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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): June 9, 1998
CHASE MANHATTAN BANK USA, NATIONAL ASSOCIATION
(Exact Name of registrant specified in its charter)
United States 333-36939 22-2382028
(State or other Jurisdiction of (Commission File Number) (I.R.S. employer
Incorporation) Identification No.)
802 Delaware Avenue
Wilmington, Delaware 19801
(Address of principal executive offices)
Registrant's telephone number: (302) 575-5033
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Item 5. Other Events
Chase Manhattan Auto Owner Trust 1998-C. On June 9,
1998, the Registrant made available to prospective investors a term sheet
setting forth a description of the collateral pool and the proposed
structure of $1,094,789,211.45 aggregate principal amount of Class A
Asset Back Notes and Asset Backed Certificates of Chase Manhattan Auto
Owner Trust 1998-C.
Item 7. Financial Statements, Pro Forma Financial Statements and Exhibits
Exhibit 99 Term Sheet dated June 9, 1998, with respect to the
proposed issuance of Class A Asset Backed Notes and
Asset Backed Certificates of Chase Manhattan Auto Owner
Trust 1998-C.
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2
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its
behalf by the undersigned hereunto duly authorized.
CHASE MANHATTAN BANK USA,
NATIONAL ASSOCIATION (Registrant)
By: /s/ Patricia Garvey
--------------------------------
Name: Patrica Garvey
Title: Vice President
Date: June 9, 1998
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4
INDEX TO EXHIBITS
Sequentially
Exhibit Number Exhibit Numbered Pages
- -------------- ------- --------------
99 Term Sheet dated June 9, 1998, with respect
to the proposed issuance of Class A Asset
Backed Notes and Asset Backed Certificates
of Chase Manhattan Auto Owner Trust 1998-C.
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SUBJECT TO REVISION
TERM SHEET DATED JUNE 9, 1998
$1,094,789,211.45
CHASE MANHATTAN AUTO OWNER TRUST 1998-C
ASSET BACKED NOTES
ASSET BACKED CERTIFICATES
CHASE MANHATTAN BANK USA, NATIONAL ASSOCIATION
SELLER AND SERVICER
Attached is a preliminary term sheet (the 'Term Sheet') describing the
structure, Receivables Pool and certain aspects of the Chase Manhattan Auto
Owner Trust 1998-C (the 'Trust'). The Term Sheet has been prepared by the Seller
for informational purposes only and is subject to modification or change. The
information and assumptions contained in the Term Sheet are preliminary and will
be superceded in their entirety by a prospectus supplement relating to the Trust
(the 'Prospectus Supplement'), the related Prospectus (the 'Prospectus') and by
any other additional information subsequently filed with the Securities and
Exchange Commission (the 'Commission') or incorporated by reference in the
Registration Statement (as hereinafter defined). The information contained in
the Term Sheet addresses only limited aspects of the Notes and the Certificates,
and does not purport to provide a complete assessment thereof. The information
contained in the Term Sheet may not reflect the impact of all structural
characteristics of the Notes and the Certificates or any changes made to the
structure of the Notes and the Certificates after the date hereof. Additional
information will be contained in the Prospectus Supplement and the Prospectus.
Purchasers are urged to read both the Prospectus Supplement and the Prospectus.
The Notes represent obligations of, and the Certificates represent beneficial
interests in, the Trust only and do not represent obligations of or interests in
Chase Manhattan Bank USA, National Association, The Chase Manhattan Bank, or any
affiliate thereof. None of the Notes or Certificates is a deposit and none of
the Notes or Certificates is insured by the Federal Deposit Insurance
Corporation (the 'FDIC'). The Receivables are not insured or guaranteed by the
FDIC or any other governmental agency.
None of the Underwriters named below and none of their respective affiliates
makes any representation as to the accuracy or completeness of any of the
information set forth in the attached Term Sheet.
The Registration Statement (including the Prospectus) relating to Chase
Manhattan Auto Trusts like the Trust (the 'Registration Statement') has been
filed with the Commission and has been declared effective. The Prospectus
Supplement relating to the Trust will be filed after the Notes and the
Certificates have been priced and all of the terms and information are
finalized. The Term Sheet is not an offer to sell or the solicitation of an
offer to buy nor shall there be any sale of the Notes or the Certificates in any
state in which such offer, solicitation or sale would be unlawful before the
registration or qualification under the securities laws of any such state.
Interested persons are referred to the Prospectus and Prospectus Supplement. Any
investment decision should be based upon the information in the Prospectus and
Prospectus Supplement. Sales of the Notes and the Certificates may not be
consummated unless the purchaser has received both the Prospectus and the
Prospectus Supplement. The Notes and the Certificates have not been approved or
disapproved by the Commission or any state securities commission. Any
representation to the contrary is a criminal offense.
Underwriters of the Notes
CHASE SECURITIES INC.
CREDIT SUISSE FIRST BOSTON
GOLDMAN, SACHS & CO.
MERRILL LYNCH & CO.
Underwriter of the Certificates
CHASE SECURITIES INC.
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This Term Sheet will be superceded in its entirety by the information
appearing in the Prospectus Supplement and the Prospectus. All capitalized terms
used herein as defined terms and not otherwise defined herein shall have the
meanings assigned to such terms in the Prospectus Supplement and the Prospectus.
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ISSUER.................. The Chase Manhattan Auto Owner Trust 1998-C (the
'TRUST' or the 'ISSUER'), a Delaware business trust
established pursuant to a Trust Agreement (the 'TRUST
AGREEMENT') between the Seller and the Owner Trustee.
SELLER.................. Chase Manhattan Bank USA, National Association ('CHASE
USA' or the 'SELLER').
SERVICER................ Chase USA (the 'SERVICER').
INDENTURE TRUSTEE....... Norwest Bank Minnesota, National Association, as
trustee under the Indenture (the 'INDENTURE TRUSTEE').
OWNER TRUSTEE........... Wilmington Trust Company, as trustee under the Trust
Agreement (the 'OWNER TRUSTEE').
THE NOTES............... The Trust will issue four classes of Notes pursuant to
an Indenture (the 'INDENTURE') between the Trust and
the Indenture Trustee as follows:
Class A-1 % Asset Backed Notes in the aggregate
principal amount of $258,000,000.00 (the 'CLASS A-1
NOTES').
Class A-2 % Asset Backed Notes in the aggregate
principal amount of $195,000,000.00 (the 'CLASS A-2
NOTES').
Class A-3 % Asset Backed Notes in the aggregate
principal amount of $325,000,000.00 (the 'CLASS A-3
NOTES').
Class A-4 % Asset Backed Notes in the aggregate
principal amount of $283,900,000.00 (the 'CLASS A-4
NOTES', and together with the Class A-1 Notes, the
Class A-2 Notes and the Class A-3 Notes, the 'NOTES').
THE CERTIFICATES........ % Asset Backed Certificates with an initial
Certificate Balance of $32,889,211.45.
No beneficial interest in a Certificate may be held
directly or indirectly by a Foreign Investor.
Purchasers of Certificates and their assignees will be
deemed to represent (i) that the beneficial owners of
such Certificates are not Foreign Investors and (ii)
that they are not a Plan and that no assets of a Plan
were used to acquire the Certificates.
The rights of Certificateholders to receive
distributions with respect to the Certificates will be
subordinated to the rights of the Noteholders to
receive interest on and principal of the Notes in the
manner described herein.
THE TRUST............... The assets of the Trust will include (i) the
Receivables, (ii) all monies received thereunder after
May 31, 1998 (the 'CUTOFF DATE'), (iii) such amounts as
from time to time may be held in one or more Trust
Accounts, (iv) security interests in the Financed
Vehicles, (v) the Seller's proceeds from the exercise
of the Seller's recourse rights against Dealers, (vi)
proceeds from claims on certain insurance policies,
(vii) rights to the repossessed Financed Vehicles and
(viii) any and all proceeds of the foregoing.
