Exhibit 99
Term Sheet
Dated January 3, 2003
Subject to Revision
Capital Auto Receivables Asset Trust 2003-1
Issuer
$3,018,600,000 Asset Backed Notes, Class A
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 2003-1. 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are preliminary and will be superseded by a prospectus supplement and by any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
supersedes any prior or similar term sheet.
The trust is offering the following classes of notes:
- ------------------------------------------------------------------------------------------
Class A Notes
- ------------------------------------------------------------------------------------------
A-1 Notes A-2 Notes A-3 Notes A-4 Notes
- ------------------------------------------------------------------------------------------
Principal Amount $1,176,000,000 $592,000,000 $928,000,000 $322,600,000
- ------------------------------------------------------------------------------------------
Interest Rate
- ------------------------------------------------------------------------------------------
Final Scheduled June 15, 2005 January 17, 2006 April 16, 2007 June 15, 2010
Distribution Date
- ------------------------------------------------------------------------------------------
Price to Public
- ------------------------------------------------------------------------------------------
Underwriting Discount
- ------------------------------------------------------------------------------------------
Proceeds to Seller
- ------------------------------------------------------------------------------------------
Credit Enhancement and Liquidity
.. Reserve account, with an initial deposit of $46,680,673.33.
.. Certificates with an initial certificate balance of $93,444,888.51 will be
issued by the trust. The certificates are not being offered under this term
sheet or the prospectus supplement. The certificates are subordinated to
the notes.
Revolving Period
.. The trust will not pay principal during an initial 12 month revolving
period unless the revolving period terminates early as a result of an early
amortization event.
Credit Suisse First Boston JPMorgan Morgan Stanley
ABN AMRO Incorporated
Banc One Capital Markets, Inc.
BNP Paribas
Lehman Brothers
Merrill Lynch & Co.
-------------------------
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 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
Credit Suisse First Boston Corporation at (212) 325-8549, J.P. Morgan Securities
Inc. at (212) 834-4154 or Morgan Stanley & Co. Incorporated at (212) 761-2122.
-----------------------
Summary of Transaction Parties*
[GRAPHIC]
* 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 during the
Revolving Period*
[GRAPHIC]
* This chart provides only a simplified overview of the monthly flow of funds
during the revolving period. Refer to the prospectus supplement and the
prospectus for a further description.
4
Summary of Monthly Deposits to and Withdrawals from Accounts during the
Amortization Period*
[GRAPHIC]
* This chart provides only a simplified overview of the monthly flow of funds
during the amortization period. 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 November 12, 2002 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 superseded by a prospectus supplement to be dated
January __, 2003. Your investment decision should be based solely on the
information in the prospectus supplement and the prospectus.
THE PARTIES
Issuer
Capital Auto Receivables Asset Trust 2003-1 will be the issuer of the notes.
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 four classes of notes listed on the cover page of
this term sheet.
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. 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 February 18, 2003. 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 not pay principal on the notes on any distribution date
related to the revolving period.
.. The trust will pay principal on the notes monthly on each distribution date
related to the amortization period.
.. The trust will make principal payments on the notes based on the amount of
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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 related to the amortization period,
except as described below, a pro rata portion, based on the outstanding
amount of notes and certificates, of the amount available to make principal
payments on the notes and distributions on the certificate balance 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 on or before 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 issue certificates with an initial certificate balance of
$93,444,888.51. The certificates are not being offered under this term sheet or
the prospectus supplement.
The seller will initially retain certificates with an initial certificate
balance of $934,888.51.
Interest Payments
.. The interest rate for the certificates will be either a fixed rate or a
floating rate.
.. 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.
.. The trust will pay interest on the certificates monthly on each
distribution date.
.. Interest will accrue on the certificates from and including the closing
date.
.. 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
.. Generally, to the extent of available amounts, on each distribution date
during the amortization period, a pro rata portion, based on the
outstanding amount of notes and certificates, of the amount available to
make principal payments on the notes and distributions on the certificate
balance will be applied to make distributions on the certificate balance.
No amounts will be applied on the certificate balance during the revolving
period.
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
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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."
The receivables in the trust will be sold on the closing date and during the
revolving period 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 on the closing date and during
the revolving period were or will be acquired by GMAC under special incentive
rate financing programs.
The trust property will, subject to specific exceptions described in the
prospectus, also include:
. monies received under the receivables on or after a cutoff date of
December 1, 2002, which we refer to 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 at 7.00%, was $3,112,044,888.51.
