EXHIBIT 99
TERM SHEET
DATED JUNE 2, 2003
SUBJECT TO REVISION
CAPITAL AUTO RECEIVABLES ASSET TRUST 2003-2
Issuer
$2,163,400,000 Asset Backed Notes, Class A
$89,350,000 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 2003-2. We
have prepared this term sheet with the cooperation of General Motors Acceptance
Corporation. 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are preliminary and will be superceded by a prospectus supplement and by any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 $572,000,000 $1,086,000,000 $505,400,000 $89,350,000
Interest Rate
Final Scheduled May 16, February 15, January 15, January 15,
Distribution Date 2005 2007 2009 2009
Price to Public
Underwriting 0.125% 0.175% 0.250% 0.350%
Discount
Proceeds to Seller
CREDIT ENHANCEMENT AND LIQUIDITY
o Reserve account, with an initial deposit of $45,129,920.16.
o The certificates are subordinated to the notes.
o The seller will retain certificates with an initial certificate balance
of $911,344.19.
BARCLAYS CAPITAL
BANC ONE CAPITAL MARKETS, INC.
DEUTSCHE BANK SECURITIES
BEAR, STEARNS & CO. INC.
MERRILL LYNCH & CO.
LEHMAN BROTHERS
RBC CAPITAL MARKETS
SCOTIA CAPITAL
TD SECURITIES
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, BANC ONE CAPITAL MARKETS, INC. AT (312)
732-7885 OR DEUTSCHE BANK SECURITIES AT (212) 250-7730.
SUMMARY OF TRANSACTION PARTIES*
[FLOW CHART]
* 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.
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SUMMARY OF MONTHLY DEPOSITS TO AND WITHDRAWALS FROM ACCOUNTS*
[FLOW CHART]
* This chart provides only a simplified overview of the monthly flow of funds.
Refer to the prospectus supplement and the prospectus for a further description.
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You can find the definitions of all capitalized terms used below that are not
defined in this term sheet in the prospectus of Capital Auto Receivables, Inc.,
filed on May 16, 2003 with the registration statement pertaining to Capital Auto
Receivables Asset Trusts. A copy of the prospectus is available from the SEC.
This term sheet will be superceded by a prospectus supplement to be dated June
__, 2003. 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 2003-2 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
$755,000,000. The Class A-1 Notes will have a final scheduled distribution date
of June 15, 2004. 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
o 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.
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."
o 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.
o Interest will accrue on the notes from and including the closing date.
o 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 July 15, 2003. We refer to these dates as
"distribution dates."
o 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.
o The prospectus and the prospectus supplement will describe how the
available funds are allocated to interest payments.
o Interest payments on all classes of notes will have the same priority.
Principal Payments
o The trust will pay principal on the notes monthly on each distribution
date.
o The trust will make principal payments on the notes based on the amount
of collections and defaults on the receivables during the prior month.
o The prospectus and the prospectus supplement will describe how the
available funds are allocated to principal payments.
o Principal payments on the notes will be made in the order of priority
listed below. On each
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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.
o The failure of the trust to pay any class of notes in full on or before
its final scheduled distribution date will constitute an event of
default.
o 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 $911,344.19.
Interest Payments
o The interest rate for the certificates will be a fixed rate or a
floating rate, and it will be specified in the prospectus supplement.
o 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.
o If the certificates are fixed rate, interest will be based on a 360-day
year consisting of twelve 30-day months and if the certificates are
floating rate, interest will be based on the actual days elapsed during
the period for which interest is payable and a 360-day year.
o The trust will pay interest on the certificates monthly on each
distribution date.
o Interest will accrue on the certificates from and including the closing
date.
o The prospectus and the prospectus supplement will describe how the
available funds are allocated to interest payments.
o 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
o 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
o 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.
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." Further, when we
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use the term "remaining payments" on receivables as of a specific date, we mean
all scheduled payments on scheduled interest receivables which are due on and
after that specified date and all payments on simple interest receivables which
have not been received prior to that specified date.
