SUBJECT TO REVISION
SERIES TERM SHEET, DATED SEPTEMBER 8, 2003
$1,271,000,000
TOYOTA AUTO RECEIVABLES 2003-B OWNER TRUST
TOYOTA AUTO FINANCE RECEIVABLES LLC,
SELLER
TOYOTA MOTOR CREDIT CORPORATION,
SERVICER
$479,000,000 [____%] ASSET BACKED NOTES, CLASS A-2
$554,000,000 FLOATING RATE ASSET BACKED NOTES, CLASS A-3
$238,000,000 [____%] ASSET BACKED NOTES, CLASS A-4
The trust will issue the following notes:
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INITIAL ACCRUAL FIRST INTEREST FINAL SCHEDULED
PRINCIPAL AMOUNT INTEREST RATE METHOD(3) PAYMENT DATE PAYMENT DATE
------------------ --------------------- ------------- --------------------- ---------------------
Class A-1 Notes(1)..... $556,500,000 [ ]% Actual/360 October 15, 2003 September 15, 2004
Class A-2 Notes........ $479,000,000 [ ] 30/360 October 15, 2003 February 15, 2006
Class A-3 Notes(2)..... $554,000,000 1-mo LIBOR +[ ] % Actual/360 October 15, 2003 August 15, 2007
Class A-4 Notes........ $238,000,000 [ ]% 30/360 October 15, 2003 January 15, 2010
(1) The Class A-1 Notes will not be offered to third party investors at this time. This term sheet is not an offer to
sell or the solicitation of an offer to buy the Class A-1 Notes.
(2) The interest rate on this class of notes will be adjusted on a monthly basis to one-month LIBOR plus the applicable
spread. The trust and Toyota Motor Credit Corporation will enter into an interest rate swap agreement to convert
some of the fixed rate interest yield on the receivables owned by the trust to a floating rate consistent with the
interest accrual on the Class A-3 Notes.
(3) Interest generally will accrue on the Class A-1 and Class A-3 Notes from payment date to payment date, and on the
Class A-2 and Class A-4 Notes from the 15th day of each month to the 15th day of the succeeding month.
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The notes are asset backed securities issued by the trust. The notes are
not obligations of Toyota Motor Credit Corporation, Toyota Auto Finance
Receivables LLC, Toyota Motor Sales, U.S.A., Inc., Toyota Financial Services
Corporation, Toyota Financial Services Americas Corporation, or any of their
respective affiliates. Neither the notes nor the receivables are insured or
guaranteed by any governmental agency.
This term sheet contains structural and collateral information about the
notes, but does not contain complete information about the offering of the
notes. The information contained in this term sheet is preliminary, limited in
nature, and may be changed. The information contained in this term sheet will be
superseded by information contained in the final prospectus supplement and
prospectus relating to the offering of the notes. Sales of notes may not be
completed unless the purchaser has received both the prospectus supplement and
the prospectus. If any statements in this term sheet conflict with statements in
the prospectus supplement or prospectus, the statements in the prospectus
supplement and prospectus will control. This term sheet is not an offer to sell
or the solicitation of an offer to buy the notes. If the offer, solicitation or
sale of the notes in any jurisdiction would be unlawful before the notes are
registered or qualified under the securities laws of that jurisdiction, then
this term sheet cannot be used to offer or sell the notes in that jurisdiction.
NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED THE NOTES OR DETERMINED THAT THIS TERM
SHEET IS ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL
OFFENSE.
JOINT GLOBAL COORDINATORS
JPMORGAN LEHMAN BROTHERS MORGAN STANLEY
CO-MANAGERS
BANC OF AMERICA SECURITIES LLC
BANC ONE CAPITAL MARKETS, INC.
BARCLAYS CAPITAL
CREDIT SUISSE FIRST BOSTON
LOOP CAPITAL MARKETS, LLC
MERRILL LYNCH & CO.
SUMMARY OF TERMS
The following information highlights selected information that will be
contained in and described in greater detail in the final prospectus supplement
and prospectus and provides a general overview of the terms of the notes. The
information contained in this term sheet is preliminary, limited in nature, and
may be changed. The information contained in this term sheet will be superseded
by information contained in the final prospectus supplement and prospectus
relating to the offering of the notes. To understand all of the terms of the
offering of the notes, you should read carefully the prospectus supplement and
the prospectus. Both documents contain information you should consider when
making your investment decision.
ISSUER
Toyota Auto Receivables 2003-B Owner Trust.
SELLER
Toyota Auto Finance Receivables LLC ("TAFR LLC").
SERVICER
Toyota Motor Credit Corporation ("TMCC").
INDENTURE TRUSTEE
The Bank of New York.
OWNER TRUSTEE
U.S. Bank Trust National Association.
CLOSING DATE
On or about September 18, 2003.
CUTOFF DATE
August 1, 2003.
THE NOTES
Class A-1 [___]% Asset Backed Notes in the aggregate initial principal
amount of $556,500,000.
The Class A-1 Notes will not be offered to third party investors at this
time. This term sheet is not an offer to sell or the solicitation of an
offer to buy the Class A-1 Notes.
Class A-2 [___]% Asset Backed Notes in the aggregate initial principal
amount of $479,000,000.
Class A-3 Floating Rate Asset Backed Notes in the aggregate initial
principal amount of $554,000,000.
Class A-4 [___]% Asset Backed Notes in the aggregate initial principal
amount of $238,000,000.
THE SUBORDINATED SELLER'S INTEREST
The trust will also issue to TAFR LLC, as the seller, in certificated form,
a fractional undivided interest in the trust that includes the right to
payment on each payment date to the extent specified in this term sheet of
certain available amounts in excess of those necessary to make payments on
the notes, fund the reserve account or pay amounts due to the holder of the
revolving liquidity note.
This fractional undivided interest will be deemed to have a principal
balance of $56,538,596 as of the closing date, that will be reduced by the
amounts distributed to TAFR LLC in respect thereof as described below under
"E. Payment Priorities--5. Principal Amount of Subordinated Seller's
Interest". This fractional undivided interest will not bear interest and is
not offered by this term sheet.
THE RECEIVABLES
On the closing date the trust will purchase a pool of new and used
automobile and light duty truck retail installment sales contracts
originated by Toyota and Lexus dealers having an aggregate principal balance
of approximately $1,884,038,596 as of the cutoff date. These contracts are
referred to as the "receivables." The receivables were sold by the dealers
to TMCC and will be resold by TMCC to TAFR LLC, who will sell them to the
trust. Additional information about the receivables follows this summary
section.
