 210,098,819.60 | ||||||||||||||||||
472,920,913.28 | 417,855,260.97 | 369,259,598.36 | 322,941,722.57 | 280,066,208.82 | 238,630,158.96 | |||||||||||||||||||
2004-A Pool Factor | 0.281484 | 0.248709 | 0.219784 | 0.192216 | 0.166696 | 0.142033 | ||||||||||||||||||
Monthly Residual Losses | (536,589.06 | ) | (821,011.85 | ) | (1,108,561.19 | ) | (543,252.75 | ) | (461,612.48 | ) | (782,948.80 | ) | ||||||||||||
2004-A Cumulative Residual Losses | (14,253,293.60 | ) | (15,074,305.45 | ) | (16,182,866.64 | ) | (16,726,119.39 | ) | (17,187,731.87 | ) | (17,970,680.67 | ) | ||||||||||||
2004-A Residual Losses (as a % of Original Pool Balance) | 0.848 | % | 0.897 | % | 0.963 | % | 0.996 | % | 1.023 | % | 1.070 | % | ||||||||||||
Monthly Net Credit Losses | (97,639.78 | ) | 161,133.45 | (2,901.10 | ) | 62,969.52 | (60,036.45 | ) | 234,208.81 | |||||||||||||||
2004-A Cumulative Net Credit Losses | (13,912,123.51 | ) | (13,750,990.06 | ) | (13,753,891.16 | ) | (13,690,921.64 | ) | (13,750,958.09 | ) | (13,516,749.28 | ) | ||||||||||||
2004-A Net Credit Losses (as a % of Original Pool Balance) | 0.828 | % | 0.818 | % | 0.819 | % | 0.815 | % | 0.818 | % | 0.805 | % | ||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||
31-60 | 6,679,555.32 | 6,283,163.10 | 6,086,391.24 | 5,624,426.08 | 5,862,573.54 | 4,503,983.03 | ||||||||||||||||||
61-90 | 1,667,795.27 | 1,458,291.69 | 1,725,341.81 | 1,460,441.95 | 1,330,108.71 | 1,679,740.37 | ||||||||||||||||||
91-120+ | 500,136.98 | 454,565.55 | 625,773.64 | 617,327.93 | 433,795.36 | 596,371.84 | ||||||||||||||||||
Total | 8,847,487.57 | 8,196,020.34 | 8,437,506.69 | 7,702,195.96 | 7,626,477.61 | 6,780,095.24 |
C-12
Table of Contents
Mar-07 | Apr-07 | May-07 | Jun-07 | Jul-07 | Aug-07 | |||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||
31-60 | 1.41 | % | 1.50 | % | 1.65 | % | 1.74 | % | 2.09 | % | 1.89 | % | ||||||||||||
61-90 | 0.35 | % | 0.35 | % | 0.47 | % | 0.45 | % | 0.47 | % | 0.70 | % | ||||||||||||
91-120+ | 0.11 | % | 0.11 | % | 0.17 | % | 0.19 | % | 0.15 | % | 0.25 | % | ||||||||||||
Total | 1.87 | % | 1.96 | % | 2.28 | % | 2.39 | % | 2.72 | % | 2.84 | % | ||||||||||||
2004-A 60+ | 0.46 | % | 0.46 | % | 0.64 | % | 0.64 | % | 0.63 | % | 0.95 | % | ||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||
31-60 | 400 | 398 | 390 | 366 | 384 | 299 | ||||||||||||||||||
61-90 | 103 | 89 | 108 | 94 | 86 | 113 | ||||||||||||||||||
91-120+ | 31 | 28 | 38 | 39 | 27 | 38 | ||||||||||||||||||
Total | 534 | 515 | 536 | 499 | 497 | 450 | ||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||
Beginning Balance of Residual Advance | 29,505,692.30 | 31,829,724.90 | 32,228,377.44 | 28,680,539.01 | 25,403,278.23 | 26,026,311.64 | ||||||||||||||||||
Reimbursement of Outstanding Advance | 21,596,189.48 | 20,761,869.96 | 22,652,091.00 | 20,111,878.58 | 16,066,008.79 | 26,026,311.64 | ||||||||||||||||||
Additional Advance for Current Period | 23,920,222.08 | 21,160,522.50 | 19,104,252.57 | 16,834,617.80 | 16,689,042.20 | 0.00 | ||||||||||||||||||
Ending Residual Advances | 31,829,724.90 | 32,228,377.44 | 28,680,539.01 | 25,403,278.23 | 26,026,311.64 | 0.00 | ||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||
Beginning Balance of Payment Advance | 1,972,478.43 | 1,485,978.15 | 1,449,305.49 | 1,360,756.74 | 1,369,165.51 | 1,197,149.45 | ||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,007,273.79 | 641,383.98 | 637,029.52 | 558,996.15 | 635,552.69 | 1,197,149.45 | ||||||||||||||||||
Additional Payment Advance for Current Period | 520,773.51 | 604,711.32 | 548,480.77 | 567,404.92 | 463,536.63 | 0.00 | ||||||||||||||||||
Ending Balance of Payment Advance | 1,485,978.15 | 1,449,305.49 | 1,360,756.74 | 1,369,165.51 | 1,197,149.45 | 0.00 | ||||||||||||||||||
Total Collections | 81,380,456.33 | 72,844,748.67 | 71,034,957.92 | 65,832,836.32 | 60,240,029.69 | 65,298,418.35 | ||||||||||||||||||
2004-A | ||||||||||||||||||||||||
Total Advances as a % of Total Collections | 30.033 | % | 29.879 | % | 27.666 | % | 26.434 | % | 28.474 | % | 0.000 | % |
C-13
Table of Contents
Oct-05 | Nov-05 | Dec-05 | Jan-06 | Feb-06 | Mar-06 | Apr-06 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | 219,700,000.00 | 196,038,310.00 | 172,069,040.00 | 147,792,190.00 | 123,229,730.00 | 98,381,660.00 | 73,226,010.00 | |||||||||||||||||||||
Class A-2 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | |||||||||||||||||||||
Class A-3 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
1,550,442,391.02 | 1,526,780,701.02 | 1,502,811,431.02 | 1,478,534,581.02 | 1,453,972,121.02 | 1,429,124,051.02 | 1,403,968,401.02 | ||||||||||||||||||||||
2005-A Prepayment Assumption | 1.000000 | 0.984739 | 0.969279 | 0.953621 | 0.937779 | 0.921752 | 0.905528 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 219,700,000.00 | 194,021,770.50 | 167,542,031.49 | 140,333,636.29 | 109,964,262.38 | 79,252,685.76 | 46,299,939.86 | |||||||||||||||||||||
Class A-2 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | 242,000,000.00 | |||||||||||||||||||||
Class A-3 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
1,550,442,391.02 | 1,524,764,161.52 | 1,498,284,422.51 | 1,471,076,027.31 | 1,440,706,653.40 | 1,409,995,076.78 | 1,377,042,330.88 | ||||||||||||||||||||||
2005-A Pool Factor | 1.000000 | 0.983438 | 0.966359 | 0.948811 | 0.929223 | 0.909415 | 0.888161 | |||||||||||||||||||||
Monthly Residual Losses | (87,073.41 | ) | (110,063.80 | ) | (81,115.83 | ) | (98,420.58 | ) | (100,186.98 | ) | (169,973.60 | ) | (160,415.92 | ) | ||||||||||||||
2005-A Cumulative Residual Losses | (87,073.41 | ) | (197,137.21 | ) | (278,253.04 | ) | (376,673.62 | ) | (476,860.60 | ) | (646,834.20 | ) | (807,250.12 | ) | ||||||||||||||
2005-A Residual Losses (as a % of Original Pool Balance) | 0.006 | % | 0.013 | % | 0.018 | % | 0.024 | % | 0.031 | % | 0.042 | % | 0.052 | % | ||||||||||||||
Monthly Net Credit Losses | (5,188.40 | ) | (420,055.37 | ) | (446,757.74 | ) | (1,142,588.20 | ) | (741,492.72 | ) | (429,146.60 | ) | (229,727.36 | ) | ||||||||||||||
2005-A Cumulative Net Credit Losses | (5,188.40 | ) | (425,243.77 | ) | (872,001.51 | ) | (2,014,589.71 | ) | (2,756,082.43 | ) | (3,185,229.03 | ) | (3,414,956.39 | ) | ||||||||||||||
2005-A Net Credit Losses (as a % of Original Pool Balance) | 0.000 | % | 0.027 | % | 0.056 | % | 0.130 | % | 0.178 | % | 0.205 | % | 0.220 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 10,908,968.09 | 12,419,813.77 | 14,755,578.13 | 13,016,994.23 | 13,970,380.29 | 12,693,264.83 | 14,270,326.57 | |||||||||||||||||||||
61-90 | 0.00 | 2,214,670.86 | 2,959,913.07 | 3,275,837.15 | 3,191,502.45 | 2,482,239.55 | 3,112,069.81 | |||||||||||||||||||||
91-120+ | 0.00 | 0.00 | 978,815.52 | 1,502,993.23 | 1,003,119.14 | 669,529.14 | 877,874.48 | |||||||||||||||||||||
Total | 10,908,968.09 | 14,634,484.63 | 18,694,306.72 | 17,795,824.61 | 18,165,001.88 | 15,845,033.52 | 18,260,270.86 |
C-14
Table of Contents
Oct-05 | Nov-05 | Dec-05 | Jan-06 | Feb-06 | Mar-06 | Apr-06 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 0.70 | % | 0.81 | % | 0.98 | % | 0.88 | % | 0.97 | % | 0.90 | % | 1.04 | % | ||||||||||||||
61-90 | 0.00 | % | 0.15 | % | 0.20 | % | 0.22 | % | 0.22 | % | 0.18 | % | 0.23 | % | ||||||||||||||
91-120+ | 0.00 | % | 0.00 | % | 0.07 | % | 0.10 | % | 0.07 | % | 0.05 | % | 0.06 | % | ||||||||||||||
Total | 0.70 | % | 0.96 | % | 1.25 | % | 1.21 | % | 1.26 | % | 1.12 | % | 1.33 | % | ||||||||||||||
2005-A 60+ | 0.00 | % | 0.15 | % | 0.26 | % | 0.32 | % | 0.29 | % | 0.22 | % | 0.29 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 480 | 536 | 641 | 569 | 626 | 568 | 642 | |||||||||||||||||||||
61-90 | 0 | 98 | 124 | 138 | 132 | 110 | 142 | |||||||||||||||||||||
91-120+ | 0 | 0 | 44 | 65 | 41 | 31 | 39 | |||||||||||||||||||||
Total | 480 | 634 | 809 | 772 | 799 | 709 | 823 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | — | 432,672.00 | 555,445.30 | 554,830.38 | 867,616.14 | 848,480.07 | 655,187.53 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | — | 207,654.74 | 332,111.15 | 297,168.16 | 572,671.66 | 624,109.44 | 411,355.70 | |||||||||||||||||||||
Additional Advance for Current Period | 432,672.00 | 330,428.04 | 331,496.23 | 609,953.92 | 553,535.59 | 430,816.90 | 693,662.60 | |||||||||||||||||||||
Ending Residual Advances | 432,672.00 | 555,445.30 | 554,830.38 | 867,616.14 | 848,480.07 | 655,187.53 | 937,494.43 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | — | 2,828,270.96 | 3,155,641.65 | 3,399,135.20 | 3,025,758.24 | 3,608,740.36 | 2,661,719.21 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | — | 1,058,850.09 | 1,219,175.76 | 1,532,532.00 | 1,154,881.12 | 1,857,091.65 | 877,431.28 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 2,828,270.96 | 1,386,220.78 | 1,462,669.31 | 1,159,155.04 | 1,737,863.24 | 910,070.50 | 1,680,023.42 | |||||||||||||||||||||
Ending Balance of Payment Advance | 2,828,270.96 | 3,155,641.65 | 3,399,135.20 | 3,025,758.24 | 3,608,740.36 | 2,661,719.21 | 3,464,311.35 | |||||||||||||||||||||
Total Collections | 39,148,981.56 | 38,381,346.69 | 38,974,514.57 | 42,465,351.27 | 41,857,518.37 | 46,066,106.77 | 41,446,739.71 | |||||||||||||||||||||
2005-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 8.330 | % | 4.473 | % | 4.603 | % | 4.166 | % | 5.474 | % | 2.911 | % | 5.727 | % |
C-15
Table of Contents
May-06 | Jun-06 | Jul-06 | Aug-06 | Sep-06 | Oct-06 | Nov-06 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | 47,806,720.00 | 22,123,790.00 | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 242,000,000.00 | 242,000,000.00 | 238,176,400.00 | 211,750,000.00 | 185,033,200.00 | 158,026,000.00 | 129,228,000.00 | |||||||||||||||||||||
Class A-3 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
1,378,549,111.02 | 1,352,866,181.02 | 1,326,918,791.02 | 1,300,492,391.02 | 1,273,775,591.02 | 1,246,768,391.02 | 1,217,970,391.02 | ||||||||||||||||||||||
2005-A Prepayment Assumption | 0.889133 | 0.872568 | 0.855832 | 0.838788 | 0.821556 | 0.804137 | 0.785563 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 15,020,916.09 | — | — | — | — | 0.00 | 0.00 | |||||||||||||||||||||
Class A-2 | 242,000,000.00 | 223,994,918.30 | 190,947,992.62 | 158,035,062.72 | 122,954,154.18 | 90,112,149.81 | 56,211,054.31 | |||||||||||||||||||||
Class A-3 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
1,345,763,307.11 | 1,312,737,309.32 | 1,279,690,383.64 | 1,246,777,453.74 | 1,211,696,545.20 | 1,178,854,540.83 | 1,144,953,445.33 | ||||||||||||||||||||||
2005-A Pool Factor | 0.867987 | 0.846686 | 0.825371 | 0.804143 | 0.781517 | 0.760334 | 0.738469 | |||||||||||||||||||||
Monthly Residual Losses | (198,160.71 | ) | (242,707.20 | ) | (276,506.57 | ) | (392,821.96 | ) | (332,500.38 | ) | (314,740.70 | ) | (450,585.25 | ) | ||||||||||||||
2005-A Cumulative Residual Losses | (1,005,410.83 | ) | (1,248,118.03 | ) | (1,524,624.60 | ) | (1,917,446.56 | ) | (2,249,946.94 | ) | (2,564,687.64 | ) | (3,015,272.89 | ) | ||||||||||||||
2005-A Residual Losses (as a % of Original Pool Balance) | 0.065 | % | 0.081 | % | 0.098 | % | 0.124 | % | 0.145 | % | 0.165 | % | 0.194 | % | ||||||||||||||
Monthly Net Credit Losses | (331,456.49 | ) | (198,538.33 | ) | (533,546.81 | ) | (364,585.57 | ) | (620,507.18 | ) | (1,194,252.97 | ) | (1,182,839.34 | ) | ||||||||||||||
2005-A Cumulative Net Credit Losses | (3,746,412.88 | ) | (3,944,951.21 | ) | (4,478,498.02 | ) | (4,843,083.59 | ) | (5,463,590.77 | ) | (6,657,843.74 | ) | (7,840,683.08 | ) | ||||||||||||||
2005-A Net Credit Losses (as a % of Original Pool Balance) | 0.242 | % | 0.254 | % | 0.289 | % | 0.312 | % | 0.352 | % | 0.429 | % | 0.506 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 13,589,682.87 | 12,845,409.23 | 14,870,938.10 | 13,566,367.84 | 14,500,373.08 | 15,112,337.63 | 15,513,574.87 | |||||||||||||||||||||
61-90 | 3,146,330.55 | 3,465,933.35 | 3,503,759.53 | 4,282,413.02 | 4,552,856.67 | 3,636,586.29 | 3,790,917.13 | |||||||||||||||||||||
91-120+ | 1,208,435.17 | 923,699.37 | 1,118,456.81 | 1,156,599.67 | 1,704,448.43 | 1,567,928.49 | 1,353,564.97 | |||||||||||||||||||||
Total | 17,944,448.59 | 17,235,041.95 | 19,493,154.44 | 19,005,380.53 | 20,757,678.18 | 20,316,852.41 | 20,658,056.97 |
C-16
Table of Contents
May-06 | Jun-06 | Jul-06 | Aug-06 | Sep-06 | Oct-06 | Nov-06 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 1.01 | % | 0.98 | % | 1.16 | % | 1.09 | % | 1.20 | % | 1.28 | % | 1.35 | % | ||||||||||||||
61-90 | 0.23 | % | 0.26 | % | 0.27 | % | 0.34 | % | 0.38 | % | 0.31 | % | 0.33 | % | ||||||||||||||
91-120+ | 0.09 | % | 0.07 | % | 0.09 | % | 0.09 | % | 0.14 | % | 0.13 | % | 0.12 | % | ||||||||||||||
Total | 1.33 | % | 1.31 | % | 1.52 | % | 1.52 | % | 1.71 | % | 1.72 | % | 1.80 | % | ||||||||||||||
2005-A 60+ | 0.32 | % | 0.33 | % | 0.36 | % | 0.44 | % | 0.52 | % | 0.44 | % | 0.45 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 632 | 603 | 700 | 655 | 714 | 760 | 780 | |||||||||||||||||||||
61-90 | 139 | 163 | 163 | 198 | 215 | 173 | 186 | |||||||||||||||||||||
91-120+ | 55 | 42 | 52 | 50 | 78 | 74 | 60 | |||||||||||||||||||||
Total | 826 | 808 | 915 | 903 | 1,007 | 1,007 | 1,026 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 937,494.43 | 908,676.53 | 1,056,985.23 | 1,228,029.86 | 1,171,728.97 | 1,350,615.88 | 2,021,797.71 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 614,904.22 | 650,185.33 | 660,083.66 | 969,010.48 | 793,747.41 | 907,569.61 | 1,355,148.71 | |||||||||||||||||||||
Additional Advance for Current Period | 586,086.32 | 798,494.03 | 831,128.29 | 912,709.59 | 972,634.32 | 1,578,751.44 | 2,887,238.25 | |||||||||||||||||||||
Ending Residual Advances | 908,676.53 | 1,056,985.23 | 1,228,029.86 | 1,171,728.97 | 1,350,615.88 | 2,021,797.71 | 3,553,887.25 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,464,311.35 | 3,017,808.21 | 2,970,191.09 | 3,013,725.91 | 2,882,990.64 | 3,365,186.39 | 2,989,226.06 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,505,567.15 | 1,242,060.29 | 1,182,848.34 | 1,238,226.51 | 992,679.67 | 1,436,072.90 | 1,129,380.35 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 1,059,064.01 | 1,194,443.17 | 1,226,383.16 | 1,107,491.24 | 1,474,875.42 | 1,060,112.57 | 1,321,003.14 | |||||||||||||||||||||
Ending Balance of Payment Advance | 3,017,808.21 | 2,970,191.09 | 3,013,725.91 | 2,882,990.64 | 3,365,186.39 | 2,989,226.06 | 3,180,848.85 | |||||||||||||||||||||
Total Collections | 45,434,569.00 | 44,366,207.41 | 43,278,162.44 | 46,176,843.01 | 42,335,316.69 | 43,609,945.23 | 45,770,119.42 | |||||||||||||||||||||
2005-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 3.621 | % | 4.492 | % | 4.754 | % | 4.375 | % | 5.781 | % | 6.051 | % | 9.194 | % |
C-17
Table of Contents
Dec-06 | Jan-07 | Feb-07 | Mar-07 | Apr-07 | May-07 | Jun-07 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 93,702,400.00 | 58,564,000.00 | 23,788,600.00 | — | — | — | — | |||||||||||||||||||||
Class A-3 | 445,000,000.00 | 445,000,000.00 | 445,000,000.00 | 433,296,500.00 | 396,050,000.00 | 356,534,000.00 | 312,790,500.00 | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
1,182,444,791.02 | 1,147,306,391.02 | 1,112,530,991.02 | 1,077,038,891.02 | 1,039,792,391.02 | 1,000,276,391.02 | 956,532,891.02 | ||||||||||||||||||||||
2005-A Prepayment Assumption | 0.762650 | 0.739986 | 0.717557 | 0.694666 | 0.670642 | 0.645155 | 0.616942 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 20,046,114.44 | — | — | — | — | — | — | |||||||||||||||||||||
Class A-3 | 445,000,000.00 | 429,961,032.35 | 392,601,045.09 | 357,869,209.45 | 313,690,600.60 | 270,723,285.01 | 227,775,335.44 | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
1,108,788,505.46 | 1,073,703,423.37 | 1,036,343,436.11 | 1,001,611,600.47 | 957,432,991.62 | 914,465,676.03 | 871,517,726.46 | ||||||||||||||||||||||
2005-A Pool Factor | 0.715143 | 0.692514 | 0.668418 | 0.646017 | 0.617522 | 0.589810 | 0.562109 | |||||||||||||||||||||
Monthly Residual Losses | (596,927.69 | ) | (695,510.45 | ) | (559,817.47 | ) | (559,077.34 | ) | (653,862.82 | ) | (910,678.70 | ) | (680,222.26 | ) | ||||||||||||||
2005-A Cumulative Residual Losses | (3,612,200.58 | ) | (4,307,711.03 | ) | (4,867,528.50 | ) | (5,426,605.84 | ) | (6,080,468.66 | ) | (6,991,147.36 | ) | (7,671,369.62 | ) | ||||||||||||||
2005-A Residual Losses (as a % of Original Pool Balance) | 0.233 | % | 0.278 | % | 0.314 | % | 0.350 | % | 0.392 | % | 0.451 | % | 0.495 | % | ||||||||||||||
Monthly Net Credit Losses | (406,374.61 | ) | (274,696.90 | ) | (233,721.70 | ) | (190,487.78 | ) | (55,703.91 | ) | (241,295.55 | ) | 180,956.95 | |||||||||||||||
2005-A Cumulative Net Credit Losses | (8,247,057.69 | ) | (8,521,754.59 | ) | (8,755,476.29 | ) | (8,945,964.07 | ) | (9,001,667.98 | ) | (9,242,963.53 | ) | (9,062,006.58 | ) | ||||||||||||||
2005-A Net Credit Losses (as a % of Original Pool Balance) | 0.532 | % | 0.550 | % | 0.565 | % | 0.577 | % | 0.581 | % | 0.596 | % | 0.585 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 16,616,068.24 | 12,842,392.36 | 13,421,943.37 | 11,840,404.58 | 10,970,785.72 | 11,782,567.25 | 11,993,528.91 | |||||||||||||||||||||
61-90 | 3,773,165.76 | 4,409,689.45 | 3,020,745.48 | 2,960,556.07 | 2,886,375.95 | 2,392,315.78 | 3,226,976.97 | |||||||||||||||||||||
91-120+ | 1,338,222.22 | 1,189,550.70 | 1,180,564.93 | 724,700.33 | 949,704.61 | 995,610.32 | 722,524.01 | |||||||||||||||||||||
Total | 21,727,456.22 | 18,441,632.51 | 17,623,253.78 | 15,525,660.98 | 14,806,866.28 | 15,170,493.35 | 15,943,029.89 |
C-18
Table of Contents
Dec-06 | Jan-07 | Feb-07 | Mar-07 | Apr-07 | May-07 | Jun-07 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 1.50 | % | 1.20 | % | 1.30 | % | 1.18 | % | 1.15 | % | 1.29 | % | 1.38 | % | ||||||||||||||
61-90 | 0.34 | % | 0.41 | % | 0.29 | % | 0.30 | % | 0.30 | % | 0.26 | % | 0.37 | % | ||||||||||||||
91-120+ | 0.12 | % | 0.11 | % | 0.11 | % | 0.07 | % | 0.10 | % | 0.11 | % | 0.08 | % | ||||||||||||||
Total | 1.96 | % | 1.72 | % | 1.70 | % | 1.55 | % | 1.55 | % | 1.66 | % | 1.83 | % | ||||||||||||||
2005-A 60+ | 0.46 | % | 0.52 | % | 0.41 | % | 0.37 | % | 0.40 | % | 0.37 | % | 0.45 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 866 | 682 | 700 | 630 | 594 | 644 | 673 | |||||||||||||||||||||
61-90 | 189 | 228 | 158 | 155 | 155 | 131 | 179 | |||||||||||||||||||||
91-120+ | 67 | 61 | 62 | 37 | 52 | 56 | 41 | |||||||||||||||||||||
Total | 1,122 | 971 | 920 | 822 | 801 | 831 | 893 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 3,553,887.25 | 4,908,970.03 | 4,811,470.56 | 5,602,117.42 | 7,298,856.39 | 8,998,806.47 | 10,177,319.82 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 2,445,583.27 | 3,332,099.43 | 3,055,168.03 | 4,111,127.27 | 4,583,566.14 | 6,019,044.96 | 7,147,922.97 | |||||||||||||||||||||
Additional Advance for Current Period | 3,800,666.05 | 3,234,599.96 | 3,845,814.89 | 5,807,866.24 | 6,283,516.22 | 7,197,558.31 | 7,130,137.54 | |||||||||||||||||||||
Ending Residual Advances | 4,908,970.03 | 4,811,470.56 | 5,602,117.42 | 7,298,856.39 | 8,998,806.47 | 10,177,319.82 | 10,159,534.39 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,180,848.85 | 3,443,735.94 | 2,778,582.87 | 3,173,406.24 | 2,563,066.43 | 2,605,332.75 | 2,528,416.38 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,156,541.94 | 1,583,665.15 | 1,023,051.24 | 1,478,575.20 | 1,005,140.66 | 1,046,085.18 | 943,220.58 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 1,419,429.03 | 918,512.08 | 1,417,874.61 | 868,235.39 | 1,047,406.98 | 969,168.81 | 1,087,167.39 | |||||||||||||||||||||
Ending Balance of Payment Advance | 3,443,735.94 | 2,778,582.87 | 3,173,406.24 | 2,563,066.43 | 2,605,332.75 | 2,528,416.38 | 2,672,363.19 | |||||||||||||||||||||
Total Collections | 45,361,943.65 | 50,560,052.76 | 45,733,978.42 | 55,810,897.11 | 55,674,823.30 | 58,485,769.77 | 59,060,825.53 | |||||||||||||||||||||
2005-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 11.508 | % | 8.214 | % | 11.509 | % | 11.962 | % | 13.167 | % | 13.964 | % | 13.913 | % |
C-19
Table of Contents
Jul-07 | Aug-07 | Sep-07 | Oct-07 | Nov-07 | Dec-07 | Jan-08 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-3 | 267,356,000.00 | 221,298,500.00 | 182,094,000.00 | 144,180,000.00 | 99,769,000.00 | 50,285,000.00 | — | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 475,798,320.00 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
911,098,391.02 | 865,040,891.02 | 825,836,391.02 | 787,922,391.02 | 743,511,391.02 | 694,027,391.02 | 630,840,711.02 | ||||||||||||||||||||||
2005-A Prepayment Assumption | 0.587638 | 0.557932 | 0.532646 | 0.508192 | 0.479548 | 0.447632 | 0.406878 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-3 | 185,017,528.07 | 140,718,475.43 | 95,824,776.98 | 55,355,424.87 | 7,286,638.87 | — | — | |||||||||||||||||||||
Class A-4 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 488,700,000.00 | 442,277,580.55 | 388,235,512.17 | |||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | |||||||||||||||||||||
828,759,919.09 | 784,460,866.45 | 739,567,168.00 | 699,097,815.89 | 651,029,029.89 | 597,319,971.57 | 543,277,903.19 | ||||||||||||||||||||||
2005-A Pool Factor | 0.534531 | 0.505959 | 0.477004 | 0.450902 | 0.419899 | 0.385258 | 0.350402 | |||||||||||||||||||||
Monthly Residual Losses | (456,093.81 | ) | (610,114.47 | ) | (575,591.21 | ) | (1,139,355.86 | ) | (1,719,085.06 | ) | (2,200,408.36 | ) | (2,855,320.48 | ) | ||||||||||||||
2005-A Cumulative Residual Losses | (8,127,463.43 | ) | (8,737,577.90 | ) | (9,313,169.11 | ) | (10,452,524.97 | ) | (12,171,610.03 | ) | (14,372,018.39 | ) | (17,227,338.87 | ) | ||||||||||||||
2005-A Residual Losses (as a % of Original Pool Balance) | 0.524 | % | 0.564 | % | 0.601 | % | 0.674 | % | 0.785 | % | 0.927 | % | 1.111 | % | ||||||||||||||
Monthly Net Credit Losses | (372,269.14 | ) | (157,253.22 | ) | (362,660.31 | ) | (552,721.69 | ) | (351,511.02 | ) | (363,623.08 | ) | (743,344.02 | ) | ||||||||||||||
2005-A Cumulative Net Credit Losses | (9,434,275.72 | ) | (9,591,528.94 | ) | (9,954,189.25 | ) | (10,506,910.94 | ) | (10,858,421.96 | ) | (11,222,045.04 | ) | (11,965,389.06 | ) | ||||||||||||||
2005-A Net Credit Losses (as a % of Original Pool Balance) | 0.608 | % | 0.619 | % | 0.642 | % | 0.678 | % | 0.700 | % | 0.724 | % | 0.772 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 11,225,518.28 | 9,388,438.94 | 11,928,097.33 | 10,224,234.23 | 10,233,780.82 | 10,638,664.15 | 9,351,449.90 | |||||||||||||||||||||
61-90 | 2,840,543.36 | 3,075,678.38 | 3,107,929.58 | 2,518,287.17 | 3,054,806.81 | 2,954,201.49 | 2,624,256.09 | |||||||||||||||||||||
91-120+ | 992,156.25 | 1,160,952.75 | 944,803.01 | 966,005.12 | 962,113.56 | 1,339,873.14 | 868,904.88 | |||||||||||||||||||||
Total | 15,058,217.89 | 13,625,070.07 | 15,980,829.92 | 13,708,526.52 | 14,250,701.19 | 14,932,738.78 | 12,844,610.87 |
C-20
Table of Contents
Jul-07 | Aug-07 | Sep-07 | Oct-07 | Nov-07 | Dec-07 | Jan-08 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 1.35 | % | 1.20 | % | 1.61 | % | 1.46 | % | 1.57 | % | 1.78 | % | 1.72 | % | ||||||||||||||
61-90 | 0.34 | % | 0.39 | % | 0.42 | % | 0.36 | % | 0.47 | % | 0.49 | % | 0.48 | % | ||||||||||||||
91-120+ | 0.12 | % | 0.15 | % | 0.13 | % | 0.14 | % | 0.15 | % | 0.22 | % | 0.16 | % | ||||||||||||||
Total | 1.82 | % | 1.74 | % | 2.16 | % | 1.96 | % | 2.19 | % | 2.50 | % | 2.36 | % | ||||||||||||||
2005-A 60+ | 0.46 | % | 0.54 | % | 0.55 | % | 0.50 | % | 0.62 | % | 0.72 | % | 0.64 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 640 | 537 | 680 | 596 | 608 | 638 | 566 | |||||||||||||||||||||
61-90 | 163 | 181 | 183 | 150 | 180 | 180 | 161 | |||||||||||||||||||||
91-120+ | 55 | 64 | 56 | 56 | 57 | 76 | 53 | |||||||||||||||||||||
Total | 858 | 782 | 919 | 802 | 845 | 894 | 780 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 10,159,534.39 | 11,437,563.98 | 9,318,684.60 | 9,538,572.71 | 14,808,680.18 | 23,812,604.60 | 37,125,352.56 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 6,438,593.65 | 7,793,352.81 | 5,169,900.17 | 5,264,696.80 | 7,463,608.33 | 11,035,821.74 | 18,325,846.06 | |||||||||||||||||||||
Additional Advance for Current Period | 7,716,623.24 | 5,674,473.43 | 5,389,788.28 | 10,534,804.27 | 16,467,532.75 | 24,348,569.70 | 26,114,511.97 | |||||||||||||||||||||
Ending Residual Advances | 11,437,563.98 | 9,318,684.60 | 9,538,572.71 | 14,808,680.18 | 23,812,604.60 | 37,125,352.56 | 44,914,018.47 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 2,672,363.19 | 2,461,595.44 | 2,246,108.96 | 2,719,391.52 | 2,235,111.24 | 2,305,837.38 | 2,357,012.63 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,120,499.37 | 1,052,785.09 | 767,062.97 | 1,242,351.13 | 868,175.57 | 902,988.38 | 1,118,963.57 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 909,731.62 | 837,298.61 | 1,240,345.53 | 758,070.85 | 938,901.71 | 954,163.63 | 691,650.30 | |||||||||||||||||||||
Ending Balance of Payment Advance | 2,461,595.44 | 2,246,108.96 | 2,719,391.52 | 2,235,111.24 | 2,305,837.38 | 2,357,012.63 | 1,929,699.36 | |||||||||||||||||||||
Total Collections | 58,521,327.12 | 55,693,691.60 | 49,920,762.62 | 58,951,352.13 | 64,865,137.91 | 71,813,317.21 | 86,143,329.79 | |||||||||||||||||||||
2005-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 14.741 | % | 11.692 | % | 13.281 | % | 19.156 | % | 26.835 | % | 35.234 | % | 31.118 | % |
C-21
Table of Contents
Feb-08 | Mar-08 | Apr-08 | May-08 | Jun-08 | Jul-08 | Aug-08 | Sep-08 | |||||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class A-2 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class A-3 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class A-4 | 416,128,050.00 | 369,212,850.00 | 314,967,150.00 | 260,721,450.00 | 210,580,830.00 | 160,391,340.00 | 113,622,750.00 | 74,966,580.00 | ||||||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | ||||||||||||||||||||||||
571,170,441.02 | 524,255,241.02 | 470,009,541.02 | 415,763,841.02 | 365,623,221.02 | 315,433,731.02 | 268,665,141.02 | 230,008,971.02 | |||||||||||||||||||||||||
2005-A Prepayment Assumption | 0.368392 | 0.338133 | 0.303145 | 0.268158 | 0.235819 | 0.203448 | 0.173283 | 0.148351 | ||||||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class A-2 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class A-3 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class A-4 | 321,502,959.90 | 267,027,486.87 | 212,237,957.82 | 157,415,096.72 | 109,109,713.97 | 66,587,235.55 | 25,528,009.08 | — | ||||||||||||||||||||||||
Overcollateralization | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 155,042,391.02 | 151,314,959.98 | ||||||||||||||||||||||||
476,545,350.92 | 422,069,877.89 | 367,280,348.84 | 312,457,487.74 | 264,152,104.99 | 221,629,626.57 | 180,570,400.10 | 151,314,959.98 | |||||||||||||||||||||||||
2005-A Pool Factor | 0.307361 | 0.272225 | 0.236887 | 0.201528 | 0.170372 | 0.142946 | 0.116464 | 0.097595 | ||||||||||||||||||||||||
Monthly Residual Losses | (4,887,128.21 | ) | (3,744,230.38 | ) | (3,912,136.77 | ) | (4,442,184.50 | ) | (4,222,095.84 | ) | (4,533,880.28 | ) | (4,490,385.79 | ) | (3,686,678.83 | ) | ||||||||||||||||
2005-A Cumulative Residual Losses | (22,114,467.08 | ) | (25,858,697.46 | ) | (29,770,834.23 | ) | (34,213,018.73 | ) | (38,435,114.57 | ) | (42,968,994.85 | ) | (47,459,380.64 | ) | (51,146,059.47 | ) | ||||||||||||||||
2005-A Residual Losses (as a % of Original Pool Balance) | 1.426 | % | 1.668 | % | 1.920 | % | 2.207 | % | 2.479 | % | 2.771 | % | 3.061 | % | 3.299 | % | ||||||||||||||||
