EXHIBIT 99
TERM SHEET
DATED SEPTEMBER 27, 2002
SUBJECT TO REVISION
CAPITAL AUTO RECEIVABLES ASSET TRUST 2002-4
Issuer
$2,391,800,000 Asset Backed Notes, Class A
$ 91,640,000 Asset Backed Certificates
CAPITAL AUTO RECEIVABLES, INC.
Seller
GENERAL MOTORS ACCEPTANCE CORPORATION
Servicer
This document is a
preliminary term sheet
describing the
structure, collateral
pool and additional
aspects of Capital Auto
Receivables Asset Trust
2002-4. The information
and assumptions we have
provided in this term
sheet are preliminary
and will be superceded
by a prospectus
supplement and by any
other information
subsequently filed by us
with the SEC or
incorporated by
reference in the
relevant registration
statement. This term
sheet also supercedes
any prior or similar
term sheet.
The trust is offering the following classes of notes and certificates:
--------------------------------------------------------------------------------------------
Class A Notes
----------------------------------------------------
A-2 Notes A-3 Notes A-4 Notes Certificates
----------------------- ---------------- ----------------- ----------------- ---------------
Principal Amount $1,121,800,000 $680,100,000 $589,900,000 $91,640,000
----------------------- ---------------- ----------------- ----------------- ---------------
Interest Rate
----------------------- ---------------- ----------------- ----------------- ---------------
Final Scheduled January 17, January 16, March 17, March 17,
Distribution Date 2005 2006 2008 2008
----------------------- ---------------- ----------------- ----------------- ---------------
Price to Public
----------------------- ---------------- ----------------- ----------------- ---------------
Underwriting Discount 0.125% 0.175% 0.250% 0.350%
----------------------- ---------------- ----------------- ----------------- ---------------
Proceeds to Seller
----------------------- ---------------- ----------------- ----------------- ---------------
CREDIT ENHANCEMENT AND LIQUIDITY
- Reserve account, with an initial deposit of $46,280,338.46.
- The certificates are subordinated to the notes.
- The seller will retain certificates with an initial
certificate balance of $920,897.59.
BARCLAYS CAPITAL BEAR, STEARNS & CO. INC. LEHMAN BROTHERS
BANC OF AMERICA SECURITIES LLC
BANC ONE CAPITAL MARKETS, INC.
JP MORGAN
MERRILL LYNCH & CO.
MORGAN STANLEY
SALOMON SMITH BARNEY
------------------------------------
IMPORTANT INFORMATION ABOUT THIS TERM SHEET
None of the underwriters, General Motors Acceptance Corporation, the issuer, the
seller or any of their respective affiliates makes any representation as to the
accuracy or completeness of the information set forth in this term sheet. The
information contained in this term sheet only addresses some aspects of the
applicable security's characteristics and does not provide a complete
assessment. So, the information contained in this term sheet may not reflect the
impact of all structural characteristics of the security. Due to changes in
circumstances, we may modify the assumptions underlying the information set
forth in this term sheet, including structure and collateral, from time to time.
WE HAVE FILED A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS AND A FORM OF
PROSPECTUS SUPPLEMENT) RELATING TO THE TRUST WITH THE SEC AND IT IS EFFECTIVE.
IN CONNECTION WITH THIS OFFERING, AFTER THE SECURITIES HAVE BEEN PRICED AND ALL
OF THE TERMS AND INFORMATION RELATED TO THIS TRANSACTION ARE FINALIZED, WE WILL
FILE WITH THE SEC AN UPDATED PROSPECTUS SUPPLEMENT AND PROSPECTUS RELATING TO
THE SECURITIES OFFERED BY THE TRUST. THIS COMMUNICATION IS NOT AN OFFER TO SELL
OR THE SOLICITATION OF AN OFFER TO BUY NOR WILL THERE BE ANY SALE OF THE
SECURITIES OF THE TRUST IN ANY STATE IN WHICH AN OFFER, SOLICITATION OR SALE
WOULD BE UNLAWFUL BEFORE THE REGISTRATION OR QUALIFICATION UNDER THE SECURITIES
LAWS OF THAT STATE. A SALE OF THE SECURITIES OF THE TRUST WILL NOT BE
CONSUMMATED UNLESS THE PURCHASER HAS RECEIVED BOTH THE FINAL PROSPECTUS
SUPPLEMENT AND THE PROSPECTUS. NEITHER THE SEC NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED THESE SECURITIES OR DETERMINED THAT THIS
TERM SHEET, THE PROSPECTUS SUPPLEMENT OR THE PROSPECTUS IS ACCURATE OR COMPLETE.
ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. ANY INVESTMENT
DECISION BY YOU SHOULD BE BASED ON THE INFORMATION IN THE FINAL PROSPECTUS
SUPPLEMENT AND THE PROSPECTUS, WHICH WILL BE CURRENT AS OF THEIR PUBLICATION
DATES AND AFTER PUBLICATION MAY NO LONGER BE COMPLETE OR CURRENT.
YOU MAY OBTAIN A FINAL PROSPECTUS SUPPLEMENT AND A PROSPECTUS BY CONTACTING
BARCLAYS CAPITAL AT (212) 412-2663, BEAR, STEARNS & CO. INC. AT (212) 272-4995
OR LEHMAN BROTHERS AT (631) 254-7106.
