EXHIBIT 10.15
EXECUTION COPY
FIRST AMENDMENT
to
MASTER COLLATERAL AND INTERCREDITOR AGREEMENT
FIRST AMENDMENT dated as of March 13, 2003 (this "Amendment") to the MASTER
COLLATERAL AND INTERCREDITOR AGREEMENT dated as of August 15, 2002 (the
"Existing Agreement"; and as amended by this Amendment, the "Agreement") among
DEUTSCHE BANK TRUST COMPANY AMERICAS, a New York banking organization, as
collateral agent for the lenders party to the Revolving Credit Agreement
(together with its successors in such capacity, the "Revolver Collateral
Agent"), DEUTSCHE BANK TRUST COMPANY AMERICAS, as administrative agent for the
lenders party to the Revolving Credit Agreement (together with its successors in
such capacity, the "Revolver Administrative Agent"), the financial institutions
from time to time party to the Agreement as Facility Representatives, DEUTSCHE
BANK TRUST COMPANY AMERICAS, a New York banking organization (including any
successor thereto, the "Master Collateral Agent"), AFS FUNDING CORP., a Nevada
corporation ("AFS Funding") and AFS SENSUB CORP., a Nevada corporation ("AFS
SenSub"; together with AFS Funding, each, a "Borrower" and collectively, the
"Borrowers"), and AMERICREDIT FINANCIAL SERVICES, INC., a Delaware corporation
("ACFS").
W I T N E S S E T H :
WHEREAS, the parties hereto desire to amend the Existing Agreement as
hereinafter set forth;
NOW, THEREFORE, ACFS, the Borrowers, the Master Collateral Agent, the
Revolver Administrative Agent, and the Revolver Collateral Agent, intending to
be legally bound, hereby agree as follows:
Section 1 Definitions. Capitalized terms that are used herein
without definition and that are defined in the Existing Agreement shall have the
same meanings herein as therein.
Section 2 Amendments. Annex I to the Existing Agreement is
amended by deleting such Annex in its entirety and substituting, in lieu
thereof, Annex I attached to this Amendment.
Section 3 Effect of Amendment. Except as expressly amended and
modified by this Amendment, all provisions of the Existing Agreement shall
remain in full force and effect. After this Amendment becomes effective, all
references in the Existing Agreement to "this Agreement", "hereof", "herein" or
words of similar effect referring to the Existing Agreement shall be deemed to
be references to the Existing Agreement as amended by this Amendment. This
Amendment shall not be deemed to expressly or impliedly waive, amend or
supplement any provision of the Existing Agreement other than as expressly set
forth herein.
Section 4 Effectiveness. This Amendment shall become effective as
of the date hereof upon receipt by the Master Collateral Agent of counterparts
of this Amendment (whether by facsimile or otherwise) executed by each of the
other parties hereto and by Required Senior Facility Representatives and
confirmation from S&P in writing that this Amendment will not result in the
reduction or withdrawal of any rating on any Senior Facility Agreement.
Section 5 GOVERNING LAW. THIS AMENDMENT SHALL BE CONSTRUED IN
ACCORDANCE WITH AND GOVERNED BY THE LAW OF THE STATE OF NEW YORK, WITHOUT GIVING
EFFECT TO ITS CONFLICT OF LAW PROVISIONS (OTHER THAN SECTIONS 5-1401 AND 5-1402
OF THE NEW YORK GENERAL OBLIGATIONS LAW).
Section 6 Counterparts. For the purpose of facilitating the
execution of this Amendment and for other purposes, this Amendment may be
executed simultaneously in any number of counterparts, each of which shall be
deemed to be an original, and together shall constitute and be one and the same
instrument.
Section 7 Headings. The section headings are not part of this
Amendment and shall not be used in its interpretation.
Section 8 Limited Liability of Master Collateral Agent.