Monthly Net Credit Losses | 109,008.17 | 436,597.14 | 93,613.11 | (102,054.45 | ) | (191,132.75 | ) | (128,522.96 | ) | (83,706.38 | ) | (121,699.30 | ) | |||||||||||||||||||
2005-A Cumulative Net Credit Losses | (11,856,380.89 | ) | (11,419,783.75 | ) | (11,326,170.64 | ) | (11,428,225.09 | ) | (11,619,357.84 | ) | (11,747,880.80 | ) | (11,831,587.18 | ) | (11,953,286.48 | ) | ||||||||||||||||
2005-A Net Credit Losses (as a % of Original Pool Balance) | 0.765 | % | 0.737 | % | 0.731 | % | 0.737 | % | 0.749 | % | 0.758 | % | 0.763 | % | 0.771 | % | ||||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||||||
31-60 | 8,202,477.66 | 7,225,423.82 | 7,051,570.76 | 7,127,370.85 | 6,466,630.83 | 5,949,200.72 | 4,924,956.09 | 4,965,416.19 | ||||||||||||||||||||||||
61-90 | 2,219,130.38 | 1,902,123.51 | 1,985,727.65 | 1,677,257.69 | 2,121,445.73 | 1,761,113.50 | 2,346,161.11 | 1,649,541.82 | ||||||||||||||||||||||||
91-120+ | 560,093.73 | 589,026.80 | 516,739.47 | 805,978.36 | 578,055.51 | 609,189.47 | 762,778.84 | 584,685.07 | ||||||||||||||||||||||||
Total | 10,981,701.77 | 9,716,574.13 | 9,554,037.88 | 9,610,606.90 | 9,166,132.07 | 8,319,503.69 | 8,033,896.04 | 7,199,643.08 |
C-22
Table of Contents
Feb-08 | Mar-08 | Apr-08 | May-08 | Jun-08 | Jul-08 | Aug-08 | Sep-08 | |||||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||||||
31-60 | 1.72 | % | 1.71 | % | 1.92 | % | 2.28 | % | 2.45 | % | 2.68 | % | 2.73 | % | 3.28 | % | ||||||||||||||||
61-90 | 0.47 | % | 0.45 | % | 0.54 | % | 0.54 | % | 0.80 | % | 0.79 | % | 1.30 | % | 1.09 | % | ||||||||||||||||
91-120+ | 0.12 | % | 0.14 | % | 0.14 | % | 0.26 | % | 0.22 | % | 0.27 | % | 0.42 | % | 0.39 | % | ||||||||||||||||
Total | 2.30 | % | 2.30 | % | 2.60 | % | 3.08 | % | 3.47 | % | 3.75 | % | 4.45 | % | 4.76 | % | ||||||||||||||||
2005-A 60+ | 0.58 | % | 0.59 | % | 0.68 | % | 0.79 | % | 1.02 | % | 1.07 | % | 1.72 | % | 1.48 | % | ||||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||||||
31-60 | 504 | 443 | 434 | 454 | 412 | 388 | 324 | 329 | ||||||||||||||||||||||||
61-90 | 134 | 115 | 125 | 106 | 137 | 115 | 152 | 110 | ||||||||||||||||||||||||
91-120+ | 35 | 36 | 32 | 51 | 38 | 41 | 49 | 38 | ||||||||||||||||||||||||
Total | 673 | 594 | 591 | 611 | 587 | 544 | 525 | 477 | ||||||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 44,914,018.47 | 38,220,731.73 | 37,201,948.50 | 40,025,104.69 | 39,647,227.82 | 38,795,808.83 | 37,886,263.80 | 30,436,715.48 | ||||||||||||||||||||||||
Reimbursement of Outstanding Advance | 25,843,168.30 | 21,690,580.66 | 18,881,825.04 | 21,542,585.05 | 19,973,291.07 | 19,942,314.56 | 19,356,103.40 | 30,436,715.48 | ||||||||||||||||||||||||
Additional Advance for Current Period | 19,149,881.56 | 20,671,797.43 | 21,704,981.23 | 21,164,708.18 | 19,121,872.08 | 19,032,769.53 | 11,906,555.08 | 0.00 | ||||||||||||||||||||||||
Ending Residual Advances | 38,220,731.73 | 37,201,948.50 | 40,025,104.69 | 39,647,227.82 | 38,795,808.83 | 37,886,263.80 | 30,436,715.48 | 0.00 | ||||||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 1,929,699.36 | 1,819,310.48 | 1,588,135.87 | 1,576,873.22 | 1,516,313.47 | 1,419,970.18 | 1,205,943.56 | 1,207,766.80 | ||||||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 849,637.10 | 815,582.90 | 659,997.56 | 648,789.62 | 647,423.89 | 629,543.60 | 479,862.57 | 1,207,766.80 | ||||||||||||||||||||||||
Additional Payment Advance for Current Period | 739,248.22 | 584,408.29 | 648,734.91 | 588,229.87 | 551,080.60 | 415,516.98 | 481,685.81 | 0.00 | ||||||||||||||||||||||||
Ending Balance of Payment Advance | 1,819,310.48 | 1,588,135.87 | 1,576,873.22 | 1,516,313.47 | 1,419,970.18 | 1,205,943.56 | 1,207,766.80 | 0.00 | ||||||||||||||||||||||||
Total Collections | 86,688,577.48 | 82,209,480.30 | 76,155,898.66 | 72,554,051.77 | 64,688,813.36 | 62,722,151.37 | 49,282,908.59 | 28,205,034.83 | ||||||||||||||||||||||||
2005-A | ||||||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 22.943 | % | 25.856 | % | 29.353 | % | 29.982 | % | 30.412 | % | 31.007 | % | 25.137 | % | 0.000 | % |
C-23
Table of Contents
Nov-06 | Dec-06 | Jan-07 | Feb-07 | Mar-07 | Apr-07 | May-07 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | 228,300,000.00 | 199,671,180.00 | 170,540,100.00 | 140,906,760.00 | 107,643,450.00 | 71,343,750.00 | 34,770,090.00 | |||||||||||||||||||||
Class A-2 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | |||||||||||||||||||||
Class A-3 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | |||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | |||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||
1,719,278,529.36 | 1,690,649,709.36 | 1,661,518,629.36 | 1,631,885,289.36 | 1,598,621,979.36 | 1,562,322,279.36 | 1,525,748,619.36 | ||||||||||||||||||||||
2006-A Prepayment Assumption | 1.000000 | 0.983348 | 0.966405 | 0.949169 | 0.929821 | 0.908708 | 0.887435 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 228,300,000.00 | 201,833,238.70 | 175,394,106.91 | 145,428,722.11 | 114,391,685.10 | 77,472,133.86 | 41,895,738.38 | |||||||||||||||||||||
Class A-2 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | 548,000,000.00 | |||||||||||||||||||||
Class A-3 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | |||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | |||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||
1,719,278,529.36 | 1,692,811,768.06 | 1,666,372,636.27 | 1,636,407,251.47 | 1,605,370,214.46 | 1,568,450,663.22 | 1,532,874,267.74 | ||||||||||||||||||||||
2006-A Pool Factor | 1.000000 | 0.984606 | 0.969228 | 0.951799 | 0.933746 | 0.912273 | 0.891580 | |||||||||||||||||||||
Monthly Residual Losses | (3,538.20 | ) | (80,763.03 | ) | (144,537.63 | ) | (236,529.95 | ) | (464,510.47 | ) | (519,153.84 | ) | (571,656.21 | ) | ||||||||||||||
2006-A Cumulative Residual Losses | (3,538.20 | ) | (84,301.23 | ) | (228,838.86 | ) | (465,368.81 | ) | (929,879.28 | ) | (1,449,033.12 | ) | (2,020,689.33 | ) | ||||||||||||||
2006-A Residual Losses (as a % of Original Pool Balance) | 0.000 | % | 0.005 | % | 0.013 | % | 0.027 | % | 0.054 | % | 0.084 | % | 0.118 | % | ||||||||||||||
Monthly Net Credit Losses | (147,568.88 | ) | (214,719.64 | ) | (254,741.42 | ) | (884,220.80 | ) | (435,587.59 | ) | (340,970.23 | ) | (1,099,561.93 | ) | ||||||||||||||
2006-A Cumulative Net Credit Losses | (147,568.88 | ) | (362,288.52 | ) | (617,029.94 | ) | (1,501,250.74 | ) | (1,936,838.33 | ) | (2,277,808.56 | ) | (3,377,370.49 | ) | ||||||||||||||
2006-A Net Credit Losses (as a % of Original Pool Balance) | 0.009 | % | 0.021 | % | 0.036 | % | 0.087 | % | 0.113 | % | 0.132 | % | 0.196 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 9,426,314.11 | 12,985,743.09 | 11,128,613.15 | 12,964,655.17 | 12,604,560.88 | 12,716,369.78 | 14,344,415.33 | |||||||||||||||||||||
61-90 | 44,025.18 | 2,024,394.52 | 2,957,905.30 | 2,519,995.50 | 2,430,991.34 | 2,642,147.39 | 2,853,713.23 | |||||||||||||||||||||
91-120+ | 0.00 | 17,469.43 | 806,418.68 | 800,862.01 | 865,392.85 | 1,088,939.65 | 1,001,018.96 | |||||||||||||||||||||
Total | 9,470,339.29 | 15,027,607.04 | 14,892,937.13 | 16,285,512.68 | 15,900,945.07 | 16,447,456.82 | 18,199,147.52 |
C-24
Table of Contents
Nov-06 | Dec-06 | Jan-07 | Feb-07 | Mar-07 | Apr-07 | May-07 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 0.55 | % | 0.77 | % | 0.67 | % | 0.79 | % | 0.79 | % | 0.81 | % | 0.94 | % | ||||||||||||||
61-90 | 0.00 | % | 0.12 | % | 0.18 | % | 0.15 | % | 0.15 | % | 0.17 | % | 0.19 | % | ||||||||||||||
91-120+ | 0.00 | % | 0.00 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.07 | % | 0.07 | % | ||||||||||||||
Total | 0.55 | % | 0.89 | % | 0.89 | % | 1.00 | % | 0.99 | % | 1.05 | % | 1.19 | % | ||||||||||||||
2006-A 60+ | 0.00 | % | 0.12 | % | 0.23 | % | 0.20 | % | 0.21 | % | 0.24 | % | 0.25 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 402 | 568 | 488 | 561 | 558 | 571 | 650 | |||||||||||||||||||||
61-90 | 2 | 88 | 122 | 111 | 106 | 113 | 125 | |||||||||||||||||||||
91-120+ | 0 | 1 | 36 | 35 | 37 | 46 | 42 | |||||||||||||||||||||
Total | 404 | 657 | 646 | 707 | 701 | 730 | 817 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | — | 704,157.28 | 1,671,392.79 | 2,584,583.95 | 4,224,078.70 | 7,030,712.23 | 7,524,672.93 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | — | 383,638.88 | 1,063,112.00 | 1,587,910.63 | 2,975,881.73 | 4,440,048.28 | 4,964,657.78 | |||||||||||||||||||||
Additional Advance for Current Period | 704,157.28 | 1,350,874.39 | 1,976,303.16 | 3,227,405.38 | 5,782,515.26 | 4,934,008.98 | 4,082,738.95 | |||||||||||||||||||||
Ending Residual Advances | 704,157.28 | 1,671,392.79 | 2,584,583.95 | 4,224,078.70 | 7,030,712.23 | 7,524,672.93 | 6,642,754.10 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | — | 2,917,612.49 | 3,579,176.15 | 2,954,102.82 | 3,647,515.30 | 2,945,852.82 | 3,171,669.37 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | — | 1,039,851.49 | 1,699,144.54 | 1,128,808.75 | 1,747,876.96 | 1,130,417.73 | 1,300,406.97 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 2,917,612.49 | 1,701,415.15 | 1,074,071.21 | 1,822,221.23 | 1,046,214.48 | 1,356,234.28 | 1,276,385.91 | |||||||||||||||||||||
Ending Balance of Payment Advance | 2,917,612.49 | 3,579,176.15 | 2,954,102.82 | 3,647,515.30 | 2,945,852.82 | 3,171,669.37 | 3,147,648.31 | |||||||||||||||||||||
Total Collections | 42,311,279.84 | 40,822,962.17 | 46,900,384.68 | 45,483,445.03 | 54,884,911.07 | 53,496,406.43 | 52,613,243.79 | |||||||||||||||||||||
2006-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 8.560 | % | 7.477 | % | 6.504 | % | 11.102 | % | 12.442 | % | 11.758 | % | 10.186 | % |
C-25
Table of Contents
Jun-07 | Jul-07 | Aug-07 | Sep-07 | Oct-07 | Nov-07 | Dec-07 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 546,465,600.00 | 510,407,200.00 | 473,581,600.00 | 434,509,200.00 | 396,697,200.00 | 361,460,800.00 | 325,512,000.00 | |||||||||||||||||||||
Class A-3 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | |||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | |||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||
1,489,444,129.36 | 1,453,385,729.36 | 1,416,560,129.36 | 1,377,487,729.36 | 1,339,675,729.36 | 1,304,439,329.36 | 1,268,490,529.36 | ||||||||||||||||||||||
2006-A Prepayment Assumption | 0.866319 | 0.845346 | 0.823927 | 0.801201 | 0.779208 | 0.758713 | 0.737804 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 6,868,164.52 | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 548,000,000.00 | 518,328,207.36 | 480,972,670.68 | 442,068,282.08 | 406,767,047.55 | 369,874,652.96 | 335,533,796.36 | |||||||||||||||||||||
Class A-3 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | |||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | |||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||
1,497,846,693.88 | 1,461,306,736.72 | 1,423,951,200.04 | 1,385,046,811.44 | 1,349,745,576.91 | 1,312,853,182.32 | 1,278,512,325.72 | ||||||||||||||||||||||
2006-A Pool Factor | 0.871207 | 0.849953 | 0.828226 | 0.805598 | 0.785065 | 0.763607 | 0.743633 | |||||||||||||||||||||
Monthly Residual Losses | (399,064.37 | ) | (294,503.38 | ) | (412,680.32 | ) | (394,406.89 | ) | (538,530.65 | ) | (579,019.87 | ) | (575,703.19 | ) | ||||||||||||||
2006-A Cumulative Residual Losses | (2,419,753.70 | ) | (2,714,257.08 | ) | (3,126,937.40 | ) | (3,521,344.29 | ) | (4,059,874.94 | ) | (4,638,894.81 | ) | (5,214,598.00 | ) | ||||||||||||||
2006-A Residual Losses (as a % of Original Pool Balance) | 0.141 | % | 0.158 | % | 0.182 | % | 0.205 | % | 0.236 | % | 0.270 | % | 0.303 | % | ||||||||||||||
Monthly Net Credit Losses | 216,591.94 | (1,124,383.99 | ) | (661,045.21 | ) | (587,493.28 | ) | (1,530,723.68 | ) | (602,474.07 | ) | (1,017,737.69 | ) | |||||||||||||||
2006-A Cumulative Net Credit Losses | (3,160,778.55 | ) | (4,285,162.54 | ) | (4,946,207.75 | ) | (5,533,701.03 | ) | (7,064,424.71 | ) | (7,666,898.78 | ) | (8,684,636.47 | ) | ||||||||||||||
2006-A Net Credit Losses (as a % of Original Pool Balance) | 0.184 | % | 0.249 | % | 0.288 | % | 0.322 | % | 0.411 | % | 0.446 | % | 0.505 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 15,887,901.77 | 15,421,997.92 | 14,941,900.71 | 18,936,353.55 | 17,311,452.49 | 18,178,864.22 | 19,375,150.40 | |||||||||||||||||||||
61-90 | 3,414,964.32 | 4,262,921.67 | 4,185,341.61 | 4,808,580.13 | 3,841,255.94 | 5,028,222.46 | 5,298,909.96 | |||||||||||||||||||||
91-120+ | 1,221,908.12 | 1,609,158.01 | 1,667,555.98 | 1,855,559.43 | 1,646,843.08 | 1,391,149.52 | 2,117,961.56 | |||||||||||||||||||||
Total | 20,524,774.21 | 21,294,077.60 | 20,794,798.30 | 25,600,493.11 | 22,799,551.51 | 24,598,236.20 | 26,792,021.92 |
C-26
Table of Contents
Jun-07 | Jul-07 | Aug-07 | Sep-07 | Oct-07 | Nov-07 | Dec-07 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 1.06 | % | 1.06 | % | 1.05 | % | 1.37 | % | 1.28 | % | 1.38 | % | 1.52 | % | ||||||||||||||
61-90 | 0.23 | % | 0.29 | % | 0.29 | % | 0.35 | % | 0.28 | % | 0.38 | % | 0.41 | % | ||||||||||||||
91-120+ | 0.08 | % | 0.11 | % | 0.12 | % | 0.13 | % | 0.12 | % | 0.11 | % | 0.17 | % | ||||||||||||||
Total | 1.37 | % | 1.46 | % | 1.46 | % | 1.85 | % | 1.69 | % | 1.87 | % | 2.10 | % | ||||||||||||||
2006-A 60+ | 0.31 | % | 0.40 | % | 0.41 | % | 0.48 | % | 0.41 | % | 0.49 | % | 0.58 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 733 | 719 | 705 | 899 | 830 | 892 | 952 | |||||||||||||||||||||
61-90 | 152 | 194 | 195 | 228 | 187 | 242 | 264 | |||||||||||||||||||||
91-120+ | 51 | 69 | 76 | 90 | 76 | 65 | 102 | |||||||||||||||||||||
Total | 936 | 982 | 976 | 1,217 | 1,093 | 1,199 | 1,318 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 6,642,754.10 | 5,823,725.24 | 6,380,516.43 | 7,342,577.70 | 7,581,292.27 | 8,052,719.75 | 8,676,206.82 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 4,228,036.13 | 3,523,585.35 | 4,280,939.17 | 4,388,856.96 | 3,901,073.47 | 3,514,187.54 | 3,545,865.96 | |||||||||||||||||||||
Additional Advance for Current Period | 3,409,007.27 | 4,080,376.54 | 5,243,000.44 | 4,627,571.53 | 4,372,500.95 | 4,137,674.61 | 5,415,323.16 | |||||||||||||||||||||
Ending Residual Advances | 5,823,725.24 | 6,380,516.43 | 7,342,577.70 | 7,581,292.27 | 8,052,719.75 | 8,676,206.82 | 10,545,664.02 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,147,648.31 | 3,562,575.84 | 3,418,920.29 | 3,247,315.20 | 4,145,028.44 | 3,445,393.53 | 3,721,118.63 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,129,529.29 | 1,430,060.41 | 1,418,235.57 | 1,033,624.39 | 1,841,244.77 | 1,229,169.07 | 1,430,055.80 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 1,544,456.82 | 1,286,404.86 | 1,246,630.48 | 1,931,337.63 | 1,141,609.86 | 1,504,894.17 | 1,507,702.97 | |||||||||||||||||||||
Ending Balance of Payment Advance | 3,562,575.84 | 3,418,920.29 | 3,247,315.20 | 4,145,028.44 | 3,445,393.53 | 3,721,118.63 | 3,798,765.80 | |||||||||||||||||||||
Total Collections | 54,424,135.95 | 53,355,769.40 | 55,661,316.82 | 50,191,477.41 | 52,783,146.10 | 49,112,436.93 | 47,176,318.31 | |||||||||||||||||||||
2006-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 9.102 | % | 10.058 | % | 11.659 | % | 13.068 | % | 10.447 | % | 11.489 | % | 14.675 | % |
C-27
Table of Contents
Jan-08 | Feb-08 | Mar-08 | Apr-08 | May-08 | Jun-08 | Jul-08 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 288,467,200.00 | 250,764,800.00 | 211,254,000.00 | 170,756,800.00 | 121,546,400.00 | 67,897,200.00 | 5,589,600.00 | |||||||||||||||||||||
Class A-3 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | |||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | |||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||
1,231,445,729.36 | 1,193,743,329.36 | 1,154,232,529.36 | 1,113,735,329.36 | 1,064,524,929.36 | 1,010,875,729.36 | 948,568,129.36 | ||||||||||||||||||||||
2006-A Prepayment Assumption | 0.716257 | 0.694328 | 0.671347 | 0.647792 | 0.619170 | 0.587965 | 0.551725 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 302,389,818.34 | 261,846,871.99 | 223,364,539.53 | 176,722,671.59 | 126,052,136.92 | 74,090,079.73 | 22,744,715.73 | |||||||||||||||||||||
Class A-3 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | 540,000,000.00 | |||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | |||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||
1,245,368,347.70 | 1,204,825,401.35 | 1,166,343,068.89 | 1,119,701,200.95 | 1,069,030,666.28 | 1,017,068,609.09 | 965,723,245.09 | ||||||||||||||||||||||
2006-A Pool Factor | 0.724355 | 0.700774 | 0.678391 | 0.651262 | 0.621790 | 0.591567 | 0.561703 | |||||||||||||||||||||
Monthly Residual Losses | (781,110.65 | ) | (1,495,398.27 | ) | (1,583,122.83 | ) | (1,876,185.24 | ) | (3,066,436.62 | ) | (3,447,126.54 | ) | (4,390,879.55 | ) | ||||||||||||||
2006-A Cumulative Residual Losses | (5,995,708.65 | ) | (7,491,106.92 | ) | (9,074,229.75 | ) | (10,950,414.99 | ) | (14,016,851.61 | ) | (17,463,978.15 | ) | (21,854,857.70 | ) | ||||||||||||||
2006-A Residual Losses (as a % of Original Pool Balance) | 0.349 | % | 0.436 | % | 0.528 | % | 0.637 | % | 0.815 | % | 1.016 | % | 1.271 | % | ||||||||||||||
Monthly Net Credit Losses | (848,473.03 | ) | (412,232.88 | ) | (169,745.26 | ) | (517,640.57 | ) | (406,081.94 | ) | (146,510.69 | ) | (664,526.73 | ) | ||||||||||||||
2006-A Cumulative Net Credit Losses | (9,533,109.50 | ) | (9,945,342.38 | ) | (10,115,087.64 | ) | (10,632,728.21 | ) | (11,038,810.15 | ) | (11,185,320.84 | ) | (11,849,847.57 | ) | ||||||||||||||
2006-A Net Credit Losses (as a % of Original Pool Balance) | 0.554 | % | 0.578 | % | 0.588 | % | 0.618 | % | 0.642 | % | 0.651 | % | 0.689 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 17,137,639.27 | 16,597,859.12 | 14,589,071.62 | 14,608,491.59 | 15,278,652.07 | 13,759,393.28 | 13,853,870.98 | |||||||||||||||||||||
61-90 | 5,412,227.76 | 4,706,190.09 | 4,082,483.47 | 4,088,532.72 | 4,059,257.24 | 4,307,676.10 | 3,908,246.22 | |||||||||||||||||||||
91-120+ | 1,785,929.65 | 1,672,539.09 | 1,509,450.02 | 1,421,004.95 | 1,721,287.19 | 1,623,334.21 | 1,899,847.09 | |||||||||||||||||||||
Total | 24,335,796.68 | 22,976,588.30 | 20,181,005.11 | 20,118,029.26 | 21,059,196.50 | 19,690,403.59 | 19,661,964.29 |
C-28
Table of Contents
Jan-08 | Feb-08 | Mar-08 | Apr-08 | May-08 | Jun-08 | Jul-08 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 1.38 | % | 1.38 | % | 1.25 | % | 1.30 | % | 1.43 | % | 1.35 | % | 1.43 | % | ||||||||||||||
61-90 | 0.43 | % | 0.39 | % | 0.35 | % | 0.37 | % | 0.38 | % | 0.42 | % | 0.40 | % | ||||||||||||||
91-120+ | 0.14 | % | 0.14 | % | 0.13 | % | 0.13 | % | 0.16 | % | 0.16 | % | 0.20 | % | ||||||||||||||
Total | 1.95 | % | 1.91 | % | 1.73 | % | 1.80 | % | 1.97 | % | 1.94 | % | 2.04 | % | ||||||||||||||
2006-A 60+ | 0.58 | % | 0.53 | % | 0.48 | % | 0.49 | % | 0.54 | % | 0.58 | % | 0.60 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 856 | 834 | 745 | 764 | 814 | 747 | 775 | |||||||||||||||||||||
61-90 | 269 | 234 | 208 | 206 | 212 | 234 | 216 | |||||||||||||||||||||
91-120+ | 88 | 79 | 76 | 73 | 87 | 81 | 99 | |||||||||||||||||||||
Total | 1,213 | 1,147 | 1,029 | 1,043 | 1,113 | 1,062 | 1,090 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 10,545,664.02 | 14,939,476.93 | 15,268,830.23 | 20,555,956.47 | 26,709,111.31 | 33,019,177.92 | 37,082,784.49 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 4,934,583.53 | 8,279,605.27 | 9,183,317.38 | 11,398,144.28 | 14,397,147.13 | 16,802,280.04 | 18,474,734.28 | |||||||||||||||||||||
Additional Advance for Current Period | 9,328,396.44 | 8,608,958.57 | 14,470,443.62 | 17,551,299.12 | 20,707,213.74 | 20,865,886.61 | 26,321,261.54 | |||||||||||||||||||||
Ending Residual Advances | 14,939,476.93 | 15,268,830.23 | 20,555,956.47 | 26,709,111.31 | 33,019,177.92 | 37,082,784.49 | 44,929,311.75 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,798,765.80 | 3,428,949.89 | 3,535,148.69 | 3,164,675.32 | 3,229,047.68 | 3,327,680.39 | 3,267,292.03 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,575,760.36 | 1,327,742.39 | 1,524,458.15 | 1,208,970.20 | 1,226,022.38 | 1,326,944.77 | 1,325,938.33 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 1,205,944.45 | 1,433,941.19 | 1,153,984.78 | 1,273,342.56 | 1,324,655.09 | 1,266,556.41 | 1,142,562.07 | |||||||||||||||||||||
Ending Balance of Payment Advance | 3,428,949.89 | 3,535,148.69 | 3,164,675.32 | 3,229,047.68 | 3,327,680.39 | 3,267,292.03 | 3,083,915.77 | |||||||||||||||||||||
Total Collections | 56,767,760.89 | 57,399,442.48 | 66,831,804.75 | 72,496,110.94 | 76,173,271.26 | 77,879,565.02 | 85,139,152.13 | |||||||||||||||||||||
2006-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 18.557 | % | 17.497 | % | 23.379 | % | 25.966 | % | 28.923 | % | 28.419 | % | 32.258 | % |
C-29
Table of Contents
Aug-08 | Sep-08 | Oct-08 | Nov-08 | Dec-08 | Jan-09 | Feb-09 | Mar-09 | Apr-09 | May-09 | Jun-09 | ||||||||||||||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Class A-2 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Class A-3 | 486,702,000.00 | 425,952,000.00 | 367,092,000.00 | 307,476,000.00 | 256,392,000.00 | 216,000,000.00 | 172,746,000.00 | 104,652,000.00 | 53,082,000.00 | 3,618,000.00 | ||||||||||||||||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 201,949,500.00 | |||||||||||||||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||||||||||||||
889,680,529.36 | 828,930,529.36 | 770,070,529.36 | 710,454,529.36 | 659,370,529.36 | 618,978,529.36 | 575,724,529.36 | 507,630,529.36 | 456,060,529.36 | 406,596,529.36 | 352,428,029.36 | ||||||||||||||||||||||||||||||||||
2006-A Prepayment Assumption | 0.517473 | 0.482139 | 0.447903 | 0.413228 | 0.383516 | 0.360022 | 0.334864 | 0.295258 | 0.265263 | 0.236493 | 0.204986 | |||||||||||||||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | — | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||||
Class A-2 | — | — | — | — | — | — | — | — | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||||||||
Class A-3 | 505,174,733.30 | 450,205,166.99 | 394,285,505.19 | 340,058,623.14 | 295,162,131.39 | 247,753,496.94 | 190,485,530.44 | 130,682,762.36 | 67,015,416.14 | 9,194,062.07 | 0.00 | |||||||||||||||||||||||||||||||||
Class A-4 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 252,500,000.00 | 204,091,014.95 | |||||||||||||||||||||||||||||||||
Overcollateralization | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | 150,478,529.36 | |||||||||||||||||||||||||||||||||
908,153,262.66 | 853,183,696.35 | 797,264,034.55 | 743,037,152.50 | 698,140,660.75 | 650,732,026.30 | 593,464,059.80 | 533,661,291.72 | 469,993,945.50 | 412,172,591.43 | 354,569,544.31 | ||||||||||||||||||||||||||||||||||
2006-A Pool Factor | 0.528218 | 0.496245 | 0.463720 | 0.432180 | 0.406066 | 0.378491 | 0.345182 | 0.310398 | 0.273367 | 0.239736 | 0.206232 | |||||||||||||||||||||||||||||||||
Monthly Residual Losses | (5,339,407.48 | ) | (5,275,038.94 | ) | (5,510,617.49 | ) | (6,389,128.49 | ) | (6,513,999.25 | ) | (8,074,862.31 | ) | (7,076,365.46 | ) | (4,603,351.74 | ) | (3,870,442.01 | ) | (4,200,617.38 | ) | (2,000,099.59 | ) | ||||||||||||||||||||||
2006-A Cumulative Residual Losses | (27,194,265.18 | ) | (32,469,304.12 | ) | (37,979,921.61 | ) | (44,369,050.10 | ) | (50,883,049.35 | ) | (58,957,911.66 | ) | (66,034,277.12 | ) | (70,637,628.86 | ) | (74,508,070.87 | ) | (78,708,688.25 | ) | (80,708,787.84 | ) | ||||||||||||||||||||||
2006-A Residual Losses (as a % of Original Pool Balance) | 1.582 | % | 1.889 | % | 2.209 | % | 2.581 | % | 2.960 | % | 3.429 | % | 3.841 | % | 4.109 | % | 4.334 | % | 4.578 | % | 4.694 | % | ||||||||||||||||||||||
Monthly Net Credit Losses | (309,729.08 | ) | (1,043,191.78 | ) | (764,572.21 | ) | (449,959.69 | ) | (1,127,708.81 | ) | (314,722.22 | ) | (537,776.60 | ) | (34,380.29 | ) | (67,921.53 | ) | 299,482.70 | 248,823.54 | ||||||||||||||||||||||||
2006-A Cumulative Net Credit Losses | (12,159,576.65 | ) | (13,202,768.43 | ) | (13,967,340.64 | ) | (14,417,300.33 | ) | (15,545,009.14 | ) | (15,859,731.36 | ) | (16,397,507.96 | ) | (16,431,888.25 | ) | (16,499,809.78 | ) | (16,200,327.08 | ) | (15,951,503.54 | ) | ||||||||||||||||||||||
2006-A Net Credit Losses (as a % of Original Pool Balance) | 0.707 | % | 0.768 | % | 0.812 | % | 0.839 | % | 0.904 | % | 0.922 | % | 0.954 | % | 0.956 | % | 0.960 | % | 0.942 | % | 0.928 | % | ||||||||||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||||||||||||||||||
31-60 | 13,805,472.14 | 14,522,522.68 | 14,369,574.60 | 15,860,486.16 | 13,870,955.32 | 12,334,079.21 | 11,685,728.78 | 9,886,430.25 | 8,097,827.66 | 7,983,028.38 | 6,961,657.22 | |||||||||||||||||||||||||||||||||
61-90 | 5,106,284.95 | 4,224,329.67 | 4,162,097.94 | 4,781,524.01 | 4,862,159.92 | 5,726,730.89 | 4,462,448.98 | 3,305,210.30 | 3,176,452.12 | 2,754,329.69 | 2,960,603.64 | |||||||||||||||||||||||||||||||||
91-120+ | 1,796,834.58 | 1,481,363.77 | 1,874,745.00 | 2,177,783.20 | 1,927,214.46 | 1,821,582.14 | 1,738,225.77 | 1,011,417.12 | 885,690.45 | 1,099,979.44 | 823,781.40 | |||||||||||||||||||||||||||||||||
Total | 20,708,591.67 | 20,228,216.12 | 20,406,417.54 | 22,819,793.37 | 20,660,329.70 | 19,882,392.24 | 17,886,403.53 | 14,203,057.67 | 12,159,970.23 | 11,837,337.51 | 10,746,042.26 |
C-30
Table of Contents
Aug-08 | Sep-08 | Oct-08 | Nov-08 | Dec-08 | Jan-09 | Feb-09 | Mar-09 | Apr-09 | May-09 | Jun-09 | ||||||||||||||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||||||||||||||||||
31-60 | 1.52 | % | 1.70 | % | 1.80 | % | 2.13 | % | 1.99 | % | 1.90 | % | 1.97 | % | 1.85 | % | 1.72 | % | 1.94 | % | 1.96 | % | ||||||||||||||||||||||
61-90 | 0.56 | % | 0.50 | % | 0.52 | % | 0.64 | % | 0.70 | % | 0.88 | % | 0.75 | % | 0.62 | % | 0.68 | % | 0.67 | % | 0.83 | % | ||||||||||||||||||||||
91-120+ | 0.20 | % | 0.17 | % | 0.24 | % | 0.29 | % | 0.28 | % | 0.28 | % | 0.29 | % | 0.19 | % | 0.19 | % | 0.27 | % | 0.23 | % | ||||||||||||||||||||||
Total | 2.28 | % | 2.37 | % | 2.56 | % | 3.07 | % | 2.96 | % | 3.06 | % | 3.01 | % | 2.66 | % | 2.59 | % | 2.87 | % | 3.03 | % | ||||||||||||||||||||||
2006-A 60+ | 0.76 | % | 0.67 | % | 0.76 | % | 0.94 | % | 0.97 | % | 1.16 | % | 1.04 | % | 0.81 | % | 0.86 | % | 0.94 | % | 1.07 | % | ||||||||||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||||||||||||||||||
31-60 | 781 | 844 | 827 | 946 | 844 | 754 | 717 | 628 | 519 | 516 | 459 | |||||||||||||||||||||||||||||||||
61-90 | 280 | 238 | 249 | 280 | 286 | 346 | 277 | 200 | 206 | 179 | 191 | |||||||||||||||||||||||||||||||||
91-120+ | 100 | 83 | 107 | 128 | 114 | 111 | 106 | 66 | 55 | 72 | 54 | |||||||||||||||||||||||||||||||||
Total | 1,161 | 1,165 | 1,183 | 1,354 | 1,244 | 1,211 | 1,100 | 894 | 780 | 767 | 704 | |||||||||||||||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 44,929,311.75 | 47,056,315.14 | 50,671,686.09 | 55,816,759.12 | 57,308,766.31 | 60,757,328.99 | 63,442,940.28 | 61,778,191.25 | 62,612,169.40 | 63,711,308.23 | 58,941,018.21 | |||||||||||||||||||||||||||||||||
Reimbursement of Outstanding Advance | 22,462,197.34 | 22,890,410.13 | 21,794,426.67 | 21,771,147.27 | 23,373,022.72 | 28,430,745.68 | 34,966,115.54 | 33,996,391.23 | 32,340,023.38 | 37,714,942.08 | 36,625,965.37 | |||||||||||||||||||||||||||||||||
Additional Advance for Current Period | 24,589,200.73 | 26,505,781.08 | 26,939,499.70 | 23,263,154.46 | 26,821,585.40 | 31,116,356.97 | 33,301,366.51 | 34,830,369.38 | 33,439,162.21 | 32,944,652.06 | 35,171,344.33 | |||||||||||||||||||||||||||||||||