THE RECEIVABLES......... Retail installment sales contracts and purchase money
notes and other notes (the 'RECEIVABLES') secured by
new and used automobiles and light-duty trucks (the
'FINANCED VEHICLES') having an aggregate principal
balance of approximately $1,094,789,211.45 as of the
Cutoff Date (the 'ORIGINAL POOL BALANCE').
TERMS OF THE NOTES...... Interest. Interest on and principal of all classes of
Notes will generally be payable on the 15th day of each
month (each, a 'DISTRIBUTION DATE'), commencing July
15, 1998, provided, however, that for the purposes of
making payment of interest and the final payment of
principal on the Class A-1 Notes, the July 1999
Distribution Date with respect to the Class A-1 Notes
will be July 9, 1999. Interest on the outstanding
principal amount of each class of Notes
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will accrue at the applicable fixed interest rate (each
an 'INTEREST RATE') from and including the most recent
Distribution Date on which interest has been paid (or,
in the case of the initial Distribution Date, from and
including the issuance date of the Notes) to but
excluding the following Distribution Date (each, an
'INTEREST ACCRUAL PERIOD'). Interest on the Class A-1
Notes will be calculated on the basis of a 360-day year
based upon the actual number of days elapsed during the
related Interest Accrual Period (which will be 24 days
with respect to the Interest Accrual Period for the
July 1999 Distribution Date), and interest on each
other class of Notes will be calculated on the basis of
a 360-day year of twelve 30-day months.
Principal. Principal of the Notes will be payable on
each Distribution Date in an amount generally equal to
the Aggregate Noteholders' Principal Distributable
Amount for such Distribution Date. The 'AGGREGATE
NOTEHOLDERS' PRINCIPAL DISTRIBUTABLE AMOUNT' for a
Distribution Date will be the Noteholders' Percentage
of the Principal Distribution Amount for such
Distribution Date. The 'NOTEHOLDERS' PERCENTAGE' will
be 100% for each Distribution Date occurring before the
Distribution Date on which the Class A-1 Notes have
been paid in full, and generally 97% on and after such
Distribution Date until all of the Notes have been paid
in full; provided, however that (x) if the amount on
deposit in the Reserve Account on any Distribution Date
would be, after giving effect to distributions on such
Distribution Date, less than .50% of the Original Pool
Balance, the Noteholders' Percentage will be 100% for
such Distribution Date and each Distribution Date
thereafter until the Notes have been paid in full or
the amount on deposit in the Reserve Account equals or
exceeds the Specified Reserve Account Balance and (y)
if the Notes have been accelerated after the occurrence
of an Event of Default, the Noteholders' Percentage
will be 100% for each Distribution Date thereafter
until the Notes have been paid in full.
The 'PRINCIPAL DISTRIBUTION AMOUNT' for a Distribution
Date generally will equal the sum for such Distribution
Date of (i) Available Principal and (ii) the aggregate
principal balance of all Receivables that became
Defaulted Receivables during the related Collection
Period minus the Liquidation Proceeds allocable to
principal collected during such Collection Period with
respect to any Defaulted Receivables.
Principal payments on the Notes will generally be
derived from the Total Distribution Amount and the
amount, if any, on deposit in the Reserve Account
remaining after the payment of the Servicing Fee and
the Administration Fee and the payment of accrued and
unpaid interest on the Notes and the Certificates.
The 'TOTAL DISTRIBUTION AMOUNT' for any Distribution
Date will be the sum of (i) the portion of collections
on the Receivables received during the related
Collection Period allocated to interest as described in
the Prospectus Supplement and (ii) the portion of
collections on the Receivables received during the
related Collection Period allocated to principal as
described in the Prospectus Supplement ('AVAILABLE
PRINCIPAL').
No principal payments will be made on any class of
Notes until all Notes with preceding class designations
have been paid in full. For example, no principal
payments will be made on the Class A-2 Notes until the
Class A-1 Notes have been paid in full, and no
principal payments will be made on the Class A-3 Notes
until the Class A-2 Notes have been paid in full.
Notwithstanding the foregoing, if an Event of Default
occurs and the Notes are accelerated, each class of
Notes will be paid pro rata on the basis of their
respective unpaid principal amounts.
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The outstanding principal amount of each class of
Notes, to the extent not previously paid, will be
payable on the Distribution Date specified below for
such class (each, a 'NOTE FINAL SCHEDULED DISTRIBUTION
DATE') from funds available therefor as described
herein (including amounts on deposit in the Reserve
Account):
Distribution Date
Class A-1 Notes: July 9, 1999
Class A-2 Notes: August 15, 2000
Class A-3 Notes: January 15, 2002
Class A-4 Notes: May 15, 2003
Optional Redemption. After the Class A-1 Notes, the
Class A-2 Notes and the Class A-3 Notes have been paid
in full, the Class A-4 Notes will be redeemed in whole,
but not in part, on any Distribution Date on which the
Servicer exercises its option to purchase the
Receivables, which can occur following the last day of
any Collection Period as of which the Pool Balance
declines to 10% or less of the Original Pool Balance,
at a redemption price equal to the unpaid principal
amount of the Class A-4 Notes plus accrued and unpaid
interest thereon.
TERMS OF THE
CERTIFICATES ......... Interest. Amounts distributable in respect of the
Certificates will be distributed on each Distribution
Date. Interest in respect of the Certificates will
accrue at a fixed rate per annum (the 'CERTIFICATE
RATE') on the Certificate Balance, calculated on the
basis of a 360-day year of twelve 30-day months.
Payment of interest on the Certificates will be
subordinated to payment of interest on the Notes. If an
Event of Default shall occur and the Notes are
accelerated, distributions in respect of the
Certificates will be subordinated in priority of
payment to payment of interest on and principal of the
Notes.
Principal. No distributions of principal on the
Certificates will be made until the Class A-1 Notes
have been paid in full. On each Distribution Date
commencing on the Distribution Date on which the Class
A-1 Notes are paid in full, principal of the
Certificates will be payable in an amount equal to the
Certificateholders' Principal Distributable Amount for
such Distribution Date, to the extent of the excess of
the Total Distribution Amount and the amount, if any,
on deposit in the Reserve Account over the sum of the
Servicing Fee and Administration Fee owing to the
Servicer and the Administrator on such Distribution
Date, accrued and unpaid interest on the Notes and the
Certificates and the Aggregate Noteholders' Principal
Distributable Amount for such Distribution Date. The
'CERTIFICATEHOLDERS' PRINCIPAL DISTRIBUTABLE AMOUNT'
for a Distribution Date will be the Certificateholders'
Percentage (100% minus the Noteholders' Percentage) of
the Principal Distribution Amount for such Distribution
Date. The Certificateholders' Percentage will generally
equal 3% after the Class A-1 Notes have been paid in
full. See 'Terms of the Notes' above for a description
of the circumstances under which the
Certificateholders' Percentage will equal zero after
the Class A-1 Notes have been paid in full.
Certificate Final Scheduled Distribution Date. The
outstanding principal amount, if any, of the
Certificates is expected to be paid in full on the
December 2004 Distribution Date.
Optional Prepayment. If the Servicer exercises its
option to purchase the Receivables, which can occur
after the Class A-1 Notes, the Class A-2 Notes and the
the Class A-3 Notes have been paid in full, following
the last day of any Collection Period as of which the
Pool Balance declines to 10% or less of the Original
Pool Balance, the Certificateholders will receive an
amount in respect of the Certificates equal to the
Certificate Balance together with accrued interest at
the Certificate Rate, and the Certificates will be
retired.
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RESERVE ACCOUNT......... The Reserve Account will be funded with an initial
deposit by the Seller of cash or Permitted Investments
having an aggregate value of $16,421,838.17 (1.50% of
the Original Pool Balance) (the 'RESERVE ACCOUNT
INITIAL DEPOSIT'). In addition, on each Distribution
Date, any amounts on deposit in the Collection Account
with respect to the preceding Collection Period after
payments to the Servicer and the Administrator and
deposits to the Note Distribution Account and
Certificate Distribution Account have been made will be
deposited into the Reserve Account. On each
Distribution Date, any amounts on deposit in the
Reserve Account in excess of the Specified Reserve
Account Balance will be distributed to the Seller.