TERMS OF THE SECURITIES
A. PAYMENT DATES
The fifteenth day of each month or, if the fifteenth day of the month is not
a business day, the next business day, commencing October 15, 2003.
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B. COLLECTION PERIODS
The calendar month preceding the related payment date, except that with
respect to the first payment date the collection period will be the period
from the cutoff date to the last day of the calendar month preceding such
payment date.
C. INTEREST RATES
The Class A-1, Class A-2 and Class A-4 Notes will bear interest for each
interest accrual period at the fixed annual interest rates to be specified
on the cover of the final prospectus supplement.
The Class A-3 Notes will bear interest for each interest accrual period at
one-month LIBOR plus the applicable margin to be specified on the first page
of the final prospectus supplement.
The fractional undivided interest in the trust retained by TAFR LLC will not
bear interest.
D. INTEREST ACCRUAL
The Class A-1 and Class A-3 Notes will accrue interest on an actual/360
basis from (and including) a payment date to (but excluding) the next
payment date, except that the first interest accrual period will be from
(and including) the closing date to (but excluding) October 15, 2003. The
Class A-3 Notes will continue to accrue interest at their floating rate even
if the swap is terminated.
The Class A-2 and Class A-4 Notes will accrue interest on a 30/360 basis
from (and including) the 15th day of each calendar month to (but excluding)
the 15th day of the succeeding calendar month, except that the first
interest accrual period will be from (and including) the closing date to
(but excluding) October 15, 2003.
E. PAYMENT PRIORITIES
In general, noteholders are entitled to receive payments of interest and
principal from the trust only to the extent that net collections on the
receivables, after giving effect to any net swap payments to or by the trust
(including any swap termination payment), advances and reimbursements of
advances by the servicer, and any amounts drawn under the revolving
liquidity note or, if applicable, amounts withdrawn from the reserve
account, are sufficient to make the payments described below in the order of
priority described below.
On each payment date, the trust will make payments from net collections on
the receivables received during the related collection period and, if
necessary, from amounts drawn down under the revolving liquidity note (or,
if applicable, withdrawn from the reserve account).
Advances made by the servicer and any swap payments from the swap
counterparty to the trust (including any swap termination payment) will be
included in collections, and reimbursements of servicer advances and any net
swap payments to the swap counterparty by the trust (including any swap
termination payment) will be deducted from collections before any payments
are made. The trust will make payments in the following order of priority:
1. Servicing Fee--The servicing fee payable to the servicer;
2. Class A Note Interest--Accrued and unpaid interest on the Class A-1,
Class A-2, Class A-3 and Class A-4 Notes, together with any amounts
that were to be paid pursuant to this clause 2 on any prior payment
date but were not paid because sufficient funds were not available
to make such payment (with interest accrued on such unpaid amounts
at the related Note interest rate);
3. Class A Note Principal--(i) To the Class A-1 Notes until the
principal amount thereof is reduced to zero, an amount equal to the
principal distribution amount;
(ii) after the principal amount of the Class A-1 Notes is reduced
to zero, to the Class A-2 Notes until the principal amount of the
Class A-2 Notes is reduced to zero, then to the Class A-3 Notes
until the principal amount of the Class A-3 Notes is reduced to
zero, and then to the Class A-4 Notes until the principal amount
of the Class A-4 Notes is reduced to zero, either (x) an amount
sufficient to reduce the aggregate outstanding principal amount
of Class A Notes to an amount equal to the product of the
noteholders' percentage and the outstanding principal balance of
the receivables as of the last day of the related collection
period or (y) if delinquencies or chargeoffs exceed specified
levels, or if there is an event of default under the Indenture
(including any termination of the swap agreement)
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that results in acceleration of the notes, all remaining amounts
up to the principal distribution amount; and
(iii) if there is an event of default under the indenture
(including any termination of the swap agreement) that results in
acceleration of the notes and unless and until such acceleration
has been rescinded, all remaining amounts will be distributed to
all outstanding Class A Notes on a pro rata basis until their
respective principal amounts have been reduced to zero.
The "principal distribution amount" is the excess, if any, of (x)
the principal balance of the receivables as of the end of the
collection period preceding the related collection period (or, in
the case of the first collection period, as of the cutoff date)
over (y) the principal balance of the receivables as of the end of
the related collection period, together with any amounts that were
to be paid pursuant to clause 3 above on any prior payment date but
were not paid because sufficient funds were not available to make
such payment.
The "noteholders' percentage" for any payment date is the
percentage equivalent of a fraction, the numerator of which is
the aggregate of the principal balances of the Class A-2, Class
A-3, and Class A-4 Notes as of the closing date, and the
denominator of which is the aggregate of such principal balances
plus the principal amount of the subordinated seller's interest
as of the closing date, except that following (a) the cessation
of delinquencies or chargeoffs exceeding specified levels or (b)
the rescission of an acceleration of the notes after an event of
default, the noteholders' percentage for subsequent payment dates
is the lesser of (x) the percentage equivalent of a fraction the
numerator of which is the aggregate of the outstanding principal
balances of the Class A-2, Class A-3 and Class A-4 Notes as of
such payment date (prior to making any distributions on such
payment date) and the denominator of which is the outstanding
principal balance of the receivables as of the end of the
previous collection period and (y) the noteholders' percentage
for the previous payment date;
4. Reserve Account Deposit and/or Revolving Liquidity Note
Repayment--To the extent the reserve account is required to be
funded and amounts then on deposit therein are less than the
specified reserve account balance described below under "H.
Revolving Liquidity Note and Reserve Account", to the reserve
account until the amount on deposit therein equals such specified
reserve account balance, and thereafter, if amounts have been drawn
under the revolving liquidity note as described below under "H.
Revolving Liquidity Note and Reserve Account", to Toyota Motor
Credit Corporation in repayment of such amounts, and then in respect
of any accrued and unpaid interest on amounts so drawn;
5. Principal Amount of Subordinated Seller's Interest--On any payment
date on and after the payment date on which the principal amount of
the Class A-1 Notes has been reduced to zero (but not on any payment
date that occurs during the period when delinquencies or chargeoffs
exceed specified levels or following an event of default under the
indenture that results in the acceleration of the notes unless and
until such acceleration has been rescinded), an amount sufficient to
reduce the outstanding principal amount of the subordinated seller's
interest to an amount equal to the product of the subordinated
seller's interest percentage and the outstanding principal balance
of the receivables as of the last day of the related collection
period (for such purposes, the "subordinated seller's interest
percentage" for any payment date is 100% minus the noteholders'
percentage for such payment date); and
6. Excess Amounts--Any remaining amounts will be distributed to TAFR
LLC in respect of its fractional undivided interest in the trust
without further reduction of the principal amount of the
subordinated seller's interest.