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:
o the remaining payments on the receivables as of a cutoff date
of May 1, 2003, and monies received with respect to those
remaining payments; we refer to this date as the "cutoff
date";
o amounts held on deposit in trust accounts maintained for the
trust;
o security interests in the vehicles financed by the
receivables;
o any recourse GMAC has against the dealers from which it
purchased the receivables;
o any proceeds from claims on insurance policies covering the
financed vehicles;
o the interest rate swaps and contingent assignment, if any,
described below;
o specified rights of the seller under its purchase agreement
with GMAC; and
o 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 remaining payments as of the
cutoff date, discounted at 7.00%, was $3,008,661,344.19.
PRIORITY OF DISTRIBUTIONS
The trust will distribute available funds in the following order of priority:
o servicing fee payments to the servicer;
o net amount payable, if any, to the swap counterparty, other
than swap termination amounts;
o interest on the notes and any swap termination amounts;
o interest on the certificates;
o principal on the notes;
o distributions on the certificate balance; and
o 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 $45,129,920.16 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 counterparty and to make required distributions
on the notes and the certificates, the amount deposited in the reserve account
provides an additional source of funds.
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 or
certificates.
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
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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 that will be subordinated to all
payments on the notes and the certificates.
TAX STATUS
Kirkland & Ellis, special tax counsel, will deliver its opinion that:
o the notes will be characterized as indebtedness for federal
income tax purposes, and
o 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.
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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:
o is secured by a new car or light truck;
o is a scheduled interest receivable or a simple interest
receivable;
o was originated in the United States;
o provides for level monthly payments that may vary from one
another by no more than $5;
o will amortize the amount financed over its original term to
maturity;
o has been acquired by GMAC in the ordinary course of business;
o has a first payment due date on or after November 1, 1998;
o was originated on or after September 1, 1998;
o has an original term of 6 to 60 months;
o has a remaining term of not less than 6 months;
o has been acquired by GMAC under one of its special incentive
rate financing programs designed to encourage purchases of new
General Motors vehicles; and
o as of the cutoff date, the receivable was not considered past
due; that is, the payments due on that receivable in excess of
$25 have been received within 30 days of the payment date.
Scheduled interest receivables represent 10% 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................. 1.40%
Aggregate Amount Financed.............................................. $3,340,006,891.76
Number of Contracts in Pool............................................ 154,686
Average Amount Financed................................................ $21,592.17
Weighted Average Original Maturity..................................... 53.98 months
Weighted Average Remaining Maturity (Range)............................ 45.99 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.
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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% 97,741 $2,163,363,936 64.77%
1.01% to 2.00% 4,333 $75,518,815 2.26%
2.01% to 3.00% 17,753 $412,918,269 12.36%
3.01% to 4.00% 16,056 $379,000,456 11.35%
4.01% to 5.00% 6,681 $109,680,245 3.28%
5.01% to 6.00% 10,570 $177,316,884 5.31%
6.01% to 7.00% 1,552 $22,208,287 0.67%
--------- -------------- ------------
TOTAL 154,686 $3,340,006,892 100.00%
========= ============== ============
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 4.12% of the aggregate amount
financed. The following breakdown by state is based on the billing addresses of
the obligors on the receivables:
PERCENTAGE OF
AGGREGATE
STATE AMOUNT FINANCED
- ----- ---------------
California.......................... 13.91%
Texas............................... 13.63%
Michigan............................ 8.17%
Florida............................. 7.11%
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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:
o delinquencies,
o repossessions, and
o net losses.
Fluctuations in delinquencies, repossessions and losses generally
follow trends in the overall economic environment and may be affected by such
factors as:
o competition for obligors,
o the supply and demand for automobiles and light trucks,
o consumer debt burden per household, and
o personal bankruptcies.
For calendar years 2000 through 2002, and for the first calendar
quarter of each of 2002 and 2003, delinquencies and repossessions have remained
at relatively stable levels, indicating that the frequency of defaults and
repossessions is not increasing. However, over the same period, net losses have
steadily increased, which indicates that losses per repossessed vehicle have
increased. The servicer believes that this trend is a function of an overall
decline in used vehicle prices. Weaker used vehicle prices increase the loss per
occurrence as the servicer realizes less upon repossession and disposal of
defaulted receivables.
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.