On or prior to each Deposit Date, the Indenture Trustee
will withdraw funds from the Reserve Account, to the
extent of the funds therein, to the extent (x) the sum
of the amounts required to be distributed to
Noteholders, Certificateholders, the Servicer and the
Administrator on the related Distribution Date exceeds
(y) the Total Distribution Amount for such Distribution
Date.
SPECIFIED RESERVE
ACCOUNT BALANCE....... On any Distribution Date, the specified reserve account
balance (the 'SPECIFIED RESERVE ACCOUNT BALANCE') will
equal 3.00% of the Pool Balance as of the related
Settlement Date, but in any event will not be less than
the lesser of (i) $8,210,919.09 (0.75% of the Original
Pool Balance) and (ii) such Pool Balance; provided,
that the Specified Reserve Account Balance will be
calculated using a percentage of 6.00% on any
Distribution Date (beginning with the September 1998
Distribution Date) for which the Average Net Loss Ratio
exceeds 1.75% or the Average Delinquency Percentage
exceeds 1.75%. The 'POOL BALANCE' at any time will
represent the aggregate Principal Balance of the
Receivables as of the close of business on the last day
of the preceding Collection Period, after giving effect
to all payments received for such Collection Period and
all losses realized on Receivables liquidated during
such Collection Period.
The Specified Reserve Account Balance with respect to
any Distribution Date may be reduced to a lesser amount
as determined by the Seller, provided that such
reduction does not adversely affect the rating of any
class of Notes or the Certificates by a Rating Agency.
PRIORITY OF PAYMENTS.... Distributions of the Total Distribution Amount and any
amounts to be withdrawn from the Reserve Account shall
be made on each Distribution Date in the following
order of priority: (i) the Servicing Fee, together with
any unpaid Servicing Fees from prior Distribution Dates
(if not deducted from the Servicer's remittance), (ii)
the Administration Fee, together with any unpaid
Administration Fees from prior Distribution Dates,
(iii) interest on the Notes, (iv) interest
distributable on the Certificates (except as described
below), (v) the Aggregate Noteholders' Principal
Distributable Amount into the Note Distribution Account
and (vi) the Certificateholders' Principal
Distributable Amount into the Certificate Distribution
Account.
Notwithstanding the foregoing, if an Event of Default
has occurred and the maturity of the Notes has been
accelerated, the Certificateholders will not be
entitled to receive any distributions in respect of the
Certificates until the Notes have been paid in full.
SERVICING FEE........... The Servicer shall receive a Servicing Fee for each
Collection Period, payable on each Distribution Date,
in an amount equal to the sum of (i) the product of
one-twelfth of 1% per annum and the Pool Balance as of
the close of business on the last day of the second
Collection Period preceding the Collection Period in
which such Distribution Date occurs (or, in the case of
the first Distribution Date, the Original Pool Balance)
and (ii) any Late Fees paid by the Obligors
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during the related Collection Period. A 'COLLECTION
PERIOD' with respect to a Distribution Date will be the
calendar month preceding the calendar month in which
such Distribution Date occurs. In addition, the
Servicing Fee will include investment earnings on
amounts on deposit in the Collection Account.
ADMINISTRATION
AGREEMENT............. The Chase Manhattan Bank ('CHASE'), in its capacity as
administrator (the 'ADMINISTRATOR'), will enter into an
agreement (the 'ADMINISTRATION AGREEMENT') with the
Trust and the Indenture Trustee. As compensation for
the performance of the Administrator's obligations
under the Administration Agreement, the Administrator
will be entitled to a monthly administration fee in an
amount equal to $1,000 (the 'ADMINISTRATION FEE').
TAX STATUS.............. Upon issuance of the Notes and the Certificates,
Simpson Thacher & Bartlett, special counsel to the
Seller, will deliver its opinion generally to the
effect that under current law the Notes will be
characterized as debt, and the Trust will not be
characterized as an association (or a publicly traded
partnership) taxable as a corporation for United States
federal income tax purposes. Each Noteholder, by the
acceptance of a Note, will agree to treat the Notes as
indebtedness, and each Certificateholder, by the
acceptance of a Certificate, will agree to treat the
Trust as a partnership in which the Certificateholders
are partners for all federal, state and local income
tax purposes. Alternative characterizations of the
Trust and the Certificates are possible, but would not
result in materially adverse tax consequences to
Certificateholders.
LEGAL INVESTMENT........ The Class A-1 Notes will be eligible securities for
purchase by money market funds under paragraph (a)(10)
of Rule 2a-7 under the Investment Company Act of 1940,
as amended.
ERISA CONSIDERATIONS.... Subject to the considerations described in 'ERISA
Considerations' in the Prospectus Supplement and the
Prospectus, the Notes will be eligible for purchase
with Plan Assets of any Plan. A fiduciary or other
person contemplating purchasing the Notes on behalf of
or with Plan Assets of any Plan should carefully review
with its legal advisors whether the purchase or holding
of the Notes could give rise to a transaction
prohibited or not otherwise permissible under ERISA or
Section 4975 of the Code.
The Certificates may not be acquired by, on behalf of
or with Plan Assets. By its acceptance of a
Certificate, each Certificateholder will be deemed to
have represented and warranted that it is neither a
Plan nor purchasing the Certificates on behalf of or
with Plan Assets of a Plan. The restrictions contained
in the foregoing representation and warranty shall not
apply to the acquisition or holding of Certificates
with assets of the general account of an insurance
company to the extent that the acquisition or holding,
respectively, of such Certificates (i) is and will be
permissible under Section 401(c) of ERISA and final
regulations thereunder or another exemption under ERISA
and (ii) does not and will not result in the
contemplated operations of the Trust being treated as
non-exempt prohibited transactions. Persons
contemplating acquiring the Certificates should consult
their counsel to determine whether they are purchasing
on behalf of, or with Plan Assets of, any Plan. See
'ERISA Considerations' in the Prospectus Supplement and
the Prospectus for additional information, including
special considerations for purchasers using assets of
an insurance company general account.
RATINGS................. It is a condition to the issuance of the Notes and the
Certificates that (i) the Class A-1 Notes be rated in
the highest short-term rating category, (ii) the Notes
(other than the Class A-1 Notes) be rated in the
highest long-term rating category and (iii) the
Certificates be rated at least in the 'A' category, or
its equivalent, in each case by at least two nationally
recognized statistical rating organizations (each, a
'RATING AGENCY').
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THE RECEIVABLES POOL
The Receivables represent Motor Vehicle Loans selected from the portfolio
of the Seller that, in addition to satisfying the criteria set forth in the
Prospectus under 'The Receivables Pools--General':
(a) have a remaining maturity, as of the Cutoff Date, of at least 9
months and not more than 72 months;
(b) are secured by new Financed Vehicles and had an original maturity
of at least 12 months and not more than 79 months, or by used Financed
Vehicles and had an original maturity of at least 12 months and not more
than 72 months;
(c) are fully-amortizing fixed rate simple interest or actuarial
contracts that provide for level scheduled monthly payments over their
respective remaining terms and have an annual contract rate of interest (a
'CONTRACT RATE') of at least 7.0% and not more than 18.0%;
(d) have remaining principal balances, as of the Cutoff Date, of at
least $2,000 and not greater than $100,000;
(e) have no payment that is delinquent for more than 30 days past due
as of the Cutoff Date; and
(f) are not Motor Vehicle Loans (i) whose related Obligor resides in
the State of Alabama (in the case of Direct Receivables) or (ii) originated
by or through a Dealer located in the State of Alabama (in the case of
Receivables which are not Direct Receivables) or Motor Vehicle Loans the
subject of a previous securitization.
The Receivables were selected from the Motor Vehicle Loans in the portfolio
of the Seller that met the above criteria. For administrative reasons, the
Seller selected from the Motor Vehicle Loans in its portfolio all otherwise
eligible Motor Vehicle Loans originated since August 1, 1997, which were
segregated and held for sale by the Seller. Approximately 57.16% of the Original
Pool Balance were secured by new Financed Vehicles, and approximately 42.84% of
the Original Pool Balance were secured by used Financed Vehicles. 95.75% of the
Original Pool Balance are Simple Interest Receivables and 4.25% of the Original
Pool Balance are Actuarial Receivables. An insignificant number of the
Receivables provide for recourse to the Dealer in the event of default by the
Obligor.