------------------------------------
SUMMARY OF TRANSACTION PARTIES*
[FLOW CHART]
GENERAL MOTORS
ACCEPTANCE
CORPORATION
(Servicer and Contingent
Swap Counterparty)
CAPITAL AUTO
RECEIVABLES, INC.
(Seller)
DEUTSCHE BANK TRUST
COMPANY DELAWARE
(Owner Trustee)
CAPITAL AUTO
- ------------------ RECEIVABLES ASSET
(Swap Counterparty) TRUST 2002-4 BANK ONE,
(Issuer) NATIONAL
ASSOCIATION
(Indenture Trustee)
CLASS A-1 NOTES CLASS A-2 NOTES,
(not offered hereby) CLASS A-3 NOTES and CERTIFICATES
CLASS A-4 NOTES
* This chart provides only a simplified overview of the relations between the
key parties to the transaction. Refer to the prospectus supplement and the
prospectus for a further description.
3
SUMMARY OF MONTHLY DEPOSITS TO AND WITHDRAWALS FROM ACCOUNTS*
[FLOW CHART]
Servicer Obligors on
Receivables
Principal & Interest Servicer Reimbursements of Warranty & Total Servicing
on Receivables Advances Servicer Advances Administrative Payments Fees
Floating Swap Payments Swap
Fixed Swap Payments Counterparty
Collections Account
Deposits to Reserve Account Reserve
Withdrawals from Reserve Account Account
Interest & Payments on
Principal Certificates Excess Funds
from Reserve
Account
Note Certificate
Distribution Distribution Seller
Account Account
Interest & Payments on
Principal Certificates
Noteholders Certificate *This chart provides only a
Holders simplified overview of the
monthly flow of funds. Refer
to the prospectus supplement
and the prospectus for a
further description.
4
You can find the definitions of all terms used below that are not defined in
this term sheet in the prospectus of Capital Auto Receivables, Inc., filed on
July 29, 2002 with the registration statement pertaining to Capital Auto
Receivables Asset Trusts. A copy of the prospectus is available from the SEC.
The prospectus will be superceded by a final prospectus supplement to be dated
__________, 2002. Your investment decision should be based solely on the
information in the final prospectus supplement and the prospectus.
THE PARTIES
Issuer
Capital Auto Receivables Asset Trust 2002-4 will be the issuer of the notes and
the certificates.
Seller
Capital Auto Receivables, Inc. will be the seller to the trust.
Servicer
General Motors Acceptance Corporation will be the servicer for the trust.
Indenture Trustee
Bank One, National Association
Owner Trustee
Deutsche Bank Trust Company Delaware
THE NOTES
Class A Notes
The trust will offer the three classes of notes listed on the cover page of this
term sheet.
The trust will also issue Class A-1 Notes with an initial principal amount of
$600,995,000. The Class A-1 Notes will have a final scheduled distribution date
of November 17, 2003. The Class A-1 Notes are not being offered under this term
sheet or the prospectus supplement and will instead be sold in a private
placement.
Interest Payments
- - The interest rate for each class of notes will be a fixed rate, a
floating rate or the combination of a fixed rate and a floating rate if
that class has both a fixed rate tranche and a floating rate tranche. The
interest rates for the notes will be specified in the prospectus
supplement. We refer in this term sheet to notes that bear interest at a
floating rate as "floating rate notes," and to notes that bear interest at
a fixed rate as "fixed rate notes."
- - If the trust issues floating rate notes, the trust will enter into an
interest rate swap with a swap counterparty with respect to each class or
tranche of floating rate notes.
- - Interest will accrue on the notes from and including the closing date.
- - The trust will pay interest on the notes on the fifteenth day of each
calendar month, or if that day is not a business day, the next business
day, beginning on November 15, 2002. We refer to these dates as
"distribution dates."
- - The trust will pay interest on fixed rate notes on each distribution date
based on a 360-day year consisting of twelve 30-day months. The trust will
pay interest on floating rate notes on each distribution date based on the
actual days elapsed during the period for which interest is payable and a
360-day year.
- - The prospectus and the prospectus supplement will describe how the
available funds are allocated to interest payments.
- - Interest payments on all classes of notes will have the same priority.
Principal Payments
- - The trust will pay principal on the notes monthly on each distribution
date.
- - The trust will make principal payments on the notes based on the amount of
5
collections and defaults on the receivables during the prior month.
- - The prospectus and the prospectus supplement will describe how the
available funds are allocated to principal payments.
- - Principal payments on the notes will be made in the order of priority
listed below. On each distribution date, except as described below, the
noteholders' portion of the amount available for payment of principal on
the notes will be applied:
(1) to the Class A-1 Notes, until the Class A-1 Notes are paid in full;
(2) to the Class A-2 Notes, until the Class A-2 Notes are paid in full;
(3) to the Class A-3 Notes, until the Class A-3 Notes are paid in full;
and
(4) to the Class A-4 Notes, until the Class A-4 Notes are paid in full.