It is expressly understood and agreed by the parties hereto that (a) this
Amendment is executed and delivered by Deutsche Bank Trust Company Americas, not
individually or personally but solely as Master Collateral Agent, in the
exercise of the powers and authority conferred and vested in it, (b) the
representations, undertakings and agreements herein made on the part of the
Master Collateral Agent are made and intended not as personal representations,
undertakings and agreements by Deutsche Bank Trust Company Americas, but are
made and intended for the purpose of binding only the Master Collateral Agent,
and (c) under no circumstances shall Deutsche Bank Trust Company Americas be
personally liable for the payment of any indebtedness or expenses of the Master
Collateral Agent or be liable for the breach or failure of any obligation,
representation, warranty or covenant made or undertaken by the Master Collateral
Agent under this Amendment.
Section 9 Representations and Warranties. Each of the Borrowers
and ACFS represent and warrant that (i) all of their respective representations
and warranties set forth in the Existing Agreement and the Revolving Credit
Agreement are true and accurate in all material respects as though made on and
as of the date hereof (except representations and warranties which relate to a
specific date, which were true and correct as of such date) and (ii) no Event of
Default under the Existing Agreement, and no "Event of Default" or "Event of
Early Termination" under the Revolving Credit Agreement, has occurred and is
continuing.
[Signature Page Follows]
- 2 -
IN WITNESS WHEREOF, the parties hereto have caused their duly
authorized representatives to hereunto set their hand as of the day and year
first above written.
DEUTSCHE BANK TRUST COMPANY AMERICAS,
not in its individual capacity but solely as Revolver
Administrative Agent and Revolver Collateral Agent
By:
------------------------------------------------
Name:
Title:
AFS FUNDING CORP.
By:
------------------------------------------------
Name:
Title:
AFS SENSUB CORP.
By:
------------------------------------------------
Name:
Title:
AMERICREDIT FINANCIAL SERVICES, INC.
By:
------------------------------------------------
Name:
Title:
DEUTSCHE BANK TRUST COMPANY AMERICAS,
not in its individual capacity but solely as Master
Collateral Agent
By:
------------------------------------------------
Name:
Title:
[Signature Page to First Amendment to Master Collateral and
Intercreditor Agreement]
ANNEX 1
CALCULATION OF SENIOR BORROWING BASE
The Senior Borrowing Base will be determined based on a cash flow model
calculated as set forth below. ACFS will initially make each calculation (or
engage a Person to make such calculation on its behalf) of the Senior Borrowing
Base, and the Master Collateral Agent will confirm each such calculation.
S&P will provide "Modeling Assumptions" (described below) for each Designated
Term Series at or before closing. Upon each addition to the Designated Term
Series, S&P will provide Modeling Assumptions for the additional Series. S&P
will provide revised Modeling Assumptions if necessary.
The "Modeling Assumptions" will be, collectively, the Expected Cumulative Loss
Expectation, Loss Multiple, the Loss Horizon and the Additional Modeling
Assumptions.
The model inputs will be based on (i) collateral and bond information as for the
last available month for all outstanding Designated Term Series and (ii) the
collateral and bond information for an additional Designated Term Series after
pricing described under the headings "Collateral Characteristics" and
"Securities Characteristics" below.
The following lists details the inputs and modeling assumptions to be included
in the calculation of the Senior Borrowing Base:
Collateral Characteristics:
With respect to each Designated Term Series, the weighted average coupon,
weighted average original maturity, weighted average remaining maturity and the
total pool outstanding will be provided by the Borrowers. (For a new Designated
Term Series with a pre-funding account, the collateral characteristics described
in the offering documents for such Series will be used with respect to the full
face amount of such Designated Term Series for modeling purposes.)
Securities Characteristics
The Borrowers will provide (a) the weighted average coupon on all outstanding
notes and certificates to be issued under such Designated Term Series, which
shall be calculated based on amounts outstanding as of (i) for outstanding
Designated Term Series, the last amount outstanding as of the related
calculation date and (ii) for the new Designated Term Series, the amounts and
coupons to be in effect on the closing date of such Designated Term Series
(assuming the full face amount of such notes and certificates for modeling
purposes) and (b) the outstanding face amount of all such outstanding notes and
certificates.
Expected Cumulative Loss Expectation
For all Designated Term Series, the Expected Cumulative Loss Expectation is 14%.
i
Actual Losses to Date
ACFS will provide, on a monthly basis, actual realized losses for each
Designated Term Series.