To the extent there is an event of default under the indenture (including
any termination of the swap agreement) that results in acceleration of the
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notes, the "Payment Priorities" above will be revised so that principal for
all outstanding Class A Notes will be paid on a pro rata basis, rather than
sequentially.
Under those circumstances, the amounts available to make payments to any
class of Class A Notes may be reduced based on (i) the sufficiency of
proceeds from the liquidation of the assets of the trust and (ii) any
obligation of the trust to make a swap termination payment to the swap
counterparty, which obligation will be senior in priority to all
distributions to holders of the Class A Notes.
F. SUBORDINATION
As long as any Class A Notes remain outstanding, on each payment date (i)
all deposits into the reserve account will be subordinated to payments of
interest on and principal of the Class A Notes, (ii) repayment of amounts
drawn under the revolving liquidity note (and interest accrued thereon) will
be subordinated to payments of interest on and principal of the Class A
Notes and any required deposits into the reserve account, (iii) repayment of
interest accrued on amounts drawn under the revolving liquidity note will be
subordinated to payments of interest on and principal of the Class A Notes,
any required deposits into the reserve account and repayment of amounts
drawn under the revolving liquidity note and (iv) payments in respect of the
fractional undivided interest in the trust issued to TAFR LLC will be
subordinated to payments of interest on and principal of the Class A Notes,
any required deposits into the reserve account and repayment of amounts
drawn under the revolving liquidity note (and interest accrued thereon).
G. SWAP AGREEMENT
The trust will enter into a swap agreement with Toyota Motor Credit
Corporation, as swap counterparty. Under the swap agreement, on each payment
date the trust will be obligated to pay to the swap counterparty an amount
equal to interest accrued on a notional amount equal to the principal
balance of the Class A-3 Notes at a notional fixed rate of [__]%, and the
swap counterparty will be obligated to pay to the trust interest accrued on
the Class A-3 Notes at their floating rate. Payments will be made on a net
basis between the trust and the swap counterparty.
Certain events that are not entirely within the control of the trust or the
swap counterparty may, and any event of default under the indenture that
results in the acceleration of the notes will, cause the termination of the
swap agreement. Upon a termination of the swap agreement, if the notes are
accelerated, the principal of the Class A Notes will be immediately due and
payable and the indenture trustee will be obligated to liquidate the assets
of the trust. Certain events that would cause termination of the swap
agreement would also cause the trust to be obligated to make a swap
termination payment to the swap counterparty (the amount of which the trust
cannot estimate at the date hereof, but which may be significant). Any swap
termination payment owed to the swap counterparty would reduce the amounts
available to be paid to all noteholders following any termination and
liquidation. In this event, holders of the Class A Notes may suffer a loss.
Toyota Motor Credit Corporation's long term debt ratings are Aaa and AAA by
Moody's Investors Service ("Moody's") and Standard & Poor's, a division of
The McGraw-Hill Companies, Inc. ("S&P"), respectively, and its short term
debt ratings are P-1 and A-1+ by Moody's and S&P, respectively. In the event
the long term debt ratings of the swap counterparty are reduced below Aa3 by
Moody's or AA- by S&P, or the short-term ratings are reduced below P-1 by
Moody's or A-1 by S&P (or, in either case, such lower ratings as may be
permitted by Moody's and S&P), the swap counterparty may assign the swap
agreement to another party, obtain a replacement swap agreement on
substantially the same terms as the swap agreement, or collateralize its
obligations under the swap agreement. However, the swap counterparty shall
have no obligation to assign the swap agreement, obtain a replacement swap
agreement or collateralize its obligations under the swap agreement in the
event of a ratings downgrade, and neither the trust nor noteholders will
have any remedy against the swap counterparty with respect to these events.
H. REVOLVING LIQUIDITY NOTE AND RESERVE ACCOUNT
On the closing date, the trust will issue a revolving liquidity note to be
held by Toyota Motor Credit Corporation. On or before each payment date, the
indenture trustee will be entitled to make draw requests that are to be
funded by Toyota Motor Credit Corporation in order to enable the trust to
fund shortfalls in payments of principal or interest due on the Notes on the
related payment date to the extent such shortfalls are not funded from
amounts on deposit in the reserve account. Except as described below, no
funds will be available from, and no amounts will
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be deposited into, the reserve account. The aggregate amounts that may be
so drawn and outstanding under the revolving liquidity note is $9,420,193
(0.50% of the outstanding principal balance of the receivables as of the
cutoff date). The Trust will be obligated to repay amounts so drawn and
interest accrued thereon at [__]% per annum on subsequent payment dates
from amounts available for such purposes in accordance with the payment
priorities described above under "E. Payment Priorities-- Reserve Account
Deposit and/or Revolving Liquidity Note Repayment". The amounts available
to be drawn under the revolving liquidity note will be reduced by amounts
previously drawn, and increased (up to the initial balance thereof of
$9,420,193) by amounts so repaid. On any payment date, the repayment of
amounts drawn under the revolving liquidity note and payment of interest on
such drawn amounts will be subordinated to the prior payment of interest
and principal on the Class A Notes on such payment date and to any deposit
into the reserve account of any amount required to be deposited therein on
such payment date.
If Toyota Motor Credit Corporation's short-term unsecured debt rating falls
below P-1 by Moody's or A-1+ by S&P, (or in either case, such lower ratings
as may be permitted by Moody's and S&P) or if Toyota Motor Credit
Corporation fails to fund any amount drawn under the revolving liquidity
note, then the indenture will require the indenture trustee to demand
payment of the entire undrawn amount of the revolving liquidity note and to
deposit such payment into the reserve account. If such event occurs,
thereafter the reserve account must be maintained as detailed below.
Following the occurrence of the downgrade event referred to in the preceding
paragraph, or failure of Toyota Motor Credit Corporation to fund the amount
drawn under the revolving liquidity note, as described above, the specified
reserve account balance at the close of business on any payment date will be
an amount equal to $9,420,193 (0.50% of the outstanding principal balance of
the receivables as of the cutoff date). Whether or not any such event has
occurred, if charge-offs or delinquencies exceed specified levels, the
aggregate specified balance to be available under a combination of the
revolving liquidity note (reduced by amounts drawn thereunder) and the
reserve account will be the greater of (i) 0.50% of the outstanding
principal balance of the receivables as of the cutoff date and (ii) 3.50% of
the outstanding principal balance of the notes as of such payment date
(after giving effect to payments of principal made on such date).