- - The failure of the trust to pay any class of notes in full by its final
scheduled distribution date will constitute an event of default.
- - On each distribution date after an event of default occurs and the notes
are accelerated, until the time when all events of default have been cured
or waived as provided in the indenture, principal payments on each class
of the notes will be made ratably to all noteholders, based on the
outstanding principal balance of each class of notes.
THE CERTIFICATES
The trust will offer the certificates listed on the cover page of this term
sheet.
The seller will initially retain certificates with an initial certificate
balance of $920,897.59.
Interest Payments
- - The interest rate for the certificates will be a fixed rate or a floating
rate, and it will be specified in the prospectus supplement.
- - If the trust issues floating rate certificates, the trust will enter into
an interest rate swap with a swap counterparty with respect to the
certificates.
- - Interest will accrue on the certificates from and including the closing
date.
- - The trust will pay interest on the certificates monthly on each
distribution date.
- - If the certificates bear interest at a fixed rate, the trust will pay
interest on the certificates based on a 360-day year consisting of twelve
30-day months. If the certificates bear interest at a floating rate, the
trust will pay interest on the certificates based on actual days elapsed
during the period for which interest is payable and a 360-day year.
- - The prospectus and the prospectus supplement will describe how the
available funds are allocated to interest payments.
- - Interest payments on the certificates will be made on any distribution
date only after interest on the notes has been paid in full for that
distribution date.
Certificate Balance
- - Except as described below, on the distribution date on which the Class A-1
Notes have been paid in full and on each distribution date thereafter, to
the extent of available amounts, a pro rata portion, based on the
outstanding amount of notes and certificates, of the amount available to
make principal payments will be applied to make distributions on the
certificate balance.
Payments Upon Acceleration
- - If an event of default occurs and the notes are accelerated, no payments
of interest on the certificates or distributions on the certificate
balance will be made until the notes are paid in full or the acceleration
is rescinded.
6
EARLY RETIREMENT OF THE NOTES AND CERTIFICATES
When the aggregate discounted principal balance of the receivables declines to
10% or less of the initial aggregate discounted principal balance of the
receivables, the servicer may purchase all of the remaining receivables. If the
servicer purchases the receivables, the outstanding notes, if any, and the
certificates will be redeemed at a price equal to their remaining principal
balance and certificate balance, as applicable, plus accrued and unpaid
interest.
THE RECEIVABLES
The primary assets of the trust will be a pool of fixed rate retail instalment
sales contracts used to finance the purchase of new cars and light trucks. We
refer to these contracts as "receivables" and to the persons who financed their
purchases with these contracts as "obligors."
The receivables in the trust will be sold by GMAC to the seller, and then by the
seller to the trust. The trust will grant a security interest in the receivables
and the other trust property to the indenture trustee on behalf of the
noteholders.
All of the receivables to be sold to the trust were acquired by GMAC under
special incentive rate financing programs.
The trust property will, subject to other specific exceptions described in the
prospectus, also include:
- monies received under the receivables on or after a cutoff date of
September 1, 2002; we refer to this date as the "cutoff date";
- amounts held on deposit in trust accounts maintained for the trust;
- security interests in the vehicles financed by the receivables;
- any recourse GMAC has against the dealers from which it purchased the
receivables;
- any proceeds from claims on insurance policies covering the financed
vehicles;
- the interest rate swaps and contingent assignment, if any, described
below;
- specified rights of the seller under its purchase agreement with GMAC;
and
- all rights of the trust under the related transfer agreement with the
seller.
The initial aggregate discounted principal balance of the receivables to be sold
to the trust, which is the present value of all scheduled payments due on the
receivables that have not been applied on or prior to the cutoff date,
discounted by 7.00%, was $3,085,355,897.59.
PRIORITY OF DISTRIBUTIONS
The trust will distribute available funds in the following order of priority:
- servicing fee payments to the servicer;
- net amount payable, if any, to the swap counterparty, other than swap
termination amounts;
- interest on the notes and any swap termination amounts;
- interest on the certificates;
- principal on the notes;
- distributions on the certificate balance; and
- deposits into the reserve account.
If an event of default occurs and the notes are accelerated, the trust will pay
each class of notes, on a pro rata basis, before making any interest payments on
the certificates or any distributions on the certificate balance until the notes
are paid in full or all events of default have been cured or waived as provided
in the indenture.
RESERVE ACCOUNT
On the closing date, the seller will deposit $46,280,338.46 in cash or eligible
investments into the reserve account. Collections on the receivables, to the
extent available for this purpose, will be added to the reserve account on each
distribution date.
To the extent that funds from principal and interest collections on the
receivables are not sufficient to pay the basic servicing fee, to pay the net
amount, if any, due to the swap
7
counterparty and to make required distributions on the notes and the
certificates, the trust will withdraw cash from the reserve account for those
purposes.
On any distribution date, if the amount in the reserve account exceeds the
specified reserve account balance, the trust will pay the excess to the seller.
INTEREST RATE SWAPS
If the trust issues one or more classes or tranches of floating rate notes or
certificates, the trust will enter into an interest rate swap with a swap
counterparty with respect to each class or tranche of floating rate notes.