Ending Residual Advances | 47,056,315.14 | 50,671,686.09 | 55,816,759.12 | 57,308,766.31 | 60,757,328.99 | 63,442,940.28 | 61,778,191.25 | 62,612,169.40 | 63,711,308.23 | 58,941,018.21 | 57,486,397.17 | |||||||||||||||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,083,915.77 | 3,332,879.82 | 3,100,830.19 | 2,933,216.37 | 3,525,771.98 | 2,977,869.47 | 2,780,527.83 | 2,841,429.56 | 2,070,132.53 | 1,908,665.64 | 1,922,467.40 | |||||||||||||||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,094,191.80 | 1,320,377.20 | 1,208,524.26 | 905,272.39 | 1,479,608.03 | 1,134,074.95 | 1,049,153.32 | 1,411,428.56 | 869,235.58 | 742,243.22 | 832,640.93 | |||||||||||||||||||||||||||||||||
Additional Payment Advance for Current Period | 1,343,155.85 | 1,088,327.57 | 1,040,910.44 | 1,497,828.00 | 931,705.52 | 936,733.31 | 1,110,055.05 | 640,131.53 | 707,768.69 | 756,044.98 | 587,246.66 | |||||||||||||||||||||||||||||||||
Ending Balance of Payment Advance | 3,332,879.82 | 3,100,830.19 | 2,933,216.37 | 3,525,771.98 | 2,977,869.47 | 2,780,527.83 | 2,841,429.56 | 2,070,132.53 | 1,908,665.64 | 1,922,467.40 | 1,677,073.13 | |||||||||||||||||||||||||||||||||
Total Collections | 85,017,463.02 | 84,743,958.01 | 81,395,233.51 | 69,594,314.91 | 73,639,567.90 | 88,241,334.16 | 95,885,373.16 | 99,136,698.53 | 91,587,485.97 | 96,293,326.68 | 102,365,479.64 | |||||||||||||||||||||||||||||||||
2006-A | ||||||||||||||||||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 30.502 | % | 32.562 | % | 34.376 | % | 35.579 | % | 37.688 | % | 36.324 | % | 35.888 | % | 35.779 | % | 37.283 | % | 34.998 | % | 34.932 | % |
C-31
Table of Contents
Jul-07 | Aug-07 | Sep-07 | Oct-07 | Nov-07 | Dec-07 | Jan-08 | ||||||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||||||
Class A-1 | 150,000,000.00 | 129,885,000.00 | 109,410,000.00 | 88,605,000.00 | 67,470,000.00 | 46,020,000.00 | 24,270,000.00 | |||||||||||||||||||||||||
Class A-2 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | |||||||||||||||||||||||||
Class A-3 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | |||||||||||||||||||||||||
Class A-4 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | |||||||||||||||||||||||||
Overcollateralization | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | |||||||||||||||||||||||||
1,197,889,471.05 | 1,177,774,471.05 | 1,157,299,471.05 | 1,136,494,471.05 | 1,115,359,471.05 | 1,093,909,471.05 | 1,072,159,471.05 | ||||||||||||||||||||||||||
2007-A Prepayment Assumption | 1.000000 | 0.983208 | 0.966115 | 0.948747 | 0.931104 | 0.913197 | 0.895040 | |||||||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||||||
Class A-1 | 150,000,000.00 | 126,833,219.81 | 107,604,200.41 | 88,652,894.37 | 67,523,879.49 | 46,727,362.78 | 27,033,547.98 | |||||||||||||||||||||||||
Class A-2 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | 375,000,000.00 | |||||||||||||||||||||||||
Class A-3 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | |||||||||||||||||||||||||
Class A-4 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | |||||||||||||||||||||||||
Overcollateralization | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | |||||||||||||||||||||||||
1,197,889,471.05 | 1,174,722,690.86 | 1,155,493,671.46 | 1,136,542,365.42 | 1,115,413,350.54 | 1,094,616,833.83 | 1,074,923,019.03 | ||||||||||||||||||||||||||
2007-A Pool Factor | 1.000000 | 0.980660 | 0.964608 | 0.948787 | 0.931149 | 0.913788 | 0.897347 | |||||||||||||||||||||||||
Monthly Residual Losses | (17,967.56 | ) | (121,583.34 | ) | (66,902.93 | ) | (37,113.29 | ) | (98,692.97 | ) | (58,747.08 | ) | (189,003.69 | ) | ||||||||||||||||||
2007-A Cumulative Residual Losses | (17,967.56 | ) | (139,550.90 | ) | (206,453.83 | ) | (243,567.12 | ) | (342,260.09 | ) | (401,007.17 | ) | (590,010.86 | ) | ||||||||||||||||||
2007-A Residual Losses (as a % of Original Pool Balance) | 0.001 | % | 0.012 | % | 0.017 | % | 0.020 | % | 0.029 | % | 0.033 | % | 0.049 | % | ||||||||||||||||||
Monthly Net Credit Losses | (650,484.71 | ) | (63,562.84 | ) | (363,350.37 | ) | (1,001,943.34 | ) | (1,068,912.07 | ) | (703,609.13 | ) | (1,475,936.61 | ) | ||||||||||||||||||
2007-A Cumulative Net Credit Losses | (650,484.71 | ) | (714,047.55 | ) | (1,077,397.92 | ) | (2,079,341.26 | ) | (3,148,253.33 | ) | (3,851,862.46 | ) | (5,327,799.07 | ) | ||||||||||||||||||
2007-A Net Credit Losses (as a % of Original Pool Balance) | 0.054 | % | 0.060 | % | 0.090 | % | 0.174 | % | 0.263 | % | 0.322 | % | 0.445 | % | ||||||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||||||
31-60 | 8,528,903.24 | 10,301,657.45 | 13,380,472.50 | 12,151,089.64 | 15,280,180.69 | 16,275,598.96 | 14,705,176.54 | |||||||||||||||||||||||||
61-90 | 38,092.75 | 1,929,364.99 | 2,551,570.49 | 2,758,706.85 | 3,355,770.10 | 4,246,474.84 | 5,128,998.79 | |||||||||||||||||||||||||
91-120+ | 16,330.17 | 167,293.85 | 1,022,579.39 | 1,467,823.97 | 967,418.36 | 1,910,730.41 | 1,640,362.04 | |||||||||||||||||||||||||
Total | 8,583,326.16 | 12,398,316.29 | 16,954,622.38 | 16,377,620.46 | 19,603,369.15 | 22,432,804.21 | 21,474,537.37 |
C-32
Table of Contents
Jul-07 | Aug-07 | Sep-07 | Oct-07 | Nov-07 | Dec-07 | Jan-08 | ||||||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||||||
31-60 | 0.71 | % | 0.88 | % | 1.16 | % | 1.07 | % | 1.37 | % | 1.49 | % | 1.37 | % | ||||||||||||||||||
61-90 | 0.00 | % | 0.16 | % | 0.22 | % | 0.24 | % | 0.30 | % | 0.39 | % | 0.48 | % | ||||||||||||||||||
91-120+ | 0.00 | % | 0.01 | % | 0.09 | % | 0.13 | % | 0.09 | % | 0.17 | % | 0.15 | % | ||||||||||||||||||
Total | 0.72 | % | 1.06 | % | 1.47 | % | 1.44 | % | 1.76 | % | 2.05 | % | 2.00 | % | ||||||||||||||||||
2007-A 60+ | 0.00 | % | 0.18 | % | 0.31 | % | 0.37 | % | 0.39 | % | 0.56 | % | 0.63 | % | ||||||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||||||
31-60 | 396 | 477 | 630 | 572 | 723 | 782 | 725 | |||||||||||||||||||||||||
61-90 | 2 | 90 | 119 | 128 | 157 | 198 | 243 | |||||||||||||||||||||||||
91-120+ | 1 | 7 | 47 | 69 | 45 | 90 | 74 | |||||||||||||||||||||||||
Total | 399 | 574 | 796 | 769 | 925 | 1,070 | 1,042 | |||||||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | — | 227,159.34 | 202,632.67 | 296,827.79 | 287,380.53 | 374,390.69 | 420,340.95 | |||||||||||||||||||||||||
Reimbursement of Outstanding Advance | — | 201,335.14 | 126,976.38 | 178,254.21 | 195,978.71 | 249,931.58 | 220,147.98 | |||||||||||||||||||||||||
Additional Advance for Current Period | 227,159.34 | 176,808.47 | 221,171.50 | 168,806.95 | 282,988.87 | 295,881.84 | 478,052.73 | |||||||||||||||||||||||||
Ending Residual Advances | 227,159.34 | 202,632.67 | 296,827.79 | 287,380.53 | 374,390.69 | 420,340.95 | 678,245.70 | |||||||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | — | 2,343,740.93 | 2,409,878.62 | 3,258,768.55 | 2,788,933.55 | 3,065,065.22 | 3,354,937.31 | |||||||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | — | 938,807.22 | 714,747.92 | 1,394,163.16 | 1,012,914.58 | 1,055,060.30 | 1,393,164.88 | |||||||||||||||||||||||||
Additional Payment Advance for Current Period | 2,343,740.93 | 1,004,944.91 | 1,563,637.85 | 924,328.16 | 1,289,046.25 | 1,344,932.39 | 1,049,731.65 | |||||||||||||||||||||||||
Ending Balance of Payment Advance | 2,343,740.93 | 2,409,878.62 | 3,258,768.55 | 2,788,933.55 | 3,065,065.22 | 3,354,937.31 | 3,011,504.08 | |||||||||||||||||||||||||
Total Collections | 30,320,428.40 | 30,395,051.29 | 27,938,910.03 | 31,554,887.14 | 29,835,903.15 | 28,902,832.50 | 31,507,688.80 | |||||||||||||||||||||||||
2007-A | ||||||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 8.479 | % | 3.888 | % | 6.388 | % | 3.464 | % | 5.269 | % | 5.677 | % | 4.849 | % |
C-33
Table of Contents
Feb-08 | Mar-08 | Apr-08 | May-08 | Jun-08 | Jul-08 | Aug-08 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | 2,220,000.00 | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 375,000,000.00 | 354,862,500.00 | 332,137,500.00 | 309,075,000.00 | 285,562,500.00 | 261,300,000.00 | 236,025,000.00 | |||||||||||||||||||||
Class A-3 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | |||||||||||||||||||||
Class A-4 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | |||||||||||||||||||||
Overcollateralization | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | |||||||||||||||||||||
1,050,109,471.05 | 1,027,751,971.05 | 1,005,026,971.05 | 981,964,471.05 | 958,451,971.05 | 934,189,471.05 | 908,914,471.05 | ||||||||||||||||||||||
2007-A Prepayment Assumption | 0.876633 | 0.857969 | 0.838998 | 0.819745 | 0.800117 | 0.779863 | 0.758763 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 4,134,577.45 | — | — | — | — | — | — | |||||||||||||||||||||
Class A-2 | 375,000,000.00 | 356,582,788.40 | 333,987,124.80 | 310,682,425.30 | 288,090,028.07 | 264,678,855.33 | 238,501,949.11 | |||||||||||||||||||||
Class A-3 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | |||||||||||||||||||||
Class A-4 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | |||||||||||||||||||||
Overcollateralization | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | |||||||||||||||||||||
1,052,024,048.50 | 1,029,472,259.45 | 1,006,876,595.85 | 983,571,896.35 | 960,979,499.12 | 937,568,326.38 | 911,391,420.16 | ||||||||||||||||||||||
2007-A Pool Factor | 0.878231 | 0.859405 | 0.840542 | 0.821087 | 0.802227 | 0.782684 | 0.760831 | |||||||||||||||||||||
Monthly Residual Losses | (241,918.97 | ) | (175,954.47 | ) | (205,767.48 | ) | (206,341.44 | ) | (259,089.55 | ) | (388,472.23 | ) | (666,796.60 | ) | ||||||||||||||
2007-A Cumulative Residual Losses | (831,929.83 | ) | (1,007,884.30 | ) | (1,213,651.78 | ) | (1,419,993.22 | ) | (1,679,082.77 | ) | (2,067,555.00 | ) | (2,734,351.60 | ) | ||||||||||||||
2007-A Residual Losses (as a % of Original Pool Balance) | 0.069 | % | 0.084 | % | 0.101 | % | 0.119 | % | 0.140 | % | 0.173 | % | 0.228 | % | ||||||||||||||
Monthly Net Credit Losses | (475,965.92 | ) | (62,348.95 | ) | (821,935.32 | ) | (542,315.37 | ) | (424,307.83 | ) | (1,101,081.86 | ) | (452,317.44 | ) | ||||||||||||||
2007-A Cumulative Net Credit Losses | (5,803,764.99 | ) | (5,866,113.94 | ) | (6,688,049.26 | ) | (7,230,364.63 | ) | (7,654,672.46 | ) | (8,755,754.32 | ) | (9,208,071.76 | ) | ||||||||||||||
2007-A Net Credit Losses (as a % of Original Pool Balance) | 0.484 | % | 0.490 | % | 0.558 | % | 0.604 | % | 0.639 | % | 0.731 | % | 0.769 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 14,290,540.62 | 12,900,807.02 | 14,999,952.38 | 14,982,789.57 | 15,898,903.76 | 15,009,848.06 | 15,004,818.61 | |||||||||||||||||||||
61-90 | 4,576,424.98 | 3,828,712.60 | 3,788,321.99 | 4,068,120.08 | 4,116,198.37 | 4,641,858.93 | 5,968,352.84 | |||||||||||||||||||||
91-120+ | 1,239,137.68 | 1,470,875.57 | 1,403,332.98 | 1,500,683.16 | 1,754,552.78 | 1,548,295.00 | 2,003,146.41 | |||||||||||||||||||||
Total | 20,106,103.28 | 18,200,395.19 | 20,191,607.35 | 20,551,592.81 | 21,769,654.91 | 21,200,001.99 | 22,976,317.86 |
C-34
Table of Contents
Feb-08 | Mar-08 | Apr-08 | May-08 | Jun-08 | Jul-08 | Aug-08 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 1.36 | % | 1.25 | % | 1.49 | % | 1.52 | % | 1.65 | % | 1.60 | % | 1.65 | % | ||||||||||||||
61-90 | 0.44 | % | 0.37 | % | 0.38 | % | 0.41 | % | 0.43 | % | 0.50 | % | 0.65 | % | ||||||||||||||
91-120+ | 0.12 | % | 0.14 | % | 0.14 | % | 0.15 | % | 0.18 | % | 0.17 | % | 0.22 | % | ||||||||||||||
Total | 1.91 | % | 1.77 | % | 2.01 | % | 2.09 | % | 2.27 | % | 2.26 | % | 2.52 | % | ||||||||||||||
2007-A 60+ | 0.55 | % | 0.51 | % | 0.52 | % | 0.57 | % | 0.61 | % | 0.66 | % | 0.87 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 710 | 641 | 761 | 771 | 830 | 794 | 809 | |||||||||||||||||||||
61-90 | 223 | 190 | 190 | 208 | 213 | 242 | 322 | |||||||||||||||||||||
91-120+ | 57 | 75 | 71 | 78 | 91 | 81 | 108 | |||||||||||||||||||||
Total | 990 | 906 | 1,022 | 1,057 | 1,134 | 1,117 | 1,239 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 678,245.70 | 852,335.99 | 910,571.18 | 874,461.92 | 1,005,101.67 | 1,472,393.77 | 2,364,610.20 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 506,377.91 | 614,058.11 | 585,161.99 | 591,765.07 | 647,550.36 | 890,378.09 | 1,720,605.95 | |||||||||||||||||||||
Additional Advance for Current Period | 680,468.20 | 672,293.30 | 549,052.73 | 722,404.82 | 1,114,842.46 | 1,782,594.52 | 1,684,237.54 | |||||||||||||||||||||
Ending Residual Advances | 852,335.99 | 910,571.18 | 874,461.92 | 1,005,101.67 | 1,472,393.77 | 2,364,610.20 | 2,328,241.79 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,011,504.08 | 3,119,089.42 | 2,895,985.25 | 3,056,740.61 | 3,202,356.67 | 3,245,976.39 | 3,003,253.42 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,139,038.81 | 1,265,067.00 | 1,030,179.88 | 1,060,926.01 | 1,146,251.11 | 1,268,465.31 | 939,668.99 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 1,246,624.15 | 1,041,962.83 | 1,190,935.24 | 1,206,542.07 | 1,189,870.83 | 1,025,742.34 | 1,360,829.38 | |||||||||||||||||||||
Ending Balance of Payment Advance | 3,119,089.42 | 2,895,985.25 | 3,056,740.61 | 3,202,356.67 | 3,245,976.39 | 3,003,253.42 | 3,424,413.81 | |||||||||||||||||||||
Total Collections | 32,189,139.28 | 32,755,716.62 | 32,385,557.30 | 31,283,693.12 | 32,489,268.30 | 34,152,884.40 | 34,263,983.58 | |||||||||||||||||||||
2007-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 5.987 | % | 5.233 | % | 5.373 | % | 6.166 | % | 7.094 | % | 8.223 | % | 8.887 | % |
C-35
Table of Contents
Sep-08 | Oct-08 | Nov-08 | Dec-08 | Jan-09 | Feb-09 | Mar-09 | Apr-09 | May-09 | Jun-09 | |||||||||||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Class A-2 | 210,112,500.00 | 182,400,000.00 | 151,950,000.00 | 121,050,000.00 | 87,750,000.00 | 52,237,500.00 | 21,750,000.00 | |||||||||||||||||||||||||||||||||
Class A-3 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 179,960,000.00 | 137,520,000.00 | 98,120,000.00 | ||||||||||||||||||||||||||||||
Class A-4 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | ||||||||||||||||||||||||||||||
Overcollateralization | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | ||||||||||||||||||||||||||||||
883,001,971.05 | 855,289,471.05 | 824,839,471.05 | 793,939,471.05 | 760,639,471.05 | 725,126,971.05 | 694,639,471.05 | 652,849,471.05 | 610,409,471.05 | 571,009,471.05 | |||||||||||||||||||||||||||||||
2007-A Prepayment Assumption | 0.737131 | 0.713997 | 0.688577 | 0.662782 | 0.634983 | 0.605337 | 0.579886 | 0.545000 | 0.509571 | 0.476680 | ||||||||||||||||||||||||||||||
Actual prepayment | �� | |||||||||||||||||||||||||||||||||||||||
Class A-1 | — | — | — | — | — | — | — | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||
Class A-2 | 213,452,884.95 | 186,629,575.36 | 157,780,140.90 | 131,102,492.21 | 101,124,337.24 | 67,193,825.26 | 37,628,719.33 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||
Class A-3 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 200,000,000.00 | 197,986,662.12 | 158,169,653.26 | 113,892,555.48 | ||||||||||||||||||||||||||||||
Class A-4 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | 365,079,000.00 | ||||||||||||||||||||||||||||||
Overcollateralization | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | 107,810,471.05 | ||||||||||||||||||||||||||||||
886,342,356.00 | 859,519,046.41 | 830,669,611.95 | 803,991,963.26 | 774,013,808.29 | 740,083,296.31 | 710,518,190.38 | 670,876,133.17 | 631,059,124.31 | 586,782,026.53 | |||||||||||||||||||||||||||||||
2007-A Pool Factor | 0.739920 | 0.717528 | 0.693444 | 0.671174 | 0.646148 | 0.617823 | 0.593142 | 0.560048 | 0.526809 | 0.489847 | ||||||||||||||||||||||||||||||
Monthly Residual Losses | (707,318.51 | ) | (890,010.38 | ) | (1,686,256.23 | ) | (2,019,202.75 | ) | (2,654,221.60 | ) | (2,637,074.12 | ) | (1,747,840.95 | ) | (2,084,114.20 | ) | (2,403,658.96 | ) | (1,733,985.35 | ) | ||||||||||||||||||||
2007-A Cumulative Residual Losses | (3,441,670.11 | ) | (4,331,680.49 | ) | (6,017,936.72 | ) | (8,037,139.47 | ) | (10,691,361.07 | ) | (13,328,435.19 | ) | (15,076,276.14 | ) | (17,160,390.34 | ) | (19,564,049.30 | ) | (21,298,034.65 | ) | ||||||||||||||||||||
2007-A Residual Losses (as a % of Original Pool Balance) | 0.287 | % | 0.362 | % | 0.502 | % | 0.671 | % | 0.893 | % | 1.113 | % | 1.259 | % | 1.433 | % | 1.633 | % | 1.778 | % | ||||||||||||||||||||
Monthly Net Credit Losses | (483,264.70 | ) | (1,448,897.50 | ) | (551,770.73 | ) | (1,491,715.18 | ) | (269,669.18 | ) | (574,523.55 | ) | (619,037.06 | ) | (9,999.23 | ) | (246,947.52 | ) | 70,821.02 | |||||||||||||||||||||
2007-A Cumulative Net Credit Losses | (9,691,336.46 | ) | (11,140,233.96 | ) | (11,692,004.69 | ) | (13,183,719.87 | ) | (13,453,389.05 | ) | (14,027,912.60 | ) | (14,646,949.66 | ) | (14,656,948.89 | ) | (14,903,896.41 | ) | (14,833,075.39 | ) | ||||||||||||||||||||
2007-A Net Credit Losses (as a % of Original Pool Balance) | 0.809 | % | 0.930 | % | 0.976 | % | 1.101 | % | 1.123 | % | 1.171 | % | 1.223 | % | 1.224 | % | 1.244 | % | 1.238 | % | ||||||||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||||||||||||||
31-60 | 16,370,114.59 | 16,804,026.13 | 18,640,724.03 | 17,925,200.39 | 16,014,432.27 | 16,112,387.40 | 13,232,257.71 | 12,712,607.39 | 13,113,019.84 | 12,821,648.05 | ||||||||||||||||||||||||||||||
61-90 | 5,176,008.20 | 4,671,549.00 | 6,433,212.86 | 5,884,900.21 | 6,956,361.90 | 5,713,682.99 | 4,603,521.56 | 4,598,658.95 | 4,099,361.89 | 3,907,204.05 | ||||||||||||||||||||||||||||||
91-120+ | 2,220,801.50 | 2,359,825.29 | 2,304,570.89 | 2,500,197.38 | 2,834,944.97 | 1,860,938.30 | 1,327,615.81 | 1,338,834.17 | 1,933,128.14 | 1,315,567.01 | ||||||||||||||||||||||||||||||
Total | 23,766,924.29 | 23,835,400.42 | 27,378,507.78 | 26,310,297.98 | 25,805,739.14 | 23,687,008.69 | 19,163,395.08 | 18,650,100.51 | 19,145,509.87 | 18,044,419.11 |
C-36
Table of Contents
Sep-08 | Oct-08 | Nov-08 | Dec-08 | Jan-09 | Feb-09 | Mar-09 | Apr-09 | May-09 | Jun-09 | |||||||||||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||||||||||||||
31-60 | 1.85 | % | 1.96 | % | 2.24 | % | 2.23 | % | 2.07 | % | 2.18 | % | 1.86 | % | 1.89 | % | 2.08 | % | 2.19 | % | ||||||||||||||||||||
61-90 | 0.58 | % | 0.54 | % | 0.77 | % | 0.73 | % | 0.90 | % | 0.77 | % | 0.65 | % | 0.69 | % | 0.65 | % | 0.67 | % | ||||||||||||||||||||
91-120+ | 0.25 | % | 0.27 | % | 0.28 | % | 0.31 | % | 0.37 | % | 0.25 | % | 0.19 | % | 0.20 | % | 0.31 | % | 0.22 | % | ||||||||||||||||||||
Total | 2.68 | % | 2.77 | % | 3.30 | % | 3.27 | % | 3.33 | % | 3.20 | % | 2.70 | % | 2.78 | % | 3.03 | % | 3.08 | % | ||||||||||||||||||||
2007-A 60+ | 0.83 | % | 0.82 | % | 1.05 | % | 1.04 | % | 1.27 | % | 1.02 | % | 0.83 | % | 0.89 | % | 0.96 | % | 0.89 | % | ||||||||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||||||||||||||
31-60 | 901 | 928 | 1,046 | 1,033 | 928 | 949 | 793 | 765 | 811 | 808 | ||||||||||||||||||||||||||||||
61-90 | 282 | 266 | 362 | 334 | 408 | 335 | 272 | 276 | 253 | 240 | ||||||||||||||||||||||||||||||
91-120+ | 121 | 127 | 132 | 141 | 160 | 107 | 75 | 81 | 118 | 79 | ||||||||||||||||||||||||||||||
Total | 1,304 | 1,321 | 1,540 | 1,508 | 1,496 | 1,391 | 1,140 | 1,122 | 1,182 | 1,127 | ||||||||||||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 2,328,241.79 | 3,801,228.06 | 6,666,052.35 | 8,120,581.05 | 11,042,876.07 | 13,434,791.46 | 10,880,309.13 | 14,746,689.67 | 16,491,484.51 | 16,811,676.19 | ||||||||||||||||||||||||||||||
Reimbursement of Outstanding Advance | 1,294,329.42 | 1,782,655.70 | 2,981,561.22 | 3,595,141.57 | 5,167,288.26 | 7,385,672.79 | 5,514,734.59 | 7,942,111.46 | 9,810,821.11 | 10,526,801.49 | ||||||||||||||||||||||||||||||
Additional Advance for Current Period | 2,767,315.69 | 4,647,479.99 | 4,436,089.92 | 6,517,436.59 | 7,559,203.65 | 4,831,190.46 | 9,381,115.13 | 9,686,906.30 | 10,131,012.79 | 21,524,358.35 | ||||||||||||||||||||||||||||||
Ending Residual Advances | 3,801,228.06 | 6,666,052.35 | 8,120,581.05 | 11,042,876.07 | 13,434,791.46 | 10,880,309.13 | 14,746,689.67 | 16,491,484.51 | 16,811,676.19 | 27,809,233.05 | ||||||||||||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 3,424,413.81 | 3,363,444.38 | 3,207,373.37 | 3,967,045.40 | 3,462,720.99 | 3,405,770.05 | 3,536,361.57 | 2,717,660.38 | 2,716,562.59 | 2,937,390.97 | ||||||||||||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 1,189,024.71 | 1,225,447.69 | 873,022.48 | 1,552,102.72 | 1,195,327.11 | 1,192,125.49 | 1,582,335.44 | 948,975.25 | 865,484.64 | 1,159,593.68 | ||||||||||||||||||||||||||||||
Additional Payment Advance for Current Period | 1,128,055.28 | 1,069,376.68 | 1,632,694.51 | 1,047,778.31 | 1,138,376.17 | 1,322,717.01 | 763,634.25 | 947,877.46 | 1,086,313.02 | 880,973.72 | ||||||||||||||||||||||||||||||
Ending Balance of Payment Advance | 3,363,444.38 | 3,207,373.37 | 3,967,045.40 | 3,462,720.99 | 3,405,770.05 | 3,536,361.57 | 2,717,660.38 | 2,716,562.59 | 2,937,390.97 | 2,658,771.01 | ||||||||||||||||||||||||||||||
Total Collections | 35,526,989.76 | 37,099,803.39 | 35,078,817.98 | 39,425,416.13 | 45,157,015.04 | 43,078,873.86 | 49,243,153.64 | 51,436,403.21 | 56,248,545.50 | 78,729,509.32 | ||||||||||||||||||||||||||||||
2007-A | ||||||||||||||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 10.965 | % | 15.409 | % | 17.300 | % | 19.189 | % | 19.261 | % | 14.285 | % | 20.601 | % | 20.676 | % | 19.942 | % | 28.459 | % |
C-37
Table of Contents
Apr-08 | May-08 | Jun-08 | Jul-08 | Aug-08 | Sep-08 | Oct-08 | ||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||
Class A-1 | 77,100,000.00 | 67,678,380.00 | 58,094,850.00 | 48,364,830.00 | 38,480,610.00 | 28,449,900.00 | 18,280,410.00 | |||||||||||||||||||||
Class A-2 | 173,000,000.00 | 173,000,000.00 | 173,000,000.00 | 173,000,000.00 | 173,000,000.00 | 173,000,000.00 | 173,000,000.00 | |||||||||||||||||||||
Class A-3 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | |||||||||||||||||||||
Class A-4 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | |||||||||||||||||||||
Overcollateralization | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | |||||||||||||||||||||
550,081,594.75 | 540,659,974.75 | 531,076,444.75 | 521,346,424.75 | 511,462,204.75 | 501,431,494.75 | 491,262,004.75 | ||||||||||||||||||||||
2008-A Prepayment Assumption | 1.000000 | 0.982872 | 0.965450 | 0.947762 | 0.929793 | 0.911558 | 0.893071 | |||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||
Class A-1 | 77,100,000.00 | 68,445,883.03 | 60,009,971.33 | 50,511,437.90 | 41,252,341.07 | 31,642,078.58 | 22,075,576.93 | |||||||||||||||||||||
Class A-2a | 98,000,000.00 | 98,000,000.00 | 98,000,000.00 | 98,000,000.00 | 98,000,000.00 | 98,000,000.00 | 98,000,000.00 | |||||||||||||||||||||
Class A-2b | 75,000,000.00 | 75,000,000.00 | 75,000,000.00 | 75,000,000.00 | 75,000,000.00 | 75,000,000.00 | 75,000,000.00 | |||||||||||||||||||||
Class A-3a | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | |||||||||||||||||||||
Class A-3b | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | |||||||||||||||||||||
Class A-4 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | — | |||||||||||||||||||||
Overcollateralization | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 74,981,594.75 | |||||||||||||||||||||
550,081,594.75 | 541,427,477.78 | 532,991,566.08 | 523,493,032.65 | 514,233,935.82 | 504,623,673.33 | 495,057,171.68 | ||||||||||||||||||||||
2008-A Pool Factor | 1.000000 | 0.984268 | 0.968932 | 0.951664 | 0.934832 | 0.917361 | 0.899970 | |||||||||||||||||||||
Monthly Residual Losses | (15,141.78 | ) | (29,367.59 | ) | (93,810.14 | ) | (168,030.05 | ) | (123,147.99 | ) | (118,380.85 | ) | (116,818.41 | ) | ||||||||||||||
2008-A Cumulative Residual Losses | (15,141.78 | ) | (44,509.37 | ) | (138,319.51 | ) | (306,349.56 | ) | (429,497.55 | ) | (547,878.40 | ) | (664,696.81 | ) | ||||||||||||||
2008-A Residual Losses (as a % of Original Pool Balance) | 0.003 | % | 0.008 | % | 0.025 | % | 0.056 | % | 0.078 | % | 0.100 | % | 0.121 | % | ||||||||||||||
Monthly Net Credit Losses | 3,234.98 | (59,237.78 | ) | (370,526.44 | ) | (221,952.43 | ) | (729,842.74 | ) | (379,453.77 | ) | (474,311.06 | ) | |||||||||||||||
2008-A Cumulative Net Credit Losses | 3,234.98 | (56,002.80 | ) | (426,529.24 | ) | (648,481.67 | ) | (1,378,324.41 | ) | (1,757,778.18 | ) | (2,232,089.24 | ) | |||||||||||||||
2008-A Net Credit Losses (as a % of Original Pool Balance) | (0.001 | )% | 0.010 | % | 0.078 | % | 0.118 | % | 0.251 | % | 0.320 | % | 0.406 | % | ||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||
31-60 | 2,931,596.37 | 4,310,855.59 | 4,506,521.67 | 5,384,434.83 | 5,876,675.21 | 6,715,501.04 | 6,762,650.35 | |||||||||||||||||||||
61-90 | 0.00 | 660,204.96 | 1,013,758.44 | 1,154,769.24 | 1,673,579.69 | 1,841,794.81 | 2,128,523.22 | |||||||||||||||||||||
91-120+ | 0.00 | 0.00 | 306,817.71 | 688,199.83 | 642,009.07 | 727,913.22 | 752,947.14 | |||||||||||||||||||||
Total | 2,931,596.37 | 4,971,060.55 | 5,827,097.82 | 7,227,403.90 | 8,192,263.97 | 9,285,209.07 | 9,644,120.71 |
C-38
Table of Contents
Apr-08 | May-08 | Jun-08 | Jul-08 | Aug-08 | Sep-08 | Oct-08 | ||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||
31-60 | 0.53 | % | 0.80 | % | 0.85 | % | 1.03 | % | 1.14 | % | 1.33 | % | 1.37 | % | ||||||||||||||
61-90 | 0.00 | % | 0.12 | % | 0.19 | % | 0.22 | % | 0.33 | % | 0.36 | % | 0.43 | % | ||||||||||||||
91-120+ | 0.00 | % | 0.00 | % | 0.06 | % | 0.13 | % | 0.12 | % | 0.14 | % | 0.15 | % | ||||||||||||||
Total | 0.53 | % | 0.92 | % | 1.09 | % | 1.38 | % | 1.59 | % | 1.84 | % | 1.95 | % | ||||||||||||||
2008-A 60+ | 0.00 | % | 0.12 | % | 0.25 | % | 0.35 | % | 0.45 | % | 0.51 | % | 0.58 | % | ||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||
31-60 | 131 | 199 | 209 | 252 | 279 | 326 | 334 | |||||||||||||||||||||
61-90 | 0 | 29 | 43 | 56 | 78 | 91 | 103 | |||||||||||||||||||||
91-120+ | 0 | 0 | 12 | 28 | 31 | 32 | 37 | |||||||||||||||||||||
Total | 131 | 228 | 264 | 336 | 388 | 449 | 474 | |||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | — | 161,358.84 | 167,033.42 | 343,421.46 | 367,385.15 | 392,468.63 | 439,711.03 | |||||||||||||||||||||
Reimbursement of Outstanding Advance | 0.00 | 131,744.10 | 140,364.15 | 224,711.40 | 171,996.29 | 240,217.19 | 184,815.84 | |||||||||||||||||||||
Additional Advance for Current Period | 161,358.84 | 137,418.68 | 316,752.19 | 248,675.09 | 197,079.77 | 287,459.59 | 209,409.48 | |||||||||||||||||||||
Ending Residual Advances | 161,358.84 | 167,033.42 | 343,421.46 | 367,385.15 | 392,468.63 | 439,711.03 | 464,304.67 | |||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | — | 967,327.82 | 1,106,001.28 | 1,172,617.15 | 1,176,244.25 | 1,383,072.91 | 1,367,865.67 | |||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 0.00 | 354,818.09 | 420,401.27 | 449,880.77 | 386,066.09 | 504,728.55 | 489,689.20 | |||||||||||||||||||||
Additional Payment Advance for Current Period | 967,327.82 | 493,491.55 | 487,017.14 | 453,507.87 | 592,894.75 | 489,521.31 | 473,442.95 | |||||||||||||||||||||
Ending Balance of Payment Advance | 967,327.82 | 1,106,001.28 | 1,172,617.15 | 1,176,244.25 | 1,383,072.91 | 1,367,865.67 | 1,351,619.42 | |||||||||||||||||||||
Total Collections | 13,871,264.82 | 13,156,743.58 | 14,034,133.45 | 13,847,438.80 | 13,340,156.74 | 13,869,030.92 | 13,155,020.06 | |||||||||||||||||||||
2008-A | ||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 8.137 | % | 4.795 | % | 5.727 | % | 5.071 | % | 5.922 | % | 5.602 | % | 5.191 | % |
C-39
Table of Contents
Nov-08 | Dec-08 | Jan-09 | Feb-09 | Mar-09 | Apr-09 | May-09 | Jun-09 | |||||||||||||||||||||||||
Prepayment Assumption | ||||||||||||||||||||||||||||||||
Class A-1 | 7,972,140.00 | — | — | — | — | |||||||||||||||||||||||||||