On or before each payment date, if collections on the receivables, any net
swap payments to the trust and advances by the servicer are insufficient to
pay the first three items listed under "E. Payment Priorities" above, the
indenture trustee will withdraw funds (if available) from the reserve
account, and then, to the extent necessary and to the extent there is an
undrawn balance thereunder, draw on the revolving liquidity note to pay
those amounts.
If the principal balance of a class of notes is not paid in full on the
related final scheduled payment date, the indenture trustee will withdraw
amounts (if available) from the reserve account, and then, to the extent
necessary and to the extent there is an undrawn balance thereunder, draw on
the revolving liquidity note to pay that class in full.
On each payment date, the trust will (x) to the extent specified above,
deposit, to the extent available, the amount, if any, necessary to cause the
balance of funds on deposit in the reserve account to equal the specified
reserve account balance described above and (y) repay to Toyota Motor Credit
Corporation, the principal amounts drawn under the revolving liquidity note
(and when all principal has been paid, interest thereon) that have not been
repaid, in each case, after all other distributions are made on the Notes.
I. FINAL SCHEDULED PAYMENT DATES
The trust is required to pay the outstanding principal amount of each class
of notes in full on or before the related final scheduled payment date
specified on the first page of this term sheet.
J. OPTIONAL REDEMPTION; CLEAN-UP CALL
The servicer may redeem the Class A Notes in whole, but not in part, at a
price at least equal to the unpaid principal amount of those notes plus any
accrued and unpaid interest thereon and any amounts due to Toyota Motor
Credit Corporation under the revolving liquidity note, on any payment date
when the outstanding principal balance of the receivables has declined to
10% or less of the principal balance of the receivables as of the cutoff
date.
MINIMUM DENOMINATIONS
The notes will be issued only in denominations of $1,000 or more.
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REGISTRATION OF THE SECURITIES
Interests in the notes will be held through The Depository Trust Company in
the United States, or Clearstream or the Euroclear System in Europe or Asia.
This is referred to as book-entry registration. You will not receive a
definitive note except under limited circumstances.
We expect the notes to be delivered through The Depository Trust Company,
Clearstream and the Euroclear System on or about September 18, 2003.
TAX STATUS
Subject to important considerations described in the prospectus supplement
and prospectus, O'Melveny & Myers LLP, special tax counsel to the trust,
will deliver its opinion that the Class A-2, Class A-3 and Class A-4 Notes
will be characterized as debt for federal income tax purposes and that the
trust will not be characterized as an association or a publicly traded
partnership taxable as a corporation for federal income and California
income and franchise tax purposes.
If you purchase the notes, you will agree to treat the notes as debt
instruments.
ERISA CONSIDERATIONS
Subject to the important considerations described in the prospectus
supplement and prospectus, the notes generally are eligible for purchase by
employee benefit plans.
If you are a benefit plan fiduciary considering the purchase of notes, you
should consult with your counsel in determining whether all required
conditions have been satisfied.
RATINGS
It is a condition to the issuance of the securities that the Class A-2,
Class A-3 and Class A-4 Notes be rated "AAA" by S&P, and "Aaa" by Moody's.
A security rating is not a recommendation to buy, sell or hold notes. The
ratings of the notes address the likelihood of the payment of principal and
interest on the notes in accordance with their terms. A rating agency may
subsequently lower or withdraw its rating of any class of notes. If this
happens, no person or entity will be obligated to provide any additional
credit enhancement for the notes.
The trust will obtain the ratings mentioned above from S&P and Moody's.
However, another rating agency may rate the notes and, if so, may assign
ratings lower than the ratings obtained by the trust.
RISK FACTORS
Investment in the notes is subject to various risks, many of which will be
described under the caption "Risk Factors" in the final prospectus
supplement and prospectus relating to the notes, each of which should be
read carefully in connection with any decision to invest in the notes.
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THE RECEIVABLES POOL
The receivables are required to meet certain selection criteria as of the
cutoff date. Pursuant to such criteria, each receivable: (i) was, at the time of
origination, secured by a new or used automobile or light duty truck; (ii) was
originated in the United States; (iii) provides for scheduled monthly payments
that fully amortize the amount financed by such receivable over its original
term (except for minimally different payments in the first or last month in the
life of the receivable); (iv) had an original number of scheduled payments of
not less than 12 and not more than 72 and, as of the cutoff date, had a
remaining number of scheduled payments of not less than 4 and not more than 71;
(v) provides for the payment of a finance charge at an annual percentage rate
ranging from 0.00% to 10.00%; (vi) does not have a payment that is more than 30
days past due as of the cutoff date; (vii) is not a receivable as to which
payments ahead of more than 6 scheduled payments have been received from or on
behalf of the related obligor; (viii) is being serviced by TMCC; (ix) to the
best knowledge of the seller, is not due from any obligor who is presently the
subject of a bankruptcy proceeding or is bankrupt or insolvent; (x) does not
relate to a vehicle that has been repossessed without reinstatement as of the
cutoff date; (xi) does not relate to a vehicle as to which insurance has been
force-placed as of the cutoff date; (xii) as of the cutoff date had a remaining
principal balance of not less than $250 and not more than $60,000; and (xiii) as
to which the related obligor is not an employee of TMCC or any of its
affiliates. TMCC does not originate retail installment sales contracts in
Hawaii, and retail installment sales contracts originated in Arizona, Maine or
Tennessee, or those originated by a subsidiary of TMCC operating in Puerto Rico,
will not be included in the trust. No selection procedures believed by the
seller to be adverse to noteholders have been used in selecting the receivables.
As of the cutoff date, the average principal balance of the receivables
was approximately $15,665. Based on the addresses of the originating dealers,
the receivables have been originated in 46 states. Except in the case of any
breach of representations and warranties by the related dealer, the receivables
generally do not provide for recourse against the originating dealer. By
aggregate principal balance as of the cutoff date, approximately 0.36% of the
receivables constitute precomputed receivables and approximately 99.64% of the
receivables constitute simple interest receivables. By aggregate principal
balance as of the cutoff date and by number of receivables as of the cutoff
date, respectively, approximately 75.00% (by aggregate principal balance) and
71.41% (by number of receivables as of the cutoff date) of the receivables
relate to new vehicles financed by TMCC. The remaining 25.00% and 28.59%,
respectively, represent used vehicles financed by TMCC. Approximately 95.22% of
the aggregate principal balance of the receivables as of the cutoff date
represent financing of vehicles manufactured or distributed by Toyota Motor
Corporation or its affiliates.