Under each interest rate swap, on the business day prior to each distribution
date, the trust will be obligated to pay the swap counterparty a fixed interest
rate and the swap counterparty will be obligated to pay the trust a floating
interest rate of LIBOR plus an applicable spread. For each swap, the notional
amount will equal the outstanding principal balance of the related class or
tranche of floating rate notes or certificates.
SERVICING FEES
The trust will pay the servicer a monthly 1% per annum basic servicing fee as
compensation for servicing the receivables. The servicer will also be entitled
to any late fees, prepayment charges and other administrative fees and expenses
collected during the month and investment earnings on the trust accounts. The
trust will also pay the servicer an additional monthly servicing fee of up to 1%
per annum as described in the prospectus.
TAX STATUS
Kirkland & Ellis, special tax counsel, will deliver its opinion that:
- the notes will be characterized as indebtedness for federal income tax
purposes, and
- the trust will not be taxable as an association or publicly traded
partnership taxable as a corporation, but instead will be classified
as a partnership for federal income tax purposes.
Each noteholder, by the acceptance of a note, will agree to treat the notes as
indebtedness for federal, state and local income and franchise tax purposes.
Each certificateholder, by acceptance of a certificate, will agree to treat the
certificates as equity interests in a partnership for federal, state and local
income and franchise tax purposes.
Purchasers of certificates who are tax exempt investors should be aware that
income from the certificates would constitute debt-financed income taxable as
unrelated business taxable income.
ERISA CONSIDERATIONS
Subject to additional considerations, an employee benefit plan subject to the
Employee Retirement Income Security Act of 1974 may purchase the notes or the
certificates. We suggest that an employee benefit plan and any other retirement
plan or arrangement, and any entity deemed to hold "plan assets" of any employee
benefit plan or other plan, consult with its counsel before purchasing the notes
or the certificates.
RATINGS
We will not issue the notes offered hereby unless they are rated in the highest
rating category for long-term obligations by at least one nationally recognized
rating agency.
We will not issue the certificates offered hereby unless they are rated at least
in the "A" category for long-term obligations or its equivalent by at least one
nationally recognized rating agency.
RISK FACTORS
BEFORE MAKING AN INVESTMENT DECISION, YOU SHOULD CONSIDER THE FACTORS THAT ARE
SET FORTH UNDER THE CAPTION "RISK FACTORS" IN THE PROSPECTUS AND THE PROSPECTUS
SUPPLEMENT.
8
THE RECEIVABLES POOL
CRITERIA APPLICABLE TO THE SELECTION OF RECEIVABLES
The receivables to be sold to the trust were selected from GMAC's
portfolio based on several criteria, including that each receivable:
- is secured by a new car or light truck;
- is a scheduled interest receivable or a simple interest receivable;
- was originated in the United States;
- provides for level monthly payments that may vary from one another by
no more than $5;
- will amortize the amount financed over its original term to maturity;
- has been acquired by GMAC in the ordinary course of business;
- has a first payment due date on or after November 1, 1998;
- was originated on or after November 1, 1998;
- has an original term of 6 to 60 months;
- has a remaining term of not less than 6 months;
- has been acquired by GMAC under one of its special incentive rate
financing programs designed to encourage purchases of new General
Motors vehicles; and
- as of the cutoff date, the receivable was not considered past due;
that is, the scheduled payments due on that receivable in excess of
$25 have been received within 30 days of the scheduled payment date.
Scheduled interest receivables represent 25% of the aggregate amount
financed as of the cutoff date. The balance of the receivables are simple
interest receivables. The receivables in the pool of receivables on the closing
date will be the same receivables that comprised the pool of receivables on the
cutoff date.
The following tables describe the receivables pool as of the cutoff date:
COMPOSITION OF THE RECEIVABLES POOL
Weighted Average Annual Percentage Rate of Receivables................. 3.18%
Aggregate Amount Financed.............................................. $3,300,055,351.68
Number of Contracts in Pool............................................ 175,696
Average Amount Financed................................................ $18,782.76
Weighted Average Original Maturity..................................... 52.60 months
Weighted Average Remaining Maturity (Range)............................ 43.43 months (6 to 60 months)
The "Weighted Average Annual Percentage Rate of Receivables" in the
preceding table is based on weighting by current balance and remaining term of
each receivable. The "Weighted Average Original Maturity" in the preceding table
is based on weighting by original principal balance of each receivable.