Approximately 0.48% of the Original Pool Balance were made directly by the
Originating Bank to Obligors without involvement of Dealers (collectively, the
'DIRECT RECEIVABLES') using Chase Auto Finance underwriting criteria and have
been serviced consistent with Chase Auto Finance's servicing policies and
practices. The Direct Receivables originated by Chase will be transferred to the
Seller on or prior to the Closing Date.
The Original Pool Balance equals the aggregate Principal Balance of the
Receivables as of the Cutoff Date. The Principal Balance of each Actuarial
Receivable as of the Cutoff Date included at least 30 days of accrued and unpaid
interest and included 60 days of accrued and unpaid interest to the extent that
such Actuarial Receivable was past due as of the Cutoff Date. As a result, the
yield on the Receivables Pool from time to time will be less than the weighted
average Contract Rate of the Receivables. In addition, the yield on a delinquent
Actuarial Receivable will be less than the applicable Contract Rate since
interest on such Actuarial Receivable will accrue on its scheduled balance, not
its Principal Balance.
The composition of the Receivables, distribution by Contract Rate of the
Receivables and the geographic distribution of the Receivables, in each case as
of the Cutoff Date, are set forth in the following tables.
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COMPOSITION OF THE RECEIVABLES
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NEW FINANCED USED FINANCED
VEHICLES VEHICLES TOTAL
--------------- --------------- -----------------
<S> <C> <C> <C>
Aggregate Principal Balance..................... $625,766,984.18 $469,022,227.27 $1,094,789,211.45
Number of Receivables........................... 32,319 32,856 65,175
Average Principal Balance....................... $ 19,362.20 $ 14,275.09 $ 16,797.69
Average Original Balance........................ $ 19,583.87 $ 14,428.76 $ 16,985.08
Weighted Average Contract Rate.................. 8.40% 9.80% 9.00%
Contract Rate (Range)........................... 7.00%-18.00% 7.00%-18.00% 7.00%-18.00%
Weighted Average Original Term.................. 57.18 months 56.01 months 56.68 months
Original Term (Range)........................... 12 to 79 months 12 to 72 months 12 to 79 months
Weighted Average Remaining Term................. 56.15 months 54.99 months 55.65 months
Remaining Term (Range).......................... 9 to 72 months 10 to 72 months 9 to 72 months
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DISTRIBUTION BY CONTRACT RATE OF THE RECEIVABLES
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PERCENT OF
NUMBER OF ORIGINAL
CONTRACT RATE RANGE RECEIVABLES PRINCIPAL BALANCE POOL BALANCE
- -------------------------------------------------------------- ----------- ----------------- ----------------
<S> <C> <C> <C>
7.0% to below 7.5%.......................................... 8,202 $ 151,195,380.04 13.81%
7.5% to below 8.0%.......................................... 10,228 $ 194,411,329.72 17.76%
8.0% to below 8.5%.......................................... 6,692 $ 122,982,255.97 11.23%
8.5% to below 9.0%.......................................... 11,492 $ 205,267,640.51 18.75%
9.0% to below 9.5%.......................................... 4,000 $ 67,152,990.11 6.13%
9.5% to below 10.0%.......................................... 8,143 $ 129,263,220.19 11.81%
10.0% to below 10.5%.......................................... 3,002 $ 44,919,929.73 4.10%
10.5% to below 11.0%.......................................... 4,543 $ 66,136,720.21 6.04%
11.0% to below 11.5%.......................................... 1,598 $ 22,330,878.87 2.04%
11.5% to below 12.0%.......................................... 2,481 $ 32,061,307.84 2.93%
12.0% to below 12.5%.......................................... 1,163 $ 15,644,398.31 1.43%
12.5% to below 13.0%.......................................... 1,496 $ 19,289,339.60 1.76%
13.0% to below 13.5%.......................................... 748 $ 9,000,796.66 0.82%
13.5% to below 14.0%.......................................... 694 $ 7,922,065.30 0.72%
14.0% to below 14.5%.......................................... 253 $ 2,825,888.14 0.26%
14.5% to below 15.0%.......................................... 179 $ 1,837,461.17 0.17%
15.0% to below 15.5%.......................................... 149 $ 1,444,100.11 0.13%
15.5% to below 16.0%.......................................... 57 $ 556,979.34 0.05%
16.0% to below 16.5%.......................................... 18 $ 171,082.25 0.02%
16.5% to below 17.0%.......................................... 27 $ 276,787.05 0.03%
17.0% to below 17.5%.......................................... 5 $ 41,415.54 0.00%
17.5% to below 18.0%.......................................... 2 $ 14,394.32 0.00%
18.0%......................................................... 3 $ 42,850.47 0.00%
----------- ----------------- -------
Total(1)...................................................... 65,175 $1,094,789,211.45 100.00%
----------- ----------------- -------
----------- ----------------- -------
</TABLE>
------------------------
(1) Percentages may not add to 100.00% due to rounding.
7
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE RECEIVABLES(1)
<TABLE>
<CAPTION>
PERCENT OF
NUMBER OF ORIGINAL
STATE RECEIVABLES PRINCIPAL BALANCE POOL BALANCE
- ----------------------------------------------------------------- ----------- ----------------- ------------
<S> <C> <C> <C>
Arizona.......................................................... 996 $ 17,026,493.71 1.56%
Arkansas......................................................... 983 $ 15,996,854.39 1.46%
California....................................................... 9,154 $ 174,783,233.91 15.97%
Colorado......................................................... 408 $ 7,151,745.70 0.65%
Connecticut...................................................... 2,836 $ 41,474,041.40 3.79%
Delaware......................................................... 490 $ 7,755,631.68 0.71%
District of Columbia............................................. 23 $ 398,361.67 0.04%
Florida.......................................................... 3,140 $ 51,441,323.66 4.70%
Georgia.......................................................... 2,105 $ 35,851,660.54 3.27%
Hawaii........................................................... 13 $ 212,379.17 0.02%
Idaho............................................................ 14 $ 229,042.46 0.02%
Illinois......................................................... 967 $ 18,493,621.61 1.69%
Indiana.......................................................... 189 $ 3,408,999.79 0.31%
Iowa............................................................. 302 $ 4,647,179.32 0.42%
Kansas........................................................... 93 $ 1,654,985.44 0.15%
Kentucky......................................................... 130 $ 1,942,157.36 0.18%
Louisiana........................................................ 1,159 $ 19,289,317.20 1.76%
Maine............................................................ 113 $ 1,695,109.48 0.15%
Maryland......................................................... 562 $ 9,270,958.55 0.85%
Massachusetts.................................................... 1,389 $ 21,079,324.52 1.93%
Michigan......................................................... 1,550 $ 25,033,578.07 2.29%
Minnesota........................................................ 599 $ 9,504,838.22 0.87%
Mississippi...................................................... 174 $ 2,917,972.35 0.27%
Missouri......................................................... 988 $ 16,809,654.14 1.54%
Montana.......................................................... 14 $ 263,566.58 0.02%
Nebraska......................................................... 132 $ 1,984,931.00 0.18%
Nevada........................................................... 358 $ 6,223,125.70 0.57%
New Hampshire.................................................... 258 $ 3,634,994.07 0.33%
New Jersey....................................................... 3,620 $ 58,938,599.83 5.38%
New Mexico....................................................... 315 $ 5,219,863.17 0.48%
New York......................................................... 6,716 $ 102,370,615.11 9.35%
North Carolina................................................... 1,214 $ 20,376,913.09 1.86%
North Dakota..................................................... 18 $ 301,772.42 0.03%
Ohio............................................................. 556 $ 8,954,713.85 0.82%
Oklahoma......................................................... 809 $ 13,543,325.07 1.24%
Oregon........................................................... 382 $ 6,568,134.63 0.60%
Pennsylvania..................................................... 1,279 $ 19,397,392.41 1.77%
Rhode Island..................................................... 94 $ 1,505,451.60 0.14%
South Carolina................................................... 295 $ 4,449,574.55 0.41%
South Dakota..................................................... 47 $ 750,987.37 0.07%
Tennessee........................................................ 382 $ 7,580,724.51 0.69%
Texas............................................................ 17,952 $ 307,303,219.62 28.07%
Utah............................................................. 112 $ 1,766,568.24 0.16%
Vermont.......................................................... 395 $ 5,381,297.81 0.49%
Virginia......................................................... 1,114 $ 18,115,758.98 1.65%
Washington....................................................... 313 $ 5,814,869.87 0.53%
West Virginia.................................................... 24 $ 430,687.53 0.04%
Wisconsin........................................................ 399 $ 5,843,660.10 0.53%
----------- ----------------- ------------
Total(2)......................................................... 65,175 $1,094,789,211.45 100.00%
----------- ----------------- ------------
----------- ----------------- ------------
</TABLE>
(Footnotes on next page)
8
<PAGE>
(Footnotes from previous page)
- ------------------
(1) Based on location of the related Obligor (in the case of Direct Receivables)
or the Dealer from which the related Motor Vehicle Loan was acquired or
through which it was made (in the case of Receivables which are not Direct
Receivables).