THE REVOLVING PERIOD
The trust will not make payments of principal on the notes or distributions on
the certificate balance during the revolving period.
The "revolving period" consists of the monthly periods from December 2002
through November 2003, and the related distribution dates. We refer to the
monthly periods and the related distribution dates following the revolving
period as the "amortization period."
If an early amortization event occurs, the revolving period will terminate
early, and the amortization period will begin. An early amortization event will
occur if:
. the amount on deposit in the reserve account is less than the required
amount for two consecutive months;
. the amount on deposit in the accumulation account exceeds 1.00% of the
initial aggregate discounted balance of the receivables owned by the
trust; or
. an event of default or servicer default occurs.
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On each distribution date related to the revolving period, amounts otherwise
available to make principal payments on the notes and distributions on the
certificate balance will be applied to purchase additional receivables from the
seller.
To the extent that amounts allocated for the purchase of additional receivables
are not so used on any distribution date related to the revolving period, they
will be deposited into the accumulation account and applied on subsequent
distribution dates related to the revolving period to purchase additional
receivables from the seller.
PRIORITY OF DISTRIBUTIONS
During the revolving period, 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, pro rata;
. interest on the certificates;
. reinvestment in additional receivables and deposits into the
accumulation account, as applicable; and
. deposits into the reserve account.
During the amortization period, 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, pro rata;
. 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 $46,680,673.33 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, to make required distributions on
the notes and the certificates and to make reinvestments in additional
receivables, 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 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 principal balance of the related class or
tranche of floating rate notes or certificates.
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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 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:
. 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.
ERISA CONSIDERATIONS
Subject to additional considerations, an employee benefit plan subject to the
Employee Retirement Income Security Act of 1974 may purchase the notes. 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.
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.
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 Initial Receivables
The initial pool of 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 September 1, 1998;
. has an original term of 6 to 72 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 initial 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.
Additional receivables sold to the trust during the revolving period must
meet substantially similar criteria, as described below. However, these criteria
will not ensure that each subsequent pool of additional receivables will share
the exact characteristics as the initial pool of receivables. As a result, the
composition of the aggregate pool of receivables will change as additional
receivables are purchased by the trust on each distribution date during the
revolving period.
Scheduled interest receivables represent 11% of the aggregate amount
financed as of the initial cutoff date. The balance of the initial 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 initial cutoff date.
Criteria Applicable to the Selection of Additional Receivables During the
Revolving Period
The additional receivables sold to the trust during the revolving period
will be selected from GMAC's portfolio based on several criteria. These criteria
include the requirements that each additional receivable:
. is secured by a new car or light truck;
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. 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 or will be acquired by GMAC in the ordinary course of
business;
. has an original term of 6 to 72 months, provided that the aggregate
principal balance of additional receivables to be added as of the
applicable cutoff date with an original term greater than 60 months
may not exceed 5% of the aggregate principal balance of additional
receivables as of such cutoff date;
. as of the first calendar day of the month in which the additional
receivable is to be purchased, which we refer to the "applicable
cutoff date," the additional receivable will not be considered past
due; that is, the payments due on that additional receivable in excess
of $25 will have been received within 30 days of the scheduled payment
date;
. has a remaining term as of the applicable cutoff date of not less than
6 months;
. has been or will be acquired by GMAC under one of its special
incentive rate financing programs designed to encourage purchases of
new General Motors vehicles; and
. has a final maturity date no later than 6 months prior to the final
scheduled distribution date of the certificates.
The additional receivables will be selected at random from GMAC's portfolio
of receivables that meet the criteria described above and other administrative
criteria utilized by GMAC from time to time. We believe that no selection
procedures adverse to the noteholders will be used in selecting the additional
receivables.