9
DISTRIBUTION OF THE RECEIVABLES POOL BY ANNUAL PERCENTAGE RATE
PERCENTAGE
ANNUAL PERCENTAGE NUMBER OF AGGREGATE OF AGGREGATE
RATE RANGE CONTRACTS AMOUNT FINANCED AMOUNT FINANCED
---------- --------- --------------- ---------------
0.00% to 1.00% 61,928 $1,138,936,348 34.51%
1.01% to 2.00% 8,752 $140,086,974 4.24%
2.01% to 3.00% 27,142 $533,602,363 16.17%
3.01% to 4.00% 25,033 $519,782,449 15.75%
4.01% to 5.00% 18,864 $349,922,375 10.61%
5.01% to 6.00% 29,953 $561,037,025 17.00%
6.01% to 7.00% 4,010 $56,512,756 1.71%
7.01% to 8.00% 14 $175,062 0.01%
-------------- ---------------------- ----------------------
TOTAL 175,696 $3,300,055,352 100.00%
============== ====================== ======================
DISTRIBUTION OF THE RECEIVABLES POOL BY STATE
The pool of receivables includes receivables originated in 46 states and
the District of Columbia. The following table sets forth the percentage of the
aggregate amount financed in the states with the largest concentration of
receivables. No other state accounts for more than 4.33% of the aggregate amount
financed. The following breakdown by state is based on the billing address of
the obligor on the receivables:
PERCENTAGE OF
AGGREGATE
STATE AMOUNT FINANCED
- ----- ---------------
Texas............................... 11.55%
California.......................... 10.37%
Pennsylvania........................ 7.82%
Michigan............................ 6.73%
Florida............................. 5.68%
10
THE SERVICER
DELINQUENCIES, REPOSSESSIONS AND NET LOSSES
For GMAC's entire U.S. portfolio of new and used retail car and light
truck receivables, including receivables sold by GMAC that it continues to
service, the table on the following page shows GMAC's experience for:
- delinquencies,
- repossessions, and
- net losses.
The servicer believes that delinquencies, repossessions and net losses
decreased from 1998 to 2000 due to tightened credit standards, continued
collection efforts and a strong economy, with recent increases reflecting the
weaker economic environment. Fluctuations in delinquencies, repossessions and
losses generally follow trends in the overall economic environment and may be
affected by such factors as:
- competition for obligors,
- the supply and demand for automobiles and light trucks,
- consumer debt burden per household, and
- personal bankruptcies.
The credit enhancement for the trust has been designed to mitigate the
impact to noteholders of increases in delinquencies, repossessions and net
losses.
There can be no assurance that the delinquency, repossession and net loss
experience on the receivables will be comparable to that set forth below or that
the factors or beliefs described above will remain applicable.
SIX MONTHS ENDED
JUNE 30 YEAR ENDED DECEMBER 31
----------------- ------------------------------------------
NEW AND USED CAR AND LIGHT TRUCK CONTRACTS 2002 2001 2001 2000 1999 1998
- ------------------------------------------ ------ ------ ------ ------ ------ ------
Total Retail Contracts Outstanding at End
of the Period (in thousands) ............ 4,422 3,540 4,179 3,412 3,120 2,981
Average Daily Delinquency
31-60 Days ........................... 1.79% 1.90% 1.95% 1.92% 2.18% 2.66%
61-90 Days ........................... 0.19% 0.16% 0.19% 0.15% 0.14% 0.18%
91 Days or More ...................... 0.02% 0.02% 0.02% 0.01% 0.02% 0.02%
Repossessions as a Percent of Average
Number of Contracts Outstanding ......... 1.80% 1.83% 1.92% 1.84% 2.07% 2.48%
Net Losses as a Percent of Liquidations.. 1.54% 1.31% 1.42% 1.16% 1.12% 1.70%
Net Losses as a Percent of Average
Receivables ............................. 0.74% 0.66% 0.71% 0.58% 0.58% 0.83%
11
The servicer's current practice is generally to write off receivables that
are more than 90 days past due. Also, the "Net Losses as a Percent of
Liquidations" and the "Net Losses as a Percent of Average Receivables"
percentages in the preceding table are based on gross receivables including
unearned income, and "Repossessions as a Percent of Average Number of Contracts
Outstanding" and "Net Losses as a Percent of Average Receivables" for the six
months ended June 30, 2002 and 2001 are reported as annualized rates.
12
WEIGHTED AVERAGE LIFE OF THE NOTES AND CERTIFICATES
Prepayments on automotive receivables can be measured relative to a
prepayment standard or model. The model used in this term sheet to present the
weighted average life of each class of notes and certificates, the Absolute
Prepayment Model, or ABS, assumes a rate of prepayment each month relative to
the original number of receivables in a pool of receivables. ABS further assumes
that all the receivables are uniform as to size and maturity and amortize at the
same rate and that each receivable in each month of its life will either be paid
as scheduled or be prepaid in full. For example, in a pool of receivables
assumed to originally contain 10,000 uniform receivables, a 1% ABS rate means
that 100 receivables prepay each month. ABS does not purport to be a historical
description of prepayment experience or a prediction of the anticipated rate of
prepayment of any pool of receivables, including the receivables owned by the
trust.
As the rate of payment of principal of each class of notes and the
certificate balance of the certificates will depend on the rate of payment,
including prepayments, of the principal balance of the receivables, final
payment of each class of notes and the certificates could occur significantly
earlier than the final scheduled distribution date for that class of notes or
certificates. Reinvestment risk associated with early payment of the notes or
certificates will be borne exclusively by the noteholders or certificateholders,
as applicable.
The tables below under the heading "Percent of Initial Note Principal and
Certificate Balance Outstanding at Various ABS Percentages" have been prepared
on the basis of indicated ABS percentages. The indicated ABS percentages have
been applied to a pool of uniform receivables with aggregate remaining scheduled
payments in each month, measured as of the cutoff date, equal to those of the
pool of receivables owned by the trust. The table below under the heading
"Schedule of Remaining Scheduled Payments by Month" sets forth, as of the cutoff
date, the remaining scheduled payments in each month on the pool of receivables
owned by the trust. The initial aggregate discounted present value of these
scheduled payments, using a discount rate of 7.00%, is equal to
$3,085,355,897.59.