Class A-2 | 173,000,000.00 | 170,526,100.00 | 159,955,800.00 | 149,264,400.00 | 138,434,600.00 | 127,483,700.00 | 116,307,900.00 | 105,132,100.00 | ||||||||||||||||||||||||
Class A-3 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | 225,000,000.00 | ||||||||||||||||||||||||
Class A-4 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | 22,724,000.00 | ||||||||||||||||||||||||
Overcollateralization | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | 52,257,594.75 | ||||||||||||||||||||||||
480,953,734.75 | 470,507,694.75 | 459,937,394.75 | 449,245,994.75 | 438,416,194.75 | 427,465,294.75 | 416,289,494.75 | 405,113,694.75 | |||||||||||||||||||||||||
2008-A Prepayment Assumption | 0.874332 | 0.855342 | 0.836126 | 0.816690 | 0.797002 | 0.777094 | 0.756778 | 0.736461 | ||||||||||||||||||||||||
Actual prepayment | ||||||||||||||||||||||||||||||||
Class A-1 | 13,101,411.40 | 4,981,317.33 | — | — | — | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Class A-2a | 98,000,000.00 | 98,000,000.00 | 95,474,947.61 | 90,093,788.99 | 84,831,544.05 | 79,154,320.32 | 73,481,004.38 | 67,676,495.19 | ||||||||||||||||||||||||
Class A-2b | 75,000,000.00 | 75,000,000.00 | 73,067,561.95 | 68,949,328.30 | 64,922,100.03 | 60,577,285.96 | 56,235,462.54 | 51,793,236.11 | ||||||||||||||||||||||||
Class A-3a | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | 155,000,000.00 | ||||||||||||||||||||||||
Class A-3b | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | 70,000,000.00 | ||||||||||||||||||||||||
Class A-4 | — | — | — | — | — | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Overcollateralization | 74,981,594.75 | 74,981,594.75 | 74,981,594.75 | 74,981,594.75 | 74,981,594.75 | 74,981,594.75 | 74,981,594.75 | 74,981,594.75 | ||||||||||||||||||||||||
486,083,006.15 | 477,962,912.08 | 468,524,104.31 | 459,024,712.04 | 449,735,238.83 | 439,713,201.03 | 429,698,061.67 | 419,451,326.05 | |||||||||||||||||||||||||
2008-A Pool Factor | 0.883656 | 0.868895 | 0.851736 | 0.834467 | 0.817579 | 0.799360 | 0.781153 | 0.762526 | ||||||||||||||||||||||||
Monthly Residual Losses | (100,866.11 | ) | (116,048.35 | ) | (154,581.65 | ) | (224,235.05 | ) | (94,422.65 | ) | (95,195.00 | ) | (145,981.48 | ) | (81,970.69 | ) | ||||||||||||||||
2008-A Cumulative Residual Losses | (765,562.92 | ) | (881,611.27 | ) | (1,036,192.92 | ) | (1,260,427.97 | ) | (1,354,850.62 | ) | (1,450,045.62 | ) | (1,596,027.10 | ) | (1,677,997.79 | ) | ||||||||||||||||
2008-A Residual Losses (as a % of Original Pool Balance) | 0.139 | % | 0.160 | % | 0.188 | % | 0.229 | % | 0.246 | % | 0.264 | % | 0.290 | % | 0.305 | % | ||||||||||||||||
Monthly Net Credit Losses | (148,400.94 | ) | (1,122,501.58 | ) | (196,625.56 | ) | (578,077.03 | ) | (244,899.41 | ) | (299,249.91 | ) | (18,438.83 | ) | 96,199.22 | |||||||||||||||||
2008-A Cumulative Net Credit Losses | (2,380,490.18 | ) | (3,502,991.76 | ) | (3,699,617.32 | ) | (4,277,694.35 | ) | (4,522,593.76 | ) | (4,821,843.67 | ) | (4,840,282.50 | ) | (4,744,083.28 | ) | ||||||||||||||||
2008-A Net Credit Losses (as a % of Original Pool Balance) | 0.433 | % | 0.637 | % | 0.673 | % | 0.778 | % | 0.822 | % | 0.877 | % | 0.880 | % | 0.862 | % | ||||||||||||||||
Delinquencies ($) | ||||||||||||||||||||||||||||||||
31-60 | 8,026,121.20 | 8,129,961.34 | 6,716,309.07 | 7,277,433.83 | 6,157,440.16 | 5,847,695.08 | 7,164,343.20 | 6,936,970.91 | ||||||||||||||||||||||||
61-90 | 2,690,903.55 | 2,570,727.68 | 3,240,054.47 | 2,354,978.15 | 1,923,820.19 | 2,056,648.17 | 1,765,853.65 | 2,278,281.63 | ||||||||||||||||||||||||
91-120+ | 978,554.67 | 1,152,291.99 | 1,381,899.36 | 924,250.04 | 621,869.41 | 577,372.46 | 852,053.58 | 745,707.06 | ||||||||||||||||||||||||
Total | 11,695,579.42 | 11,852,981.01 | 11,338,262.90 | 10,556,662.02 | 8,703,129.76 | 8,481,715.71 | 9,782,250.43 | 9,960,959.60 |
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Table of Contents
Nov-08 | Dec-08 | Jan-09 | Feb-09 | Mar-09 | Apr-09 | May-09 | Jun-09 | |||||||||||||||||||||||||
Delinquencies (%) | ||||||||||||||||||||||||||||||||
31-60 | 1.65 | % | 1.70 | % | 1.43 | % | 1.59 | % | 1.37 | % | 1.33 | % | 1.67 | % | 1.65 | % | ||||||||||||||||
61-90 | 0.55 | % | 0.54 | % | 0.69 | % | 0.51 | % | 0.43 | % | 0.47 | % | 0.41 | % | 0.54 | % | ||||||||||||||||
91-120+ | 0.20 | % | 0.24 | % | 0.29 | % | 0.20 | % | 0.14 | % | 0.13 | % | 0.20 | % | 0.18 | % | ||||||||||||||||
Total | 2.41 | % | 2.48 | % | 2.42 | % | 2.30 | % | 1.94 | % | 1.93 | % | 2.28 | % | 2.37 | % | ||||||||||||||||
2008-A 60+ | 0.75 | % | 0.78 | % | 0.99 | % | 0.71 | % | 0.57 | % | 0.60 | % | 0.61 | % | 0.72 | % | ||||||||||||||||
Delinquencies (units) | ||||||||||||||||||||||||||||||||
31-60 | 402 | 416 | 347 | 375 | 320 | 315 | 389 | 385 | ||||||||||||||||||||||||
61-90 | 136 | 126 | 164 | 124 | 99 | 104 | 93 | 124 | ||||||||||||||||||||||||
91-120+ | 49 | 59 | 70 | 51 | 33 | 31 | 44 | 40 | ||||||||||||||||||||||||
Total | 587 | 601 | 581 | 550 | 452 | 450 | 526 | 549 | ||||||||||||||||||||||||
Residual Advances | ||||||||||||||||||||||||||||||||
Beginning Balance of Residual Advance | 464,304.67 | 439,696.72 | 516,517.66 | 502,930.93 | 360,848.35 | 483,009.11 | 465,181.90 | 345,645.43 | ||||||||||||||||||||||||
Reimbursement of Outstanding Advance | 230,360.66 | 199,518.23 | 282,153.39 | 321,338.32 | 196,201.66 | 291,409.30 | 348,427.71 | 244,822.78 | ||||||||||||||||||||||||
Additional Advance for Current Period | 205,752.71 | 276,339.17 | 268,566.66 | 179,255.74 | 318,362.42 | 273,582.09 | 228,891.24 | 267,709.63 | ||||||||||||||||||||||||
Ending Residual Advances | 439,696.72 | 516,517.66 | 502,930.93 | 360,848.35 | 483,009.11 | 465,181.90 | 345,645.43 | 368,532.28 | ||||||||||||||||||||||||
Payment Advances | ||||||||||||||||||||||||||||||||
Beginning Balance of Payment Advance | 1,351,619.42 | 1,775,487.88 | 1,561,604.70 | 1,553,046.66 | 1,628,936.87 | 1,266,864.53 | 1,317,822.48 | 1,495,444.17 | ||||||||||||||||||||||||
Reimbursement of Outstanding Payment Advance | 355,974.30 | 711,775.68 | 552,830.24 | 559,714.79 | 743,782.79 | 431,640.10 | 390,049.32 | 521,190.33 | ||||||||||||||||||||||||
Additional Payment Advance for Current Period | 779,842.76 | 497,892.50 | 544,272.20 | 635,605.00 | 381,710.45 | 482,598.05 | 567,671.01 | 463,810.93 | ||||||||||||||||||||||||
Ending Balance of Payment Advance | 1,775,487.88 | 1,561,604.70 | 1,553,046.66 | 1,628,936.87 | 1,266,864.53 | 1,317,822.48 | 1,495,444.17 | 1,438,064.77 | ||||||||||||||||||||||||
Total Collections | 11,800,646.69 | 13,190,231.16 | 13,634,801.03 | 12,900,265.10 | 14,367,172.74 | 13,800,170.15 | 14,127,433.81 | 15,256,739.20 | ||||||||||||||||||||||||
2008-A | ||||||||||||||||||||||||||||||||
Total Advances as a % of Total Collections | 8.352 | % | 5.870 | % | 5.962 | % | 6.317 | % | 4.873 | % | 5.479 | % | 5.638 | % | 4.795 | % |
C-41
Table of Contents
Static Pool Data | Jun-09 | |||
Prepayment Assumption | ||||
Class A-1 | 208,000,000.00 | |||
Class A-2 | 304,000,000.00 | |||
Class A-3 | 485,000,000.00 | |||
Class A-4 | 85,610,000.00 | |||
Overcollateralization | 327,956,560.08 | |||
1,410,566,560.08 | ||||
2009-A Prepayment Assumption | 1.000000 | |||
Actual prepayment | ||||
Class A-1 | 208,000,000.00 | |||
Class A-2 | 304,000,000.00 | |||
Class A-3 | 485,000,000.00 | |||
Class A-4 | 85,610,000.00 | |||
Overcollateralization | 327,956,560.08 | |||
1,410,566,560.08 | ||||
2009-A Pool Factor | 1.000000 | |||
Monthly Residual Losses | (33,381.01 | ) | ||
2009-A Cumulative Residual Losses | (33,381.01 | ) | ||
2009-A Residual Losses | ||||
(as a % of Original Pool Balance) | 0.002 | % | ||
Monthly Net Credit Losses | 89,551.59 | |||
2009-A Cumulative Net Credit Losses | 89,551.59 | |||
2009-A Net Credit Losses | ||||
(as a % of Original Pool Balance) | (0.006 | %) | ||
Delinquencies ($) | ||||
31-60 | 5,832,048.41 | |||
61-90 | 47,780.19 | |||
91-120+ | 0.00 | |||
Total | 5,879,828.60 | |||
Delinquencies (%) | ||||
31-60 | 0.41 | % | ||
61-90 | 0.00 | % | ||
91-120+ | 0.00 | % | ||
Total | 0.42 | % | ||
2009-A 60+ | 0.00 | % | ||
Delinquencies (units) | ||||
31-60 | 273 | |||
61-90 | 3 | |||
91-120+ | 0 | |||
Total | 276 | |||
Residual Advances | ||||
Beginning Balance of Residual Advance | — | |||
Reimbursement of Outstanding Advance | 0.00 | |||
Additional Advance for Current Period | 244,663.48 | |||
Ending Residual Advances | 244,663.48 | |||
Payment Advances | ||||
Beginning Balance of Payment Advance | — | |||
Reimbursement of Outstanding Payment Advance | 0.00 | |||
Additional Payment Advance for Current Period | 2,080,615.96 | |||
Ending Balance of Payment Advance | 2,080,615.96 | |||
Total Collections | 33,062,508.23 | |||
2009-A | ||||
Total Advances as a % of Total Collections | 7.033 | % |
C-42
Table of Contents
Lease Payments | Base Residual Value | Contract Residual Value | ||||||||||
Aug-09 | $ | 24,080,386.34 | $ | 0.00 | $ | 0.00 | ||||||
Sep-09 | 24,080,386.34 | 0.00 | 0.00 | |||||||||
Oct-09 | 24,075,781.93 | 515,859.65 | 665,340.41 | |||||||||
Nov-09 | 24,060,607.38 | 636,257.55 | 769,124.87 | |||||||||
Dec-09 | 23,922,442.48 | 3,619,165.65 | 4,251,414.68 | |||||||||
Jan-10 | 23,756,891.15 | 4,760,005.02 | 5,919,186.32 | |||||||||
Feb-10 | 23,485,050.32 | 8,691,650.75 | 9,922,978.54 | |||||||||
Mar-10 | 23,241,900.29 | 8,150,570.16 | 9,258,179.92 | |||||||||
Apr-10 | 23,190,375.08 | 1,642,278.85 | 1,909,160.55 | |||||||||
May-10 | 23,073,527.96 | 4,086,910.84 | 4,579,913.53 | |||||||||
Jun-10 | 22,744,660.74 | 13,634,716.03 | 16,788,267.75 | |||||||||
Jul-10 | 22,439,442.25 | 12,357,316.47 | 15,332,509.16 | |||||||||
Aug-10 | 22,270,796.59 | 6,595,043.22 | 8,018,132.11 | |||||||||
Sep-10 | 22,171,383.01 | 3,821,890.89 | 4,617,657.14 | |||||||||
Oct-10 | 21,901,872.79 | 9,363,856.78 | 10,934,323.86 | |||||||||
Nov-10 | 21,015,081.62 | 29,232,977.04 | 35,249,724.42 | |||||||||
Dec-10 | 20,868,135.87 | 4,706,064.75 | 5,636,952.10 | |||||||||
Jan-11 | 20,148,414.86 | 24,740,946.89 | 30,112,813.25 | |||||||||
Feb-11 | 19,847,621.29 | 9,789,570.90 | 11,797,165.07 | |||||||||
Mar-11 | 19,468,438.29 | 14,481,226.51 | 17,103,701.48 | |||||||||
Apr-11 | 18,985,619.23 | 17,735,676.57 | 21,109,530.33 | |||||||||
May-11 | 17,742,354.38 | 46,004,765.75 | 54,552,035.81 | |||||||||
Jun-11 | 16,188,711.53 | 57,555,603.78 | 68,873,573.08 | |||||||||
Jul-11 | 14,498,879.08 | 61,946,270.90 | 75,296,983.26 | |||||||||
Aug-11 | 12,992,321.69 | 56,050,662.91 | 67,681,603.85 | |||||||||
Sep-11 | 11,504,622.96 | 54,865,351.40 | 65,850,522.17 | |||||||||
Oct-11 | 10,045,672.12 | 54,171,576.30 | 65,631,645.73 | |||||||||
Nov-11 | 8,592,283.94 | 52,437,337.28 | 64,042,790.03 | |||||||||
Dec-11 | 7,948,897.42 | 23,014,534.49 | 27,692,743.42 | |||||||||
Jan-12 | 6,893,323.28 | 39,582,361.90 | 46,613,249.74 | |||||||||
Feb-12 | 6,368,186.84 | 18,808,379.62 | 22,338,753.08 | |||||||||
Mar-12 | 5,797,740.17 | 20,750,562.70 | 24,399,397.13 | |||||||||
Apr-12 | 5,207,343.03 | 21,616,625.12 | 25,180,884.04 | |||||||||
May-12 | 4,619,470.07 | 22,040,920.98 | 25,479,359.57 | |||||||||
Jun-12 | 4,132,254.47 | 18,642,847.57 | 21,351,987.23 | |||||||||
Jul-12 | 3,301,352.11 | 31,161,744.65 | 35,962,597.91 | |||||||||
Aug-12 | 1,488,616.85 | 69,681,981.66 | 80,296,941.40 | |||||||||
Sep-12 | 109,322.42 | 52,816,733.21 | 61,360,290.42 | |||||||||
Oct-12 | 66,438.89 | 1,567,072.03 | 1,835,493.17 | |||||||||
Nov-12 | 61,911.92 | 149,754.55 | 160,187.20 | |||||||||
Dec-12 | 51,900.40 | 262,765.15 | 282,562.30 | |||||||||
Jan-13 | 38,552.40 | 268,034.50 | 282,548.30 | |||||||||
Feb-13 | 35,380.71 | 63,060.15 | 67,327.45 | |||||||||
Mar-13 | 32,570.52 | 78,131.85 | 78,972.75 | |||||||||
Apr-13 | 30,053.86 | 65,790.55 | 66,907.30 | |||||||||
May-13 | 23,990.51 | 145,749.15 | 147,067.75 | |||||||||
Jun-13 | 20,566.42 | 89,681.15 | 89,995.85 | |||||||||
Jul-13 | 20,044.50 | 14,952.00 | 14,952.00 | |||||||||
Aug-13 | 18,798.18 | 32,068.30 | 33,391.55 | |||||||||
Sep-13 | 18,798.18 | 0.00 | 0.00 | |||||||||
Oct-13 | 18,220.93 | 10,750.35 | 10,750.35 | |||||||||
Nov-13 | 18,220.93 | 0.00 | 0.00 | |||||||||
Dec-13 | 18,220.93 | 0.00 | 0.00 | |||||||||
Jan-14 | 18,220.93 | 0.00 | 0.00 | |||||||||
Feb-14 | 18,220.93 | 0.00 | 0.00 | |||||||||
Mar-14 | 16,147.45 | 46,302.15 | 47,555.05 | |||||||||
Apr-14 | 11,291.53 | 120,346.85 | 122,575.85 | |||||||||
May-14 | 3,505.85 | 187,114.20 | 187,776.20 | |||||||||
Jun-14 | 0.00 | 95,504.00 | 95,584.60 | |||||||||
Jul-14 | 0.00 | 0.00 | 0.00 |
D-1
Table of Contents
ASSET-BACKED SECURITIES
1. | We have reviewed the terms and conditions of the Term Asset-Backed Securities Loan Facility (“TALF”) provided by the Federal Reserve Bank of New York (“FRBNY”). Terms used below that are defined or explained in such terms and conditions, or in FAQs or other interpretative material issued by the FRBNY, shall have the meanings provided in such terms and conditions, FAQs or other interpretative material (such terms and conditions, FAQs or other interpretative material, the “TALF Rules”). |
2. | After due inquiry by our appropriate officers, agents and representatives, we have determined that the securities offered hereby designated as the (a) Class A-1 Notes, CUSIP #: 65475D AA8, (b) Class A-2 Notes, CUSIP #: 65475D AB6, (c) Class A-3 Notes, CUSIP #: 65475D AC4, (d) Class A-4 Notes, CUSIP #: 65475D AD2, constitute eligible collateral under TALF. In particular: |
• | The securities are U.S. dollar-denominated cash (that is, not synthetic) asset-backed securities (“Asset-Backed Securities”) that have (or have been provided on a preliminary basis, expected to be confirmed no later than the closing date) a credit rating in the highest long-term or short-term investment-grade rating category from two or more eligible nationally recognized statistical rating organizations (NRSROs) and do not have (including on a preliminary basis) a credit rating below the highest investment-grade rating category from an eligible NRSRO. Such ratings were obtained without the benefit of any third-party guarantee and are not on review or watch for downgrade. | ||
• | The securities (other than any securities then retained by the depositor or certain specified affiliates of the depositor) are cleared through The Depository Trust Company. | ||
• | The securities are not subject to an optional redemption other than a customary clean-up call (as defined in the TALF Rules). | ||
• | All or substantially all (defined as at least 95% of the dollar amount) of the credit exposures underlying the securities are exposures that are both (a) originated by U.S.-organized entities or institutions or U.S. branches or agencies of foreign banks and (b) made to U.S.-domiciled obligors. The underlying credit exposures are auto leases and do not include exposures that are themselves cash Asset-Backed Securities or synthetic Asset-Backed Securities. The average life of the securities is less than or equal to five years. | ||
• | All or substantially all of the credit exposures underlying the securities were originated on or after October 1, 2007. “Substantially all” for purposes of this paragraph means 85% or more of the dollar amount. |
3. | Pursuant to the TALF Rules, the independent accounting firm that is performing certain procedures for the benefit of the FRBNY in connection with this offering is required, in certain circumstances where fraud or illegal acts are suspected to have occurred, to make reports to the TALF Compliance fraud hotline. We hereby provide our consent to such accounting firm to make such reports and waive any client confidentiality provisions we would otherwise be entitled to under applicable law, rules of accountant professional responsibility or contract. |
4. | We understand that purchasers of the securities offered hereby that are affiliates of either the originators of assets that are securitized in this offering or the Issuing Entity or Sponsor of this offering will not be able to use these securities as TALF collateral. |
5. | We hereby undertake that, until the maturity of the securities offered hereby, we will issue a press release and notify the FRBNY and all registered holders of the securities if we determine that the statements set forth in Item 2 above were not correct when made or have ceased to be correct. We will issue such press release and make such notification no later than 9:00 a.m. on the fourth business day after we make such determination;providedthat we undertake to provide same business-day notice of any change in credit rating issued by any major NRSRO (including any change in the final rating compared to a preliminary rating) that occurs after pricing of |
E-1
Table of Contents
this offering and on or prior to the closing date. | ||
6. | We hereby represent and warrant to the FRBNY and TALF LLC that (i) this prospectus supplement and the accompanying prospectus and (ii) this prospectus supplement and the accompanying prospectus, when taken as whole together with all information provided by us or on our behalf to any nationally recognized statistical rating organization in connection with this offering, does not contain any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements therein, in the light of the circumstances under which they were made, not misleading. |
7. | We acknowledge that the FRBNY and TALF LLC (in accepting the securities offered hereby as collateral), will rely upon this certification and will suffer damages if such certification is incorrect. The Sponsor (and, if required by the terms of the form referred to below, the Sponsor’s direct or indirect ultimate parent) has executed and delivered to the FRBNY an undertaking, in the form prescribed by the FRBNY, under which the Sponsor (and, if applicable, its direct or indirect ultimate parent) has agreed to indemnify FRBNY and TALF LLC and their respective affiliates against losses incurred or suffered by them arising out of any misrepresentation or breach of warranty made or to be performed by us in this certification. |
8. | We hereby jointly and severally agree that, should the securities be pledged to the FRBNY under the Master Loan and Security Agreement established under TALF or purchased by TALF LLC and at any time fail to constitute eligible collateral under TALF (providedthat, solely for purposes of the foregoing, the only failure to satisfy the ratings eligibility criteria that shall be considered shall be a failure that arises as a result of the final rating on the securities, upon issuance, being lower than the required ratings for TALF eligibility, not any subsequent downgrades) under the TALF Rules as in effect at the time the securities are issued (a “Warranty Breach”), we shall permit (i) the United States Department of the Treasury (“Treasury”) and its agents, consultants, contractors and advisors, (ii) the Special Inspector General of the Troubled Asset Relief Program, and (iii) the Comptroller General of the United States access to personnel and any books, papers, records or other data in our possession, custody or control to the extent relevant to ascertaining the cause and nature of the Warranty Breach, during normal business hours and upon reasonable notice to the Issuing Entity or the Sponsor, as the case may be;providedthat prior to disclosing any information pursuant to clause (i), (ii) or (iii), the Treasury, the Special Inspector General of the Troubled Asset Relief Program and the Comptroller General of the United States shall have agreed, with respect to documents obtained under this agreement in furtherance of their respective functions, to follow applicable law and regulation (and the applicable customary policies and procedures, including those for inspectors general) regarding the dissemination of confidential materials, including redacting confidential information from the public version of its reports, as appropriate, and soliciting input from the Sponsor or the Issuing Entity, as applicable, as to information that should be afforded confidentiality. In making this agreement, we understand that Treasury has represented that it has been informed by the Special Inspector General of the Troubled Asset Relief Program and the Comptroller General of the United States that they, before making any request for access or information pursuant to their oversight and audit functions, will establish a protocol to avoid, to the extent reasonably possible, duplicative requests. Nothing in this paragraph shall be construed to limit the authority that the Special Inspector General of the Troubled Asset Relief Program or the Comptroller General of the United States have under law. |
Nissan Motor Acceptance Corporation | Nissan Auto Lease Trust 2009-B | |||||
By: | Nissan Motor Acceptance Corporation, as Administrator on behalf of the Issuing Entity | |||||
By: | By: | |||||
Name: | Name: | |||||
Title: | Title: |
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1. | A new issuing entity will be formed to issue each series of notes. | |
2. | The property of each issuing entity will consist of: |
• | a certificate evidencing a 100% beneficial interest in a pool of closed-end Nissan and Infiniti vehicle leases, the related Nissan and Infiniti leased vehicles, all proceeds of those leased vehicles, all of the dealers’ rights with respect to those leases and leased vehicles, | ||
• | amounts deposited in any reserve or similar account (including investment earnings, net of losses and investment expenses, on amounts on deposit therein), | ||
• | the proceeds of any hedge or similar agreement and the rights of the issuing entity under such agreement, | ||
• | the rights of the related indenture trustee as secured party under a back-up security agreement with respect to the certificate and the undivided beneficial interest in the related pool assets, | ||
• | the rights of the issuing entity to funds on deposit from time to time in separate trust accounts specified in the applicable prospectus supplement, | ||
• | the rights of the depositor, as transferee under a certain certificate transfer agreement, | ||
• | the rights of the issuing entity, as transferee under a certain certificate transfer agreement, | ||
• | the rights of the issuing entity and the indenture trustee under any credit enhancement issued with respect to any particular series or class, | ||
• | the rights of the issuing entity as a third-party beneficiary of the related servicing agreement, including the right to certain advances from the servicer, to the extent relating to the pool assets, and a certain trust agreement, and | ||
• | all proceeds of the foregoing. |
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AND THE APPLICABLE PROSPECTUS SUPPLEMENT
• | Summary of Terms — gives a brief introduction to the notes to be offered; and | ||
• | Risk Factors — describes briefly some of the risks to investors of a purchase of the notes. |
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Issuing Entity: | The issuing entity will be formed for each series of notes by a trust agreement between the depositor and the trustee of the issuing entity. | |
Depositor: | Nissan Auto Leasing LLC II. | |
Sponsor, Servicer and Administrative Agent: | Nissan Motor Acceptance Corporation. | |
Indenture Trustee: | The indenture trustee under the indenture pursuant to which the notes of each series will be issued will be named in the prospectus supplement for that series. | |
Owner Trustee: | The owner trustee for the issuing entity issuing each series of notes will be named in the prospectus supplement for that series. | |
Titling Trust: | Nissan-Infiniti LT. | |
Titling Trustee: | NILT, Inc. | |
Securities Offered: | Notes of a series may include one or more classes, and will be issued pursuant to an indenture. Some of the notes issued by the issuing entity may not be offered to the public. The applicable prospectus supplement will specify the class or classes of notes that are being offered by it. The issuing entity will also issue certificates representing all of the beneficial ownership interests in the issuing entity. These certificates will not be offered to the public and will be retained by the depositor. Other than those certificates, no other series or classes of securities will be backed by the same asset pool or otherwise have claims on the same assets. No securityholder approval is necessary for the issuance of such notes or the certificates. The terms of each class of notes in a series described in the applicable prospectus supplement will include the following: | |
1. the stated principal amount of each class of notes; and | ||
2. the interest rate (which may be fixed, variable, adjustable or some combination of these rates) or method of determining the interest rate. | ||
A class of notes may differ from other classes of notes in one or more aspects, including: | ||
1. timing and priority of payments; | ||
2. seniority; | ||
3. allocation of losses; | ||
4. interest rate or formula; | ||
5. amount of interest or principal payments; and |
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6. whether interest or principal will be payable to holders of the class if specified events occur. | ||
If the issuing entity issues notes and certificates, the notes will be the only securities being offered to you. The depositor will retain all of the certificates. Payment on the certificates, if any are issued, will be subordinated to payment on one or more classes of notes to the extent described in the applicable prospectus supplement. | ||
The SUBI Certificate: | Motor vehicle dealers in the Nissan Motor Acceptance Corporation network of dealers have assigned closed-end retail lease contracts and have sold the related Nissan and Infiniti leased vehicles — which may include Nissan and Infiniti automobiles, minivans, sport utility vehicles and light-duty trucks — to Nissan-Infiniti LT. The leases have been or will be underwritten using the underwriting criteria described in this prospectus under “Nissan Motor Acceptance Corporation — Lease Underwriting Procedures.” | |
On or before the date the notes of a series are issued, Nissan-Infiniti LT will establish a special unit of beneficial interest, which is also called a “SUBI,” and allocate to the SUBI certain leases and related leased vehicles owned by Nissan-Infiniti LT. Each lease and the related leased vehicle allocated to the SUBI will be selected based on criteria specified in a servicing agreement among Nissan Motor Acceptance Corporation, as servicer, NILT Trust and Nissan-Infiniti LT. These criteria will be described in the applicable prospectus supplement. | ||
Each SUBI will be represented by a SUBI certificate representing a beneficial interest in that SUBI. Upon the creation of a SUBI, Nissan-Infiniti LT will issue the related SUBI certificate to NILT Trust, the beneficiary of Nissan-Infiniti LT. NILT Trust will then sell the SUBI certificate to Nissan Auto Leasing LLC II pursuant to a SUBI certificate transfer agreement. The SUBI certificate will be resold by Nissan Auto Leasing LLC II to the issuing entity pursuant to a trust SUBI certificate transfer agreement in exchange for the notes and certificates issued by the issuing entity. | ||
The Issuing Entity’s Property: | The property of each issuing entity: | |
1. will be described in the applicable prospectus supplement, | ||
2. will be primarily the SUBI certificate and the proceeds received on the related assets, including the right to receive monthly payments under the leases and the amounts realized from sales of the related leased vehicles on or after a specified cutoff date, and | ||