(2) Percentages may not add to 100.00% due to rounding.
DELINQUENCY AND LOAN LOSS INFORMATION
The following tables set forth information with respect to delinquencies,
loan losses and recoveries for the Chase Auto Finance Portfolio as of the dates
indicated, for each of the one-year periods ended December 31, 1997, 1996, 1995,
1994 and 1993 and for each of the three-month periods ended March 31, 1998 and
March 31, 1997. Higher net charge-offs for the one-year periods ended December
31, 1996 and December 31, 1997, respectively, and for the three-month periods
ended March 31, 1998 and March 31, 1997, respectively, compared to prior periods
reflect economic conditions affecting consumer debt generally. In addition, the
higher net charge-offs for the one-year period ended December 31, 1997 reflect a
slowing in the growth rate of the Chase Auto Finance Portfolio, which has
magnified net charge-offs as a percentage of Period End Outstanding Principal
Amount and Average Outstanding Principal Amount. The portions of the Chase Auto
Finance Portfolio that provide for payments based upon variable rate of interest
or that are Final Payment Receivables are included in the following tables, but
Motor Vehicle Loans of such type are not included in the Trust. Chase Auto
Finance does not maintain separate records that distinguish among the
delinquency and loan loss experience for Motor Vehicle Loans that provide for
payments based upon a fixed rate of interest (such as the Receivables) and those
that provide for payments based upon a variable rate of interest nor does it
maintain records of the delinquency and loan loss experience that excludes such
experience for Final Payment Receivables. The Seller believes that the
delinquency and loan loss experience with respect to the types of Motor Vehicle
Loans included in the Trust is not materially different from the performance of
the Chase Auto Finance Portfolio set forth below.
Approximately 0.48% of the Original Pool Balance are Direct Receivables.
The delinquency and loan loss experience for Direct Receivables are not included
in the performance of the Chase Auto Finance Portfolio set forth below. The
Seller believes that the delinquency and loan loss experience for Direct
Receivables has not been materially different from the performance of the Chase
Auto Finance Portfolio set forth below.
See 'The Receivables Pools--General' and '--Delinquency and Loan Loss
Information' in the Prospectus for a description of the composition of the Chase
Auto Finance Portfolio.
The data presented in the following tables are for illustrative purposes
only. Delinquency and loan loss experience may be influenced by a variety of
economic, social and other factors. No assurance can be given that the
delinquency and loan loss information of the Bank, or of the Trust with respect
to the Receivables, in the future will be similar to that set forth below. In
particular, due to the recent assumption by Chase USA from an affiliate of
relationships with a large number of Dealers located in Texas, Receivables
originated by Dealers located in Texas will constitute a greater percentage of
the Receivables in the Trust than they have historically constituted a
percentage of the Chase Auto Finance Portfolio.
9
<PAGE>
DELINQUENCY EXPERIENCE(1)(2)
<TABLE>
<CAPTION>
AS OF MARCH 31, AS OF DECEMBER 31,
--------------------------------------------- --------------------------------------------
1998 1997 1997 1996
--------------------- --------------------- --------------------- --------------------
NUMBER NUMBER NUMBER NUMBER
DOLLARS OF DOLLARS OF DOLLARS OF DOLLARS OF
(000'S) LOANS (000'S) LOANS (000'S) LOANS (000'S) LOANS
----------- ------- ----------- ------- ----------- ------- ---------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Outstanding Principal
Amount.................... $11,716,735 983,317 $10,307,439 871,913 $11,114,504 938,495 $9,842,364 832,993
----------- ------- ----------- ------- ----------- ------- ---------- -------
----------- ------- ----------- ------- ----------- ------- ---------- -------
Delinquencies(3)(4)
30-59 Days................ $ 137,368 11,663 $ 114,613 9,606 $ 153,761 12,937 $ 127,722 10,879
60-89 Days................ 33,387 2,963 26,527 2,379 39,329 3,448 31,153 2,739
90 Days or More........... 20,720 1,889 16,144 1,484 24,322 2,190 18,031 1,590
----------- ------- ----------- ------- ----------- ------- ---------- -------
----------- ------- ----------- ------- ----------- ------- ---------- -------
TOTAL Delinquencies......... $ 191,475 16,515 $ 157,284 13,469 $ 217,412 18,575 $ 176,906 15,208
Repossession Inventory(5)... 33,525 2,112 18,551 1,201 30,374 1,944 21,755 1,421
----------- ------- ----------- ------- ----------- ------- ---------- -------
----------- ------- ----------- ------- ----------- ------- ---------- -------
TOTAL Delinquencies &
Repossession Inventory.... $ 225,000 18,627 $ 175,835 14,670 $ 247,786 20,519 $ 198,661 16,629
----------- ------- ----------- ------- ----------- ------- ---------- -------
----------- ------- ----------- ------- ----------- ------- ---------- -------
Delinquencies(3)(4)(6)
30-59 Days................ 1.17% 1.11% 1.38% 1.30%
60-89 Days................ 0.28% 0.26% 0.35% 0.32%
90 Days or More........... 0.18% 0.16% 0.22% 0.18%
----------- ----------- ----------- ----------
TOTAL Delinquencies(6)(7)... 1.63% 1.53% 1.96% 1.80%
Repossession Inventory(6)... 0.29% 0.18% 0.27% 0.22%
----------- ----------- ----------- ----------
TOTAL Delinquencies &
Repossession
Inventory(6)(7)........... 1.92% 1.71% 2.23% 2.02%
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
<CAPTION>
1995 1994 1993
-------------------- -------------------- --------------------
NUMBER NUMBER NUMBER
DOLLARS OF DOLLARS OF DOLLARS OF
(000'S) LOANS (000'S) LOANS (000'S) LOANS
---------- ------- ---------- ------- ---------- -------
<S> <C> <C> <C> <C> <C> <C>
Outstanding Principal
Amount.................... $7,451,714 628,009 $6,028,312 516,621 $4,540,693 378,857
---------- ------- ---------- ------- ---------- -------
---------- ------- ---------- ------- ---------- -------
Delinquencies(3)(4)
30-59 Days................ $ 78,499 7,054 $ 52,963 5,704 $ 41,294 3,761
60-89 Days................ 15,866 1,513 9,740 1,202 9,311 1,049
90 Days or More........... 8,654 786 5,353 761 4,176 421
---------- ------- ---------- ------- ---------- -------
---------- ------- ---------- ------- ---------- -------
TOTAL Delinquencies......... $ 103,019 9,353 $ 68,056 7,667 $ 54,781 5,231
Repossession Inventory(5)... 7,290 443 2,444 273 3,232 335
---------- ------- ---------- ------- ---------- -------
---------- ------- ---------- ------- ---------- -------
TOTAL Delinquencies &
Repossession Inventory.... $ 110,309 9,796 $ 70,500 7,940 $ 58,013 5,566
---------- ------- ---------- ------- ---------- -------
---------- ------- ---------- ------- ---------- -------
Delinquencies(3)(4)(6)
30-59 Days................ 1.05% 0.88% 0.91%
60-89 Days................ 0.21% 0.16% 0.21%
90 Days or More........... 0.12% 0.09% 0.09%
---------- ---------- ----------
TOTAL Delinquencies(6)(7)... 1.38% 1.13% 1.21%
Repossession Inventory(6)... 0.10% 0.04% 0.07%
---------- ---------- ----------
TOTAL Delinquencies &
Repossession
Inventory(6)(7)........... 1.48% 1.17% 1.28%
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
- ------------------
(1) The delinquency experience presented does not include experience with
respect to Direct Receivables.