The following tables describe the initial receivables pool as of the
initial cutoff date:
Composition of the Initial Receivables Pool
Weighted Average Annual Percentage Rate of Receivables .............. 3.89%
Aggregate Amount Financed ........................................... $3,300,048,387.48
Number of Contracts in Pool ......................................... 166,379
Average Amount Financed ............................................. $19,834.52
Weighted Average Original Maturity .................................. 57.39 months
Weighted Average Remaining Maturity (Range) ......................... 47.27 months (6 to 72 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 Initial 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% 19,119 $ 305,624,747 9.26%
1.01% to 2.00% 9,928 $ 161,721,513 4.90%
2.01% to 3.00% 39,196 $ 864,847,921 26.21%
3.01% to 4.00% 36,628 $ 850,126,245 25.76%
4.01% to 5.00% 22,056 $ 410,072,770 12.43%
5.01% to 6.00% 34,351 $ 633,715,070 19.20%
6.01% to 7.00% 5,101 $ 73,940,121 2.24%
--------- -------------- ---------
Total 166,379 $3,300,048,387 100.00%
========= ============== =========
Distribution of the Initial Receivables Pool by State
The initial 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 4.67% 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
----- ---------------
Texas ......................... 14.57%
California .................... 13.19%
Michigan ...................... 7.40%
Florida ....................... 6.49%
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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:
. 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 and 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.
Nine Months ended
September 30 Year Ended December 31
-------------------- ---------------------------------------------
New and Used Vehicle Contracts 2002 2001 2001 2000 1999 1998
--------------------------------------------- -------- -------- -------- -------- -------- --------
Total Retail Contracts Outstanding at End
of the Period (in thousands) ................ 4,643 3,615 4,179 3,412 3,120 2,981
Average Daily Delinquency
31-60 Days ............................... 1.81% 1.94% 1.95% 1.92% 2.18% 2.66%
61-90 Days ............................... 0.19% 0.18% 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 ............. 1.83% 1.85% 1.92% 1.84% 2.07% 2.48%
Net Losses as a Percent of Liquidations ..... 1.48% 1.28% 1.42% 1.16% 1.12% 1.70%
Net Losses as a Percent of Average
Receivables ................................. 0.71% 0.64% 0.71% 0.58% 0.58% 0.83%
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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 nine
months ended September 30, 2002 and 2001 are reported as annualized rates.
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 and the
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 an initial pool of uniform
receivables and to each subsequent pool of uniform receivables acquired during
the revolving period. The "initial pool of uniform receivables" is a pool of
uniform receivables with aggregate remaining scheduled payments in each month,
measured as of the initial cutoff date, equal to those of the initial 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 initial 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
$3,112,044,888.51. Each "subsequent pool of uniform receivables" is a pool of
uniform receivables that will be acquired on a distribution date during the
revolving period, having a discounted present value - using a 7.00% discount
rate - equal to the purchase price of that pool. Each subsequent pool of uniform
receivables, as of the applicable cutoff date, will have assumed aggregate
remaining scheduled payments in each month that are proportionate to the
aggregate remaining scheduled payments on the initial pool of uniform
receivables as of the initial cutoff date.
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;
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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 February 18, 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 servicing fee is paid monthly and equals 1% per annum;
7. the closing date occurs on January 15, 2003;
8. no early amortization event or event of default occurs;
9. during the revolving period, the trust fully reinvests in additional
receivables;
10. there are no funds in the accumulation account as the end of the
revolving period; and
11. each subsequent pool of uniform receivables is comprised of
receivables with characteristics as of its applicable cutoff date,
including the proportionate amounts of remaining scheduled payments,
identical to the characteristics of the initial pool of uniform
receivables.
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 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 initial certificate balance of the
certificates that is projected to be outstanding after each of the distribution
dates shown at various constant ABS percentages.