3. will include other related assets such as: | ||
• amounts deposited in specified bank accounts, | ||
• proceeds of any hedge or similar agreement and the rights of the issuing entity under such agreement, | ||
• any other enhancement issued with respect to any particular series or class, and | ||
• the rights of the depositor and the issuing entity in the agreements specified in the applicable prospectus supplement. |
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For more information regarding assets of the issuing entity, you should refer to “The Issuing Entities — Property of the Issuing Entities” in this prospectus and “The Issuing Entity — Property of the Issuing Entity” in the applicable prospectus supplement. | ||
Credit Enhancement: | The issuing entities may include features designed to provide protection to one or more classes of notes. These features are referred to as “credit enhancement.” Credit enhancement may include any one or more of the following: | |
1. subordination of one or more other classes of notes; | ||
2. subordination of certificates to one or more classes of notes; | ||
3. one or more reserve accounts; | ||
4. over-collateralization; | ||
5. letters of credit or other credit facilities; | ||
6. surety bond or insurance policies; | ||
7. guaranteed investment contracts; | ||
8. cash collateral guaranties or accounts; or | ||
9. cash deposits. | ||
The specific terms of any enhancement applicable to an issuing entity or to the notes issued by an issuing entity will be described in detail in the applicable prospectus supplement. See “Additional Information Regarding The Notes — Credit Enhancement” in this prospectus for general terms applicable to the different forms of credit enhancement that may be used by the issuing entities. | ||
Hedge Agreement: | To the extent specified in the applicable prospectus supplement, one or more classes of notes may have the benefit of a currency swap, an interest rate swap or a combined currency and interest rate swap, or an interest rate cap entered into between the issuing entity or indenture trustee for the benefit of the holders of the notes and a counterparty specified in the applicable prospectus supplement, the principal terms and provisions of which will be specified in the applicable prospectus supplement. See “Description of the Hedge Agreement” in this prospectus. | |
Indenture Defaults: | The indenture governing the terms and conditions of the notes of each series includes a list of adverse events called indenture defaults. Indenture defaults include the following: | |
• the issuing entity fails to pay interest on any note within five days of its due date, | ||
• the issuing entity fails to pay the principal of any note in full on its final scheduled payment date, | ||
• the issuing entity defaults in the observance or performance of any covenant or agreement of the issuing entity, or any representation or warranty of the issuing entity made in the indenture or in any |
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certificate or other writing delivered under the indenture that proves to have been inaccurate in any material respect at the time made, which default or inaccuracy materially and adversely affects the interests of the noteholders, and the continuation of that default or inaccuracy for a period of 60 days (or for such longer period not in excess of 90 days as may be reasonably necessary to remedy such failure; provided that (A) such failure is capable of remedy within 90 days or less and (B) a majority of the outstanding principal amount of the notes, voting as a single class, consent to such longer cure period) after written notice thereof is given to the issuing entity by the indenture trustee or to the issuing entity and the indenture trustee by the holders of notes holding not less than the majority of the aggregate principal amount of the notes, voting as a single class, or | ||
• certain events of bankruptcy, insolvency, receivership or liquidation of the issuing entity (which, if involuntary, remains unstayed for more than 90 days). | ||
Indenture Default Remedies: | If an indenture default occurs and is continuing with respect to a series of notes, the related indenture trustee or holders of at least a majority of the outstanding principal amount of that series of notes, voting as a single class, may declare the principal of those notes immediately due and payable. That declaration, under limited circumstances, may be rescinded by the holders of at least a majority of the outstanding principal amount of the notes voting as a single class. After an indenture default and the acceleration of the affected notes, funds on deposit in the collection account and any of the issuing entity’s bank accounts with respect to the affected notes will be applied to pay principal of and interest on those notes in the order and amounts specified in the applicable prospectus supplement. | |
If an indenture default relates to a failure of the issuing entity to pay interest on the notes when due or principal of the notes on their respective final scheduled payment dates, and the notes are accelerated following such indenture default, the indenture trustee may elect to sell the assets of the issuing entity. For other indenture defaults, the indenture trustee may only sell the assets of the issuing entity if (i) the Hedge Counterparty, if any, under the Hedge Agreement, if any, and the holders of all outstanding notes of that series consent to the sale, (ii) the proceeds from the sale are sufficient to pay in full the principal of and the accrued and unpaid interest on all outstanding notes of that series and any unpaid amounts due to the Hedge Counterparty, if any, under the Hedge Agreement, if any, or (iii) the indenture trustee determines that the proceeds from the sale would not be sufficient to make all payments on the outstanding notes of that series, but the holders of at least 66 2/3% of the outstanding principal amount of the affected notes voting as a single class, otherwise consent to the sale. | ||
For more detailed information regarding the events constituting an indenture default and the remedies available following such default, you should refer to “Description of the Indenture — Indenture Defaults” and “— Remedies Upon an Indenture Default”in this prospectus. | ||
Servicing/Administration: | Nissan Motor Acceptance Corporation, as the servicer, will be responsible for servicing the leases, handling the disposition of the related vehicles when the leases terminate or when vehicles relating to defaulted leases are repossessed, and collecting amounts due in respect |
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of the leases. In addition, Nissan Motor Acceptance Corporation will act as administrative agent for the issuing entity. The issuing entity will pay Nissan Motor Acceptance Corporation a monthly fee specified in the applicable prospectus supplement for performing the functions of an administrator and third party servicer of the leases. The servicer will also receive additional servicing compensation in the form of, among other things, late fees, extension fees, and other administration fees and expenses or similar charges received by the servicer during that month. | ||
Optional Purchase: | The servicer may have the option to purchase or cause to be purchased all of the assets of the issuing entity when then current securitization value of the leases and the related leased vehicles provided in the applicable prospectus supplement declines to or below a specified percentage of the securitization value of the leases and related leased vehicles as of the cutoff date. | |
You should refer to “Description of the Trust Agreement — Termination” in this prospectus and “Additional Information Regarding the Securities — Optional Purchase” in the applicable prospectus supplement for more detailed information regarding the optional purchase of notes and certificates. | ||
Advances: | The servicer is required to advance to the issuing entity (i) lease payments that are due but unpaid by the lessee and (ii) proceeds from expected sales on leased vehicles for which the related leases have terminated to the extent provided in the applicable prospectus supplement. The servicer will not be required to make any advance if it determines that it will not be able to recover an advance from future payments on the related lease or leased vehicle. | |
For more detailed information regarding advances made by the servicer and reimbursement of advances, you should refer to “Description of the Servicing Agreement — Advances” in this prospectus and “Additional Information Regarding the Securities — Advances” in the applicable prospectus supplement. | ||
Reallocation of Leases and Leased Vehicles from the SUBI: | With respect to each series of notes, the servicer will be obligated to reallocate from the related SUBI any leases and related leased vehicles that do not meet certain representations and warranties. In addition, the servicer will be obligated to reallocate from the SUBI the leased vehicles relating to any leases for which the servicer grants a term extension that either extends the lease term beyond the last day of the collection period preceding the final scheduled payment date of the latest maturing class of notes or extends the lease term more than six months beyond the original lease maturity date. In connection with such reallocation, the servicer will be required to pay the related issuing entity the repurchase payments for the lease. If a lessee changes the domicile of or title to the related leased vehicle to any jurisdiction in which the titling trust is not qualified and licensed to do business or any other jurisdiction specified in the applicable prospectus supplement, the titling trust, or the titling trustee on behalf of the titling trust, will cause the affected lease and leased vehicle either to be reallocated from the SUBI or to be conveyed to the servicer. In connection with such reallocation or reconveyance, the titling trust, or the titling trustee on behalf of the titling trust, will pay to the related trust the repurchase payments. |
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For more information regarding the representations and warranties made by the servicer for each series of notes, you should refer to “The Leases — General,” “— Representations, Warranties and Covenants” in this prospectus and “The Leases — Characteristics of the Leases” in the applicable prospectus supplement. For more information regarding the obligation of the servicer to reallocate leases and the related leased vehicles from the SUBI for each series of notes, you should refer to “Description of the Servicing Agreement — Purchase of Leases Before Their Lease Maturity Dates” in this prospectus. | ||
Tax Status: | Subject to the important considerations described herein, special federal income tax counsel to the depositor and the issuing entity will deliver its opinion that the notes of each series will be characterized as debt for federal income tax purposes, and that the issuing entity will not be characterized as an association or a publicly traded partnership taxable as a corporation for federal income tax purposes. A purchaser of the notes will agree to treat the notes as debt for all applicable tax purposes. | |
You should refer to “Material Federal Income Tax Consequences” in this prospectus and the applicable prospectus supplement for more detailed information on the application of federal and other tax laws. | ||
ERISA Considerations: | If you are a Benefit Plan (as defined in “ERISA Considerations” in this prospectus), you should review the considerations discussed under “ERISA Considerations” in this prospectus and the applicable prospectus supplement and consult counsel before investing in the notes. In general, subject to those considerations and conditions described in that section and to the extent specified in the applicable prospectus supplement, you may purchase notes of any series. |
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You may experience a loss if defaults on the leases or residual value losses exceed the available credit enhancement | The issuing entity does not have, nor is it permitted or expected to have, any significant assets or sources of funds other than the related SUBI certificate, together with its right to payments under any hedge agreement and available funds in certain accounts. The notes of a series represent obligations solely of the issuing entity and will not be insured or guaranteed by any entity. Accordingly, you will rely primarily upon collections on the leases and the related leased vehicles allocated to the SUBI for your series of notes and, to the extent available, any credit enhancement for the issuing entity, including incoming payments under any hedge agreement and amounts on deposit in any reserve account or similar account. Funds on deposit in any reserve account or similar account will cover delinquencies on the leases and losses on the leases and leased vehicles up to a certain amount. However, if delinquencies and losses exceed the available credit enhancement for your series of notes, including the credit enhancement provided by subordination of the certificates, you may experience delays in payments due to you and you could suffer a loss. You will have no claim to any amounts properly distributed to the transferor or to others from time to time. | |
The residual values established by Nissan Motor Acceptance Corporation are future projections that are based on projections by Automotive Lease Guide, as described in the applicable prospectus supplement. There is no guarantee that the assumptions regarding future events that are used to determine residual values will prove to be correct. If the residual values of the leased vehicles as originally determined by Nissan Motor Acceptance Corporation are substantially higher than the sales proceeds actually realized upon the sale of the leased vehicles, you may suffer losses if the available credit enhancement for your series of notes is exceeded. | ||
For a discussion of factors that may contribute to residual value losses, you should refer to “Risk Factors — Used car market factors may increase the risk of loss on your investment,” “— Increased turn-in rates may increase losses” and “Nissan Motor Acceptance Corporation — Determination of Residual Values” in this prospectus and “Risk Factors — The concentration of leased vehicles to particular models could negatively affect the pool assets” and “— The geographic concentration of the leases, economic factors and lease performance could negatively affect the pool assets” in the applicable prospectus supplement. | ||
Used car market factors may increase the risk of loss on your investment | The used car market is affected by supply and demand, consumer tastes, economic factors and manufacturer decisions on pricing of new car models. For instance, introduction of a new model with additional equipment not reflected in the manufacturer’s suggested retail price may impact the resale value of the existing portfolio of similar model types. Discount pricing incentives or other marketing incentive programs on new cars by Nissan North America, Inc. or by its competitors that effectively reduce the prices of new cars may have the effect of reducing demand by consumers for used cars. Other factors |
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that are beyond the control of the issuing entity, the depositor and the servicer could also have a negative impact on the value of a vehicle. If the proceeds actually realized upon the sale of the leased vehicles are substantially lower than the residual values originally established by Nissan Motor Acceptance Corporation, you may suffer a loss on your investment. | ||
Increased turn-in rates may increase losses | Losses may be greater as turn-in rates upon the expiration of leases increase because more used cars would be available on the used car market. Under each lease, the lessee may elect to purchase the related vehicle at the expiration of the lease for an amount generally equal to the stated residual value established at the inception of the lease. Lessees who decide not to purchase their related vehicles at lease expiration will expose the issuing entity to possible losses if the sale prices of such vehicles in the used car market are less than their respective stated residual values. The level of turn-ins at termination of the leases could be adversely affected by lessee views on vehicle quality, the relative attractiveness of new models available to the lessees, sales and lease incentives offered with respect to other vehicles (including those offered by Nissan Motor Acceptance Corporation), the level of the purchase option prices for the related vehicles compared to new and used vehicle prices and economic conditions generally. The early termination of leases by lessees may affect the number of turn-ins in a particular month. If losses resulting from increased turn-ins exceed the credit enhancement available for your series of notes, you may suffer a loss on your investment. | |
Returns on your investments may be reduced by prepayments on the leases, indenture defaults, optional redemption, reallocation of the leases and the leased vehicles from the SUBI or early termination of the issuing entity | You may receive payment of principal on your notes earlier than you expected for the reasons set forth below. You may not be able to invest the principal paid to you earlier than you expected at a rate of return that is equal to or greater than the rate of return on your notes. | |
The amount of principal distributed on your notes and the time when you receive those distributions depend on the rate of payments and losses relating to the leases and the leased vehicles. Prepayments, liquidations of defaulted leases, reallocations from the SUBI of leases and the related vehicles that do not meet certain eligibility criteria or indenture defaults that result in an acceleration of payments on the notes will shorten the life of the notes to an extent that cannot be fully predicted. | ||
The servicer may be required to reallocate from the SUBI certain leases and leased vehicles if there is a breach of the representations and warranties relating to those leases or leased vehicles. In connection with such reallocation, the servicer will be obligated to pay the issuing entity an amount equal to (i) the present value of the monthly payments remaining to be made under the affected lease, discounted at a rate specified in the applicable prospectus supplement, (ii) the residual value of the leased vehicle and (iii) any delinquent payments not paid by the lessee. The servicer may also be entitled to purchase all of the |
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assets of the issuing entity when the aggregate securitization value of the leases and the related leased vehicles is at or below a specified percentage, set forth in the applicable prospectus supplement, of the initial aggregate securitization value of the leases and the related leased vehicles on the related cutoff date. | ||
Further, the leases allocated to the SUBI may be prepaid, in full or in part, voluntarily or as a result of defaults, theft of or damage to the related leased vehicles or for other reasons. For example, a lessee under certain circumstances may elect to terminate the lease prior to its maturity in order to enter into a new lease contract for a different Nissan or Infiniti vehicle. In the case of such early termination, any payments due and payable by the lessee will be paid and deposited into the related collection account within the time period required for the servicer to deposit collections into the related collection account. | ||
Each of these payments will have the effect of accelerating the payment of principal and shortening the average lives of all outstanding notes of a series. The servicer has limited historical experience with respect to prepayments on the leases, and is not aware of publicly available industry statistics that detail the prepayment experience for contracts similar to the leases. For these reasons, the servicer cannot predict the actual prepayment rates for the leases. You will bear any reinvestment risks resulting from a faster or slower rate of payments of the leases and the leased vehicles, including the risk that available investments at that time have lower interest rates than the rates offered by your notes. | ||
For more information regarding prepayments or delinquencies, you should refer to “Maturity, Prepayment and Yield Considerations” in this prospectus and “Prepayments, Delinquencies, Repossessions and Net Losses” in the applicable prospectus supplement. For more information regarding the servicer’s obligation to reallocate leases and leased vehicles from the SUBI, you should refer to “Description of the Servicing Agreement — Sale and Disposition of Leased Vehicles” and “— Purchase of Leases Before Their Lease Maturity Dates” in this prospectus. For more information regarding the optional purchase by the servicer, you should refer to “Additional Information Regarding the Securities — Optional Purchase” in the applicable prospectus supplement. For more detailed information regarding the collection procedures for leases that have terminated, defaulted or become uncollectible, you should refer to “Nissan Motor Acceptance Corporation — Collection and Repossession Procedures,” “Nissan Motor Acceptance Corporation — Extensions and Pull-Forwards,” “The Leases — Early Termination,” and “Description of the Servicing Agreement — Realization Upon Liquidated Leases” in this prospectus. | ||
Interests of other persons in the leases and the leased vehicles could be superior to the issuing entity’s interest, which may result in delayed or reduced payment on your notes | Because the SUBI will represent a beneficial interest in the related SUBI assets, you will be dependent on payments made on the leases allocated to the SUBI for your series of notes and proceeds received in connection with the sale or other disposition of the related leased vehicles for payments on your notes. Except to the extent of the back-up security interest as discussed in “Additional Legal Aspects of the Leases and the Leased Vehicles — Back-up Security Interests” in this |
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prospectus, the issuing entity of a series will not have a direct ownership interest in the leases or a direct ownership interest or perfected security interest in the leased vehicles — which will be titled in the name of the titling trust or the titling trustee on behalf of the titling trust. It is therefore possible that a claim against or lien on the leased vehicles or the other assets of the titling trust could limit the amounts payable in respect of the SUBI certificate to less than the amounts received from the lessees of the leased vehicles or received from the sale or other disposition of the leased vehicles. | ||
Further, liens in favor of and/or enforceable by the Pension Benefit Guaranty Corporation could attach to the leases and leased vehicles owned by the titling trust (including the leases and the leased vehicles allocated to the SUBI) and could be used to satisfy unfunded ERISA obligations of any member of a controlled group that includes Nissan Motor Acceptance Corporation and its affiliates. Because these liens could attach directly to the leases and leased vehicles allocated to the SUBI and because the issuing entity does not have a prior perfected security interest in the assets of the SUBI, these liens could have priority over the interest of the issuing entity in the assets of the SUBI. | ||
To the extent a third-party makes a claim against, or files a lien on, the assets of the titling trust, including the leased vehicles allocated to the SUBI for your series of notes, it may delay the disposition of those leased vehicles or reduce the amount paid to the holder of the related SUBI certificate. If that occurs, you may experience delays in payment or losses on your investment. | ||
For more information on the effect of third-party claims or liens on payment of the notes, you should refer to “Additional Legal Aspects of the Titling Trust and the SUBI — Allocation of Titling Trust Liabilities,” “— The SUBI,” “Additional Legal Aspects of the Leases and the Leased Vehicles — Back-up Security Interests” and “Risk Factors — The issuing entity may not have a perfected security interest in leases evidenced by electronic contracts” in this prospectus. | ||
The issuing entity may not have a perfected security interest in leases evidenced by electronic contracts | As described in“The Leases — Electronic Contracting”in this prospectus Nissan Motor Acceptance Corporation, on behalf of the titling trust, has contracted with a third-party to originate and maintain custody of certain of the contracts in electronic form through the third-party custodian’s technology system. The third-party custodian’s technology system is designed to enable the titling trust to perfect its security interest in the leases evidenced by electronic records by satisfying the Uniform Commercial Code’s requirements for “control” of electronic chattel paper. In order for the titling trust to have “control” of an item of electronic chattel paper, (a) there must be a “single authoritative copy” of the electronic record or records comprising such electronic chattel paper that is readily distinguishable from all other copies and which identifies the titling trust as the assignee of the chattel paper, (b) all other copies of the electronic chattel paper must indicate that they are not the “authoritative copy” of the electronic chattel paper, (c) any revisions to the authoritative copy of the electronic chattel paper must be readily identifiable as either authorized or unauthorized revisions and (d) authorized revisions of the electronic chattel paper cannot be made without the participation of the titling trust. |
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However, another person could acquire an interest in an electronic contract that is superior to the interest of the titling trust (and accordingly the issuing entity’s interest), if (a) the titling trust ceases to have “control” over the items of electronic chattel paper that are maintained on behalf of the titling trust by the third-party custodian and (b) another party acquires ownership or a collateral security interest in the electronic chattel paper and perfects its security interest either by filing a financing statement or taking “control” over the electronic chattel paper. The titling trust could also lose “control” over an electronic contract if through fraud, forgery, negligence or error, or as a result of a computer virus or a failure of or weakness in the third-party custodian’s technology system a person other than the titling trust were able to modify or duplicate the authoritative copy of the contract. | ||