(2) As of March 31, 1998, approximately 0.56% of the aggregate principal balance
of Motor Vehicle Loans in the portfolio presented were Chase Maryland Loans.
(3) Delinquencies include principal amounts only.
(4) The period of delinquency is based on the number of days payments are
contractually past due.
(5) As of December 31, 1994 and earlier, amounts shown in repossession inventory
represent loans which have been written down to the fair market value of the
collateral, but where the related financed vehicles have not yet been sold.
As of December 31, 1995 and later, amounts shown in repossession inventory
represent the total outstanding principal balance of the loans at such
times.
(6) As a percent of outstanding principal in dollars.
(7) Percentages representing TOTAL Delinquencies and TOTAL Delinquencies &
Repossession Inventory may not equal the sum of the components thereof due
to rounding.
10
<PAGE>
LOAN LOSS EXPERIENCE(1)(2)
(DOLLARS IN 000'S)
<TABLE>
<CAPTION>
THREE MONTHS ENDED
-------------------------- YEAR ENDED DECEMBER 31,
MARCH 31, MARCH 31, -------------------------------------------------------------------
1998 1997 1997 1996 1995 1994 1993
----------- ----------- ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Number of Loans(3)............ 983,317 871,913 938,495 832,993 628,009 516,621 378,857
Period End Outstanding
Principal Amount............ $11,716,735 $10,307,439 $11,114,504 $9,842,364 $7,451,714 $6,028,312 $4,540,693
Average Outstanding Principal
Amount(4)................... $11,830,620 $10,248,998 $10,630,360 $9,153,306 $6,572,006 $5,104,644 $3,999,579
Number of Repossessions....... 1,883 1,512 5,834 3,719 1,863 1,590 2,064
Number of Gross Charge-Offs... 2,442 1,970 7,524 5,076 2,633 2,348 2,879
Gross Charge-Offs(5).......... $ 19,208 $ 12,941 $ 57,017 $ 29,461 $ 11,765 $ 10,639 $ 14,923
Gross Charge-Offs as a % of
Period End Outstanding
Principal Amount(5)......... 0.66% 0.50% 0.51% 0.30% 0.16% 0.18% 0.33%
Gross Charge-Offs as a % of
Average Outstanding
Principal Amount(5)......... 0.65% 0.51% 0.54% 0.32% 0.18% 0.21% 0.37%
Recoveries(6)................. $ (4,267) $ (2,190) $ (10,622) $ (7,554) $ (3,869) $ (4,700) $ (4,648)
Net Charge-Offs(7)............ $ 14,941 $ 10,751 $ 46,395 $ 21,908 $ 7,896 $ 5,939 $ 10,275
Net Charge-Offs as a % of
Period End Outstanding
Principal Amount(7)(8)...... 0.51% 0.42% 0.42% 0.22% 0.11% 0.10% 0.23%
Net Charge-Offs as a % of
Average Outstanding
Principal Amount(7)(8)...... 0.51% 0.42% 0.44% 0.24% 0.12% 0.12% 0.26%
</TABLE>
- ------------------
(1) The loan loss experience presented does not include experience with respect
to Direct Receivables.
(2) As of March 31, 1998, approximately 0.56% of the aggregate principal balance
of Motor Vehicle Loans in the portfolio presented were Chase Maryland Loans.
(3) Number of loans as of period end.
(4) The average for each period presented was computed by taking a simple
average of monthly average outstanding principal amounts for such period.
(5) Amount charged off is remaining principal balance less proceeds from sale of
repossessed vehicles.
(6) Recoveries generally include amounts received with respect to loans
previously charged-off, except for proceeds realized in connection with the
sale of the repossessed vehicles.
(7) Net Charge-Offs mean gross charge-offs minus recoveries of loans previously
charged-off. Net Charge-Offs may not equal the difference of the components
thereof due to rounding.
(8) Percentages for the three-month periods ended March 31, 1997 and March 31,
1998 are annualized.
11
<PAGE>
WEIGHTED AVERAGE LIFE OF THE SECURITIES
Prepayments on motor vehicle 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 are the same size and amortize at the
same rate and that each receivable in each month of its life will 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.
The tables captioned 'Percent of Initial Note Principal Balance at Various
ABS Percentages' and 'Percent of Initial Certificate Balance at Various ABS
Percentages' (each an 'ABS TABLE') have been prepared on the basis of the
characteristics of the Receivables. Each ABS Table assumes that (a) the
Receivables prepay in full at the specified constant percentage of ABS monthly,
with no defaults, losses or repurchases, (b) each scheduled monthly payment on
the Receivables is made on the last day of each month and each month has 30
days, (c) payments on the Notes and distributions on the Certificates are made
on each Distribution Date (and each such date is assumed to be the 15th day of
each applicable month), (d) the balance in the Reserve Account on each
Distribution Date is equal to the Specified Reserve Account Balance and (e) the
Servicer does not exercise its option to purchase the Receivables. The
Receivables Pool has an assumed cutoff date of the Cutoff Date. The ABS Table
indicates the projected weighted average life of each class of Notes and the
Certificates and sets forth the percent of the initial principal amount of each
class of Notes and the percent of the initial Certificate Balance, as
applicable, that is projected to be outstanding after each of the Distribution
Dates shown at various constant ABS percentages.
The ABS Tables also assume that (i) the Receivables have been aggregated
into hypothetical pools with all of the Receivables within each such pool having
the following characteristics and (ii) the level scheduled monthly payment for
each such pool (which is based on its principal balance, weighted average
Contract Rate, weighted average original term to maturity and weighted average
remaining term to maturity as of the Cutoff Date) will be such that each pool
will be fully amortized by the end of its remaining term to maturity.
<TABLE>
<CAPTION>
REMAINING WEIGHTED WEIGHTED
TERM TO WEIGHTED AVERAGE AVERAGE
MATURITY AVERAGE ORIGINAL TERM REMAINING TERM
RANGE AGGREGATE CONTRACT TO MATURITY TO MATURITY
POOL (IN MONTHS) PRINCIPAL BALANCE RATE (IN MONTHS) (IN MONTHS)
- ----- ----------- ----------------- --------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 0-24 $ 10,968,791.58 8.77% 23 22
2 25-36 $ 58,224,355.59 8.86% 36 35
3 37-48 $ 162,274,581.27 9.23% 48 47
4 49-60 $ 834,022,056.28 8.94% 60 59
5 61-72 $ 29,299,426.73 9.88% 69 68
-----------------
$1,094,789,211.45
-----------------
-----------------
</TABLE>
The information included in the following tables represents forward-looking
statements and involves risks and uncertainties that could cause actual results
to differ materially from those in the forward-looking statements. The actual
characteristics and performance of the Receivables will differ from the
assumptions used in constructing each 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
five hypothetical pools could produce slower or faster principal distributions
than indicated in each 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 balances outstanding over
time and the weighted average lives of each class of Notes and the Certificates.
