Prepayments on automotive Receivables can be measured relative to a prepayment standard or model. The model used in this prospectus supplement, 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 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 in full 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 tables captioned “Percent of Initial Note Principal Balance at Various ABS Percentages” (the “ABS Tables”) in this prospectus supplement have been prepared on the basis of the characteristics of the Receivables in the statistical pool. Each absolute prepayment model table assumes that:
the Receivables prepay in full at the specified constant percentage of the absolute prepayment model monthly, with no defaults, losses or repurchases on any of the Receivables;
each scheduled monthly payment on the Receivables is made on the last day of each month commencing in March 2015 and each month has 30 days;
payments on the Notes are made on each Payment Date (and each payment date is assumed to be the 15th day of each applicable month) commencing on April 15, 2015;
the closing date is March 4, 2015;
the Servicer exercises its option to purchase all of the Receivables and cause a redemption of the Notes when the aggregate Principal Balance of the Receivables is equal to 5.00% or less of the aggregate Principal Balance of the Receivables as of the Cutoff Date;
the servicing fee for each Payment Date is equal to a rate of 1/12 of 1.00% times the aggregate Principal Balance of the Receivables as of the first day of the related Collection Period; provided that, in the case of the first Payment Date, the servicing fee is equal to a rate of 2/12 of 1.00%times the aggregate Principal Balance of the Receivables as of the Cutoff Date;
interest on the Class A-1 Notes will be calculated on the basis of the actual number of days in the related interest accrual period and a 360-day year and interest on the other classes of Notes will be calculated on the basis of a 360-day year of twelve 30-day months;
the initial outstanding principal amounts of the Class A-1 Notes will be $420,000,000, of the Class A-2 Notes will be $445,000,000, of the Class A-3 Notes will be $476,500,000, of the Class A-4 Notes will be $121,000,000 and of the Class B Notes will be $37,500,000;
interest accrues on the Class A-1 Notes at 0.25000% per annum, on the Class A-2 Notes at 1.01%per annum, on the Class A-3 Notes at 1.44% per annum, on the Class A-4 Notes at 1.84% per
no Event of Default has occurred; and
the Yield Supplement Overcollateralization Amount at each Payment Date is the amount described in the schedule below.The Yield Supplement Overcollateralization Amount schedule described below is utilized solely to calculate the weighted average lives and percentages of initial outstanding principal amounts at various absolute prepayment model percentages in the tables below. The actual Yield Supplement Overcollateralization Amount will be calculated for each Payment Date and may differ depending on the actual receivables included in the pool of Receivables and the actual prepayments and losses on those Receivables with an APR less than the Required Rate.
For purposes of the Yield Supplement Overcollateralization Amount schedule described below, the Required Rate is assumed to be 5.20%.
Payment Date
Yield Supplement Overcollateralization
Amount Payment Date
Yield Supplement Overcollateralization
Amount
Closing Date $ 98,309,031.77 January 2018 $ 9,285,126.34
April 2015 90,137,011.52 February 2018 8,299,877.58 May 2015 86,193,788.88 March 2018 7,384,477.84 June 2015 82,346,407.01 April 2018 6,536,647.33 July 2015 78,595,355.53 May 2018 5,754,777.53 August 2015 74,940,365.48 June 2018 5,036,972.32 September 2015 71,381,241.50 July 2018 4,381,270.05 October 2015 67,917,806.68 August 2018 3,785,439.43 November 2015 64,549,840.90 September 2018 3,246,775.69 December 2015 61,277,092.11 October 2018 2,762,244.85 January 2016 58,099,455.90 November 2018 2,328,722.61 February 2016 55,016,860.96 December 2018 1,942,781.01 March 2016 52,028,937.35 January 2019 1,601,931.54 April 2016 49,135,308.80 February 2019 1,303,826.62 May 2016 46,335,837.69 March 2019 1,046,190.71 June 2016 43,630,075.28 April 2019 826,406.77 July 2016 41,017,567.89 May 2019 642,292.80 August 2016 38,498,167.19 June 2019 491,155.04 September 2016 36,071,581.53 July 2019 370,056.11 October 2016 33,737,354.50 August 2019 275,929.90 November 2016 31,495,048.29 September 2019 205,108.68 December 2016 29,343,871.83 October 2019 153,305.06 January 2017 27,283,293.06 November 2019 115,666.46 February 2017 25,312,658.73 December 2019 87,074.06 March 2017 23,431,234.83 January 2020 64,134.53 April 2017 21,638,317.73 February 2020 45,355.34 May 2017 19,933,326.92 March 2020 30,442.11 June 2017 18,315,321.20 April 2020 19,067.90 July 2017 16,783,023.98 May 2020 10,881.67 August 2017 15,334,684.63 June 2020 5,382.47 September 2017 13,968,268.80 July 2020 2,104.08 October 2017 12,681,995.87 August 2020 508.66 November 2017 11,474,216.77 September 2020 0.70 December 2017 10,342,602.61 October 2020 -
For purposes of these absolute prepayment model tables, the receivables have an assumed cutoff date of the close of business on January 31, 2015. Each absolute prepayment model table indicates the projected weighted average life of each class of Notes and sets forth the percent of the original principal amount of each class of Notes that is projected to be outstanding after each of the Payment Dates, shown at various constant absolute prepayment
The ABS Table also assumes that the Receivables have been aggregated into 12 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, weighted average APR, weighted average original number of scheduled payments and weighted average remaining number of scheduled payments 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.
The actual characteristics and performance of the Receivables will differ from the assumptions used in constructing the ABS 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 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 Tables 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.
