EX-99 3 gstermsheet.txt EX-99 - COLLATERAL TERM SHEETS EXHIBIT 99 COLLATERAL TERM SHEETS All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 $522,369,000 GS Auto Loan Trust 2003-1 Goldman Sachs Asset Backed Securities Corp., Depositor Overview of the Offered Notes ----------------------------- --------------------------------------------------------------------------------------------------------------------------- Initial Estimated Principal Class of Principal Credit Avg. Life Payment Final Scheduled Moody's and S&P Notes Balance Support Coupon (yrs)(1) Window Distribution Date Expected Ratings --------------------------------------------------------------------------------------------------------------------------- A1(2) $118,614,000 6.00% [ ]% 0.29 05/03-11/03 April 15, 2004 P-1 / A-1 --------------------------------------------------------------------------------------------------------------------------- A2 $138,336,000 6.00% [ ]% 1.00 11/03-10/04 January 16, 2006 Aaa / AAA --------------------------------------------------------------------------------------------------------------------------- A3 $124,956,000 6.00% [ ]% 2.00 10/04-11/05 April 16, 2007 Aaa / AAA --------------------------------------------------------------------------------------------------------------------------- A4 $114,082,000 6.00% [ ]% 3.14 11/05-09/06 June 15, 2010 Aaa / AAA --------------------------------------------------------------------------------------------------------------------------- B $17,148,000 2.75% [ ]% 2.07 01/04-09/06 June 15, 2010 A2 / A --------------------------------------------------------------------------------------------------------------------------- C $9,233,000 1.00% [ ]% 1.88 02/04-07/06 June 15, 2010 Baa2 / BBB --------------------------------------------------------------------------------------------------------------------------- Total $522,369,000 ---------------------------------------------------------------------------------------------------------------------------
(1) Assuming payment based on a pricing speed of 1.50% ABS and a 10% Cleanup Call. (2) Rule 2A7 eligible. Selected Pool Data as of March 31, 2003 ("Cut-Off Date") -------------------------------------------------------- ------------------------------------------------------------------------------ | | Total | |-----------------------------------------------------|------------------------| | Outstanding Principal Balance: | $527,647,795 | | Number of Receivables: | 31,798 | | Average Outstanding Principal Balance: | $16,594 | | Average Original Amount Financed: | $18,289 | | Weighted Average Gross Coupon: | 7.516% | | Weighted Average Original Term: | 64 | | Weighted Average Stated Remaining Term: | 57 | | Weighted Average Seasoning: | 6 | | New/Used composition (by % of principal balance): | 56.5% New / 43.5% Used | | Weighted Average Original LTV Ratio: | 92.7%| ---------------------------------------------------------------------------- Features of the Transaction --------------------------- o Collateral consists of automobile and light truck retail loan and installment sale contracts (the "Receivables") originated and serviced by The Huntington National Bank. o Credit support for the Notes is provided through a senior / subordinated concurrent pay structure and overcollateralization. The initial amount of credit support is 6.00% for the Class A Notes, 2.75% for the Class B Notes and 1.00% for the Class C Notes. Initial Overcollateralization is -1.25% of the initial pool balance. Target Overcollateralization is 2.00% of outstanding pool balance with a floor 1.00% of initial pool balance. o No more than 0.17% of the Receivables are 30 days or more delinquent as of the Cut-Off Date. o The transaction will be modeled on Intex as "GSAL0301" and on Bloomberg as "GSALT 03-01". o The Class A, Class B and Class C Notes (the "Offered Notes") in the above table will be registered under a registration statement filed with the Securities and Exchange Commission. The Class D Notes will be offered and sold to "qualified institutional buyers" within the meaning of Rule 144A under the Securities Act. This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Time Table ---------- Expected Settlement: April 24, 2003 Cut-off Date: March 31, 2003 Pricing Date: Week of April 7, 2003 First Distribution Date: May 15, 2003 Key Terms --------- Depositor: Goldman Sachs Asset Backed Securities Corp. Issuer: GS Auto Loan Trust 2003-1, a Delaware statutory trust established by Goldman Sachs Asset Backed Securities Corp. and the Owner Trustee Originator: The Huntington National Bank Servicer: The Huntington National Bank Indenture Trustee: JPMorgan Chase Bank, a New York banking corporation Owner Trustee: Wilmington Trust Company, a Delaware banking corporation Offered Notes Class A, Class