12
<PAGE>
PERCENT OF INITIAL NOTE PRINCIPAL BALANCE AT VARIOUS ABS PERCENTAGES
<TABLE>
<CAPTION>
CLASS A-1 NOTES CLASS A-2 NOTES
-------------------------------- --------------------------------
ASSUMED ABS PERCENTAGE(2) ASSUMED ABS PERCENTAGE(2)
-------------------------------- --------------------------------
DISTRIBUTION DATES 0.50% 1.00% 1.50% 2.00% 0.50% 1.00% 1.50% 2.00%
- ---------------------------------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................................. 100 100 100 100 100 100 100 100
July 15, 1998................................. 92 89 87 85 100 100 100 100
August 15, 1998............................... 83 79 75 70 100 100 100 100
September 15, 1998............................ 75 68 62 56 100 100 100 100
October 15, 1998.............................. 66 58 50 42 100 100 100 100
November 15, 1998............................. 58 48 38 28 100 100 100 100
December 15, 1998............................. 49 38 26 14 100 100 100 100
January 15, 1999.............................. 41 28 14 * 100 100 100 100
February 15, 1999............................. 33 18 2 0 100 100 100 83
March 15, 1999................................ 24 8 0 0 100 100 88 66
April 15, 1999................................ 16 0 0 0 100 97 74 50
May 15, 1999.................................. 8 0 0 0 100 85 59 34
June 15, 1999................................. 0 0 0 0 99 72 45 18
July 15, 1999................................. 0 0 0 0 89 60 31 2
August 15, 1999............................... 0 0 0 0 78 48 18 0
September 15, 1999............................ 0 0 0 0 68 36 4 0
October 15, 1999.............................. 0 0 0 0 57 24 0 0
November 15, 1999............................. 0 0 0 0 47 13 0 0
December 15, 1999............................. 0 0 0 0 36 1 0 0
January 15, 2000.............................. 0 0 0 0 26 0 0 0
February 15, 2000............................. 0 0 0 0 16 0 0 0
March 15, 2000................................ 0 0 0 0 5 0 0 0
April 15, 2000................................ 0 0 0 0 0 0 0 0
May 15, 2000.................................. 0 0 0 0 0 0 0 0
June 15, 2000................................. 0 0 0 0 0 0 0 0
July 15, 2000................................. 0 0 0 0 0 0 0 0
August 15, 2000............................... 0 0 0 0 0 0 0 0
September 15, 2000............................ 0 0 0 0 0 0 0 0
October 15, 2000.............................. 0 0 0 0 0 0 0 0
November 15, 2000............................. 0 0 0 0 0 0 0 0
December 15, 2000............................. 0 0 0 0 0 0 0 0
January 15, 2001.............................. 0 0 0 0 0 0 0 0
February 15, 2001............................. 0 0 0 0 0 0 0 0
March 15, 2001................................ 0 0 0 0 0 0 0 0
April 15, 2001................................ 0 0 0 0 0 0 0 0
May 15, 2001.................................. 0 0 0 0 0 0 0 0
June 15, 2001................................. 0 0 0 0 0 0 0 0
July 15, 2001................................. 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1).............. 0.53 0.44 0.37 0.32 1.43 1.19 1.01 0.87
</TABLE>
- ------------------
(1) The weighted average life of a Note is determined by (i) multiplying the
amount of each principal payment of such Note by the number of years from
the date of the issuance of such Note to the Distribution Date on which such
principal payment is made, (ii) adding the results and (iii) dividing the
sum by the initial principal balance of such Note.
(2) An asterisk '*' means a percent of initial Note principal balance of more
than zero and less than 0.5%.
THE ABS TABLES HAVE BEEN PREPARED BASED ON THE ASSUMPTIONS DESCRIBED ABOVE
(INCLUDING THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE
RECEIVABLES WHICH WILL DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE
THEREOF) AND SHOULD BE READ IN CONJUNCTION THEREWITH.
13
<PAGE>
PERCENT OF INITIAL NOTE PRINCIPAL BALANCE AT VARIOUS ABS PERCENTAGES
<TABLE>
<CAPTION>
CLASS A-3 NOTES CLASS A-4 NOTES
-------------------------------- --------------------------------
ASSUMED ABS PERCENTAGE ASSUMED ABS PERCENTAGE
-------------------------------- --------------------------------
DISTRIBUTION DATES 0.50% 1.00% 1.50% 2.00% 0.50% 1.00% 1.50% 2.00%
- ---------------------------------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................................. 100 100 100 100 100 100 100 100
July 15, 1998................................. 100 100 100 100 100 100 100 100
August 15, 1998............................... 100 100 100 100 100 100 100 100
September 15, 1998............................ 100 100 100 100 100 100 100 100
October 15, 1998.............................. 100 100 100 100 100 100 100 100
November 15, 1998............................. 100 100 100 100 100 100 100 100
December 15, 1998............................. 100 100 100 100 100 100 100 100
January 15, 1999.............................. 100 100 100 100 100 100 100 100
February 15, 1999............................. 100 100 100 100 100 100 100 100
March 15, 1999................................ 100 100 100 100 100 100 100 100
April 15, 1999................................ 100 100 100 100 100 100 100 100
May 15, 1999.................................. 100 100 100 100 100 100 100 100
June 15, 1999................................. 100 100 100 100 100 100 100 100
July 15, 1999................................. 100 100 100 100 100 100 100 100
August 15, 1999............................... 100 100 100 92 100 100 100 100
September 15, 1999............................ 100 100 100 83 100 100 100 100
October 15, 1999.............................. 100 100 95 74 100 100 100 100
November 15, 1999............................. 100 100 87 66 100 100 100 100
December 15, 1999............................. 100 100 79 57 100 100 100 100
January 15, 2000.............................. 100 94 72 49 100 100 100 100
February 15, 2000............................. 100 87 64 41 100 100 100 100
March 15, 2000................................ 100 80 57 33 100 100 100 100
April 15, 2000................................ 97 74 50 26 100 100 100 100
May 15, 2000.................................. 91 67 43 19 100 100 100 100
June 15, 2000................................. 85 61 36 12 100 100 100 100
July 15, 2000................................. 79 54 30 5 100 100 100 100
August 15, 2000............................... 73 48 23 0 100 100 100 98
September 15, 2000............................ 67 42 17 0 100 100 100 90
October 15, 2000.............................. 61 36 11 0 100 100 100 83
November 15, 2000............................. 55 30 5 0 100 100 100 77
December 15, 2000............................. 49 24 0 0 100 100 99 70
January 15, 2001.............................. 43 19 0 0 100 100 93 64
February 15, 2001............................. 38 13 0 0 100 100 86 58
March 15, 2001................................ 32 7 0 0 100 100 80 52
April 15, 2001................................ 26 2 0 0 100 100 74 46
May 15, 2001.................................. 20 0 0 0 100 96 69 41
June 15, 2001................................. 15 0 0 0 100 90 63 36
July 15, 2001................................. 10 0 0 0 100 85 58 32
August 15, 2001............................... 4 0 0 0 100 79 53 27
September 15, 2001............................ 0 0 0 0 99 74 49 23
October 15, 2001.............................. 0 0 0 0 93 69 44 19
November 15, 2001............................. 0 0 0 0 87 64 40 16
December 15, 2001............................. 0 0 0 0 81 59 36 12
January 15, 2002.............................. 0 0 0 0 76 54 32 9
February 15, 2002............................. 0 0 0 0 70 49 28 7
March 15, 2002................................ 0 0 0 0 64 44 24 4
</TABLE>
THE ABS TABLES HAVE BEEN PREPARED BASED ON THE ASSUMPTIONS DESCRIBED ABOVE
(INCLUDING THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE
RECEIVABLES WHICH WILL DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE
THEREOF) AND SHOULD BE READ IN CONJUNCTION THEREWITH.