THREE MONTHS
ENDED MARCH 31 YEAR ENDED DECEMBER 31
------------------ -----------------------------
NEW AND USED VEHICLE CONTRACTS 2003 2002 2002 2001 2000
-------------------------------------------- ------ ------ ------ ------ ------
Total Retail Contracts Outstanding at End
of the Period (in thousands)................. 4,826 4,355 4,795 4,179 3,412
Average Daily Delinquency
31-60 Days................................ 1.84% 1.94% 1.82% 1.95% 1.92%
61-90 Days................................ 0.21% 0.21% 0.20% 0.19% 0.15%
91 Days or More........................... 0.03% 0.03% 0.02% 0.02% 0.01%
Repossessions as a Percent of Average
Number of Contracts Outstanding.............. 1.96% 1.99% 1.86% 1.92% 1.84%
Net Losses as a Percent of Liquidations...... 1.81% 1.59% 1.55% 1.42% 1.16%
Net Losses as a Percent of Average
Receivables.................................. 0.87% 0.76% 0.74% 0.71% 0.58%
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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 three
months ended March 31, 2003 and 2002 are reported as annualized rates.
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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 the 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
distributions on the certificate balance will depend on the rate of payment,
including prepayments, of the principal balance of the receivables, final
payment of classes of notes and the certificates could occur significantly
earlier than the final scheduled distribution date for that class of notes or
the certificates. Reinvestment risk associated with early payment of the notes
and the certificates will be borne exclusively by the noteholders or
certificateholders, as applicable.
The tables below under the heading "Percent of Initial Note Principal
Balance Outstanding 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 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 Payments by Month" sets forth, as of
the cutoff date, the remaining payments in each month on the pool of receivables
owned by the trust. The initial aggregate discounted present value of these
remaining payments, using a discount rate of 7.00%, is equal to
$3,008,661,344.19.
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 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 15th day of each applicable month), commencing July 15,
2003;
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 June 11, 2003.
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
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percentages of initial balances outstanding over time and the weighted average
lives of the notes and the certificates.
The following tables indicate the projected weighted average life of
each class of notes and the certificates and set forth the percent of the
initial principal amount of each class of notes and certificate balance of the
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
set forth in each of the tables below is determined by (a) multiplying the
amount of each principal payment on a note of that class or on the certificates
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 initial
certificate balance of the certificates, 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
07/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2003 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
01/15/2004 100.00 100.00 100.00 100.00 100.00 96.03
02/15/2004 100.00 100.00 100.00 99.14 89.16 78.72
03/15/2004 100.00 100.00 92.49 84.10 73.19 61.78
04/15/2004 100.00 91.36 78.34 69.29 57.51 45.21
05/15/2004 99.92 78.26 64.37 54.71 42.15 29.02
06/15/2004 88.15 65.26 50.58 40.37 27.09 13.21
07/15/2004 76.35 52.35 36.96 26.25 12.33 0.00
08/15/2004 64.52 39.53 23.51 12.36 0.00 0.00
09/15/2004 52.66 26.81 10.24 0.00 0.00 0.00
10/15/2004 40.79 14.20 0.00 0.00 0.00 0.00
11/15/2004 28.89 1.70 0.00 0.00 0.00 0.00
12/15/2004 17.04 0.00 0.00 0.00 0.00 0.00
01/15/2005 5.66 0.00 0.00 0.00 0.00 0.00
02/15/2005 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life (Years)
to call.................... 1.32 1.15 1.06 1.00 0.93 0.86
Weighted Average Life (Years)