B and Class C Notes Servicing Fee: 1.00% per annum Distribution Date: 15th day of the month or the following Business Day Record Date: For any Distribution Date, the close of business on the day immediately preceding such Distribution Date unless Definitive Notes are issued for the Offered Notes, in which case the Record Date will be the last day of the month immediately preceding the Distribution Date Interest Payment Default: The Notes are in default if scheduled interest is not paid on the most senior class of Notes outstanding within 35 days after the applicable Distribution Date Prepayment Pricing Speed: 1.50% ABS Interest Accrual: On a 30/360 basis except for the Class A-1, which accrues on a actual/360 basis; the accrual period is from the 15th of the month preceding the Distribution Date (or from the Closing Date, in the case of the first interest accrual period) to, but not including the 15th of the month of such Distribution Date Servicer Advances: Yes, monthly as to delinquent interest, subject to recoverability Optional Call: The Notes will have a 10% optional redemption provision Rating Agencies: The Notes are being rated by Moody's and S&P ERISA Eligible: The Offered Notes are generally eligible for purchase by employee benefit plans, however, prospective purchasers should consult their own counsel Tax Status: The Offered Notes will be characterized as debt Registration and Clearance: Book entry: DTC Same Day Funds, Clearstream, or Euroclear for the Offered Notes Minimum Denominations: $1,000 and integral multiples thereof for the Offered Notes This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Transaction Mechanics --------------------- The Huntington National Bank sold the Receivables to Goldman Sachs Mortgage Company, and Goldman Sachs Mortgage Company, as the Seller, will sell the Receivables to Goldman Sachs Asset Backed Securities Corp. and Goldman Sachs Asset Backed Securities Corp., as the Depositor, will sell the Receivables to GS Auto Loan Trust 2003-1, the Issuer, which in turn will issue the Securities to fund the purchase price of the Receivables. The Huntington National Bank, as Servicer, will continue to process obligor payments and collect on the Receivables. Each month the Servicer will transfer collections to GS Auto Loan Trust 2003-1, which will use them to pay its expenses and to pay principal of and interest on the Securities. ------------------ | The Huntington | | National Bank | | (servicer) | ------------------ Receivables | / \ Proceeds | | | | | | \ / | Receivables Receivables ----------------- ----------------- --------------- ---------------- | Goldman Sachs |______>| Goldman Sachs |_____>| GS Auto Loan | | Wilmington | | Mortgage | | Asset Backed | | Trust 2003-1 |_____| Trust | | Company |<_____ | Securities Corp.|<_____| (trust) | | Company | | (seller) | | (depositor) | | | | (Owner trustee)| ---------------- ----------------- ---------------- ---------------- Proceeds | / \ Notes and | | | Certificates | | | | Notes and | | | Certificates \ / | Proceeds --------------------- ----------------- | JPMorgan | | | | Chase Bank | | Underwriter | | (Indenture Trustee) | | | | | ----------------- ---------------------- | / \ | | | | Notes and | | Certificates \ / | Proceeds ----------------- | | | Investors | | | -----------------
Credit Enhancement ------------------ Credit enhancement for the Class A Notes will be provided by the subordination of the Class B Notes, Class C Notes and the Class D Notes, over-collateralization, and excess spread. Credit enhancement for the Class B Notes will be provided by the subordination of the Class C Notes and the Class D Notes, over-collateralization, and excess spread. Credit enhancement for the Class C Notes will be provided by the subordination of the Class D Notes, over-collateralization, and excess spread. Credit enhancement for the Class D Notes will be provided by over-collateralization, and excess spread. ---------------------------------------------------------------------------------------------------------------- Initial Credit Target C. E. (as a % Principal Balance % of (Initial Pool Enhancement (as a % of of Outstanding Pool Balance) Initial Pool Balance) Balance) ---------------------------------------------------------------------------------------------------------------- Class A Notes $495,988,000 94.00% 6.00% 11.8% Class B Notes $17,148,000 3.25% 2.75% 7.5% Class C Notes $9,233,000 1.75% 1.00% 5.5% Class D Notes $11,874,000 2.25% -1.25% 2.0% ---------------------------------------------------------------------------------------------------------------- Total $534,243,000 101.25% ---------------------------------------------------------------------------------------------------------------- This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co.