In addition, the following assumptions have been used in preparing the
tables below:
1. the receivables prepay in full at the specified constant percentage of
ABS monthly, with no defaults, losses or repurchases;
2. each scheduled monthly payment on the receivables is made on the last
day of each month and each month has 30 days;
3. payments on the notes and certificates are made on each distribution
date (and each distribution date is assumed to be the fifteenth day of
each applicable month);
4. the balance in the reserve account on each distribution date is equal
to the specified reserve account balance;
5. except as indicated in the following tables, the servicer exercises
its option to purchase the receivables on the first available date;
6. the basic servicing fee is paid monthly and equals 1% per annum; and
7. the closing date occurs on October 10, 2002.
The actual characteristics and performance of the receivables will differ
from the assumptions used in constructing the following tables. The assumptions
used are hypothetical and have been provided only to give a general sense of how
the principal cash flows might behave under varying prepayment scenarios. For
example, it is very unlikely that the receivables will prepay at a constant
level of ABS until maturity or that all of receivables will prepay at the same
level of ABS. Any difference between such assumptions and the actual
characteristics and performance of the receivables, or actual prepayment
experience, will affect the percentages of initial balances outstanding over
time and the weighted average lives of the notes and certificates.
13
The following tables indicate the projected weighted average life of each
class of notes and certificates and set forth the percent of the initial
principal amount of each class of notes and certificates that is projected to be
outstanding after each of the distribution dates shown at various constant ABS
percentages.
PERCENT OF INITIAL NOTE PRINCIPAL AND CERTIFICATE BALANCE OUTSTANDING AT
VARIOUS ABS PERCENTAGES
The weighted average life of a class of notes or the certificates as
applicable, as set forth in each of the tables below is determined by (a)
multiplying the amount of each principal payment on a note or payment on the
certificate balance of a certificate, as applicable, by the number of years from
the date of the issuance of the related note or certificate to the related
distribution date, (b) adding the results, and (c) dividing the sum by the
related initial principal amount of the note or the initial certificate balance,
as applicable. The calculation in the row in each of the tables below labeled
"Weighted Average Life (Years) to call" assumes that the servicer exercises its
option to purchase the receivables. The calculation in the row in each of the
tables listed below labeled "Weighted Average Life (Years) to maturity" assumes
that the servicer does not exercise its option to purchase the receivables.
PERCENT OF THE INITIAL PRINCIPAL BALANCE OUTSTANDING - CLASS A-2 NOTES
- ------------------------------------------------------------------------------------
DISTRIBUTION DATE 0.00% 0.50% 0.80% 1.00% 1.25% 1.50%
- ------------------------------------------------------------------------------------
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
1/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
3/15/2003 100.00 100.00 100.00 99.51 95.28 90.83
4/15/2003 100.00 100.00 94.88 91.21 86.41 81.36
5/15/2003 100.00 92.93 87.11 83.03 77.70 72.10
6/15/2003 95.63 85.79 79.42 74.97 69.15 63.03
7/15/2003 89.29 78.69 71.84 67.04 60.77 54.18
8/15/2003 82.95 71.65 64.35 59.24 52.56 45.53
9/15/2003 76.58 64.66 56.95 51.56 44.51 37.09
10/15/2003 70.20 57.72 49.64 44.00 36.62 28.85
11/15/2003 63.79 50.82 42.43 36.56 28.89 20.82
12/15/2003 57.38 43.98 35.32 29.26 21.34 13.00
1/15/2004 50.95 37.20 28.31 22.09 13.96 5.41
2/15/2004 44.55 30.51 21.43 15.08 6.78 0.00
3/15/2004 38.18 23.91 14.69 8.23 0.00 0.00
4/15/2004 31.83 17.40 8.07 1.54 0.00 0.00
5/15/2004 25.50 10.98 1.59 0.00 0.00 0.00
6/15/2004 19.20 4.64 0.00 0.00 0.00 0.00
7/15/2004 12.91 0.00 0.00 0.00 0.00 0.00
8/15/2004 6.66 0.00 0.00 0.00 0.00 0.00
9/15/2004 0.43 0.00 0.00 0.00 0.00 0.00
10/15/2004 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2004 0.00 0.00 0.00 0.00 0.00 0.00
12/15/2004 0.00 0.00 0.00 0.00 0.00 0.00
1/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
2/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
3/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
4/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
5/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
6/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
7/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
8/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
9/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
10/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
14
PERCENT OF THE INITIAL PRINCIPAL BALANCE OUTSTANDING - CLASS A-2 NOTES
- ------------------------------------------------------------------------------------
DISTRIBUTION DATE 0.00% 0.50% 0.80% 1.00% 1.25% 1.50%
- ------------------------------------------------------------------------------------