to maturity................ 1.32 1.15 1.06 1.00 0.93 0.86
14
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
07/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2003 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
01/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
02/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
03/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
04/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
05/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
06/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
07/15/2004 100.00 100.00 100.00 100.00 100.00 98.83
08/15/2004 100.00 100.00 100.00 100.00 98.88 90.90
09/15/2004 100.00 100.00 100.00 99.32 91.43 83.18
10/15/2004 100.00 100.00 98.50 92.26 84.14 75.66
11/15/2004 100.00 100.00 91.71 85.33 77.02 68.34
12/15/2004 100.00 94.39 85.05 78.55 70.10 61.26
01/15/2005 100.00 88.18 78.70 72.10 63.52 54.56
02/15/2005 97.30 82.32 72.72 66.03 57.35 48.27
03/15/2005 91.89 76.75 67.04 60.29 51.52 42.34
04/15/2005 86.61 71.35 61.57 54.77 45.92 36.68
05/15/2005 81.32 66.00 56.18 49.35 40.47 31.19
06/15/2005 76.06 60.73 50.91 44.08 35.19 25.90
07/15/2005 70.85 55.56 45.76 38.95 30.09 20.82
08/15/2005 65.66 50.46 40.73 33.95 25.14 15.93
09/15/2005 60.48 45.43 35.79 29.07 20.35 11.23
10/15/2005 55.34 40.48 30.96 24.33 15.72 6.71
11/15/2005 50.22 35.60 26.24 19.72 11.25 2.39
12/15/2005 45.21 30.87 21.68 15.29 6.98 0.00
01/15/2006 40.44 26.40 17.40 11.13 2.99 0.00
02/15/2006 35.86 22.12 13.32 7.20 0.00 0.00
03/15/2006 31.42 18.02 9.43 3.45 0.00 0.00
04/15/2006 27.09 14.05 5.69 0.00 0.00 0.00
05/15/2006 22.86 10.21 2.10 0.00 0.00 0.00
06/15/2006 18.71 6.48 0.00 0.00 0.00 0.00
07/15/2006 14.57 2.79 0.00 0.00 0.00 0.00
08/15/2006 10.44 0.00 0.00 0.00 0.00 0.00
09/15/2006 6.33 0.00 0.00 0.00 0.00 0.00
10/15/2006 2.26 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............................ 2.50 2.26 2.10 2.00 1.87 1.74
Weighted Average Life (Years) to
maturity........................ 2.50 2.26 2.10 2.00 1.87 1.74
15
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
07/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2003 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
01/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
02/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
03/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
04/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
05/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
06/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
07/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2004 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2004 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 100.00 100.00 100.00 100.00 100.00 100.00
01/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
02/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
03/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
04/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
05/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
06/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
07/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
10/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2005 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2005 100.00 100.00 100.00 100.00 100.00 96.33
01/15/2006 100.00 100.00 100.00 100.00 100.00 88.14
02/15/2006 100.00 100.00 100.00 100.00 98.36 80.48
03/15/2006 100.00 100.00 100.00 100.00 90.73 73.28
04/15/2006 100.00 100.00 100.00 99.74 83.50 66.52
05/15/2006 100.00 100.00 100.00 92.40 76.64 60.16
06/15/2006 100.00 100.00 97.06 85.34 70.10 0.00
07/15/2006 100.00 100.00 89.78 78.49 63.83 0.00
08/15/2006 100.00 98.20 82.66 71.86 57.81 0.00
09/15/2006 100.00 90.53 75.74 65.45 0.00 0.00
10/15/2006 100.00 83.00 69.00 59.26 0.00 0.00
11/15/2006 96.14 75.61 62.45 0.00 0.00 0.00
12/15/2006 87.59 68.43 0.00 0.00 0.00 0.00
01/15/2007 79.57 61.75 0.00 0.00 0.00 0.00
02/15/2007 71.93 0.00 0.00 0.00 0.00 0.00
03/15/2007 64.44 0.00 0.00 0.00 0.00 0.00
04/15/2007 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life (Years) to