All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Principal Payments ------------------ All classes of Notes will receive monthly principal payments, concurrently, in a manner intended generally to maintain credit support for each such class (after giving effect to such allocation) in an amount equal to the greater of the Overcollateralization Target Amount or the following respective approximate percentages of the Pool Balance (as of the end of the related collection period): 11.8% for the Class A Notes; 7.5% for the Class B Notes; 5.5% for the Class C Notes. Principal will be paid on the Notes according to the Priority of Payments from funds on deposit in the Principal Distribution Account, which will be funded from monies on deposit in the Collection Account. If on any Distribution Date the Three-Month Annualized Net Loss Ratio exceeds the Sequential Principal Payment Trigger (1.5% year 1, 2.25% year 2 and 2.5% thereafter) in effect on that Distribution Date, then on each such Distribution Date until the Three-Month Annualized Net Loss Ratio is reduced below the Sequential Principal Payment Trigger Percentage in effect on that Distribution Date, principal of the Notes of each class will be paid sequentially, starting with most senior and earliest maturing class of Notes then outstanding (beginning with the Class A-1 Notes), until each class in order of priority is paid in full. Overcollateralization --------------------- On the Closing Date, the Pool Balance will not equal the total balance of the Notes; thereafter overcollateralization will be built up through the mechanism of the Principal Distributable Amount calculation for each class of Notes whereby the balance of the Notes is required to be reduced below the Pool Balance such that overcollateralization equal to the Overcollateralization Target Amount is created. On any Distribution Date, the "Overcollateralization Target Amount" will be equal to the greater of (x) 2.00% of the outstanding principal balance of the Receivables as of the close of business on the last day of the prior collection period and (y) 1.00% of the initial Pool Balance. Priority of Payments -------------------- Beginning on May 15, 2003, and on each Distribution Date thereafter, after reimbursement of any Servicer Advances to the Servicer (or to the Trustee, if not made by the Servicer), distributions will be made in the order and priority as follows: 1. Servicing Fee and other amounts owed to the Servicer; 2. Fees to the Indenture Trustee and Owner Trustee; 3. Class A Noteholders' Interest Distributable Amount to Class A Noteholders; 4. First Allocation of Principal to the Principal Distribution Account; 5. Class B Noteholders' Interest Distributable Amount to Class B Noteholders; 6. Second Allocation of Principal to the Principal Distribution Account; 7. Class C Noteholders' Interest Distributable Amount to Class C Noteholders; 8. Third Allocation of Principal to the Principal Distribution Account; 9. Class D Noteholders' Interest Distributable Amount to Class D Noteholders; 10. Regular Principal Allocation to the Principal Distribution Account; 11. Other fees and expenses not paid pursuant to clauses (1) through (10); 12. Any amount remaining to the Certificateholder. This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Principal Distribution Amounts ------------------------------ Principal payments will be made to the Noteholders in an amount generally equal to the Regular Principal Allocation for each Distribution Date. On each Distribution Date, the applicable portion of the Total Distribution Amount will be deposited into the Principal Distribution Account in accordance with the priorities set forth below under "--Priority of Distribution Amounts". Principal payments from amounts on deposit in the Principal Distribution Account on each Distribution Date will be allocated among the various classes of Notes in the following order of priority: (1) to the Class A Notes, the Class A Principal Distributable Amount; (2) to the Class B Notes, the Class B Principal Distributable Amount; (3) to the Class C Notes, the Class C Principal Distributable Amount; and (4) to the Class D Notes, the Class D Principal Distributable Amount. Amounts applied to the Class A Notes in respect of principal will be allocated to the holders of the various classes of Class A Notes in the following order of priority: (1) to the principal amount of the Class A-1 Notes until such principal amount is paid in full; (2) to the principal amount of the Class A-2 Notes until such principal amount is paid in full; (3) to the principal amount of the Class A-3 Notes until such principal amount is paid in full; and (4) to the principal amount of the Class A-4 Notes until such principal amount is paid in full. DISTRIBUTION OF FUNDS ON EACH PAYMENT DATE WHEN NO EVENT OF DEFAULT HAS OCCURRED [GRAPHIC CHART OMITTED] This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Definitions ----------- "Regular Principal Allocation" means, with respect to any Distribution Date, the excess, if any, of the aggregate outstanding principal amount of the Notes as of the day immediately preceding such Distribution Date over the result of (a) the Pool Balance at the end of the related Collection Period minus (b) the Overcollateralization Target Amount with respect to such Distribution Date; provided, however, that the Regular Principal Allocation shall not exceed the outstanding principal balance of the Notes; and provided, further, that the Regular Principal Allocation on or after the Final Scheduled Distribution Date of any class of Notes shall not be less than the amount that is necessary to reduce the outstanding principal amount of such class of Notes to zero. "First Allocation of Principal" means, with respect to any Distribution Date, the excess, if any, of (x) the aggregate outstanding principal amount of the Class A Notes as of the day immediately preceding such Distribution Date over (y) the Pool Balance as of the end of the related Collection Period. "Second Allocation of Principal" means, with respect to any Distribution Date, the excess, if any, of (x) the aggregate outstanding principal amount of the Class A Notes and the Class B Notes as of the day immediately preceding such Distribution Date over (y) the Pool Balance as of the end of the related Collection Period. "Third Allocation of Principal" means, with respect to any Distribution Date, the excess, if any, of (x) the aggregate outstanding principal amount of the Class A Notes, the Class B Notes and the Class C Notes as of the day immediately preceding such Distribution Date over (y) the Pool Balance as of the end of the related Collection Period. "Class A Principal Distributable Amount" means, with respect to any Distribution Date, an amount equal to the greater of (a) the outstanding amount of the Class A-1 Notes immediately prior to such Distribution Date and (b) an amount equal to (i) the outstanding amount of the Class A Notes immediately prior to such Distribution Date minus (ii) the lesser of (A) 88.2% of the Pool Balance for such Distribution Date and (B) an amount equal to (1) the Pool Balance for such Distribution Date minus (2) the Overcollateralization Target Amount for such Distribution Date; provided, however, that, unless the Class A Notes have been paid in full, for any Distribution Date as of which the Three-Month Annualized Net Loss Ratio is greater than or equal to the Sequential Principal Payment Trigger Percentage in effect on that Distribution Date, the Class A Principal Distributable Amount will be 100% of the Regular Principal Allocation for such Distribution Date; provided further that, on the Final Scheduled Distribution Date of any class of Class A Notes, the Class A Principal Distributable Amount will not be less than the amount that is necessary to pay that class of Class A Notes in full; and provided further that the Class A Principal Distributable Amount on any Distribution Date will not exceed the outstanding amount of the Class A Notes on that Distribution Date. "Class B Principal Distributable Amount" means, with respect to any Distribution Date, an amount equal to (a) the sum of (i) the outstanding amount of the Class A Notes (after taking into account distribution of the Class A Principal Distributable Amount on such Distribution Date) and (ii) the outstanding amount of the Class B Notes immediately prior to such Distribution Date minus (b) the lesser of (i) 92.5% of the Pool Balance for such Distribution Date and (ii) an amount equal to (A) the Pool Balance for such Distribution Date minus (B) the Overcollateralization Target Amount for such Distribution Date; provided, however, that, for any Distribution Date as of which the Three-Month Annualized Net Loss Ratio is greater than or equal to the Sequential Principal Payment Trigger Percentage in effect on that Distribution Date,, the Class B Principal Distributable Amount will be an amount equal to (x) 100% of the Regular Principal Allocation for such Distribution Date minus (y) the Class A Principal Distributable Amount for such Distribution Date; provided further that, on the Class B Final Scheduled Distribution Date, the Class B Principal Distributable Amount will not be less than the amount that is necessary to pay the Class B Notes in full; and provided further that the Class B Principal Distributable Amount on any Distribution Date will not exceed the outstanding amount of the Class B Notes on that Distribution Date. "Class C Principal Distributable Amount" means, with respect to any Distribution Date, an amount equal to (a) the sum of (i) the outstanding amount of the Class A Notes (after taking into account distribution of the Class A Principal Distributable Amount on such Distribution Date), (ii) the outstanding amount of the Class B Notes (after taking into account distribution of the Class B Principal