16
Percent of Initial Note Principal Balance Outstanding 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 the
certificates 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-1 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
February 2003 100.00 100.00 100.00 100.00 100.00 100.00
March 2003 100.00 100.00 100.00 100.00 100.00 100.00
April 2003 100.00 100.00 100.00 100.00 100.00 100.00
May 2003 100.00 100.00 100.00 100.00 100.00 100.00
June 2003 100.00 100.00 100.00 100.00 100.00 100.00
July 2003 100.00 100.00 100.00 100.00 100.00 100.00
August 2003 100.00 100.00 100.00 100.00 100.00 100.00
September 2003 100.00 100.00 100.00 100.00 100.00 100.00
October 2003 100.00 100.00 100.00 100.00 100.00 100.00
November 2003 100.00 100.00 100.00 100.00 100.00 100.00
December 2003 100.00 100.00 100.00 100.00 100.00 100.00
January 2004 92.97 91.65 90.70 90.00 89.02 87.91
February 2004 85.95 83.38 81.54 80.17 78.27 76.12
March 2004 78.95 75.21 72.53 70.54 67.76 64.62
April 2004 71.97 67.12 63.67 61.08 57.49 53.43
May 2004 65.01 59.14 54.95 51.82 47.46 42.54
June 2004 58.07 51.25 46.38 42.74 37.67 31.94
July 2004 51.13 43.44 37.94 33.83 28.11 21.64
August 2004 44.22 35.73 29.66 25.11 18.79 11.64
September 2004 37.34 28.12 21.52 16.59 9.72 1.94
October 2004 30.47 20.61 13.54 8.25 0.89 0.00
November 2004 23.62 13.18 5.69 0.09 0.00 0.00
December 2004 16.77 5.82 0.00 0.00 0.00 0.00
January 2005 9.91 0.00 0.00 0.00 0.00 0.00
February 2005 3.05 0.00 0.00 0.00 0.00 0.00
March 2005 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life
(years) to call ............. 1.56 1.48 1.43 1.40 1.36 1.33
Weighted Average Life
(years) to maturity ......... 1.56 1.48 1.43 1.40 1.36 1.33
17
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
February 2003 100.00 100.00 100.00 100.00 100.00 100.00
March 2003 100.00 100.00 100.00 100.00 100.00 100.00
April 2003 100.00 100.00 100.00 100.00 100.00 100.00
May 2003 100.00 100.00 100.00 100.00 100.00 100.00
June 2003 100.00 100.00 100.00 100.00 100.00 100.00
July 2003 100.00 100.00 100.00 100.00 100.00 100.00
August 2003 100.00 100.00 100.00 100.00 100.00 100.00
September 2003 100.00 100.00 100.00 100.00 100.00 100.00
October 2003 100.00 100.00 100.00 100.00 100.00 100.00
November 2003 100.00 100.00 100.00 100.00 100.00 100.00
December 2003 100.00 100.00 100.00 100.00 100.00 100.00
January 2004 100.00 100.00 100.00 100.00 100.00 100.00
February 2004 100.00 100.00 100.00 100.00 100.00 100.00
March 2004 100.00 100.00 100.00 100.00 100.00 100.00
April 2004 100.00 100.00 100.00 100.00 100.00 100.00
May 2004 100.00 100.00 100.00 100.00 100.00 100.00
June 2004 100.00 100.00 100.00 100.00 100.00 100.00
July 2004 100.00 100.00 100.00 100.00 100.00 100.00
August 2004 100.00 100.00 100.00 100.00 100.00 100.00
September 2004 100.00 100.00 100.00 100.00 100.00 100.00
October 2004 100.00 100.00 100.00 100.00 100.00 85.20
November 2004 100.00 100.00 100.00 100.00 84.68 67.12
December 2004 100.00 100.00 95.98 84.31 68.03 49.60
January 2005 100.00 97.10 80.90 68.76 51.83 32.65
February 2005 100.00 82.78 66.08 53.55 36.08 16.27
March 2005 92.46 68.65 51.54 38.71 20.80 0.48
April 2005 78.92 54.72 37.31 24.25 6.00 0.00
May 2005 65.44 40.99 23.38 10.15 0.00 0.00
June 2005 52.01 27.44 9.74 0.00 0.00 0.00
July 2005 38.68 14.14 0.00 0.00 0.00 0.00
August 2005 25.47 1.08 0.00 0.00 0.00 0.00
September 2005 12.35 0.00 0.00 0.00 0.00 0.00
October 2005 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life
(years) to call ............. 2.47 2.32 2.22 2.15 2.06 1.96
Weighted Average Life
(years) to maturity ......... 2.47 2.32 2.22 2.15 2.06 1.96