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The composition, distribution by annual percentage rate and geographic
distribution of the receivables as of the cutoff date are as set forth in the
following
COMPOSITION OF THE RECEIVABLES
Total Cutoff Date Principal Balance............................................ $ 1,884,038,596
Number of Receivables.......................................................... 120,273
Average Cutoff Date Principal Balance.......................................... $15,665
Range of Cutoff Date Principal Balances..................................... $623-$59,994
Average Original Amount Financed............................................... $19,480
Range of Original Amount Financed........................................... $1,453-$83,383
Weighted Average APR(1)........................................................ 6.095%
Range of APRs............................................................... 0.00%-10.00%
Weighted Average Original Number of Scheduled Payments(1)...................... 58.04
Range of Original Number of Scheduled Payments.............................. 12-72
Weighted Average Remaining Number of Scheduled Payments(1)..................... 48.05
Range of Remaining Number of Scheduled Payments............................. 4-71
- --------------
(1) Weighted by Principal Balance as of the Cutoff Date.
DISTRIBUTION OF THE RECEIVABLES BY APR
PERCENTAGE OF
PERCENTAGE OF CUTOFF DATE
NUMBER OF TOTAL NUMBER OF CUTOFF DATE PRINCIPAL
RANGE OF APRS RECEIVABLES RECEIVABLES PRINCIPAL BALANCE BALANCE
- ------------------- --------------- ----------------- ----------------------- ----------------
0.00% - 0.99%................... 8,914 7.41% $ 129,785,290.77 6.89%
1.00% - 1.99%................... 921 0.77 13,100,675.81 0.70
2.00% - 2.99%................... 2,046 1.70 31,532,720.60 1.67
3.00% - 3.99%................... 2,067 1.72 35,876,921.57 1.90
4.00% - 4.99%................... 17,726 14.74 313,667,548.71 16.65
5.00% - 5.99%................... 19,085 15.87 308,653,470.66 16.38
6.00% - 6.99%................... 24,191 20.11 382,344,894.60 20.29
7.00% - 7.99%................... 24,660 20.50 369,871,991.29 19.63
8.00% - 8.99%................... 12,603 10.48 186,289,130.57 9.89
9.00% - 9.99%................... 7,308 6.08 101,321,992.27 5.38
10.00%.......................... 752 0.63 11,593,959.27 0.62
--------------- -------------- ----------------------- ----------------
TOTAL(1) 120,273 100.0% $ 1,884,038,596.12 100.00%
=============== ============== ======================= ================
- --------------
(1) Percentages may not add to 100% due to rounding.
9
DISTRIBUTION OF THE RECEIVABLES BY STATE(1)
PERCENTAGE
OF TOTAL PERCENTAGE OF
NUMBER OF NUMBER OF CUTOFF DATE CUTOFF DATE
STATE RECEIVABLES RECEIVABLES PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------------- -------------- ----------- --------------------- ---------------------
Alabama........................ 220 0.18% $ 5,167,109.70 0.27%
Alaska......................... 81 0.07 1,419,053.60 0.08
Arkansas....................... 2,498 2.08 40,423,211.23 2.15
California..................... 32,688 27.18 540,224,188.96 28.67
Colorado....................... 2,067 1.72 35,279,280.33 1.87
Connecticut.................... 2,561 2.13 38,087,105.12 2.02
Delaware....................... 269 0.22 4,383,306.44 0.23
Florida........................ 746 0.62 18,026,104.52 0.96
Georgia........................ 307 0.26 7,771,259.22 0.41
Idaho.......................... 509 0.42 7,718,216.80 0.41
Illinois....................... 4,951 4.12 77,094,039.09 4.09
Indiana........................ 1,223 1.02 19,051,065.75 1.01
Iowa........................... 530 0.44 8,327,782.38 0.44
Kansas......................... 1,068 0.89 16,680,746.52 0.89
Kentucky....................... 1,536 1.28 22,685,455.90 1.20
Louisiana...................... 3,491 2.90 58,004,457.03 3.08
Maryland....................... 1,715 1.43 21,927,839.37 1.16
Massachusetts.................. 4,037 3.36 56,348,595.46 2.99
Michigan....................... 1,873 1.56 28,797,497.13 1.53
Minnesota...................... 1,292 1.07 20,903,002.19 1.11
Mississippi.................... 957 0.80 15,449,909.73 0.82
Missouri....................... 2,253 1.87 32,604,448.09 1.73
Montana........................ 169 0.14 2,365,321.52 0.13
Nebraska....................... 326 0.27 5,092,527.30 0.27
Nevada......................... 1,223 1.02 22,110,085.33 1.17
New Hampshire.................. 1,116 0.93 14,542,104.13 0.77
New Jersey..................... 6,525 5.43 97,772,507.14 5.19
New Mexico..................... 708 0.59 11,553,399.25 0.61
New York....................... 7,584 6.31 107,451,115.62 5.70
North Carolina................. 269 0.22 6,441,641.12 0.34
North Dakota................... 41 0.03 599,982.42 0.03
Ohio........................... 3,630 3.02 51,643,744.58 2.74
Oklahoma....................... 1,067 0.89 17,502,682.45 0.93
Oregon......................... 1,872 1.56 27,884,391.50 1.48
Pennsylvania................... 5,554 4.62 82,020,154.09 4.35
Rhode Island................... 389 0.32 5,183,975.86 0.28
South Carolina................. 87 0.07 1,978,713.18 0.11
South Dakota................... 98 0.08 1,479,825.03 0.08
Texas.......................... 11,751 9.77 176,127,517.77 9.35
Utah........................... 638 0.53 10,808,184.28 0.57
Vermont........................ 368 0.31 4,851,676.96 0.26
Virginia....................... 5,909 4.91 97,929,276.33 5.20
Washington..................... 2,273 1.89 36,091,596.01 1.92
West Virginia.................. 452 0.38 6,679,282.63 0.35
Wisconsin...................... 1,244 1.03 17,947,565.56 0.95
Wyoming........................ 108 0.09 1,607,651.50 0.09
-------------- ----------- --------------------- ---------------------
TOTAL(2) 120,273 100.00% $ 1,884,038,596.12 100.00%
============== =========== ===================== =====================
Number of States Represented... 46
- --------------
(1) Based solely on the addresses of the originating dealers.
