AutoNation 2000 Annual Report Download - page 68

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Proceeds from securitizations under shelf registration ........ 691.7
Servicing fees received ....................................... 17.4
Other cash flows received on retained interests(1) ............ 70.7
Purchases of assets from warehouse facility ................... (639.6)
--------
$ 720.3
========
----------
(1) Other cash flows primarily include cash flows from interest-only strips and
other retained interests, excluding servicing fees.
The key economic assumptions used in measuring the retained interests and
net initial gains or losses at the date of securitization resulting from
securitizations completed during the year ended December 31, 2000 were as
follows:
Description: Assumption(1)
------------ --------------
Voluntary prepayment speed (ABS) ........................... 1.33%
Weighted-average life (in years) ........................... 1.72
Expected credit losses (annual rate) ....................... 1.08%
Discount rate on residual cash flows (annual rate) ......... 9.50%
Yield (interest rate on receivables) ....................... 12.05%
Variable rate to investors ................................. 7.39%
----------
(1) The weighted-average rates for securitizations entered into during the
period for securitizations of loans with similar characteristics.
At December 31, 2000, the carrying value (current fair value) of the
interest-only strips was $68.5 million, with a weighted-average life of 1.58
years. The sensitivity of the current fair value of the residual cash flows to
10 percent and 20 percent unfavorable changes in assumptions are presented in
the table below. These sensitivities are hypothetical and should not be
considered to be predictive of future performance. The effect of a variation in
a particular assumption on the fair value of the residual cash flow is
calculated independently from any change in another assumption. In reality,
changes in one factor may contribute to changes in another (for example,
increases in market interest rates may result in lower prepayments and
increased credit losses), which might magnify or counteract the sensitivities.
Furthermore, the estimated fair values as disclosed should not be considered
indicative of future earnings on these assets. The current annual rate
assumptions reflect expected performance of the total loans securitized as of
December 31, 2000.
66
AUTONATION, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -- (Continued)
13. ASSET SECURITIZATIONS -- (Continued)
$ Effect on Interest-Only Strip of
----------------------------------
Current 10% Change 20% Change
Description: Rate Assumption in Assumption in Assumption
------------ ----------------- --------------- ----------------