18
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
February 2003 100.00 100.00 100.00 100.00 100.00 100.00
March 2003 100.00 100.00 100.00 100.00 100.00 100.00
April 2003 100.00 100.00 100.00 100.00 100.00 100.00
May 2003 100.00 100.00 100.00 100.00 100.00 100.00
June 2003 100.00 100.00 100.00 100.00 100.00 100.00
July 2003 100.00 100.00 100.00 100.00 100.00 100.00
August 2003 100.00 100.00 100.00 100.00 100.00 100.00
September 2003 100.00 100.00 100.00 100.00 100.00 100.00
October 2003 100.00 100.00 100.00 100.00 100.00 100.00
November 2003 100.00 100.00 100.00 100.00 100.00 100.00
December 2003 100.00 100.00 100.00 100.00 100.00 100.00
January 2004 100.00 100.00 100.00 100.00 100.00 100.00
February 2004 100.00 100.00 100.00 100.00 100.00 100.00
March 2004 100.00 100.00 100.00 100.00 100.00 100.00
April 2004 100.00 100.00 100.00 100.00 100.00 100.00
May 2004 100.00 100.00 100.00 100.00 100.00 100.00
June 2004 100.00 100.00 100.00 100.00 100.00 100.00
July 2004 100.00 100.00 100.00 100.00 100.00 100.00
August 2004 100.00 100.00 100.00 100.00 100.00 100.00
September 2004 100.00 100.00 100.00 100.00 100.00 100.00
October 2004 100.00 100.00 100.00 100.00 100.00 100.00
November 2004 100.00 100.00 100.00 100.00 100.00 100.00
December 2004 100.00 100.00 100.00 100.00 100.00 100.00
January 2005 100.00 100.00 100.00 100.00 100.00 100.00
February 2005 100.00 100.00 100.00 100.00 100.00 100.00
March 2005 100.00 100.00 100.00 100.00 100.00 100.00
April 2005 100.00 100.00 100.00 100.00 100.00 90.62
May 2005 100.00 100.00 100.00 100.00 94.69 81.30
June 2005 100.00 100.00 100.00 97.72 85.85 72.36
July 2005 100.00 100.00 97.72 89.22 77.33 63.81
August 2005 100.00 100.00 89.44 80.98 69.13 55.64
September 2005 100.00 92.50 81.37 72.98 61.24 47.85
October 2005 99.55 84.44 73.48 65.22 53.64 40.43
November 2005 91.31 76.54 65.82 57.73 46.36 33.39
December 2005 83.35 68.97 58.51 50.60 39.50 26.81
January 2006 75.71 61.74 51.56 43.87 33.04 20.67
February 2006 68.22 54.72 44.88 37.42 26.92 14.91
March 2006 60.85 47.89 38.41 31.23 21.11 9.51
April 2006 53.58 41.22 32.17 25.29 15.59 4.46
May 2006 46.42 34.73 26.13 19.60 10.37 0.00
June 2006 39.36 28.40 20.31 14.15 5.44 0.00
July 2006 32.43 22.25 14.72 8.96 0.80 0.00
August 2006 25.68 16.33 9.37 4.04 0.00 0.00
September 2006 19.10 10.62 4.27 0.00 0.00 0.00
October 2006 12.67 5.10 0.00 0.00 0.00 0.00
November 2006 6.52 0.00 0.00 0.00 0.00 0.00
December 2006 1.09 0.00 0.00 0.00 0.00 0.00
January 2007 0.00 0.00 0.00 0.00 0.00 0.00
19
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%
- ----------------------------- ---------- ---------- ---------- ---------- ---------- ----------
Weighted Average Life
(years) to call ............ 3.35 3.20 3.09 3.00 2.87 2.72
Weighted Average Life
(years) to maturity ........ 3.35 3.20 3.09 3.00 2.87 2.72
20
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
February 2003 100.00 100.00 100.00 100.00 100.00 100.00
March 2003 100.00 100.00 100.00 100.00 100.00 100.00
April 2003 100.00 100.00 100.00 100.00 100.00 100.00
May 2003 100.00 100.00 100.00 100.00 100.00 100.00
June 2003 100.00 100.00 100.00 100.00 100.00 100.00
July 2003 100.00 100.00 100.00 100.00 100.00 100.00
August 2003 100.00 100.00 100.00 100.00 100.00 100.00
September 2003 100.00 100.00 100.00 100.00 100.00 100.00
October 2003 100.00 100.00 100.00 100.00 100.00 100.00
November 2003 100.00 100.00 100.00 100.00 100.00 100.00
December 2003 100.00 100.00 100.00 100.00 100.00 100.00
January 2004 100.00 100.00 100.00 100.00 100.00 100.00
February 2004 100.00 100.00 100.00 100.00 100.00 100.00