(2) Percentages may not add to 100% due to rounding.
10
DELINQUENCIES, REPOSSESSIONS AND NET LOSSES
Set forth below is certain information concerning TMCC's experience with
respect to its portfolio of new and used automobile and light duty truck retail
installment sales contracts which it has funded and is servicing, including
contracts that have been securitized.
The data presented in the following tables are for illustrative purposes
only. There is no assurance that TMCC's delinquency, credit loss and
repossession experience with respect to automobile and light duty truck retail
installment sales contracts in the future, or the experience of the Trust with
respect to the receivables, will be similar to that set forth below.
Contracts funded and serviced by TMCC have experienced significantly
increased delinquency rates during the preceding 30 months. Repossession and
credit loss experience with respect to such contracts have also increased during
the same period. Increased delinquency and credit losses are significantly
influenced by the combined impact of a number of factors, including the effects
of TMCC's field restructuring, lower used vehicle prices, continued economic
weakness, longer term financing and tiered/risk based pricing. The physical
restructuring of field operations began in fiscal 2001 and was completed in
fiscal 2003. The restructuring activities during and following completion of the
physical restructuring disrupted normal collection activities. In an effort to
reduce the disruptive impact from the restructuring, TMCC continues to review
and refine current processes and deploy additional resources and technology.
Lower used vehicle prices also contributed to increases in credit loss severity.
The continuation of manufacturer incentives on new vehicles is considered to be
a significant contributor to decreased used vehicle prices. The current pressure
on used vehicle prices is expected to continue well into fiscal 2004. Continued
economic weakness as reflected in increased unemployment and personal bankruptcy
filings in the United States has also contributed, in part, to TMCC's increased
delinquencies and frequency of credit losses. In addition, increased
delinquencies and credit losses can be attributed, in part, to increases in the
volume of higher risk contracts in connection with the tiered/risk based pricing
program. The objective of this program is to better match credit risk with
contract rates charged to allow TMCC to purchase contracts with a wider range of
credit risk levels. The impact of the tiered/risk based pricing program, which
was fully implemented as of March 2001, is now considered to be less of a
contributing factor to higher credit losses. In prior periods, the increase in
the level of credit losses experienced by TMCC was more significantly influenced
by the implementation of tiered pricing. While the implementation of tiered
pricing has resulted in increased overall credit losses, the period-to-period
effects have lessened over time. Consistent with industry trends, TMCC has also
experienced a general increase in the average original contract term of retail
installment sales contracts. Historically, longer term contracts experience
higher credit losses. TMCC expects that the adverse impact of the field
restructuring should lessen as a result of measures taken to improve processes
and technology; however, TMCC remains cautious regarding the near term economic
outlook, the benefit of actions taken and the potential impact on these factors
affecting credit loss experience.
The percentages in the tables below have not been adjusted to eliminate
the effect of the growth of TMCC's portfolio. Accordingly, the delinquency,
repossession and net loss percentages would be expected to be higher than those
shown for any group of receivables that are isolated for any period or periods
of time and the delinquency, repossession and net loss data measured the
activity only for that isolated group over the periods indicated, as will be the
case for the receivables. If the credit losses on the receivables included in
the trust are greater than the historical credit loss experience listed below,
the yield to holders of the Class A Notes could be adversely affected. In
addition, most of the contracts included in the Series 2003-B pool will have
been originated under the tiered pricing program, which was launched nationally
in fiscal 2000, and may be expected to perform differently than has TMCC's
entire portfolio during the periods described in the following tables.
11
HISTORICAL DELINQUENCY EXPERIENCE(1), (2)
AT JUNE 30, AT MARCH 31, AT SEPTEMBER 30,
------------- ----------------------------------- ------------------------
2003 2003 2002 2001 2000 1999
------------- ---------- --------- ---------- ---------- ----------
Outstanding Contracts(3)......... 1,654,436 1,564,391 1,309,041 1,023,280 948,004 782,832
Delinquencies as a Percentage of
Contracts Outstanding(4)
30 - 59 days................... 1.60% 1.75% 1.96% 1.71% 1.82% 1.33%
60 - 89 days................... 0.41% 0.41% 0.38% 0.15% 0.19% 0.10%
Over 89 days................... 0.25% 0.30% 0.32% 0.11% 0.09% 0.07%
- --------------
(1) In fiscal year 2000, TMCC changed its year-end from September 30 to March
31. However, historical delinquency data from 1999 and 2000 is reported
as of each September 30 fiscal year end. Historical delinquency data
covering the six month period beginning October 1, 2000 and ending March
31, 2001 will cover only that six-month transitional period. After April
1, 2002, all subsequent disclosure of historical year-end delinquency
data will be as of the preceding March 31.
(2) The historical delinquency data reported in this table includes all
retail installment sales contracts originated by TMCC, including those
originated in Arizona, Maine and Tennessee and those originated by a
subsidiary of TMCC operating in Puerto Rico. Retail installment sales
contracts originated in Arizona, Maine and Tennessee and those originated
by a subsidiary of TMCC operating in Puerto Rico will not be included in
the Series 2003-B pool.
(3) Number of contracts outstanding at end of period.
(4) The period of delinquency is based on the number of days payments are
contractually past due. A payment is deemed to be past due if less than
90% of such payment is made on the related payment date.