Although the security interest in the electronic contracts that has been granted in favor of the depositor, assigned to the related issuing entity and thereafter to the indenture trustee has been perfected by filing financing statements, the fact that the titling trust’s security interest in the electronic contracts may not be perfected by control may affect the priority of the issuing entity’s security interest in such leases. The issuing entity’s interest in the leases could be junior to another party with a prior perfected security interest in the inventory of the originating dealer, which security interest would attach to the leases as proceeds of the inventory. | ||
There can be no assurances that the third-party’s technology system will perform as represented to the servicer in maintaining the systems and controls required to provide assurance that the titling trust maintains control over an electronic contract. In such event, there may be delays in obtaining copies of the electronic contract or confirming ownership and control of the electronic contract. | ||
The titling trust, NILT Trust and the depositor will represent that the titling trust has a perfected security interest in the leases to the extent evidenced by electronic contracts by means of control and that NILT Trust has assigned its security interest to the depositor and the depositor has, thereafter, assigned its security interest in such leases evidenced by electronic contracts to the issuing entity. | ||
However, the law governing perfecting security interests in electronic contracts by control is relatively recent. As a result, there is a risk that the systems employed by the third-party to maintain control of the electronic contracts may not be sufficient as a matter of law to perfect by “control” the titling trust’s security interest (and accordingly, the issuing entity) in the leases evidenced by electronic contracts. | ||
The titling trust has made the representations described above, in part in reliance on opinions of counsel delivered to it and Nissan Motor Acceptance Corporation. However, as a result of the foregoing, the titling trust (and accordingly, the issuing entity) may not have a perfected security interest in certain leases or its security interest, although perfected, could be junior to that of another party. The fact that the titling trust (and accordingly, the issuing entity) may not have a perfected security interest in certain of the leases, or may have a perfected security interest that is junior to that of another party, may affect the titling trust’s ability on behalf of the issuing entity to repossess the underlying leased vehicles. Therefore, you may be subject to delays in payment on your notes and you may incur losses on your investment in the notes. |
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Failure to comply with consumer protection laws could result in a loss | Federal and state consumer protection laws, including the federal Consumer Leasing Act of 1976 and Regulation M promulgated by the Board of Governors of the Federal Reserve System, impose requirements on retail lease contracts such as the leases. The failure by the titling trust to comply with these requirements may give rise to liabilities on the part of the titling trust or the issuing entity of a series (as owner of the related SUBI certificate). Further, many states have adopted “lemon laws” that provide vehicle users certain rights in respect of substandard vehicles. A successful claim under a lemon law could result in, among other things, the termination of the related lease and/or the requirement that a portion of payment previously paid by the lessee be refunded. Nissan Motor Acceptance Corporation will represent and warrant that each lease complies with applicable law in all material respects. If that representation and warranty relating to any lease allocated to a SUBI for a series of notes proves incorrect, materially and adversely affects the interest of the issuing entity, and is not timely cured, Nissan Motor Acceptance Corporation will be required to repurchase the beneficial interest in the noncompliant lease and repurchase the related leased vehicle from the issuing entity. To the extent that Nissan Motor Acceptance Corporation fails to make such repurchase, or to the extent that a court holds the titling trust or the issuing entity liable for violating consumer protection laws regardless of such a repurchase, a failure to comply with consumer protection laws could result in required payments by the titling trust or the issuing entity. If sufficient funds are not available to make both payments to lessees and on your notes, you may suffer a loss on your investment in the notes. | |
For a discussion of federal and state consumer protection laws which may affect the leases, you should refer to “Additional Legal Aspects of the Leases and the Leased Vehicles — Consumer Protection Law” in this prospectus. | ||
If ERISA liens are placed on the titling trust assets, you could suffer a loss | Liens in favor of and/or enforceable by the Pension Benefit Guaranty Corporation could attach to the leases and leased vehicles owned by the titling trust and could be used to satisfy unfunded ERISA obligations of any member of a controlled group that includes Nissan Motor Acceptance Corporation and its affiliates. Because these liens could attach directly to the leases and leased vehicles and because the issuing entity does not have a prior perfected security interest in the assets included in a SUBI, these liens could have priority over the interest of the issuing entity in the assets included in a SUBI. As of the date of this prospectus, neither Nissan Motor Acceptance Corporation nor any of its affiliates had any material unfunded liabilities with respect to their respective defined benefit pension plans. Moreover, the depositor believes that the likelihood of this liability being asserted against the assets of the titling trust or, if so asserted, being successfully pursued, is remote. However, you cannot be sure the leases and leased vehicles will not become subject to an ERISA liability. | |
Vicarious tort liability may result in a loss | Some states allow a party that incurs an injury involving a leased vehicle to sue the owner of the vehicle merely because of that ownership. Most states, however, either prohibit these vicarious liability suits or limit the lessor’s liability to the amount of liability |
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insurance that the lessee was required to carry under applicable law but failed to maintain. | ||
On August 10, 2005, President Bush signed into law the Safe Accountable, Flexible, and Efficient Transportation Equity Act of 2005 (the “Transportation Act”), Pub. L. No. 109-59. The Transportation Act provides that an owner of a motor vehicle that rents or leases the vehicle to a person shall not be liable under the law of a state or political subdivision by reason of being the owner of the vehicle, for harm to persons or property that results or arises out of the use, operation, or possession of the vehicle during the period of the rental or lease, if (i) the owner (or an affiliate of the owner) is engaged in the trade or business of renting or leasing motor vehicles; and (ii) there is no negligence or criminal wrongdoing on the part of the owner (or an affiliate of the owner). This provision of the Transportation Act was effective upon enactment and applies to any action commenced on or after August 10, 2005. The Transportation Act is intended to preempt state and local laws that impose possible vicarious tort liability on entities owning motor vehicles that are rented or leased and it is expected that the Transportation Act should reduce the likelihood of vicarious liability being imposed on the titling trust. | ||
Most state and federal courts considering whether the Transportation Act preempts state laws permitting vicarious liability have generally concluded that such laws are preempted with respect to cases commenced on or after August 10, 2005. One New York lower court, however, had reached a contrary conclusion in a recent case involving Nissan-Infiniti LT. This New York court concluded that the preemption provision in the Transportation Act was an unconstitutional exercise of congressional authority under the Commerce Clause of the United States Constitution and, therefore, did not preempt New York law regarding vicarious liability. This case, however, was overruled by a New York appellate court. | ||
Nissan Motor Acceptance Corporation maintains, on behalf of the titling trust contingent liability, insurance coverage against third party claims that provides coverage with no annual or aggregate cap on the number of claims thereunder, providing a minimum primary coverage of $1 million combined single limit coverage per occurrence and a minimum excess coverage of $15 million combined single limit each occurrence, without limit on the number of occurrences in any policy period. If Nissan Motor Acceptance Corporation ceases to maintain this insurance coverage or the insurance coverage protecting the titling trust is insufficient to cover, or does not cover, a material claim, that claim could be satisfied out of the proceeds of the vehicles and leases allocated to the SUBI for your series of notes and you could incur a loss on your investment. | ||
For a discussion regarding the contingent and excess liability policies maintained by Nissan Motor Acceptance Corporation, you should refer to “Nissan Motor Acceptance Corporation — Contingent and Excess Liability Insurance” in this prospectus. | ||
If vicarious liability imposed on the titling trust exceeds the coverage provided by its primary and excess liability insurance policies, or if lawsuits are brought against either the titling trust or Nissan Motor Acceptance Corporation involving the negligent use or operation of a leased vehicle, you could experience delays in payments due to you, or you may ultimately suffer a loss. |
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For a discussion of the possible liability of the titling trust in connection with the use or operation of the leased vehicles, you should refer to “Additional Legal Aspects of the Leases and the Leased Vehicles — Vicarious Tort Liability” in the this prospectus. | ||
A depositor or servicer bankruptcy could delay or limit payments to you | Following a bankruptcy or insolvency of the servicer or the depositor, a court could conclude that the SUBI certificate for your series of notes is owned by the servicer or the depositor, instead of the issuing entity. This conclusion could be either because the transfer of that SUBI certificate from the depositor to the issuing entity was not a true sale or because the court concluded that the depositor or the issuing entity should be consolidated with the servicer or the depositor for bankruptcy purposes. If this were to occur, you could experience delays in payments due to you, or you may not ultimately receive all amounts due to you as a result of: | |
• the automatic stay, which prevents a secured creditor from exercising remedies against a debtor in bankruptcy without permission from the court, and provisions of the United States bankruptcy code that permit substitution for collateral in limited circumstances, | ||
• tax or government liens on the servicer’s or the depositor’s property (that arose prior to the transfer of the SUBI certificate to the issuing entity) having a prior claim on collections before the collections are used to make payments on the notes, and | ||
• the fact that neither the issuing entity nor the indenture trustee for your series of notes has a perfected security interest in the leased vehicles allocated to the SUBI and may not have a perfected security interest in any cash collections of the leases and leased vehicles allocated to the SUBI held by the servicer at the time that a bankruptcy proceeding begins. | ||
For a discussion of how a bankruptcy proceeding of the servicer, the depositor or certain related entities may affect the issuing entity and the notes, you should refer to “Additional Legal Aspects of the Titling Trust and the SUBI — Insolvency Related Matters”in this prospectus. | ||
The return on your notes could be reduced by shortfalls due to military action | The effect of any current or future military action by or against the United States, as well as any future terrorist attacks, on the performance of the leases is unclear, but there may be an adverse effect on general economic conditions, consumer confidence and general market liquidity. Investors should consider the possible effects on delinquency, default and prepayment experience of the leases and the leased vehicles. | |
The Servicemembers Civil Relief Act and similar state laws may provide relief to members of the military on active duty, including reservists or national guard members, who have entered into an obligation, such as a lease contract for a lease of a vehicle, before entering into military service and provide that under some circumstances the lessor may not terminate the lease contract for breach of the terms of the contract, including non-payment. Furthermore, under the Servicemembers Civil Relief Act, a lessee may terminate a |
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lease of a vehicle at anytime after the lessee’s entry into military service or the date of the lessee’s military orders (as described below) if (i) the lease is executed by or on behalf of a person who subsequently enters military service under a call or order specifying a period of not less than 180 days (or who enters military service under a call or order specifying a period of 180 days or less and who, without a break in service, receives orders extending the period of military service to a period of not less than 180 days); or (ii) the lessee, while in the military, executes a lease contract for a vehicle and thereafter receives military orders for a permanent change of station outside of the continental United States or to deploy with a military unit for a period of not less than 180 days. No early termination charges may be imposed on the lessee for such termination. No information can be provided as to the number of leases that may be affected by these laws. In addition, current military operations of the United States, including military operations in Iraq and the Middle East, have increased and may continue to increase the number of citizens who are in active military service, including persons in reserve or national guard status who have been called or will be called to active duty. In addition, these laws may impose limitations that would impair the ability of the servicer to repossess a defaulted vehicle during the related obligor’s period of active duty and, in some cases, may require the servicer to extend the maturity of the lease contract, lower the monthly payments and readjust the payment schedule for a period of time after the completion of the obligor’s military service. It is not clear that the Servicemembers Civil Relief Act would apply to leases such as the leases allocated to a SUBI. If a lessee’s obligation to make lease payments is reduced, adjusted or extended, or if the lease is terminated early and no early termination charge is imposed, the servicer will not be required to advance those amounts. Any resulting shortfalls in interest or principal will reduce the amount available for distribution on the notes and the certificates. | ||
For more information regarding the effect of the Servicemembers Civil Relief Act and other similar legislation, you should refer to “Additional Legal Aspects of the Leases and the Leased Vehicles — Consumer Protection Law” in this prospectus. | ||
You may suffer losses on your notes if the servicer holds collections and commingles them with its own funds | So long as Nissan Motor Acceptance Corporation is servicer, if each condition to making monthly deposits as may be required by the servicing agreement (including the satisfaction of specified ratings criteria of Nissan Motor Acceptance Corporation and the absence of any servicer default) is satisfied, Nissan Motor Acceptance Corporation, as the servicer, may retain all payments on the leases received from the related lessees and all proceeds relating to the leases and the leased vehicles collected during a collection period until the business day preceding the related payment date (currently, Nissan Motor Acceptance Corporation does not satisfy these conditions). During this time, the servicer may invest such amounts at its own risk and for its own benefit and need not segregate such amounts from its own funds. On or before the business day preceding a date on which payments are due to be made on a series of notes, the servicer must deposit into the related collection account, all payments on the leases received from the lessees and all proceeds relating to the leases and the leased vehicles collected during the related collection period. If the |
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servicer is unable to deposit these amounts into the collection account, you might incur a loss on your notes. | ||
For more information regarding Nissan Motor Acceptance Corporation’s duties with respect to segregation of collections, you should refer to “Description of the Servicing Agreement — Collections — Monthly Remittance Condition” in this prospectus. | ||
Factors affecting the information management systems of Nissan Motor Acceptance Corporation may increase the risk of loss on your investment | The success of your investment depends upon the ability of the servicer, Nissan Motor Acceptance Corporation, to store, retrieve, process and manage substantial amounts of information. If Nissan Motor Acceptance Corporation or any of these providers experiences interruptions or loss in its information processing capabilities, its business, financial conditions, results of operations and ultimately your notes may suffer. | |
Adverse events with respect to Nissan Motor Acceptance Corporation, its affiliates or third party servicers to whom Nissan Motor Acceptance Corporation outsources its activities may affect the timing of payments on your notes or have other adverse effects on your notes | Adverse events with respect to Nissan Motor Acceptance Corporation, its affiliates or a third party servicer to whom Nissan Motor Acceptance Corporation outsources its activities may result in servicing disruptions or reduce the market value of your notes. Nissan Motor Acceptance Corporation currently outsources some of its activities as servicer to third party servicers. In the event of a termination and replacement of Nissan Motor Acceptance Corporation as the servicer, or if any of the third party servicers cannot perform its activities, there may be some disruption of the collection activity with respect to delinquent leases and therefore delinquencies and credit losses could increase. As servicer, Nissan Motor Acceptance Corporation is required to reallocate certain leases that do not comply with representations and warranties made by Nissan Motor Acceptance Corporation (for example, representations relating to the compliance of the lease contracts with applicable laws). If Nissan Motor Acceptance Corporation becomes unable to reallocate any of such leases or make the related payment to the issuing entity, investors could suffer losses. In addition, adverse corporate developments with respect to servicers of asset-backed securities or their affiliates have in some cases also resulted in a reduction in the market value of the related asset-backed securities. For example, Nissan Motor Acceptance Corporation is an indirect wholly-owned subsidiary of Nissan Motor Co., Ltd. Although Nissan Motor Co., Ltd. is not guaranteeing the obligations of the issuing entity for any series of notes, if Nissan Motor Co., Ltd. ceased to manufacture vehicles or support the sale of vehicles or if Nissan Motor Co., Ltd faced financial or operational difficulties, such events may reduce the market value of Nissan and Infiniti vehicles, and ultimately the amount realized on any Nissan or Infiniti leased vehicle, including the leased vehicles allocated to the SUBI for your series of notes. |
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You may experience a loss or a delay in receiving payments on the notes if the assets of the issuing entity are liquidated | If certain events of default under the agreements specified in the applicable prospectus supplement (including indenture defaults) occur and the notes of a series are accelerated, the assets of the related issuing entity may be liquidated. If a liquidation occurs close to the date when one or more classes of notes of that series would otherwise be paid in full, repayment of such classes might be delayed while liquidation of the assets is occurring. It is difficult to predict the length of time that will be required for liquidation of the assets of the issuing entity to be completed. In addition, the amount received from liquidation may be less than the aggregate principal amount of the outstanding notes of that series. In that circumstance, the principal amount of those notes will not be paid in full. Even if liquidation proceeds are sufficient to repay the notes in full, any liquidation that causes the principal of one or more classes of notes to be paid before the related final scheduled payment date will involve the prepayment risks described under “Risk Factors — Returns on your investments may be reduced by prepayments on the leases,indenture defaults,optional redemption,reallocation of the leases and the leased vehicles from the SUBI or early termination of the issuing entity” in this prospectus. | |
Because the notes are in | ||
book-entry form, your rights can only be exercised indirectly | Because the notes will be issued in book-entry form, you will be required to hold your interest in the notes through The Depository Trust Company in the United States, or Clearstream Banking, société anonyme or Euroclear Bank S.A./NV as operator of the Euroclear System in Europe or Asia. Transfers of interests in the notes within The Depository Trust Company, Clearstream Banking, société anonyme or Euroclear Bank/S.A./NV as operator of the Euroclear System must be made in accordance with the usual rules and operating procedures of those systems. So long as the notes are in book-entry form, you will not be entitled to receive a definitive note representing your interest. The notes of a series will remain in book-entry form except in the limited circumstances described under the caption “Additional Information Regarding the Notes — Definitive Notes” in this prospectus. Unless and until the notes cease to be held in book-entry form, the indenture trustee will not recognize you as a “Noteholder” and the owner trustee will not recognize you as a “Securityholder,” as those terms are used in the indenture, the trust agreement and the servicing agreement. As a result, you will only be able to exercise the rights as a noteholder indirectly through The Depository Trust Company (if in the United States) and its participating organizations, or Clearstream Banking, société anonyme and Euroclear Bank S.A./NV as operator of the Euroclear System (in Europe or Asia) and their participating organizations. Holding the notes in book-entry form could also limit your ability to pledge or transfer your notes to persons or entities that do not participate in The Depository Trust Company, Clearstream Banking, société anonyme or Euroclear Bank S.A./NV as operator of the Euroclear System. In addition, having the notes in book-entry form may reduce their liquidity in the secondary market since certain potential investors may be unwilling to purchase securities for which they cannot obtain physical notes. |
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Interest and principal on the notes of any series will be paid by the related issuing entity to The Depository Trust Company as the record holder of those notes while they are held in book-entry form. The Depository Trust Company will credit payments received from the issuing entity to the accounts of its participants which, in turn, will credit those amounts to noteholders either directly or indirectly through indirect participants. This process may delay your receipt of principal and interest payments from the issuing entity. | ||
The failure to make principal payments on the notes prior to the applicable final scheduled payment date will generally not result in an indenture default | The amount of principal required to be paid to you prior to the applicable final scheduled payment date set forth in the applicable prospectus supplement generally will be limited to amounts available for those purposes. Therefore, the failure to pay principal of a note before the applicable final scheduled payment date generally will not result in an indenture default for any series of notes until the applicable final scheduled payment date for that series of notes. | |
If the issuing entity enters into a currency swap or an interest rate swap, payments on the notes will be dependent on payments made under the swap agreement | If the issuing entity enters into a currency swap, interest rate swap or a combined currency and interest rate swap, its ability to protect itself from shortfalls in cash flow caused by currency or interest rate changes will depend to a large extent on the terms of the swap agreement and whether the swap counterparty performs its obligations under the related currency swap or the interest rate swap, as applicable. If the issuing entity does not receive the payments it expects from the swap counterparty, the issuing entity may not have adequate funds to make all payments to noteholders when due, if ever. | |
If the issuing entity issues notes with adjustable interest rates, interest will be due on the notes at adjustable rates, while payments under the leases are fixed monthly obligations. The issuing entity may enter into an interest rate swap to reduce its exposure to changes in interest rates. An interest rate swap requires one party to make payments to the other party in an amount calculated by applying an interest rate (for example, a floating rate) to a specified notional amount in exchange for the other party making a payment calculated by applying a different interest rate (for example, a fixed rate) to the same notional amount. For example, if the issuing entity issues $100 million of notes bearing interest at a floating rate based on the London Interbank Offered Rate, it might enter into a swap agreement under which the issuing entity would pay interest to the swap counterparty in an amount equal to an agreed upon fixed rate on $100 million in exchange for receiving interest on $100 million at the floating rate based on the London Interbank Offered Rate. The $100 million would be the “notional” amount because it is used simply to make the calculation. In an interest rate swap, no principal payments are exchanged. | ||
If the issuing entity issues notes denominated in a currency other than U.S. dollars, the issuing entity will need to make payments on the notes |
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in a currency other than U.S. dollars, as described in the applicable prospectus supplement. Payments collected on the leases and the related leased vehicles, however, will be made in U.S. dollars. If this occurs, the issuing entity may enter into a currency swap to reduce its exposure to changes in currency exchange rates. A currency swap requires one party to provide a specified amount of a currency to the other party at specified times in exchange for the other party providing a different currency at a predetermined exchange ratio. For example, if the issuing entity issues notes denominated in Swiss Francs, it might enter into a swap agreement with a swap counterparty under which the issuing entity would use the collections on the leases to pay U.S. dollars to the swap counterparty in exchange for receiving Swiss Francs at a predetermined exchange rate to make the payments owed on the notes. | ||