March 2004 100.00 100.00 100.00 100.00 100.00 100.00
April 2004 100.00 100.00 100.00 100.00 100.00 100.00
May 2004 100.00 100.00 100.00 100.00 100.00 100.00
June 2004 100.00 100.00 100.00 100.00 100.00 100.00
July 2004 100.00 100.00 100.00 100.00 100.00 100.00
August 2004 100.00 100.00 100.00 100.00 100.00 100.00
September 2004 100.00 100.00 100.00 100.00 100.00 100.00
October 2004 100.00 100.00 100.00 100.00 100.00 100.00
November 2004 100.00 100.00 100.00 100.00 100.00 100.00
December 2004 100.00 100.00 100.00 100.00 100.00 100.00
January 2005 100.00 100.00 100.00 100.00 100.00 100.00
February 2005 100.00 100.00 100.00 100.00 100.00 100.00
March 2005 100.00 100.00 100.00 100.00 100.00 100.00
April 2005 100.00 100.00 100.00 100.00 100.00 100.00
May 2005 100.00 100.00 100.00 100.00 100.00 100.00
June 2005 100.00 100.00 100.00 100.00 100.00 100.00
July 2005 100.00 100.00 100.00 100.00 100.00 100.00
August 2005 100.00 100.00 100.00 100.00 100.00 100.00
September 2005 100.00 100.00 100.00 100.00 100.00 100.00
October 2005 100.00 100.00 100.00 100.00 100.00 100.00
November 2005 100.00 100.00 100.00 100.00 100.00 100.00
December 2005 100.00 100.00 100.00 100.00 100.00 100.00
January 2006 100.00 100.00 100.00 100.00 100.00 100.00
February 2006 100.00 100.00 100.00 100.00 100.00 100.00
March 2006 100.00 100.00 100.00 100.00 100.00 100.00
April 2006 100.00 100.00 100.00 100.00 100.00 100.00
May 2006 100.00 100.00 100.00 100.00 100.00 99.30
June 2006 100.00 100.00 100.00 100.00 100.00 0.00
July 2006 100.00 100.00 100.00 100.00 100.00 0.00
August 2006 100.00 100.00 100.00 100.00 0.00 0.00
September 2006 100.00 100.00 100.00 98.24 0.00 0.00
October 2006 100.00 100.00 98.26 0.00 0.00 0.00
November 2006 100.00 99.64 0.00 0.00 0.00 0.00
December 2006 100.00 0.00 0.00 0.00 0.00 0.00
January 2007 0.00 0.00 0.00 0.00 0.00 0.00
21
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%
- ----------------------------- ---------- ---------- ---------- ---------- ---------- ----------
Weighted Average Life
(years) to call .............. 4.00 3.92 3.83 3.75 3.58 3.42
Weighted Average Life
(years) to maturity .......... 4.41 4.33 4.25 4.18 4.05 3.85
22
Percent of the Initial Certificate Balance Outstanding - Certificates
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
February 2003 100.00 100.00 100.00 100.00 100.00 100.00
March 2003 100.00 100.00 100.00 100.00 100.00 100.00
April 2003 100.00 100.00 100.00 100.00 100.00 100.00
May 2003 100.00 100.00 100.00 100.00 100.00 100.00
June 2003 100.00 100.00 100.00 100.00 100.00 100.00
July 2003 100.00 100.00 100.00 100.00 100.00 100.00
August 2003 100.00 100.00 100.00 100.00 100.00 100.00
September 2003 100.00 100.00 100.00 100.00 100.00 100.00
October 2003 100.00 100.00 100.00 100.00 100.00 100.00
November 2003 100.00 100.00 100.00 100.00 100.00 100.00
December 2003 100.00 100.00 100.00 100.00 100.00 100.00
January 2004 97.26 96.75 96.38 96.10 95.72 95.29
February 2004 94.53 93.52 92.81 92.28 91.53 90.70
March 2004 91.80 90.34 89.30 88.52 87.44 86.22
April 2004 89.08 87.19 85.84 84.84 83.44 81.86
May 2004 86.37 84.08 82.45 81.23 79.53 77.61
June 2004 83.66 81.01 79.11 77.69 75.72 73.49
July 2004 80.96 77.97 75.82 74.22 71.99 69.47
August 2004 78.27 74.96 72.60 70.83 68.36 65.58
September 2004 75.59 72.00 69.43 67.50 64.83 61.80
October 2004 72.91 69.07 66.32 64.26 61.39 58.14
November 2004 70.25 66.18 63.26 61.08 58.04 54.59
December 2004 67.57 63.31 60.25 57.96 54.77 51.16
January 2005 64.90 60.47 57.30 54.91 51.60 47.83
February 2005 62.23 57.67 54.39 51.93 48.51 44.62
March 2005 59.56 54.89 51.54 49.02 45.51 41.52