12
NET LOSS AND REPOSSESSION EXPERIENCE(1), (2)
(DOLLARS IN THOUSANDS)
FOR THE THREE FOR THE FISCAL YEARS ENDED FOR THE SIX FOR THE FISCAL YEAR ENDED
MONTHS ENDED MARCH 31, MONTHS ENDED SEPTEMBER 30,
JUNE 30, -------------------------- MARCH 31, --------------------------
2003 2003 2002 2001 2000 1999
------------- ------------- ----------- ------------ ------------- -----------
Principal Amount
Outstanding(3) $22,994,577 $21,609,804 $17,773,351 $12,891,924 $11,984,915 $9,699,078
Average Principal Amount
Outstanding(4) $22,302,191 $19,691,577 $15,332,638 $12,438,420 $10,841,997 $8,887,357
Number of Contracts
Outstanding 1,654,436 1,564,391 1,309,041 1,023,280 948,004 782,832
Average Number of
Contracts Outstanding(4) 1,609,414 1,436,716 1,166,161 985,642 865,418 731,204
Number of Repossessions(5) 7,428 28,698 18,887 7,693 11,449 9,930
Number of Repossessions as
a Percent of the Number of
Contracts Outstanding 1.80%(8) 1.83% 1.44% 1.50%(8) 1.21% 1.27%
Number of Repossessions as
a Percent of the Average
Number of Contracts
Outstanding 1.85%(8) 2.00% 1.62% 1.56%(8) 1.32% 1.36%
Gross Charge-Offs(6) $61,671 $221,606 $110,466 $38,748 $54,621 $49,942
Recoveries(7) $7,590 $22,075 $11,722 $4,690 $8,487 $8,060
Net Losses $54,081 $199,531 $98,744 $34,058 $46,134 $41,882
Net Losses as a Percentage
of Principal Amount
Outstanding 0.94%(8) 0.92% 0.56% 0.53%(8) 0.38% 0.43%
Net Losses as a Percentage
of Average Principal
Amount Outstanding 0.97%(8) 1.01% 0.64% 0.55%(8) 0.43% 0.47%
- --------------
(1) In fiscal year 2000, TMCC changed its year-end from September 30 to March
31. However, historical net loss and repossession data from 1999 and 2000
is reported as of each September 30 fiscal year end. Historical net loss
and repossession data covering the six month period beginning October 1,
2000 and ending March 31, 2001 will cover only that six-month
transitional period. After April 1, 2002, all subsequent disclosure of
historical year-end net loss and repossession data will be as of the
preceding March 31.
(2) The historical net loss and repossession data reported in this table
includes all retail installment sales contracts originated by TMCC,
including those originated in Arizona, Maine and Tennessee and those
originated by a subsidiary of TMCC operating in Puerto Rico. Retail
installment sales contracts originated in Arizona, Maine and Tennessee
and those originated by a subsidiary of TMCC operating in Puerto Rico
will not be included in the Series 2003-B pool.
(3) Principal Amount Outstanding includes payoff amount for simple interest
contracts and net principal amount for precomputed contracts and
unamortized dealer reserve for all contracts.
(4) Average of the principal amount or number of contracts outstanding as of
the beginning and end of the indicated periods.
(5) Includes bankrupt repossessions but excludes bankruptcies.
(6) Amount charged off is the net remaining principal balance, including
earned but not yet received finance charges, repossession expenses and
unpaid extension fees, less any proceeds from the liquidation of the
related vehicle. Also includes dealer reserve charge-offs.
(7) Includes all recoveries from post-disposition monies received on
previously charged-off contracts including any proceeds from the
liquidation of the related vehicle after the related charge-off. Also
includes recoveries for dealer reserve charge-offs and dealer reserve
chargebacks.
(8) Annualized on the basis of the fiscal year ends determined as described in
note (1) above.
WEIGHTED AVERAGE LIVES OF THE NOTES
Prepayments on automotive receivables can be measured relative to a
prepayment standard or model. The model used in this term sheet, the Absolute
Prepayment Model ("ABS"), represents an assumed rate of prepayment each month
relative to the original number of receivables in a pool of receivables. ABS
further assumes that all the receivables in such a pool are the same size and
amortize at the same rate and that each such receivable will, in each
13
month of its life, either be paid as scheduled or be prepaid in full. For
example, in a pool of receivables originally containing 10,000 receivables, a 1%
ABS rate means that 100 receivables prepay each month. ABS does not purport to
be an historical description of prepayment experience or a prediction of the
anticipated rate of prepayment of any pool of receivables, including the
receivables.
As the rate of payment of principal of each class of notes will depend on
the rate of payment (including prepayments) of the principal balance of the
receivables, final payment of any class of notes could occur significantly
earlier than the respective final scheduled payment date for such class.
Reinvestment risk associated with early payment of the notes of any class will
be borne exclusively by the holders of such notes.
The table captioned "Percent of Initial Note Principal Amount at Various
ABS Percentages" (the "ABS Table") has been prepared on the basis of the
characteristics of the receivables described above. The ABS Table assumes that
(i) the receivables prepay in full at the specified constant percentage of ABS
monthly, with no defaults, losses or repurchases, (ii) each scheduled monthly
payment on each receivable is scheduled to be made and is made on the last day
of each month commencing August 31, 2003 and each month has 30 days, (iii) the
notes are issued on September 18, 2003 and payments are made on the notes on
each payment date (and each such date is assumed to be the fifteenth day of each
applicable month), (iv) the balance in the reserve account on each payment date
is the required amount described in the summary under "H. Revolving Liquidity
Note and Reserve Account", if applicable, (v) except as otherwise indicated, the
servicer exercises its option to purchase the receivables on the earliest
payment date on which such option may be exercised, (vi) there is no swap
termination or other event resulting in the acceleration of the Class A Notes,
and (vii) the net of swap payments from the Trust to the Swap Counterparty and
swap payments from the Swap Counterparty to the Trust is zero. The hypothetical
pools each have an assumed cutoff date of August 1, 2003. The ABS Table
indicates the projected weighted average life of each class of notes and sets
forth the percent of the initial principal amount of each class of notes that is
projected to be outstanding after each of the payment dates shown at various
constant ABS percentages.
The ABS Table also assumes that the receivables have been aggregated into
hypothetical pools with all of the receivables within each such pool having the
following characteristics and that the level scheduled monthly payment for each
of the pools (which is based on its aggregate principal balance, APR, original
term to maturity and remaining term to maturity as of the assumed cutoff date)
will be such that each pool will be fully amortized by the end of its remaining
term to maturity.
REMAINING
TERM TO ORIGINAL TERM
NUMBER OF AGGREGATE PRINCIPAL MATURITY TO MATURITY
POOL RECEIVABLES BALANCE APR (%) (IN MONTHS) (IN MONTHS)
- -------- --------------- ------------------------ ----------- -------------- ----------------
1....................... 3,074 $ 10,927,120.48 6.525 9 41
2....................... 4,819 33,805,084.22 4.168 15 38
3....................... 4,128 36,966,915.19 5.180 20 38
4....................... 6,441 73,665,930.23 4.139 27 41
5....................... 12,930 176,182,558.03 3.690 33 44
6....................... 11,062 153,992,175.22 6.731 39 57
7....................... 16,564 252,835,423.52 6.697 45 58
8....................... 25,248 432,565,403.61 6.399 50 60
9....................... 26,816 507,494,937.51 6.101 57 62
10...................... 4,456 94,382,495.30 7.573 62 71
11...................... 4,735 111,220,552.81 7.336 69 72
--------------- ------------------------ ----------- -------------- ----------------
120,273 $1,884,038,596.12 6.095 48 58
=============== ======================== =========== ============== ================
The actual characteristics and performance of the receivables will differ
from the assumptions used in constructing the ABS Table. 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 the receivables will prepay at the
same level of ABS. Moreover, the diverse terms of receivables within each of the
hypothetical pools could produce slower or faster principal distributions than
indicated in the ABS Table at the various constant percentages of ABS specified,
even if the original and remaining terms to maturity of the receivables are as
assumed. Any difference between such assumptions and the actual characteristics
and performance of the receivables, or actual prepayment experience, will affect
the percentages of initial amounts outstanding over time and the weighted
average lives of each class of notes.