call............................ 3.76 3.58 3.41 3.30 3.13 2.90
Weighted Average Life (Years) to
maturity........................ 4.01 3.85 3.71 3.60 3.42 3.21
16
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
07/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2003 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2003 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
01/15/2004 100.00 100.00 100.00 100.00 100.00 98.95
02/15/2004 100.00 100.00 100.00 99.77 97.13 94.37
03/15/2004 100.00 100.00 98.02 95.80 92.91 89.89
04/15/2004 100.00 97.72 94.27 91.88 88.77 85.51
05/15/2004 99.98 94.25 90.58 88.03 84.70 81.23
06/15/2004 96.87 90.81 86.93 84.23 80.72 77.05
07/15/2004 93.75 87.40 83.33 80.50 76.82 72.97
08/15/2004 90.62 84.01 79.78 76.83 73.00 68.99
09/15/2004 87.48 80.65 76.27 73.22 69.26 65.12
10/15/2004 84.34 77.32 72.81 69.68 65.60 61.34
11/15/2004 81.20 74.01 69.40 66.19 62.03 57.67
12/15/2004 78.06 70.75 66.05 62.79 58.55 54.11
01/15/2005 75.06 67.63 62.87 59.55 55.25 50.75
02/15/2005 72.21 64.69 59.86 56.51 52.15 47.59
03/15/2005 69.49 61.89 57.02 53.63 49.22 44.62
04/15/2005 66.84 59.18 54.27 50.85 46.41 41.77
05/15/2005 64.18 56.49 51.56 48.14 43.68 39.02
06/15/2005 61.54 53.85 48.92 45.49 41.03 36.37
07/15/2005 58.92 51.25 46.33 42.91 38.46 33.81
08/15/2005 56.32 48.69 43.81 40.40 35.98 31.36
09/15/2005 53.72 46.17 41.33 37.96 33.58 29.00
10/15/2005 51.14 43.68 38.90 35.57 31.25 26.73
11/15/2005 48.57 41.23 36.53 33.26 29.01 24.56
12/15/2005 46.05 38.86 34.25 31.04 26.86 22.50
01/15/2006 43.66 36.61 32.09 28.95 24.86 20.59
02/15/2006 41.36 34.47 30.05 26.97 22.98 18.80
03/15/2006 39.13 32.41 28.09 25.10 21.20 17.12
04/15/2006 36.96 30.42 26.22 23.30 19.51 15.54
05/15/2006 34.84 28.49 24.42 21.59 17.90 14.05
06/15/2006 32.75 26.61 22.68 19.94 16.38 0.00
07/15/2006 30.67 24.76 20.97 18.34 14.91 0.00
08/15/2006 28.60 22.94 19.31 16.79 13.51 0.00
09/15/2006 26.54 21.15 17.69 15.29 0.00 0.00
10/15/2006 24.49 19.39 16.12 13.84 0.00 0.00
11/15/2006 22.46 17.66 14.59 0.00 0.00 0.00
12/15/2006 20.46 15.99 0.00 0.00 0.00 0.00
01/15/2007 18.59 14.42 0.00 0.00 0.00 0.00
02/15/2007 16.80 0.00 0.00 0.00 0.00 0.00
03/15/2007 15.05 0.00 0.00 0.00 0.00 0.00
04/15/2007 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life (Years) to
call............................ 2.49 2.27 2.13 2.04 1.91 1.78
Weighted Average Life (Years) to
maturity........................ 2.54 2.34 2.20 2.11 1.98 1.85
17
SCHEDULE OF REMAINING PAYMENTS BY MONTH
COLLECTION PERIOD SCHEDULED PAYMENTS
- ------------------------- ----------------------
May 2003 84,455,548.44
June 2003 84,455,548.44
July 2003 84,455,548.44
August 2003 84,455,548.44
September 2003 84,454,483.02
October 2003 84,437,561.21
November 2003 84,362,888.90
December 2003 84,243,218.76
January 2004 84,045,285.65
February 2004 83,802,122.56
March 2004 83,522,231.27
April 2004 83,268,189.81
May 2004 83,050,777.85
June 2004 82,831,866.78
July 2004 82,554,191.69
August 2004 82,286,639.96
September 2004 81,984,530.13
October 2004 81,287,038.59
November 2004 78,080,283.65
December 2004 74,070,200.50
January 2005 70,735,866.48
February 2005 68,921,380.40
March 2005 68,620,591.09
April 2005 67,935,347.32
May 2005 67,058,145.60
June 2005 66,425,765.21
July 2005 65,951,810.59
August 2005 65,300,075.48
September 2005 64,622,407.60
October 2005 63,083,784.06
November 2005 59,956,054.39
December 2005 57,606,466.87
January 2006 55,678,051.33
February 2006 54,077,706.00
March 2006 52,658,245.78
April 2006 51,586,882.79
May 2006 51,187,705.80
June 2006 50,742,069.18
July 2006 50,177,264.80
August 2006 49,624,136.48
September 2006 49,056,363.55
October 2006 47,962,084.04
November 2006 44,954,256.47
December 2006 42,630,298.54
January 2007 41,650,704.61
February 2007 40,616,263.38
March 2007 38,958,582.62
April 2007 37,602,280.36
May 2007 36,718,803.05
June 2007 35,864,947.06
July 2007 34,675,552.08
August 2007 30,790,380.54
September 2007 24,993,020.81
October 2007 19,794,213.98
November 2007 15,411,229.10
December 2007 12,957,702.93
January 2008 10,169,506.57
February 2008 7,114,082.69
March 2008 4,173,265.39
April 2008 444,393.15
18