14
<PAGE>
PERCENT OF INITIAL NOTE PRINCIPAL BALANCE AT VARIOUS ABS PERCENTAGES (CONTINUED)
<TABLE>
<CAPTION>
CLASS A-3 NOTES CLASS A-4 NOTES
-------------------------------- --------------------------------
ASSUMED ABS PERCENTAGE(2) ASSUMED ABS PERCENTAGE(2)
-------------------------------- --------------------------------
DISTRIBUTION DATES 0.50% 1.00% 1.50% 2.00% 0.50% 1.00% 1.50% 2.00%
- ---------------------------------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
April 15, 2002................................ 0 0 0 0 58 40 21 2
May 15, 2002.................................. 0 0 0 0 52 35 18 *
June 15, 2002................................. 0 0 0 0 48 32 15 0
July 15, 2002................................. 0 0 0 0 43 28 13 0
August 15, 2002............................... 0 0 0 0 39 25 10 0
September 15, 2002............................ 0 0 0 0 34 21 8 0
October 15, 2002.............................. 0 0 0 0 29 18 6 0
November 15, 2002............................. 0 0 0 0 25 15 5 0
December 15, 2002............................. 0 0 0 0 20 12 3 0
January 15, 2003.............................. 0 0 0 0 16 9 1 0
February 15, 2003............................. 0 0 0 0 12 6 * 0
March 15, 2003................................ 0 0 0 0 7 3 0 0
April 15, 2003................................ 0 0 0 0 3 * 0 0
May 15, 2003.................................. 0 0 0 0 0 0 0 0
June 15, 2003................................. 0 0 0 0 0 0 0 0
July 15, 2003................................. 0 0 0 0 0 0 0 0
August 15, 2003............................... 0 0 0 0 0 0 0 0
September 15, 2003............................ 0 0 0 0 0 0 0 0
October 15, 2003.............................. 0 0 0 0 0 0 0 0
November 15, 2003............................. 0 0 0 0 0 0 0 0
December 15, 2003............................. 0 0 0 0 0 0 0 0
January 15, 2004.............................. 0 0 0 0 0 0 0 0
February 15, 2004............................. 0 0 0 0 0 0 0 0
March 15, 2004................................ 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1).............. 2.53 2.19 1.88 1.63 4.04 3.75 3.35 2.88
</TABLE>
- ------------------
(1) The weighted average life of a Note is determined by (i) multiplying the
amount of each principal payment of such Note by the number of years from
the date of the issuance of such Note to the Distribution Date on which such
principal payment is made, (ii) adding the results and (iii) dividing the
sum by the initial principal balance of such Note.
(2) An asterisk '*' means a percent of initial Note principal balance of more
than zero and less than 0.5%.
THE ABS TABLES HAVE BEEN PREPARED BASED ON THE ASSUMPTIONS DESCRIBED ABOVE
(INCLUDING THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE
RECEIVABLES WHICH WILL DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE
THEREOF) AND SHOULD BE READ IN CONJUNCTION THEREWITH.
15
<PAGE>
PERCENT OF INITIAL CERTIFICATE BALANCE AT VARIOUS ABS PERCENTAGES
<TABLE>
<CAPTION>
CERTIFICATES
--------------------------------
ASSUMED ABS PERCENTAGE
--------------------------------
DISTRIBUTION DATES 0.50% 1.00% 1.50% 2.00%
- -------------------------------------------------------------------------------- ----- ----- ----- -----
<S> <C> <C> <C> <C>
Closing Date.................................................................... 100 100 100 100
July 15, 1998................................................................... 100 100 100 100
August 15, 1998................................................................. 100 100 100 100
September 15, 1998.............................................................. 100 100 100 100
October 15, 1998................................................................ 100 100 100 100
November 15, 1998............................................................... 100 100 100 100
December 15, 1998............................................................... 100 100 100 100
January 15, 1999................................................................ 100 100 100 100
February 15, 1999............................................................... 100 100 100 97
March 15, 1999.................................................................. 100 100 98 94
April 15, 1999.................................................................. 100 100 95 91
May 15, 1999.................................................................... 100 97 93 88
June 15, 1999................................................................... 100 95 90 85
July 15, 1999................................................................... 98 93 87 82
August 15, 1999................................................................. 96 90 85 79
September 15, 1999.............................................................. 94 88 82 77
October 15, 1999................................................................ 92 86 80 74
November 15, 1999............................................................... 90 84 78 71
December 15, 1999............................................................... 88 82 75 69
January 15, 2000................................................................ 86 80 73 66
February 15, 2000............................................................... 85 78 71 64
March 15, 2000.................................................................. 83 76 68 61
April 15, 2000.................................................................. 81 74 66 59
May 15, 2000.................................................................... 79 72 64 57
June 15, 2000................................................................... 77 70 62 55
July 15, 2000................................................................... 75 68 60 53
August 15, 2000................................................................. 73 66 58 51
September 15, 2000.............................................................. 72 64 56 49
October 15, 2000................................................................ 70 62 54 47
November 15, 2000............................................................... 68 60 53 45
December 15, 2000............................................................... 66 59 51 43
January 15, 2001................................................................ 64 57 49 41
February 15, 2001............................................................... 63 55 47 40
March 15, 2001.................................................................. 61 53 46 38
April 15, 2001.................................................................. 59 52 44 37
May 15, 2001.................................................................... 57 50 43 35
June 15, 2001................................................................... 56 49 41 34
July 15, 2001................................................................... 54 47 40 33
August 15, 2001................................................................. 52 46 39 32
September 15, 2001.............................................................. 51 44 37 31
October 15, 2001................................................................ 49 43 36 30
November 15, 2001............................................................... 48 41 35 29
December 15, 2001............................................................... 46 40 34 28
January 15, 2002................................................................ 45 39 33 27
February 15, 2002............................................................... 43 37 32 26
March 15, 2002.................................................................. 41 36 31 26
</TABLE>
THE ABS TABLES HAVE BEEN PREPARED BASED ON THE ASSUMPTIONS DESCRIBED ABOVE
(INCLUDING THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE
RECEIVABLES WHICH WILL DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE
THEREOF) AND SHOULD BE READ IN CONJUNCTION THEREWITH.
16
<PAGE>
PERCENT OF INITIAL CERTIFICATE BALANCE AT VARIOUS ABS PERCENTAGES (CONTINUED)
<TABLE>
<CAPTION>
CERTIFICATES
--------------------------------
ASSUMED ABS PERCENTAGE(2)
--------------------------------
DISTRIBUTION DATES 0.50% 1.00% 1.50% 2.00%
- -------------------------------------------------------------------------------- ----- ----- ----- -----
<S> <C> <C> <C> <C>
April 15, 2002.................................................................. 40 35 30 25
May 15, 2002.................................................................... 38 34 29 24
June 15, 2002................................................................... 37 33 28 12
July 15, 2002................................................................... 36 32 28 0
August 15, 2002................................................................. 35 31 27 0
September 15, 2002.............................................................. 33 30 27 0
October 15, 2002................................................................ 32 29 26 0
November 15, 2002............................................................... 31 28 26 0
December 15, 2002............................................................... 30 28 25 0
January 15, 2003................................................................ 29 27 25 0
February 15, 2003............................................................... 27 26 24 0
March 15, 2003.................................................................. 26 25 16 0
April 15, 2003.................................................................. 25 25 8 0
May 15, 2003.................................................................... 10 6 2 0
June 15, 2003................................................................... 9 5 1 0
July 15, 2003................................................................... 8 4 1 0
August 15, 2003................................................................. 7 4 1 0
September 15, 2003.............................................................. 6 3 * 0
October 15, 2003................................................................ 5 2 * 0
November 15, 2003............................................................... 3 2 * 0
December 15, 2003............................................................... 2 1 0 0
January 15, 2004................................................................ 1 1 0 0
February 15, 2004............................................................... 0 0 0 0
March 15, 2004.................................................................. 0 0 0 0
Weighted Average Life (years) (1)............................................... 3.36 3.11 2.84 2.41
</TABLE>
- ------------------
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each principal payment with respect to such Certificate by the
number of years from the date of the issuance of such Certificate to the
Distribution Date on which it is made, (ii) adding the results and (iii)
dividing the sum by the initial certificate balance of such Certificate.
(2) An asterisk '*' means a percent of initial Certificate principal balance of
more than zero and less than 0.5%.
THE ABS TABLES HAVE BEEN PREPARED BASED ON THE ASSUMPTIONS DESCRIBED ABOVE
(INCLUDING THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE
RECEIVABLES WHICH WILL DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE
THEREOF) AND SHOULD BE READ IN CONJUNCTION THEREWITH.
17