Distributable Amount on such Distribution Date) and (iii) the outstanding amount of the Class C Notes immediately prior to such Distribution Date minus (b) the lesser of (i) 94.5% of the Pool Balance for such Distribution Date and (ii) an amount equal to (A) the Pool Balance for such Distribution Date minus (B) the Overcollateralization Target Amount for such Distribution Date; provided, however, that, for any Distribution Date as of which the Three-Month Annualized Net Loss Ratio is greater than or equal to the Sequential Principal Payment Trigger Percentage in effect on that Distribution Date, the Class C Principal Distributable Amount will be an amount equal to (x) 100% of the Regular Principal Allocation for such Distribution Date minus (y) an amount equal to the sum of (i) the Class A Principal Distributable Amount for such Distribution Date plus (ii) the Class B Principal Distributable Amount for such Distribution Date; provided further that, on the Class C Final Scheduled Distribution Date, the Class C Principal Distributable Amount will not be less than the amount that is necessary to pay the Class C Notes in full; and provided further that the Class C Principal Distributable Amount on any Distribution Date will not exceed the outstanding amount of the Class C Notes on that Distribution Date. This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 "Class D Principal Distributable Amount" means, with respect to any Distribution Date, an amount equal to (a) 100% of the Regular Principal Allocation for such Distribution Date minus (b) an amount equal to the sum of (i) the Class A Principal Distributable Amount for such Distribution Date, (ii) the Class B Principal Distributable Amount for such Distribution Date and (iii) the Class C Principal Distributable Amount for such Distribution Date; provided, however, that, on the Class D Final Scheduled Distribution Date, the Class D Principal Distributable Amount will not be less than the amount that is necessary to pay the Class D Notes in full; and provided further that the Class D Principal Distributable Amount on any Distribution Date will not exceed the outstanding amount of the Class D Notes on that Distribution Date. "Total Distribution Amount" means, with respect to any Distribution Date, the sum of the following amounts, without duplication, with respect to the related Collection Period: (i) all collections on the Receivables during such Collection Period allocable to interest in accordance with the Simple Interest Method and all collections on the Receivables during such Collection Period allocable to principal in accordance with the Simple Interest Method, (ii) Liquidation Proceeds for such Collection Period, (iii) insurance proceeds for such Collection Period (other than proceeds to be applied to the restoration or repair of the related Financed Vehicle or released to the related Obligor in accordance with the terms of the related Receivable), (iv) GAP Amounts for such Collection Period, (v) Monthly Advances for such Collection Period, (vi) the Repurchase Amount of each Receivable that became a Repurchased Receivable during or in respect of such Collection Period, (vii) Deficiency Balance recoveries for such Collection Period, (viii) any rebate of an unearned insurance premium, service warranty or other amount received by the Servicer with respect to such Collection Period which was financed in the contract for a Financed Vehicle and (ix) any other amounts received by the Servicer in respect of a Receivable; provided, however, that Total Distribution Amount does not include: (A) all payments and proceeds (including Liquidation Proceeds and insurance proceeds) of any Repurchased Receivables the Repurchase Amount of which has been included in the Total Distribution Amount in a prior Collection Period; (B) any Late Fees collected by and paid to the Servicer during the related Collection Period; and (C) costs and expenses incurred by the Servicer for or on behalf of an Obligor (such as retitling costs) that the Obligor repays to the Servicer. "Three-Month Annualized Net Loss Ratio" means, with respect to any Determination Date, the average for the three (3) preceding Collection Periods (or if prior to three (3) months from the Closing Date, the number of whole Collection Periods since the Closing Date), of the product of 12 times a fraction (expressed as a percentage), the numerator of which is equal to the Net Liquidation Losses during the Collection Period plus the Cram Down Losses that occurred during the Collection Period, and the denominator of which is equal to the aggregate Principal Balance of the Receivables as of the first day of the Collection Period. "Sequential Principal Payment Trigger Percentage" means, with respect to each Determination Date occurring in the time periods set forth below, the percentage corresponding thereto: Determination Date: Percentage: April 2003 through and including March 2004 1.50% April 2004 through and including May 2005 2.25% June 2005 and thereafter 2.50% This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Selected Loan Data as of March 31, 2003 ("Cut-Off Date") -------------------------------------------------------- The Receivables Outstanding Principal Balance: $527,647,795 Number of Receivables: 31,798 Average Outstanding Principal Balance: $16,594 Average Original Amount Financed: $18,289 Weighted Average Gross Coupon: 7.516% Weighted Average Original Term: 64 Weighted Average Stated Remaining Term: 57 Weighted Average Seasoning: 6 New/Used composition (by % of principal balance): 56.5% New / 43.5% Used Weighted Average Original LTV Ratio: 92.7%