Expected Remaining Losses
Expected Remaining Losses, individually for each Designated Term Series, will
equal the Expected Cumulative Loss Expectation minus Actual Losses to Date.
Senior Loss Multiple
The Senior Loss Multiple will be 1.7.
Loss Horizon
The Loss Horizon will be:
Months % of Total Remaining Losses
------ ---------------------------
1 - 12 40%
13 - 24 40%
25 - 36 20%
Transactions seasoned less than 12 months - the original loss assumption for
months 13-36 will still apply; the remaining losses to come will be spread
evenly over the remaining months in the first year and will equal the difference
of (i) the product of (a) the Expected Cumulative Loss Expectation and (b) the
original collateral balance plus any pre-funding and (ii) the sum of (a) the net
cumulative losses to date and (b) net cumulative losses allocated to months
13-36.
Transactions seasoned between 12 and 24 months - the original loss assumption
for months 25-36 will still apply; the remaining losses to come will be spread
evenly over the remaining months in the second year and will equal the
difference of (i) the product of (a) the Expected Cumulative Loss Expectation
and (b) the original collateral balance plus any pre-funding and (ii) the sum of
(a) the net cumulative losses to date and (b) net cumulative losses allocated to
months 25-36.
Transactions seasoned over 24 months - the remaining losses to come will be
spread evenly over the next 12 months and will equal the difference of (i) the
product of (a) the Expected Cumulative Loss Expectation and (b) the original
collateral balance plus any pre-funding and (ii) the net cumulative losses to
date.
Senior Sub Transactions
Initially the Senior Sub Transactions will be comprised of the following Term
securitizations:
AmeriCredit Automobile Receivables Trust 2000-1
AmeriCredit Automobile Receivables Trust 2001-1
ii
AmeriCredit Automobile Receivables Trust 2002-1
Senior Borrowing Base Calculation
Using the Modeling Assumptions for each Designated Term Series and applying the
Senior Loss Multiple to the Expected Remaining Losses, a schedule of monthly
cash flows will be determined.
A schedule (the "FSA Scheduled Cash Flows") of aggregate monthly residual cash
flows for the Designated FSA Series for the period from the date of
determination to the date which is 60 months after such date of determination
will be determined assuming a trigger event occurs under the related Series
Transaction Documents occurs immediately and cash is withheld until such time as
trigger event is satisfied.
A schedule (the "Other Wrapped Scheduled Cash Flows") of aggregate monthly
residual cash flows for the Designated Non-FSA Series for the period from the
date of determination to the date which is 60 months after such date of
determination will be determined assuming the most stringent trigger events
occur immediately.
The Senior Borrowing Base will be the sum of (a) aggregated schedules of
residual cash flows from the Senior Sub Transactions for the period from the
date of determination to the date which is 60 months after such date of
determination, the FSA Scheduled Cash Flows and the Other Wrapped Scheduled Cash
Flows and (b) the outstanding principal amount of BBB/Baa2 rated Asset Backed
Securities each of which meet the criteria for "Eligible Security" under the
Revolving Credit Agreement but are not pledged to the Revolver Collateral Agent
and are pledged to the Master Collateral Agent and (c) cash and A-1/P1 rated
investments held by the Master Collateral Agent as Collateral hereunder.
Additional Modeling Assumptions
Prepayment Speed 1.3% ABS
Recovery % 40%
Recovery Lag 0 months (all deals seasoned)
Servicing Fee 2.25%
FSA Premium 0.275%
FSA Default Premium 0.50%
Reinsurance Premium 4.50%
Spread Account Reinvestment % 1.50%
Call % 0%
For transactions with floating rate tranches, the underlying deal employs in the
structure either an interest rate cap or interest rate swap. If the tranche
benefits from an interest rate cap, Libor will be stressed to a BBB- level as
determined by S&P. If the tranche benefits from an interest rate swap, the swap
rate will be used.
iii
All other modeling assumptions will be based on each deal's structure (i.e.,
bond coupons, spread account %'s, etc...) and the most recent calendar month's
distribution data (i.e., current pool balance, current losses, etc...)
iv