April 2005 56.91 52.16 48.75 46.18 42.61 38.54
May 2005 54.26 49.47 46.01 43.42 39.80 35.68
June 2005 51.63 46.81 43.34 40.73 37.08 32.93
July 2005 49.02 44.20 40.73 38.12 34.46 30.30
August 2005 46.43 41.64 38.18 35.58 31.94 27.79
September 2005 43.85 39.12 35.70 33.12 29.51 25.40
October 2005 41.29 36.64 33.28 30.74 27.18 23.12
November 2005 38.76 34.22 30.92 28.43 24.94 20.95
December 2005 36.31 31.89 28.67 26.24 22.83 18.93
January 2006 33.96 29.67 26.54 24.17 20.85 17.04
February 2006 31.66 27.51 24.48 22.19 18.96 15.27
March 2006 29.39 25.41 22.50 20.29 17.18 13.61
April 2006 27.16 23.36 20.58 18.46 15.48 12.06
May 2006 24.96 21.36 18.72 16.71 13.87 10.61
June 2006 22.79 19.42 16.93 15.04 12.36 0.00
July 2006 20.66 17.53 15.21 13.44 10.93 0.00
August 2006 18.58 15.71 13.57 11.93 0.00 0.00
September 2006 16.56 13.95 12.00 10.50 0.00 0.00
October 2006 14.58 12.26 10.50 0.00 0.00 0.00
November 2006 12.69 10.65 0.00 0.00 0.00 0.00
December 2006 11.02 0.00 0.00 0.00 0.00 0.00
January 2007 0.00 0.00 0.00 0.00 0.00 0.00
23
Percent of the Initial Certificate Balance Outstanding - Certificates
Distribution Date 0.00% 0.50% 0.80% 1.00% 1.25% 1.50%
- ----------------------------- ---------- ---------- ---------- ---------- ---------- ----------
Weighted Average Life
(years) to call .............. 2.55 2.44 2.35 2.29 2.20 2.10
Weighted Average Life
(years) to maturity .......... 2.59 2.48 2.40 2.34 2.25 2.15
24
Schedule of Remaining Scheduled Payments by Month
Collection Period Scheduled Payments
------------------------------- -------------------------------
December 2002 81,822,326.68
January 2003 81,822,326.68
February 2003 81,822,326.68
March 2003 81,822,326.68
April 2003 81,821,066.08
May 2003 81,790,779.50
June 2003 81,634,623.21
July 2003 81,458,952.48
August 2003 81,285,792.48
September 2003 81,135,553.44
October 2003 80,958,935.09
November 2003 80,760,244.54
December 2003 80,366,309.86
January 2004 79,750,718.22
February 2004 79,047,926.45
March 2004 78,402,183.16
April 2004 77,687,543.80
May 2004 77,119,993.75
June 2004 76,639,644.19
July 2004 75,963,182.47
August 2004 75,263,387.42
September 2004 74,665,531.85
October 2004 74,176,651.07
November 2004 73,919,935.66
December 2004 73,673,397.58
January 2005 73,339,709.18
February 2005 72,801,295.77
March 2005 72,086,156.33
April 2005 71,418,367.53
May 2005 70,807,484.58
June 2005 69,862,039.00
July 2005 68,767,658.65
August 2005 67,963,947.05
September 2005 67,275,884.09
October 2005 66,110,755.57
November 2005 63,083,227.96
December 2005 59,880,291.89
January 2006 58,257,838.87
February 2006 57,093,272.27
March 2006 56,106,985.42
April 2006 55,031,752.19
May 2006 54,023,583.08
June 2006 52,784,303.20
July 2006 51,071,296.09
August 2006 49,479,704.64
September 2006 48,048,387.49
October 2006 45,559,877.90
November 2006 38,809,078.70
December 2006 32,448,877.76
January 2007 29,835,596.56
February 2007 27,209,239.10
March 2007 22,743,314.51
April 2007 19,185,292.59
May 2007 17,241,936.52
25
Schedule of Remaining Scheduled Payments by Month
Collection Period Scheduled Payments
------------------------------- -------------------------------
June 2007 15,140,446.18
July 2007 12,819,626.89
August 2007 10,041,353.81
September 2007 7,591,230.14
October 2007 4,201,085.84
November 2007 1,053,317.47
December 2007 442,354.86
January 2008 387,135.83
February 2008 340,877.96
March 2008 275,845.60
April 2008 224,125.96
May 2008 172,391.75
June 2008 115,474.99
July 2008 57,830.65
August 2008 32,520.88
September 2008 30,196.92
October 2008 10,977.05
November 2008 1,596.24
26