Distribution of the Receivables by Outstanding Principal Balance No. of Total Dollar Principal Principal Balance Receivables (#) Amount ($) Balance (%) ----------------- --------------- ---------- ----------- $1 - $4,999 172 $770,827 0.1% $5,000 - $9,999 5,099 40,968,023 7.8 $10,000 - $14,999 9,855 123,561,524 23.4 $15,000 - $19,999 8,195 141,954,236 26.9 $20,000 - $24,999 4,750 105,558,905 20.0 $25,000 - $29,999 2,140 58,216,829 11.0 $30,000 - $34,999 979 31,423,823 6.0 $35,000 - $39,999 362 13,429,800 2.5 $40,000 - $44,999 112 4,722,261 0.9 $45,000 + 134 7,041,566 1.3 -------------------------------------------------------------------------------- Total 31,798 $527,647,795 100.0% ================================================================================ Column totals may not add to 100.0% due to rounding. ================================================================================ Distribution of Receivables by State of Obligor Residence No. of Total Dollar Principal State Receivables (#) Amount ($) Balance (%) ----- --------------- ---------- ----------- Ohio 9,111 $146,116,621 27.7% Michigan 6,269 91,425,148 17.3 Florida 5,049 90,097,216 17.1 Indiana 3,388 57,354,790 10.9 West Virginia 2,138 37,304,285 7.1 Tennessee 1,900 36,247,845 6.9 Kentucky 2,027 31,915,225 6.0 Other (1) 1,916 37,186,665 7.0 -------------------------------------------------------------------------------- Total 31,798 $527,647,795 100.0% ================================================================================ Column totals may not add to 100.0% due to rounding. (1) Each of the other states is less than 5.0% of the aggregate principal balance This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Distribution of the Receivables by APR No. of Total Dollar Principal APR Receivables (#) Amount ($) Balance (%) --- --------------- ---------- ----------- Below 5% 1,872 $29,726,576 5.6% 5.00- 5.49% 1,401 24,363,154 4.6 5.50- 5.99% 3,830 63,981,671 12.1 6.00- 6.49% 2,812 45,892,908 8.7 6.50- 6.99% 4,533 74,360,255 14.1 7.00- 7.49% 2,496 42,652,193 8.1 7.50- 7.99% 3,705 62,958,969 11.9 8.00- 8.49% 2,122 37,654,436 7.1 8.50- 8.99% 2,706 48,343,681 9.2 9.00- 9.49% 1,373 23,981,695 4.5 9.50- 9.99% 1,649 27,224,936 5.2 10.00-10.49% 753 12,425,876 2.4 10.50-10.99% 756 11,154,027 2.1 11.00-11.49% 565 8,241,500 1.6 11.50-11.99% 452 5,977,814 1.1 12.00-12.49% 278 3,340,855 0.6 12.50-12.99% 182 1,953,295 0.4 13.00-13.49% 78 736,969 0.1 13.50-13.99% 71 744,432 0.1 14.00-14.49% 31 329,955 0.1 14.50-14.99% 33 436,186 0.1 15.00-15.49% 19 217,048 0.0 15.50%+ 81 949,365 0.2 -------------------------------------------------------------------------------- Total 31,798 $527,647,795 100.0% ================================================================================ Column totals may not add to 100.0% due to rounding. ================================================================================ Distribution of Receivables by Stated Remaining Term to Scheduled Maturity No. of Total Dollar Principal Stated Remaining Term Receivables (#) Amount ($) Balance (%) --------------------- --------------- ---------- ----------- 13 - 18 Months 86 $613,216 0.1% 19 - 24 Months 64 568,786 0.1 25 - 30 Months 713 6,889,997 1.3 31 - 36 Months 484 4,791,527 0.9 37 - 42 Months 1,742 19,885,226 3.8 43 - 48 Months 1,280 14,656,472 2.8 49 - 54 Months 10,694 162,768,879 30.8 55 - 60 Months 9,783 163,158,703 30.9 61 - 72 Months 5,573 116,798,499 22.1 73 - 84 Months 1,379 37,516,491 7.1 -------------------------------------------------------------------------------- Total 31,798 $527,647,795 100.0% ================================================================================ Column totals may not add to 100.0% due to rounding. This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Distribution of Receivables by Stated Original Term to Scheduled Maturity No. of Total Dollar Principal Stated Original Term Receivables (#) Amount ($) Balance (%) -------------------- --------------- ---------- ----------- 19 to 24 months 130 $1,019,222 0.2% 25 to 30 months 24 191,408 0.0 31 to 36 months 1,028 10,179,794 1.9 37 to 42 months 230 2,112,115 0.4 43 to 48 months 2,344 27,248,677 5.2 49 to 54 months 868 9,462,515 1.8 55 to 60 months 14,578 227,071,141 43.0 61 to 72 months 