The terms of any currency swap or interest rate swap will be described in more detail in the applicable prospectus supplement. | ||
If the issuing entity enters into an interest rate cap agreement, payments on the notes will be dependent on payments made under the interest rate cap agreement | If the issuing entity enters into an interest rate cap agreement, the amounts available to the issuing entity to pay interest and principal of all classes of the notes will depend in part on the terms of the interest rate cap agreement and the performance by the cap provider of its obligations under the interest rate cap agreement. If the issuing entity does not receive the payments it expects from the cap provider, the issuing entity may not have adequate funds to make all payments to noteholders when due, if ever. | |
If the issuing entity issues notes with adjustable interest rates, interest will be due on the notes at adjustable rates, while payments under the leases are fixed monthly obligations. If this occurs, the issuing entity may enter into an interest rate cap agreement with a cap provider to reduce its exposure to changes in interest rates. An interest rate cap agreement may require that if the specified interest rate related to any payment date exceeds the cap rate specified in the applicable prospectus supplement, the cap provider pays to the issuing entity an amount equal to the product of: | ||
• the specified interest rate for the related payment date minus the cap rate; | ||
• the notional amount of the cap, which will be equal to the total outstanding principal amount of the notes on the first day of the accrual period related to such payment date; and | ||
• a fraction, the numerator of which is the actual number of days elapsed from and including the previous payment date, to but excluding the current payment date, or with respect to the first payment date, from and including the closing date, to but excluding the first payment date, and the denominator of which is 360 or 365, as specified in the applicable prospectus supplement. | ||
During those periods in which the specified interest rate is substantially greater than the cap rate, the issuing entity will be more dependent on receiving payments from the cap provider in order to make payments |
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on the notes. If the cap provider fails to pay the amounts due under the interest rate cap agreement, the amount of credit enhancement available in the current or any future period may be reduced and you may experience delays and/or reductions in the interest and principal payments on your notes. | ||
The terms of any interest rate cap will be described in more detail in the applicable prospectus supplement. | ||
The rating of a swap counterparty or cap provider may affect the ratings of the notes | If an issuing entity enters into an interest rate swap agreement, a currency swap agreement or an interest rate cap agreement, the rating agencies that rate the notes will consider the provisions of such interest rate swap agreement, currency swap agreement or interest rate cap agreement, as applicable, and the rating of the swap counterparty or the cap provider, as applicable, in rating the notes. If a rating agency downgrades the debt rating of the swap counterparty or the cap provider, it is also likely to downgrade the rating of the notes. Any downgrade in the rating of the notes could have severe adverse consequences on their liquidity or market value. | |
To provide some protection against the adverse consequences of a downgrade, the swap counterparty or cap provider may be permitted, but generally not required, to take the following actions if the rating agencies reduce its debt ratings below certain levels: | ||
• assign the interest rate swap agreement, the currency swap agreement or interest rate cap agreement, as applicable, to another party; | ||
• obtain a replacement interest rate swap agreement, currency swap agreement or interest rate cap agreement, as applicable, on substantially the same terms as the existing interest rate swap agreement, currency swap agreement or interest rate cap agreement, as applicable; or | ||
• establish any other arrangement satisfactory to the rating agencies. | ||
Any interest rate swap, currency swap or interest rate cap involves a high degree of risk. A trust will be exposed to this risk should it use either of these mechanisms. For this reason, only investors capable of understanding these risks should invest in the notes. You are strongly urged to consult with your financial advisors before deciding to invest in the notes if a swap or interest rate cap is involved. | ||
The notes are not suitable investments for all investors | The notes are complex investments that are not a suitable investment if you require a regular predictable schedule of payments. The notes should be considered only by investors who, either alone or with their financial, tax and legal advisors, have the expertise to analyze the prepayment, reinvestment, residual value, default and market risk, the tax consequences of an investment and the interaction of these factors. |
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You must rely for repayment only upon the issuing entity’s assets which may not be sufficient to make full payments on your notes | Your notes are asset backed securities issued by and represent obligations of the issuing entity only and do not represent obligations of or interest in Nissan Motor Acceptance Corporation, Nissan Auto Leasing LLC II or any of their respective affiliates. Distributions on any class of securities will depend solely on the amount and timing of payments and other collections in respect of the related leases and any credit enhancement for the notes specified in the applicable prospectus supplement. We cannot assure you that these amounts, together with other payments and collections in respect of the related leases, will be sufficient to make full and timely distributions on your notes. The notes and the leases will not be insured or guaranteed, in whole or in part, by the United States or any governmental entity or, unless specifically set forth in the applicable prospectus supplement, by any provider of credit enhancement. | |
Changes to federal or state bankruptcy or debtor relief laws may impede collection efforts or alter timing and amount of collections, which may result in acceleration of or reduction in payment on your notes | If a lessee sought protection under federal or state bankruptcy or debtor relief laws, a court could reduce or discharge completely the lessee’s obligations to repay amounts due on its lease. As a result, that lease would be written off as uncollectible. You could suffer a loss if no funds are available from credit enhancement or other sources and finance charge amounts allocated to the notes are insufficient to cover the applicable default amount. |
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• | issuing and making payments on the Notes and the Certificates that it issues, | ||
• | acquiring the related SUBI Certificate from the Depositor in exchange for (i) issuance of the Notes to the Depositor, (ii) certain capital contributions from the Depositor and (iii) issuance of the Certificates to the Depositor, | ||
• | assigning, granting and pledging the Issuing Entity’s Estate to the related Indenture Trustee as security for the Notes, | ||
• | managing and distributing to the holders of the Certificates any portion of the Issuing Entity’s Estate released from the lien of the related Indenture, | ||
• | engaging in any other activities that are necessary, suitable or convenient to accomplish any of the purposes listed above or in any way connected with those activities, | ||
• | engaging in any other activities as may be required, to the extent permitted under the related financing documents, to conserve the Issuing Entity’s Estate, and | ||
• | engaging in ancillary or related activities as specified in the applicable Prospectus Supplement. |
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• | amounts deposited in any reserve or similar account (including investment earnings, net of losses and investment expenses, on amounts on deposit therein), |
• | the proceeds of any hedge or similar agreement and the rights of the Issuing Entity under such agreement, |
• | the rights of the related Indenture Trustee as secured party under a back-up security agreement with respect to the SUBI Certificate and the undivided beneficial interest in the related SUBI Assets, |
• | the rights of the Issuing Entity to funds on deposit from time to time in separate trust accounts specified in the applicable Prospectus Supplement, |
• | the rights of the Depositor, as transferee under the SUBI Certificate Transfer Agreement, |
• | the rights of the Issuing Entity, as transferee under the Trust SUBI Certificate Transfer Agreement, |
• | the rights of the Issuing Entity and the Indenture Trustee under any credit enhancement issued with respect to any particular series or class, and |
• | the rights of the Issuing Entity as a third-party beneficiary of the related Servicing Agreement, including the right to certain advances from the Servicer, to the extent relating to the SUBI Assets, and the SUBI Trust Agreement, and |
• | all proceeds of the foregoing. |
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• | issue beneficial or other interests in the Titling Trust Assets, notes or certificates other than (i) with respect to each issuance of Notes, the related SUBI and SUBI Certificate, (ii) one or more special units of beneficial interest, each consisting of a portfolio of leases and related leased vehicles separate from the portfolio allocated to the SUBI (each, an “Other SUBI”), (iii) one or more certificates representing each Other SUBI (the “Other SUBI Certificates”), and (iv) the UTI and one or more certificates representing the UTI (the “UTI Certificates”), |
• | borrow money, except from NMAC, the UTI Beneficiary or their respective affiliates in connection with funds used to acquire leases and leased vehicles, |
• | make loans, |
• | invest in or underwrite securities, |
• | offer notes and certificates in exchange for Titling Trust Assets, with the exception of the SUBI Certificate issued with respect to any series of Notes and Certificates and the UTI Certificates, |
• | repurchase or otherwise reacquire, other than for purposes of cancellation, any UTI Certificate or, except as permitted by or in connection with permitted financing transactions, any SUBI Certificate, or |
• | grant any security interest in or lien on any Titling Trust Assets. |
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• | leases originated by Dealers and assigned to the Titling Trust and all monies due from the lessees thereunder, |
• | leased vehicles and all proceeds of those leased vehicles, |
• | all of the Dealers’ rights with respect to those leases and leased vehicles, |
• | the rights to proceeds from any physical damage, liability or other insurance policies, if any, covering the leases or the related lessees or the leased vehicles, including but not limited to the Contingent and Excess Liability Insurance, and |
• | all proceeds of the foregoing. |
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• | amounts in the applicable accounts relating to that SUBI and received in respect of the Leases allocated to that SUBI or the sale of the related Leased Vehicles, |
• | certain monies due under or payable in respect of the Leases and the Leased Vehicles after the related Cutoff Date, including the right to receive payments made to NMAC, the Depositor, the Titling Trust, the Titling Trustee or the Servicer under any insurance policy relating to the Leases, the Leased Vehicles or the related lessees, and |
• | all proceeds of the foregoing. |
• | transfer to the related Issuing Entity, without recourse, all of its right, title and interest in and to the SUBI Certificate under a transfer agreement (the “Trust SUBI Certificate Transfer Agreement”), and |
• | deliver the SUBI Certificate to the Issuing Entity. |
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• | acquire from, or sell to, NMAC or its Dealers or affiliates its rights and interest in and to (including any beneficial interests in and to) receivables or leases arising out of or relating to the sale or lease of Nissan and Infiniti vehicles, moneys due under the receivables and the leases, security interests in the related financed or leased vehicles and proceeds from claims on the related insurance policies (collectively, the “Receivables”), |
• | acquire from NMAC or any of its affiliates as the holder of the UTI one or more SUBIs and act as the beneficiary of any such SUBIs, and sell to NMAC or reallocate to the UTI certain of the leased vehicles and related leases comprising such SUBIs, |
• | acquire, own and assign the Receivables and SUBIs, the collateral securing the Receivables and SUBIs, related insurance policies, agreements with Dealers or lessors or other originators or servicers of the Receivables and any proceeds or rights thereto (the “Collateral”), |
• | transfer the Receivables and SUBIs and/or related Collateral to a trust pursuant to one or more pooling and servicing agreements, sale and servicing agreements or other agreements (the “Pooling Agreements”) to be entered into by, among others, NALL II, the related trustee and the servicer of the Receivables or SUBIs, |
• | authorize, sell and deliver any class of certificates or notes issued by the Issuing Entity under the related Pooling Agreements, |
• | acquire from NMAC the certificates or notes issued by one or more issuing entities to which NMAC or one of its subsidiaries transferred the Receivables, |
• | issue and deliver one or more series and classes of notes and certificates secured by or collateralized by one or more pools of the Receivables, the SUBIs or the Collateral, |
• | sell and issue the notes and certificates secured by the SUBIs or the Receivables and the related Collateral to certain purchasers, pursuant to indentures, purchase agreements or other similar agreements (collectively, the “Purchase Agreements”), |
• | loan to, or borrow from, affiliates or others or otherwise invest or apply funds received as a result of NALL II’s interest in any of the notes or certificates and any other income, |
• | perform its obligations under the Pooling Agreements and Purchase Agreements, including entering into one or more interest rate cap agreements to the extent permitted by and in accordance with the terms of such Pooling Agreements or Purchase Agreements, and |
• | engage in any activity and exercise any powers permitted by limited liability companies under the laws of the State of Delaware that are related or incidental to the foregoing. |
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1 | FICO® is a federally registered servicemark of Fair, Isaac and Company. |
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• | Obtain the lessee’s end of term intentions and document the current mileage on the leased vehicle; |
• | Determine the date the lessee plans to return the vehicle and the dealership to which the vehicle will be returned; |
• | Assist and educate the lessee regarding the end of lease process; |
• | Advise the lessee of the need for a complimentary pre-termination inspection of the vehicle that can be conducted at the lessee’s home or place of business, and transfer the lessee to NMAC’s independent inspection company to schedule an appointment; |
• | Advise the lessee (if any repairs are made to the vehicle after it has been pre-inspected) to contact LCN to schedule another inspection; |
• | Advise the lessee to schedule an appointment with the Dealer for return of the vehicle; |
• | Provide the lessee with information on special owner loyalty programs and new model information; |
• | Educate the lessee regarding end of lease liability billing; |
• | Provide product brochures on new models; |
• | Advise the lessee to sign, via electronic signature pad, and retain a copy of the federal odometer statement completed on-line at the dealership upon return of the vehicle; and |
• | If applicable, advise the lessee of state-specific rights pertaining to the pre-termination vehicle inspection and/or counter inspection of the lessee’s vehicle. |
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• | The documents governing the LKE program requires the proceeds from the sale of a Matured Vehicle or a Defaulted Vehicle to be assigned to, and deposited directly with, a Qualified Intermediary (the “QI”) rather than being paid directly to NMAC as Servicer. |
• | In order to enable NMAC to take advantage of the tax deferral, the Matured Vehicle or the Defaulted Vehicle will be reallocated from the related SUBI to the UTI at the same time and in exchange for the same dollar amount that such Matured Vehicle or Defaulted Vehicle is sold at auction. See “Description of the Servicing Agreement — Sale and Disposition of Leased Vehicles” in this Prospectus. |
• | The QI uses the proceeds of the sale, together with additional funds, if necessary, to purchase Replacement Vehicles. |
• | The Replacement Vehicles are then transferred to the Titling Trust and become part of the UTI. |
• | The Titling Trust is then deemed to have exchanged Matured Vehicles and Defaulted Vehicles for the Replacement Vehicles and NMAC is not required to recognize any taxable gain. |
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• | relates to a Nissan or Infiniti automobile, light duty truck, minivan or sport utility vehicle, |
• | was originated in the United States, |
• | provides for level payments that fully amortize the adjusted capitalized cost of the Lease at a contractual annual percentage rate (the “Lease Rate”) to the related contract residual over the Lease Term, and |
• | satisfies the other criteria, if any, set forth in the applicable Prospectus Supplement. |
(1) | the lessee can purchase the Leased Vehicle at the contract residual stated in the Lease, or |
(2) | the lessee can return the Leased Vehicle to, or upon the order of, the lessor and pay an amount (the “Disposition Amount”) determined by adding (a) any due but unpaid payments and other charges under the Lease, (b) any amounts assessed by the Servicer in Excess Mileage and Excess Wear and Tear Charges for the period for which the Lease was in effect, pro-rated monthly and (c) any taxes related to the termination of the Lease. |
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1. | the failure by a lessee to make a payment when due, | ||
2. | the failure of the lessee to provide truthful information on the credit application, | ||
3. | the failure of the lessee to maintain insurance coverage required by the Lease, | ||
4. | the failure of the lessee to timely or properly perform any obligation under the Lease, | ||
5. | the bankruptcy or other insolvency of the lessee, or | ||
6. | any other act by the lessee constituting a default under applicable law. |
1. | the Disposition Amount (including payments accrued under the Lease through the date of termination), | ||
2. | the Early Termination Charge described above, except that the option to pay only the un-accrued remaining monthly payments is not available and the vehicle valuation is determined by auction, | ||
3. | collection, repossession, transportation, storage and Disposition Expenses, and | ||
4. | reasonable attorneys’ fees and court costs, to the extent permitted by law. |
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• | the identification number of the Lease, |
• | the identification number of the related Leased Vehicle, |
• | the related Lease Maturity Date and |
• | the Securitization Value of the Lease and the related Leased Vehicle on NMAC’s books as of the related Cutoff Date. |
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• | proceeds resulting from Early Lease Terminations, including Net Insurance Proceeds and Net Liquidation Proceeds, or |
• | Repurchase Payments and Reallocation Payments made or caused to be made by the Servicer. |
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• | the price the investor paid for Notes of a series, |
• | the rate of prepayments, including losses, in respect of the Leases and the related Leased Vehicles, and |
• | the investor’s assumed reinvestment rate. |
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1. | daily, each Business Day; | ||
2. | weekly, the Wednesday of each week (with the exception of weekly reset Treasury Rate Notes which will reset the Tuesday of each week); | ||
3. | monthly, the third Wednesday of each month; | ||
4. | quarterly, the third Wednesday of March, June, September and December of each year; | ||
5. | semiannually, the third Wednesday of the two months specified in the applicable Prospectus Supplement; and | ||
6. | annually, the third Wednesday of the month specified in the applicable Prospectus Supplement. |
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1. | the face amount of that Floating Rate Note; | ||
2. | the applicable interest rate; and | ||
3. | the actual number of days in the related Accrual Period, and dividing the resulting product by 360 or 365, as applicable (or, with respect to an Actual/Actual basis Floating Rate Note, if any portion of the related Accrual Period falls in a leap year, the product of (1) and (2) above will be multiplied by the sum of (x) the actual number of days in that portion of that Accrual Period falling in a leap year divided by 366 and (y) the actual number of days in that portion of that Accrual Period falling in a non-leap year divided by 365). |
1. | If “LIBOR Telerate” is specified in the applicable Prospectus Supplement, or if none of “LIBOR Reuters,” “LIBOR Bloomberg” and “LIBOR Telerate” is specified in the applicable Prospectus Supplement as the method for calculating LIBOR, LIBOR will be the rate for deposits in the Index Currency having the Index Maturity designated in the applicable Prospectus Supplement commencing on the second London Business Day immediately following the applicable Interest |
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Determination Date (as defined in the applicable Basic Document) that appears on the Designated LIBOR Page specified in the applicable Prospectus Supplement as of 11:00 a.m. London time, on the applicable Interest Determination Date. | |||
If “LIBOR Reuters” is specified in the applicable Prospectus Supplement, LIBOR will be the arithmetic mean of the offered rates for deposits in the Index Currency having the Index Maturity designated in the applicable Prospectus Supplement, commencing on the second London Business Day immediately following the applicable Interest Determination Date, that appear on the Designated LIBOR Page specified in the applicable Prospectus Supplement as of 11:00 a.m. London time, on the applicable Interest Determination Date, if at least two offered rates appear (except as provided in the following sentence). If the Designated LIBOR Page by its terms provides for only a single rate, then the single rate will be used. | |||
If “LIBOR Bloomberg” is specified in the applicable Prospectus Supplement, LIBOR will be the arithmetic mean of the offered rates (unless the specified Designated LIBOR Page by its terms provides only for a single rate, in which case that single rate will be used) for deposits in the Index Currency having the Index Maturity designated in the applicable Prospectus Supplement, commencing on the second London Business Day immediately following that Interest Determination Date, that appear on the Designated LIBOR Page specified in the applicable Prospectus Supplement as of 11:00 a.m. London time, on that Interest Determination Date, if at least two offered rates appear (unless, as described above, only a single rate is required) on that Designated LIBOR Page. | |||
2. | With respect to an Interest Determination Date on which no rate appears on the applicable Designated LIBOR Page as specified above, LIBOR for the applicable Interest Determination Date will be the rate calculated by the Calculation Agent as the arithmetic mean of at least two quotations obtained by the Calculation Agent after requesting the principal London offices of each of four major reference banks in the London interbank market, which may include the Calculation Agent and its affiliates, as selected by the Calculation Agent, to provide the Calculation Agent with its offered quotation for deposits in the Index Currency for the period of the Index Maturity designated in the applicable Prospectus Supplement, commencing on the second London Business Day immediately following the applicable Interest Determination Date, to prime banks in the London interbank market at approximately 11:00 a.m., London time, on the applicable Interest Determination Date and in a principal amount that is representative for a single transaction in the applicable Index Currency in that market at that time. If at least two such quotations are provided, LIBOR determined on the applicable Interest Determination Date will be the arithmetic mean of the quotations. If fewer than two quotations referred to in this paragraph are provided, LIBOR determined on the applicable Interest Determination Date will be the rate calculated by the Calculation Agent as the arithmetic mean of the rates quoted at approximately 11:00 a.m., or such other time specified in the applicable Prospectus Supplement, in the applicable Principal Financial Center, on the applicable Interest Determination Date by three major banks, which may include the Calculation Agent and its affiliates, in that Principal Financial Center selected by the Calculation Agent for loans in the Index Currency to leading European banks, having the Index Maturity designated in the applicable Prospectus Supplement and in a principal amount that is representative for a single transaction in the Index Currency in that market at that time. If the banks so selected by the Calculation Agent are not quoting as mentioned in this paragraph, LIBOR for the applicable Interest Determination Date will be LIBOR in effect on the applicable Interest Determination Date. |
1. | If “LIBOR Telerate” is designated in the applicable Prospectus Supplement or none of “LIBOR Reuters,” “LIBOR Bloomberg” and “LIBOR Telerate” is specified in the applicable Prospectus Supplement as the method for calculating LIBOR, the display on Bridge Telerate, Inc. or any successor service on the page designated in the applicable Prospectus Supplement or any page as may replace the designated page on that service or for the purpose of displaying the London interbank rates of major banks for the applicable Index Currency; |