Percent of Initial Note Principal Amount at Various ABS Percentages
Class A-1 Notes
(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
Percent of Initial Note Principal Amount at Various ABS Percentages
Class A-2 Notes
Payment Date 0.00% 0.50% 1.00% 1.30% 1.50% 1.80%
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00 April 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 May 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 June 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 July 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 August 15, 2015 100.00 100.00 100.00 100.00 100.00 97.41 September 15, 2015 100.00 100.00 100.00 100.00 96.17 83.65 October 15, 2015 100.00 100.00 100.00 91.84 84.02 70.41 November 15, 2015 100.00 100.00 92.01 80.70 72.25 57.69 December 15, 2015 100.00 99.69 82.30 70.14 61.07 45.47 January 15, 2016 100.00 91.27 72.76 59.83 50.20 33.69 February 15, 2016 99.54 82.92 63.38 49.77 39.65 22.34 March 15, 2016 92.04 74.62 54.18 39.96 29.41 11.44 April 15, 2016 84.51 66.37 45.14 30.41 19.49 0.99 May 15, 2016 76.94 58.18 36.27 21.10 9.89 0.00 June 15, 2016 69.34 50.06 27.57 12.05 0.61 0.00 July 15, 2016 61.71 41.98 19.05 3.26 0.00 0.00 August 15, 2016 54.04 33.97 10.69 0.00 0.00 0.00 September 15, 2016 46.34 26.01 2.51 0.00 0.00 0.00 October 15, 2016 38.69 18.19 0.00 0.00 0.00 0.00 November 15, 2016 31.85 11.17 0.00 0.00 0.00 0.00 December 15, 2016 24.99 4.19 0.00 0.00 0.00 0.00 January 15, 2017 18.09 0.00 0.00 0.00 0.00 0.00 February 15, 2017 11.15 0.00 0.00 0.00 0.00 0.00 March 15, 2017 4.19 0.00 0.00 0.00 0.00 0.00 April 15, 2017 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life (Years) (1) 1.54 1.33 1.12 1.00 0.92 0.80 Weighted Average Life (Years) (1) (2) 1.54 1.33 1.12 1.00 0.92 0.80
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(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 clean-up call option to purchase the Receivables.
Percent of Initial Note Principal Amount at Various ABS Percentages
Class A-3 Notes
Payment Date 0.00% 0.50% 1.00% 1.30% 1.50% 1.80%
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00 April 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 May 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 June 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 July 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 August 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 September 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 October 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 November 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 December 15, 2015 100.00 100.00 100.00 100.00 100.00 100.00 January 15, 2016 100.00 100.00 100.00 100.00 100.00 100.00 February 15, 2016 100.00 100.00 100.00 100.00 100.00 100.00 March 15, 2016 100.00 100.00 100.00 100.00 100.00 100.00 April 15, 2016 100.00 100.00 100.00 100.00 100.00 100.00 May 15, 2016 100.00 100.00 100.00 100.00 100.00 91.56 June 15, 2016 100.00 100.00 100.00 100.00 100.00 82.59 July 15, 2016 100.00 100.00 100.00 100.00 92.19 74.02 August 15, 2016 100.00 100.00 100.00 95.06 84.12 65.85 September 15, 2016 100.00 100.00 100.00 87.33 76.35 58.08 October 15, 2016 100.00 100.00 94.91 79.86 68.89 50.70 November 15, 2016 100.00 100.00 88.18 73.03 62.00 43.75 December 15, 2016 100.00 100.00 81.58 66.41 55.37 37.13 January 15, 2017 100.00 97.44 75.13 59.98 48.98 30.84 February 15, 2017 100.00 91.02 68.80 53.75 42.84 24.88 March 15, 2017 100.00 84.65 62.62 47.73 36.95 19.25 April 15, 2017 97.38 78.32 56.57 41.91 31.32 13.96 May 15, 2017 90.82 72.04 50.67 36.29 25.93 9.01 June 15, 2017 84.23 65.80 44.90 30.88 20.80 4.39 July 15, 2017 77.61 59.62 39.27 25.67 15.92 0.09 August 15, 2017 70.96 53.48 33.78 20.67 11.29 0.00 September 15, 2017 64.29 47.40 28.44 15.87 6.92 0.00 October 15, 2017 59.34 42.79 24.24 11.95 3.20 0.00 November 15, 2017 54.36 38.22 20.13 8.17 0.00 0.00 December 15, 2017 49.36 33.68 16.13 4.53 0.00 0.00 January 15, 2018 44.34 29.17 12.22 1.03 0.00 0.00 February 15, 2018 39.29 24.69 8.41 0.00 0.00 0.00 March 15, 2018 34.22 20.26 4.70 0.00 0.00 0.00 April 15, 2018 29.13 15.85 1.10 0.00 0.00 0.00 May 15, 2018 24.01 11.48 0.00 0.00 0.00 0.00 June 15, 2018 18.87 7.15 0.00 0.00 0.00 0.00 July 15, 2018 13.71 2.85 0.00 0.00 0.00 0.00 August 15, 2018 8.53 0.00 0.00 0.00 0.00 0.00 September 15, 2018 3.33 0.00 0.00 0.00 0.00 0.00 October 15, 2018 0.36 0.00 0.00 0.00 0.00 0.00 November 15, 2018 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average Life (Years) (1) 2.83 2.59 2.29 2.08 1.93 1.70 Weighted Average Life (Years) (1) (2) 2.83 2.59 2.29 2.08 1.93 1.70
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(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 clean-up call option to purchase the Receivables.
Percent of Initial Note Principal Amount at Various ABS Percentages
(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 clean-up call option to purchase the Receivables.
Percent of Initial Note Principal Amount at Various ABS Percentages February 15, 2018 100.00 100.00 100.00 100.00 100.00 0.00 March 15, 2018 100.00 100.00 100.00 100.00 100.00 0.00
(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 clean-up call option to purchase the Receivables.
The foregoing tables have 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.