11,200 212,386,738 40.3 73 to 84 months 1,396 37,976,187 7.2 -------------------------------------------------------------------------------- Total 31,798 $527,647,795 100.0% ================================================================================ Column totals may not add to 100.0% due to rounding. This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 $522,369,000 GS Auto Loan Trust 2003-1 Goldman Sachs Asset Backed Securities Corp., Depositor Delinquency and Loss Experience The following tables set forth information relating to the delinquency and loss experience of Huntington's managed indirect auto portfolio for the periods indicated. The data presented in the delinquency and loss tables below are for illustrative purposes only. There is no assurance that the delinquency and credit loss experience with respect to Huntington's automobile and light truck loan and installment sale contracts in the future, or that the experience of the Trust Property with respect to the Receivables pledged to the Indenture Trustee for the benefit of the Noteholders, will be similar to that set forth below. Losses and delinquencies are affected by, among other things, general and regional economic conditions and the supply of and demand for automobiles and light-duty trucks and other similar vehicles. The delinquency and loss percentages may be affected by the increase in size of, and the relative lack of seasoning of, a substantial portion of the portfolio. THE INFORMATION IN THE TABLE BELOW IS NOT INTENDED TO INDICATE OR PREDICT THE EXPECTED DELINQUENCY EXPERIENCE ON PAST, CURRENT OR FUTURE POOLS OF AUTOMOBILE LOANS FOR WHICH HUNTINGTON IS THE PRIMARY SERVICER Historical Delinquency Experience
Dollar amounts are in thousands As of December 31, 2002 As of December 31, 2001 As of December 31, 2000 ----------------------- ----------------------- ----------------------- Number Dollars Number Dollars Number Dollars ------ ------- ------ ------- ------ ------- Number of Loans / Principal 329,735 $4,021,149 334,652 $3,867,420 333,506 $3,518,704 Amount Outstanding (1) Delinquencies (2) 30-59 Days 6,577 $63,344 8,595 $83,429 7,687 $69,772 60-89 Days 1,880 17,109 2,728 26,070 2,520 22,703 90+ Days 1,455 14,987 1,868 20,509 2,137 20,289 Total 9,912 95,440 13,191 130,009 12,344 112,765 Delinquencies (3) 30-59 Days 1.99% 1.58% 2.57% 2.16% 2.30% 1.98% 60-89 Days 0.57 0.43 0.82 0.67 0.76 0.65 90+ Days 0.44 0.37 0.56 0.53 0.64 0.58 Total 3.01 2.37 3.94 3.36 3.70 3.20 Repossession as a % of Average 2.20% 2.03% 1.32% number of contracts outstanding
(1) Represents the aggregate principal balance of all contracts purchased and serviced by Huntington. (2) Represents the aggregate principal balance of all accounts which are 30 or more days past due, including accounts in repossession (3) As a percent of the number of loans or principal amount outstanding, as applicable This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co. All information in this Term Sheet, whether regarding assets backing any securities discussed herein or otherwise, will be superseded by the information contained in the final Prospectus Supplement and Prospectus (or in the case of the Class D Notes, the private placement memorandum) for any securities actually sold to you. April 7, 2003 Historical Loss Experience
As of December 31, 2002 As of December 31, 2001 As of December 31, 2000 ----------------------- ----------------------- ----------------------- Average Principal Amount Outstanding $3,745,412 $3,700,780 $3,384,560 Average Number of Receivables Outstanding 318,525 334,315 330,489 Gross Charge-offs (1) $73,706 $75,589 $39,251 Recoveries (2) $19,423 $16,780 $11,921 Net Losses $54,284 $58,809 $27,330 Net Losses as % of Average Principal Amount Outstanding 1.45% 1.59% 0.81%
(1) Gross Charge-Offs are defined as the remaining principal balance of the charged-off contract plus outstanding fees less the net proceeds of the liquidation of the related vehicle. (2) Recoveries include post-liquidation amounts received on previously charged-off contracts, including deficiency payments, rebates on related extended service contracts and insurance policies. This material is for your private information and we are not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that we consider reliable, but we do not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may not pertain to any securities that will actually be sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected therein. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including in cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding the securities and the assets backing any securities discussed herein supersedes all prior information regarding such securities and assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information included in the final prospectus for any securities actually sold to you. This material is furnished to you solely by Goldman, Sachs & Co.