12/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
1/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
2/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
3/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
4/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
5/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
6/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
7/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
8/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
9/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
10/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life (Years)
to call...................... 1.32 1.16 1.06 1.00 0.93 0.86
Weighted Average Life (Years)
to maturity.................. 1.32 1.16 1.06 1.00 0.93 0.86
15
PERCENT OF THE INITIAL PRINCIPAL BALANCE OUTSTANDING - CLASS A-3 NOTES
- --------------------------------------------------------------------------------------
DISTRIBUTION DATE 0.00% 0.50% 0.80% 1.00% 1.25% 1.50%
- --------------------------------------------------------------------------------------
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
1/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
3/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
4/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
5/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
6/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
7/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
8/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
9/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
10/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
1/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2004 100.00 100.00 100.00 100.00 100.00 96.78
3/15/2004 100.00 100.00 100.00 100.00 99.67 85.03
4/15/2004 100.00 100.00 100.00 100.00 88.48 73.67
5/15/2004 100.00 100.00 100.00 91.78 77.61 62.71
6/15/2004 100.00 100.00 92.13 81.27 67.07 52.13
7/15/2004 100.00 97.34 81.85 71.01 56.84 41.93
8/15/2004 100.00 87.17 71.78 61.01 46.93 32.12
9/15/2004 100.00 77.15 61.93 51.27 37.35 22.70
10/15/2004 90.48 67.28 52.28 41.79 28.08 13.65
11/15/2004 80.38 57.63 42.92 32.63 19.18 5.03
12/15/2004 70.90 48.62 34.21 24.13 10.95 0.00
1/15/2005 62.25 40.41 26.29 16.41 3.49 0.00
2/15/2005 54.27 32.86 19.02 9.34 0.00 0.00
3/15/2005 46.68 25.73 12.18 2.70 0.00 0.00
4/15/2005 39.16 18.72 5.51 0.00 0.00 0.00
5/15/2005 31.78 11.92 0.00 0.00 0.00 0.00
6/15/2005 24.59 5.35 0.00 0.00 0.00 0.00
7/15/2005 17.54 0.00 0.00 0.00 0.00 0.00
8/15/2005 10.62 0.00 0.00 0.00 0.00 0.00
9/15/2005 3.75 0.00 0.00 0.00 0.00 0.00
10/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
12/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
1/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
2/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
3/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
4/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
5/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
6/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
7/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
8/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
9/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
10/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life
(Years) to call.................. 2.46 2.24 2.10 2.00 1.88 1.75
Weighted Average Life
(Years) to maturity.............. 2.46 2.24 2.10 2.00 1.88 1.75
16
PERCENT OF THE INITIAL PRINCIPAL BALANCE OUTSTANDING - CLASS A-4 NOTES
- --------------------------------------------------------------------------------------
DISTRIBUTION DATE 0.00% 0.50% 0.80% 1.00% 1.25% 1.50%
- --------------------------------------------------------------------------------------
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
1/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
3/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
4/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
5/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
6/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
7/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
8/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
9/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
10/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
1/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
3/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
4/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
5/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
6/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
7/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
8/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
9/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
10/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2004 100.00 100.00 100.00 100.00 100.00 96.65
1/15/2005 100.00 100.00 100.00 100.00 100.00 88.36
2/15/2005 100.00 100.00 100.00 100.00 96.17 80.82
3/15/2005 100.00 100.00 100.00 100.00 88.83 73.80
4/15/2005 100.00 100.00 100.00 95.70 81.77 67.12
5/15/2005 100.00 100.00 98.95 88.59 75.06 60.82
6/15/2005 100.00 100.00 91.83 81.80 68.69 54.90
7/15/2005 100.00 98.82 84.98 75.30 62.65 0.00
8/15/2005 100.00 91.68 78.38 69.07 56.91 0.00