14
PERCENT OF INITIAL NOTE PRINCIPAL AMOUNT AT VARIOUS ABS PERCENTAGES
CLASS A-2 NOTES CLASS A-3 NOTES CLASS A-4 NOTES
------------------------------ ------------------------------ ------------------------------
PAYMENT DATE 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80% 0.50% 1.00% 1.50% 1.80%
- ------------------- ------- ------- ------ ------ ------ ------ ------ ------- ------- ------- ------ ------
09/18/2003 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/2003 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2003 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2003 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
01/15/2004 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
02/15/2004 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
03/15/2004 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
04/15/2004 100.00 100.00 100.00 92.48 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
05/15/2004 100.00 100.00 91.07 79.19 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
06/15/2004 100.00 98.59 79.22 66.40 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
07/15/2004 100.00 88.33 67.63 53.93 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
08/15/2004 97.80 78.21 56.30 41.81 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
09/15/2004 88.84 68.25 45.24 30.03 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/2004 79.93 58.43 34.43 18.59 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/2004 71.07 48.77 23.90 7.50 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/2004 62.67 39.62 13.92 0.00 100.00 100.00 100.00 97.39 100.00 100.00 100.00 100.00
01/15/2005 54.33 30.61 4.20 0.00 100.00 100.00 100.00 88.59 100.00 100.00 100.00 100.00
02/15/2005 46.03 21.75 0.00 0.00 100.00 100.00 95.44 80.06 100.00 100.00 100.00 100.00
03/15/2005 37.78 13.04 0.00 0.00 100.00 100.00 87.47 71.82 100.00 100.00 100.00 100.00
04/15/2005 29.58 4.46 0.00 0.00 100.00 100.00 79.72 63.86 100.00 100.00 100.00 100.00
05/15/2005 21.77 0.00 0.00 0.00 100.00 96.82 72.39 56.33 100.00 100.00 100.00 100.00
06/15/2005 14.01 0.00 0.00 0.00 100.00 89.91 65.27 49.08 100.00 100.00 100.00 100.00
07/15/2005 6.29 0.00 0.00 0.00 100.00 83.12 58.36 42.11 100.00 100.00 100.00 100.00
08/15/2005 0.00 0.00 0.00 0.00 98.81 76.44 51.66 35.41 100.00 100.00 100.00 100.00
09/15/2005 0.00 0.00 0.00 0.00 92.22 69.90 45.18 28.99 100.00 100.00 100.00 100.00
10/15/2005 0.00 0.00 0.00 0.00 85.67 63.47 38.92 22.85 100.00 100.00 100.00 100.00
11/15/2005 0.00 0.00 0.00 0.00 79.16 57.18 32.88 16.99 100.00 100.00 100.00 100.00
12/15/2005 0.00 0.00 0.00 0.00 73.12 51.34 27.30 11.58 100.00 100.00 100.00 100.00
01/15/2006 0.00 0.00 0.00 0.00 67.11 45.62 21.91 6.43 100.00 100.00 100.00 100.00
02/15/2006 0.00 0.00 0.00 0.00 61.14 40.02 16.74 1.55 100.00 100.00 100.00 100.00
03/15/2006 0.00 0.00 0.00 0.00 55.22 34.53 11.77 0.00 100.00 100.00 100.00 92.88
04/15/2006 0.00 0.00 0.00 0.00 49.33 29.17 7.02 0.00 100.00 100.00 100.00 82.78
05/15/2006 0.00 0.00 0.00 0.00 43.48 23.93 2.47 0.00 100.00 100.00 100.00 0.00
06/15/2006 0.00 0.00 0.00 0.00 38.47 19.41 0.00 0.00 100.00 100.00 96.56 0.00
07/15/2006 0.00 0.00 0.00 0.00 33.49 14.99 0.00 0.00 100.00 100.00 87.78 0.00
08/15/2006 0.00 0.00 0.00 0.00 28.55 10.68 0.00 0.00 100.00 100.00 79.43 0.00
09/15/2006 0.00 0.00 0.00 0.00 23.64 6.47 0.00 0.00 100.00 100.00 0.00 0.00
10/15/2006 0.00 0.00 0.00 0.00 18.77 2.37 0.00 0.00 100.00 100.00 0.00 0.00
11/15/2006 0.00 0.00 0.00 0.00 13.93 0.00 0.00 0.00 100.00 96.21 0.00 0.00
12/15/2006 0.00 0.00 0.00 0.00 9.71 0.00 0.00 0.00 100.00 88.06 0.00 0.00
01/15/2007 0.00 0.00 0.00 0.00 5.53 0.00 0.00 0.00 100.00 80.13 0.00 0.00
02/15/2007 0.00 0.00 0.00 0.00 1.38 0.00 0.00 0.00 100.00 0.00 0.00 0.00
03/15/2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.62 0.00 0.00 0.00
04/15/2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 84.10 0.00 0.00 0.00
05/15/2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Weighted
Average
Life (Years)
(1) 1.42 1.20 1.00 0.90 2.64 2.34 2.00 1.80 3.64 3.38 2.96 2.64
Weighted
Average
Life (Years)
(1), (2) 1.42 1.20 1.00 0.90 2.64 2.34 2.00 1.80 4.08 3.82 3.40 3.03
- --------------
(1) The weighted average life of a note is determined by (x) multiplying the
amount of each principal payment on a note by the number of years from
the date of issuance of the note to the related payment date, (y) adding
the results and (z) dividing the sum by the original principal amount of
the note.
(2) This calculation assumes that the servicer does not exercise its option
to purchase the receivables.
The foregoing table has been prepared on the basis of the assumptions
described above under "Weighted Average Lives of the Notes" (including the
assumptions regarding the characteristics and performance of the receivables,
which will differ from the actual characteristics and performance of the
receivables), and should be read in conjunction therewith.
15