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2. | If “LIBOR Reuters” is designated in the applicable Prospectus Supplement, the display on the Reuters Monitor Money Rates Service or any successor service on the page designated in the applicable Prospectus Supplement or any other page as may replace the designated page on that service for the purpose of displaying the London interbank offered rates of major banks for the applicable Index Currency; or | ||
3. | If “LIBOR Bloomberg” is designated in the applicable Prospectus Supplement, the display on Bloomberg on the page designated in the applicable Prospectus Supplement (or another page that may replace that designated page on that service for the purpose of displaying London interbank rates of major banks) for the applicable Index Currency. |
• | the amount of subordination of a class or classes of subordinated Notes within a series, |
• | the circumstances in which that subordination will be applicable, |
• | the manner, if any, in which the amount of subordination will change over time, and |
• | the conditions under which amounts available from payments that would otherwise be made to holders of those subordinated Notes will be distributed to holders of Notes of that series that are more senior. |
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1. | DTC is no longer willing or able to discharge properly its responsibilities as depository with respect to the Notes of that series and none of the Depositor, the related Indenture Trustee of the Issuing Entity and the Administrative Agent are unable to locate a qualified successor; | ||
2. | the Depositor, the Trustee of the related Issuing Entity or the Administrative Agent at its option, to the extent permitted by applicable law, elects to terminate the book-entry system through DTC; or | ||
3. | after the occurrence of an Indenture Default with respect to a series, holders representing at least a majority of the outstanding principal amount of the related Notes, voting as a single class, advise the Indenture Trustee through DTC and its Direct Participants in writing that the continuation of a book-entry system through DTC (or a successor thereto) with respect to the Notes is no longer in the best interests of the Noteholders. |
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1. | a default for five days or more in the payment of interest on any of those Notes, when the same becomes due and payable; | ||
2. | a default in the payment of principal of any of those Notes on the related final scheduled payment date or on a payment date fixed for redemption of those Notes; | ||
3. | a default in the observance or performance of any covenant or agreement of the Issuing Entity, or any representation or warranty of the Issuing Entity made in the related Indenture or in any certificate or other writing delivered under the related Indenture that proves to have been inaccurate in any material respect at the time made, which default or inaccuracy materially and adversely affects the interests of the Noteholders, and the continuation of that default or inaccuracy for a period of 60 days (or for such longer period not in excess of 90 days as may be reasonably necessary to remedy such failure; provided that (A) such failure is capable of remedy within 90 days or less and (B) a majority of the aggregate outstanding principal amount of the Notes, voting as a single class, consent to such longer cure period) after written notice thereof is given to the Issuing Entity by the Indenture Trustee or to the Issuing Entity and the Indenture Trustee by the holders of not less than the majority of the aggregate principal amount of the Notes, voting as a single class; or | ||
4. | certain events of bankruptcy, insolvency, receivership or liquidation of the applicable Issuing Entity (which, if involuntarily, remains unstayed for more than 90 days). |
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• | the Issuing Entity has deposited with that Indenture Trustee an amount sufficient to pay (1) all interest on and principal of the Notes as if the Indenture Default giving rise to that declaration had not occurred and (2) all amounts advanced by that Indenture Trustee and its costs and expenses, and | ||
• | all Indenture Defaults — other than the nonpayment of principal of the Notes that has become due solely due to that acceleration — have been cured or waived. |
• | the Hedge Counterparty, if any, under the Hedge Agreement, if any, and the holders of all outstanding Notes of that series consent to the sale; | ||
• | the proceeds of that sale are sufficient to pay in full the principal of and the accrued and unpaid interest on all outstanding Notes of that series at the date of the sale and any unpaid amounts due to the Hedge Counterparty, if any, under the Hedge Agreement, if any; or |
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• | the Indenture Trustee determines that proceeds of the related Issuing Entity’s Estate would not be sufficient on an ongoing basis to make all payments on the outstanding Notes of that series as those payments would have become due if the obligations had not been declared due and payable, and the Indenture Trustee obtains the consent of holders of at least 66 2/3% of the aggregate principal amount of all Notes of that series outstanding, voting together as a single class. |
• | holders of such series of Notes previously have given the related Indenture Trustee written notice of a continuing Indenture Default, | ||
• | holders of such series of Notes holding not less than 25% of the aggregate principal amount of the Notes then outstanding of such series have made written request of the related Indenture Trustee to institute that proceeding in its own name as Indenture Trustee, | ||
• | holders of such series of Notes have offered the related Indenture Trustee reasonable indemnity, | ||
• | the related Indenture Trustee has for 60 days failed to institute that proceeding, and | ||
• | no direction inconsistent with that written request has been given to the related Indenture Trustee during that 60-day period by Noteholders holding at least a majority of the aggregate principal amount of the Notes of that series, voting as a single class. |
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• | engage in any activities other than financing, acquiring, owning, pledging and managing the related SUBI Certificate as contemplated by the related Indenture and the other Basic Documents relating to that Issuing Entity, | ||
• | sell, transfer, exchange or otherwise dispose of any of its assets, including those assets included in the related Issuing Entity’s Estate, except as expressly permitted by the related Indenture and the other Basic Documents applicable to that series, | ||
• | claim any credit on or make any deduction from the principal of and interest payable on the Notes of the related series — other than amounts withheld under the Internal Revenue Code of 1986, as amended (the “Code” or applicable state law) — or assert any claim against any present or former holder of those Notes because of the payment of taxes levied or assessed upon that Issuing Entity, | ||
• | permit (1) the validity or effectiveness of the related Indenture to be impaired, (2) any person to be released from any covenants or obligations with respect to those Notes under that Indenture except as may be expressly permitted by that Indenture, (3) any lien, charge, excise, claim, security interest, mortgage or other encumbrance (other than the lien of that Indenture) to be created on or extend to or otherwise arise upon or burden the assets of that Issuing Entity or any part thereof, or any interest therein or the proceeds therefrom (other than tax liens, mechanics’ liens and other liens arising by operation of law in any of the related SUBI Assets and solely as a result of an action or omission of the related lessee) or (4) except as provided in the Basic Documents, the lien of the related Indenture to not constitute a first priority (other than with respect to any such tax, mechanics’ or other lien) security interest in the estate of the Issuing Entity, | ||
• | incur, assume or guarantee any indebtedness other than indebtedness incurred in accordance with the Basic Documents, or | ||
• | except as otherwise permitted in the Basic Documents, dissolve or liquidate in whole or in part. |
• | ceases to be eligible to continue as the Indenture Trustee, | ||
• | is adjudged to be bankrupt or insolvent, | ||
• | commences a bankruptcy proceeding, or |
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• | otherwise becomes incapable of acting. |
• | perform such duties, and only such duties, as are specifically set forth in the related Indenture, | ||
• | rely, as to the truth of the statements and the correctness of the opinions expressed therein, on certificates or opinions furnished to the Indenture Trustee that conform to the requirements of the related Indenture, and | ||
• | examine any such certificates and opinions that are specifically required to be furnished to an Indenture Trustee by the related Indenture to determine whether or not they conform to the requirements of the related Indenture. |
• | pay the related Indenture Trustee from time to time reasonable compensation for its services, |
• | reimburse the related Indenture Trustee for all reasonable expenses, advances and disbursements reasonably incurred by it in connection with the performance of its duties as Indenture Trustee, and |
• | indemnify the related Indenture Trustee for, and hold it harmless against, any loss, liability or expense, including reasonable attorneys’ fees and expenses, incurred by it in connection with the performance of its duties as Indenture Trustee. |
• | for any error of judgment made by it in good faith, unless it is proved that the Indenture Trustee was negligent in ascertaining the pertinent facts, |
• | with respect to any action it takes or omits to take in good faith in accordance with a direction received by it from the related Noteholders in accordance with the terms of the related Indenture, and |
• | for interest on any money received by it except as the Indenture Trustee and the related Issuing Entity may agree in writing. |
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• | as of each record date for that series, within five days after the applicable record date and |
• | within 30 days after receipt by the Issuing Entity of a written request for that list, as of not more than ten days before that list is furnished. |
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• | change the Note Final Scheduled Payment Date of or the date of payment of any installment of principal of or interest on any Note, or reduce the principal amount thereof, the interest rate thereon or the redemption price with respect thereto; |
• | reduce the percentage of the aggregate outstanding principal amount of the Notes, the consent of the Noteholders of which is required for any such amendment or supplemental indenture or the consent of the Noteholders of which is required for any waiver of compliance with provisions of the Indenture or Indenture Defaults thereunder and their consequences provided for in the Indenture; |
• | reduce the percentage of the aggregate outstanding principal amount of the Notes required to direct the Indenture Trustee to direct the Issuing Entity to sell the Issuing Entity’s Estate pursuant after an Indenture Default, if the proceeds of such sale would be insufficient to pay the aggregate outstanding principal amount of the Notes plus accrued but unpaid interest on the Notes; |
• | modify any provision of the section in the Indenture permitting amendments with Noteholder consent, except to increase any percentage specified therein or to provide that certain additional provisions of the |
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Indenture or the other Basic Documents cannot be modified or waived without the consent of the Noteholder of each Outstanding Note affected thereby; |
• | modify any of the provisions of the Indenture in such manner as to affect the calculation of the amount of any payment of interest or principal due on any Note on any Payment Date (including the calculation of any of the individual components of such calculation); |
• | permit the creation of any lien ranking prior to or on a parity with the lien of the Indenture with respect to any part of the Issuing Entity’s Estate or, except as otherwise permitted or contemplated herein, terminate the lien of the Indenture on any property at any time subject thereto or deprive any Noteholder of the security provided by the lien of the Indenture; or |
• | impair the right to institute suit for the enforcement of payment as provided in the Indenture. |
• | the Servicer under the related Servicing Agreement or the SUBI Trust Agreement, |
• | the Depositor under the related Trust Agreement, the Indenture or the SUBI Certificate Transfer Agreement, |
• | the Administrative Agent under the Trust Administration Agreement, or |
• | the Indenture Trustee under the related Indenture. |
• | initiate or settle any claim or lawsuit involving that Issuing Entity, unless brought by the Servicer to collect amounts owed under a Lease, |
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• | file an amendment to the related Certificate of Trust for an Issuing Entity (unless such amendment is required to be filed under applicable law), |
• | amend the related Indenture in circumstances where the consent of any Certificateholder of the related series is required, |
• | amend the related Trust Agreement where Certificateholder consent is required, |
• | amend the related Trust Agreement where Certificateholder consent is not required if such amendment materially adversely affects the Certificateholder of the related series, |
• | amend any other Basic Document other than pursuant to, and in accordance with, the amendment provision set forth in such Basic Document, or |
• | appoint a successor Owner Trustee or Indenture Trustee. |
• | be able to exercise corporate trust powers, |
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• | be subject to supervision or examination by federal or state authorities, |
• | have a combined capital and surplus of at least $50 million, and |
• | have a long-term debt rating of “A” or better by Standard & Poor’s and Moody’s or be otherwise acceptable to each Rating Agency. |
• | any error in judgment of an officer of that Owner Trustee made in good faith, unless it is proved that such officer was negligent in ascertaining the facts, |
• | any action taken or omitted to be taken in accordance with the instructions of any related Certificateholder, the related Indenture Trustee, if any, the Depositor, the Administrative Agent or the Servicer, |
• | payments on the related series of Securities in accordance with their terms, or |
• | the default or misconduct of the Administrative Agent, the Servicer, the Depositor or the related Indenture Trustee, if any. |
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• | for which the Servicer will be liable under the related Servicing Agreement, |
• | incurred by reason of the Titling Trustee’s or the Trust Agent’s willful misfeasance, bad faith or negligence, or |
• | incurred by reason of the Titling Trustee’s or the Trust Agent’s breach of its respective representations and warranties made in the SUBI Trust Agreement or any Servicing Agreement. |
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(1) | all Monthly Payments and Payments Ahead (when such Payments Ahead are received), amounts paid to the Servicer to purchase a Leased Vehicle and other payments under the Leases (other than Administrative Charges), | ||
(2) | all Repurchase Payments, | ||
(3) | all Pull-Forward Payments, | ||
(4) | all Reallocation Payments, | ||
(5) | all Residual Value Surplus, |
(6) | all Excess Mileage and Excess Wear and Tear Charges, |
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(7) | all Monthly Sale Proceeds, | ||
(8) | all Net Liquidation Proceeds, | ||
(9) | all Net Insurance Proceeds, | ||
(10) | all Recoveries, | ||
(11) | all Remaining Net Auction Proceeds, and | ||
(12) | all Remaining Payoffs. |
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(a) | any failure by the Servicer to deliver or cause to be delivered any required payment to (i) the related Indenture Trustee for distribution to the Noteholders, (ii) if applicable, the Owner Trustee of the related Issuing Entity for distribution to the Certificateholder, which failure continues unremedied for five Business Days after discovery thereof by an officer of the Servicer or receipt by the Servicer of written notice thereof from the related Indenture Trustee, the Certificateholder or Noteholders evidencing at least a majority interest of the aggregate outstanding principal amount of the outstanding Notes of the related series, voting together as a single class, |
(b) | any failure by the Servicer to duly observe or perform in any material respect any of its other covenants or agreements in the Servicing Agreement, which failure materially and adversely affects the rights of any holder of the related SUBI Certificate, the Noteholders or the Certificateholder, as applicable, and which continues unremedied for 60 days (or for such longer period not in excess of 90 days as may be reasonably necessary to remedy such failure; provided that (1) such failure is capable of remedy within 90 days or less and (2) a majority of the outstanding Notes of the related series, voting as a single class, consents to such longer cure period) after receipt by the Servicer of written notice thereof from the |
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Indenture Trustee or the related holders evidencing at least a majority of the outstanding Notes of the related series, voting as a single class, or such default becomes known to the Servicer, |
(c) | any representation, warranty or statement of the Servicer made in the Servicing Agreement, any other Basic Document to which the Servicer is a party or by which it is bound or any certificate, report or other writing delivered pursuant to the Servicing Agreement that proves to be incorrect in any material respect when made, which failure materially and adversely affects the rights of any holder of the SUBI Certificate, the Noteholders or the Certificateholder of the related series, and continues unremedied for 60 days (or for such longer period not in excess of 90 days as may be reasonably necessary to remedy such failure; provided that (1) such failure is capable of remedy within 90 days or less and (2) a majority of the outstanding Notes of the related series, voting as a single class, consents to such longer cure period) after receipt by the Servicer of written notice thereof from the Titling Trustee or the related holders evidencing at least a majority of the outstanding Notes of the related series, voting as a single class, or such incorrectness becomes known to the Servicer, or |
(e) | the occurrence of certain events of bankruptcy, insolvency, receivership or liquidation respect of the Servicer (in each case, remains unstayed and effect for a period of 90 consecutive days). |
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(1) | tax liens arising against the Depositor, NMAC, the Titling Trust, the UTI Beneficiary or the related Issuing Entity; | ||
(2) | liens arising under various federal and state criminal statutes; | ||
(3) | certain liens in favor of the Pension Benefit Guaranty Corporation; and |
(4) | judgment liens arising from successful claims against the Titling Trust arising from the operation of the leased vehicles constituting Titling Trust Assets. |
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• | a court were to conclude that the assets and liabilities of the Titling Trust, the Depositor or the related Issuing Entity should be consolidated with those of NMAC or the UTI Beneficiary in the event of the application of applicable insolvency laws to NMAC or the UTI Beneficiary, |
• | a filing were to be made under any insolvency law by or against the Titling Trust, the Depositor or the related Issuing Entity, or |
• | an attempt were to be made to litigate any of the foregoing issues. |
• | the automatic stay, which prevents secured creditors from exercising remedies against a debtor in bankruptcy without permission from the court and provisions of the United States Bankruptcy Code that permit substitution of collateral in certain circumstances, |
• | certain tax or government liens on NMAC’s or the UTI Beneficiary’s property (that arose prior to the transfer of a Lease to the related Issuing Entity) having a prior claim on collections before the collections are used to make payments on the Notes or |
• | the related Issuing Entity not having a perfected security interest in the Leased Vehicles or any cash collections held by NMAC at the time that NMAC becomes the subject of a bankruptcy proceeding. |
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(1) | the amount and type of all payments due at the time of origination of the lease, | ||
(2) | a description of the lessee’s liability at the end of the Lease Term, | ||
(3) | the amount of any periodic payments and manner of their calculation, |
(4) | the circumstances under which the lessee may terminate the lease prior to the end of the Lease Term, | ||
(5) | the capitalized cost of the vehicle, and |
(6) | a warning regarding possible charges for early termination. |
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• | an accrual method taxpayer, |
• | a bank, |
• | a broker or dealer that holds the Note as inventory, |
• | a regulated investment company or common trust fund, or |
• | the beneficial owner of specified pass-through entities specified in the Code. |
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30/360 | 46 | |||
account | 31 | |||
Accrual Period | 91 | |||
Actual/360 | 46 | |||
Actual/Actual | 46 | |||
Administrative Agent | 78 | |||
Administrative Charges | 74 | |||
Administrative Fee | 78 | |||
Administrative Lien | 26 | |||
Advance | 72 | |||
amortizable bond premium | 92 | |||
Auction Proceeds | 70 | |||
Back-up Security Agreement | 86 | |||
Base Residual | 26 | |||
Basic Documents | 80 | |||
Basic Servicing Agreement | 25 | |||
Beneficial Owner | 51 | |||
Benefit Plan | 94 | |||
Business Day | 45 | |||
Calculation Agent | 46 | |||
Cap Agreement | 79 | |||
Cap Provider | 79 | |||
Casualty Termination | 41 | |||
Cede | 44 | |||
certificated security | 86 | |||
Certificateholder | 61 | |||
Certificates | 23 | |||
class | 44 | |||
Clearstream Banking Luxembourg | 50 | |||
Clearstream Banking Participants | 52 | |||
Closing Date | 23 | |||
Code | 57 | |||
Collateral | 28 | |||
Collection Account | 69 | |||
Collection Period | 71 | |||
Collections | 69 | |||
constant-yield method | 91 | |||
Contingent and Excess Liability Insurance | 36 | |||
Cooperative | 52 | |||
Credit Termination | 40 | |||
Cutoff Date | 27 | |||
daily portions | 91 | |||
Dealers | 23 | |||
Defaulted Vehicle | 71 | |||
Definitive Notes | 53 | |||
Delaware Trustee | 24 | |||
Depositaries | 50 | |||
Depositor | 23 | |||
Designated LIBOR Page | 47 | |||
Direct Participants | 51 | |||
Disposition Amount | 39 | |||
Disposition Expenses | 40 | |||
DTC | 44 | |||
DTCC | 51 | |||
Early Lease Terminations | 41 | |||
Early Termination Charge | 40 | |||
Early Termination Purchase Option Price | 70 | |||
EMCC | 51 | |||
ERISA | 94 | |||
Euroclear | 50 | |||
Euroclear Operator | 50 | |||
Euroclear Participants | 52 | |||
Excess Mileage and Excess Wear and Tear Charges | 34 | |||
Fixed Rate Notes | 45 | |||
Floating Rate Notes | 45 | |||
floorplan receivables | 31 | |||
Foreign Person | 93 | |||
GSCC | 51 | |||
Hedge Agreement | 79 | |||
Hedge Counterparty | 79 | |||
Hybrid Chattel Paper | 86 | |||
Indenture | 44 | |||
Indenture Default | 54 | |||
Index Currency | 47 | |||
Indirect Participants | 51 | |||
insolvency laws | 81 | |||
Insurance Expenses | 42 | |||
Insurance Proceeds | 41 | |||
Interest Reset Date | 45 | |||
Interest Reset Period | 45 | |||
IRS | 90 | |||
Issuing Entity | 23 | |||
Issuing Entity’s Estate | 24 | |||
LCN | 34 | |||
Lease Maturity Date | 37 | |||
Lease Rate | 39 | |||
Lease Term | 39 | |||
Leased Vehicles | 23 | |||
Leases | 23 | |||
Lemon Law | 89 | |||
Lessee Initiated Early Termination | 40 | |||
LIBOR | 45 | |||
LIBOR Bloomberg | 47 | |||
LIBOR Reuters | 47 | |||
LIBOR Telerate | 46 | |||
Liquidated Lease | 73 | |||
Liquidation Proceeds | 70 | |||
LKE | 38 | |||
London Business Day | 45 | |||
loss | 67 | |||
market discount rules | 92 | |||
Matured Vehicle | 71 | |||
MBSCC | 51 | |||
Monthly Early Termination Sale Proceeds | 70 | |||
Monthly Payment | 39 | |||
Monthly Payment Advance | 72 | |||
Monthly Sales Proceeds | 70 |
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Monthly Scheduled Termination Sale Proceeds | 70 | |||
Moody’s | 57 | |||
NALL II | 28 | |||
NARC II | 31 | |||
Net Auction Proceeds | 70 | |||
Net Insurance Proceeds | 42 | |||
Net Liquidation Proceeds | 38 | |||
NMAC | 23 | |||
NMAC Marketing | 33 | |||
NML | 29 | |||
NNA | 29 | |||
Note Factor | 43 | |||
Noteholder | 44 | |||
Notes | 23 | |||
NSCC | 51 | |||
NWRC II | 31 | |||
OID | 91 | |||
OID Regulations | 91 | |||
Optional Purchase | 63 | |||
Other SUBI | 25 | |||
Other SUBI Assets | 65 | |||
Other SUBI Certificates | 25 | |||
owner | 87 | |||
Payment Ahead | 70 | |||
Payment Date | 44 | |||
Plan Assets Regulation | 95 | |||
Pooling Agreements | 28 | |||
portfolio interest | 94 | |||
Prepayment Assumption | 91 | |||
Principal Financial Center | 48 | |||
Prospectus | 23 | |||
Prospectus Supplement | 23 | |||
PTCE | 95 | |||
Public ABS Transaction | 36 | |||
Pull-Forward | 37 | |||
Pull-Forward Payment | 38 | |||
Purchase Agreements | 28 | |||
QI | 38 | |||
Rating Agency | 36 | |||
Rating Agency Condition | 60 | |||
Reallocation Payments | 38 | |||
Receivables | 28 | |||
Recoveries | 70 | |||
Registration Statement | 1 | |||
Remaining Net Auction Proceeds | 71 | |||
Remaining Payoffs | 71 | |||
Replacement Vehicles | 38 | |||
Repurchase Payments | 26 | |||
Residual Value Surplus | 71 | |||
Restricted Jurisdiction | 26 | |||
retail receivable | 31 | |||
RPM | 34 | |||
Sales Proceeds Advance | 72 | |||
SEC | 1 | |||
Securities | 23 | |||
Securities Act | 31 | |||
Securitization Value | 33 | |||
Securitized Financing | 80 | |||
Security Deposit | 41 | |||
Securityholders | 61 | |||
Servicer | 24 | |||
Servicer Default | 75 | |||
Servicing Agreement | 27 | |||
Servicing Fee | 74 | |||
Servicing Rate | 74 | |||
Spread | 45 | |||
Standard & Poor’s | 51 | |||
Strip Notes | 44 | |||
SUBI | 3, 23 | |||
SUBI Assets | 23 | |||
SUBI Certificate | 24 | |||
SUBI Certificate Transfer Agreement | 27 | |||
SUBI Supplement | 27 | |||
SUBI Trust Agreement | 27 | |||
Swap Agreement | 79 | |||
Swap Counterparty | 79 | |||
TARGET system | 45 | |||
Term Extension | 26 | |||
Terms and Conditions | 52 | |||
TIA | 57 | |||
Titling Trust | 23 | |||
Titling Trust Agreement | 24 | |||
Titling Trust Assets | 25 | |||
Titling Trustee | 24 | |||
Trust Administration Agreement | 78 | |||
Trust Agent | 24 | |||
Trust Agreement | 23 | |||
Trust SUBI Certificate Transfer Agreement | 27 | |||
U.S. Bank | 24 | |||
UCC | 27 | |||
Underwriting Agreement | 96 | |||
UTI | 23 | |||
UTI Assets | 65 | |||
UTI Beneficiary | 23 | |||
UTI Certificates | 25 |
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2009-B
Issuing Entity
Deutsche Bank Securities
Citi