9/15/2005 100.00 84.66 71.95 63.05 51.43 0.00
10/15/2005 96.44 77.75 65.68 57.23 0.00 0.00
11/15/2005 88.67 71.03 59.62 51.64 0.00 0.00
12/15/2005 81.44 64.81 54.06 0.00 0.00 0.00
1/15/2006 74.70 59.06 0.00 0.00 0.00 0.00
2/15/2006 68.16 53.53 0.00 0.00 0.00 0.00
3/15/2006 61.75 0.00 0.00 0.00 0.00 0.00
4/15/2006 55.44 0.00 0.00 0.00 0.00 0.00
5/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
6/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
7/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
8/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
9/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
10/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life
(Years) to call................. 3.45 3.27 3.10 3.00 2.83 2.62
Weighted Average Life
(Years) to maturity............. 3.67 3.50 3.37 3.26 3.10 2.90
17
PERCENT OF THE INITIAL CERTIFICATE BALANCE OUTSTANDING
- --------------------------------------------------------------------------------------
DISTRIBUTION DATE 0.00% 0.50% 0.80% 1.00% 1.25% 1.50%
- --------------------------------------------------------------------------------------
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2002 100.00 100.00 100.00 100.00 100.00 100.00
1/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
3/15/2003 100.00 100.00 100.00 99.77 97.79 95.70
4/15/2003 100.00 100.00 97.60 95.88 93.63 91.26
5/15/2003 100.00 96.69 93.95 92.04 89.54 86.91
6/15/2003 97.95 93.33 90.35 88.26 85.53 82.66
7/15/2003 94.98 90.01 86.79 84.54 81.60 78.51
8/15/2003 92.00 86.70 83.28 80.88 77.75 74.45
9/15/2003 89.02 83.42 79.81 77.28 73.97 70.49
10/15/2003 86.02 80.17 76.38 73.73 70.27 66.63
11/15/2003 83.02 76.93 73.00 70.25 66.65 62.86
12/15/2003 80.01 73.72 69.66 66.82 63.11 59.20
1/15/2004 77.00 70.55 66.38 63.46 59.65 55.63
2/15/2004 73.99 67.41 63.15 60.17 56.28 52.18
3/15/2004 71.00 64.31 59.99 56.96 53.00 48.84
4/15/2004 68.03 61.26 56.88 53.82 49.82 45.61
5/15/2004 65.06 58.25 53.84 50.76 46.73 42.50
6/15/2004 62.10 55.27 50.86 47.77 43.73 39.49
7/15/2004 59.16 52.34 47.94 44.85 40.83 36.59
8/15/2004 56.22 49.45 45.07 42.01 38.01 33.80
9/15/2004 53.30 46.60 42.27 39.24 35.28 31.12
10/15/2004 50.39 43.79 39.53 36.55 32.65 28.54
11/15/2004 47.52 41.05 36.87 33.94 30.12 26.09
12/15/2004 44.82 38.49 34.39 31.52 27.78 23.84
1/15/2005 42.36 36.15 32.14 29.33 25.66 21.79
2/15/2005 40.10 34.01 30.07 27.32 23.72 19.93
3/15/2005 37.94 31.98 28.13 25.43 21.91 18.20
4/15/2005 35.80 29.99 26.23 23.60 20.17 16.55
5/15/2005 33.70 28.05 24.40 21.85 18.51 15.00
6/15/2005 31.65 26.19 22.65 20.18 16.94 13.54
7/15/2005 29.65 24.37 20.96 18.57 15.45 0.00
8/15/2005 27.68 22.61 19.33 17.04 14.04 0.00
9/15/2005 25.73 20.88 17.74 15.55 12.68 0.00
10/15/2005 23.78 19.18 16.20 14.11 0.00 0.00
11/15/2005 21.87 17.52 14.70 12.74 0.00 0.00
12/15/2005 20.09 15.98 13.33 0.00 0.00 0.00
1/15/2006 18.42 14.57 0.00 0.00 0.00 0.00
2/15/2006 16.81 13.20 0.00 0.00 0.00 0.00
3/15/2006 15.23 0.00 0.00 0.00 0.00 0.00
4/15/2006 13.67 0.00 0.00 0.00 0.00 0.00
5/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
6/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
7/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
8/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
9/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
10/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
11/15/2006 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life
(Years) to call.................. 2.17 1.98 1.86 1.78 1.67 1.55
Weighted Average Life
(Years) to maturity.............. 2.22 2.04 1.92 1.84 1.73 1.62
18
SCHEDULE OF REMAINING SCHEDULED PAYMENTS BY MONTH
COLLECTION PERIOD SCHEDULED PAYMENTS
- ------------------- ------------------
September 2002 88,916,499.40
October 2002 88,916,499.40
November 2002 88,916,499.40
December 2002 88,916,165.60
January 2003 88,912,916.59
February 2003 88,879,792.89
March 2003 88,683,464.02
April 2003 88,459,910.58
May 2003 88,239,295.34
June 2003 87,982,108.15
July 2003 87,725,245.05
August 2003 87,475,299.96
September 2003 87,293,461.78
October 2003 87,092,686.23
November 2003 86,835,035.14
December 2003 86,419,039.07
January 2004 85,733,898.00
February 2004 85,023,556.05
March 2004 84,294,487.20
April 2004 83,541,811.87
May 2004 82,876,094.01
June 2004 82,222,206.46
July 2004 81,471,429.16
August 2004 80,741,923.20
September 2004 79,991,491.55
October 2004 78,662,073.38
November 2004 73,805,832.20
December 2004 67,635,644.30
January 2005 62,465,451.85
February 2005 59,444,234.26
March 2005 58,654,105.73
April 2005 57,290,395.42
May 2005 55,714,289.00
June 2005 54,368,515.19
July 2005 53,153,403.35
August 2005 52,559,140.52
September 2005 52,056,956.58
October 2005 51,058,947.88
November 2005 47,453,462.36
December 2005 44,189,627.74
January 2006 42,730,598.23
February 2006 41,750,397.76
March 2006 40,858,130.08
April 2006 39,955,352.42
May 2006 39,078,696.90
June 2006 37,832,491.20
July 2006 36,219,363.58
August 2006 35,081,957.47
September 2006 33,980,631.59
October 2006 31,758,161.66
November 2006 24,502,361.87
December 2006 18,484,352.82
January 2007 16,271,457.45
February 2007 13,832,187.07
March 2007 9,668,215.57
April 2007 6,606,418.56
May 2007 4,772,817.64
June 2007 2,573,356.88
July 2007 257,486.44
August 2007 3,647.28
19