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
December 6, 1996
Date of Report ........................................................
(Date of earliest event reported)
U. S. AUTO RECEIVABLES COMPANY
..........................................................................
(Exact name of registrant as specified in its charter)
State of Michigan 33-55795 38-2997412
..........................................................................
(State or other jurisdiction (Commission) (IRS Employer
of incorporation) File No.) Identification No.)
27777 Franklin Rd., Southfield, Michigan 48034
..............................................
(Address of principal executive offices)
(810) 948-3031
Registrant's telephone number, including area code........................
This filing relates to Registration Statement No. 33-55795.
<PAGE>
Item 5. Other Events.
In connection with the proposed offering of CARCO Auto Loan Master
Trust, Series 1996-2, Floating Rate Auto Loan Asset Backed Certificates,
attached as Exhibit 99 are certain materials prepared by U. S. Auto Receivable
Company that are required to be filed pursuant to the no-action letter dated
May 20, 1994 issued by the staff of the Securities and Exchange Commission
(the "Commission") to Kidder, Peabody Acceptance Corporation-1, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation and the
no-action letter dated February 15, 1995 issued by the staff of the Commission
to the Public Securities Association.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
Listed below are the financial statements, pro forma financial
information and exhibits, if any, filed as a part of this Report:
(a) Financial statements of businesses acquired;
None
(b) Pro forma financial information:
None
(c) Exhibits:
Exhibit 99
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<PAGE>
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.
CHRYSLER FINANCIAL CORPORATION
Date: December 9, 1996 By /s/ B.C. Babbish
---------------------
Assistant Secretary
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<PAGE>
EXHIBIT INDEX
Exhibit
No. Description of Exhibit
- ------- ----------------------
99 Material prepared by U. S. Auto Receivables Company in
connection with CARCO Auto Loan Master Trust, Series 1996-2
pursuant to the no-action letter dated May 20, 1994 issued by
the staff of the Securities and Exchange Commission (the
"Commission") to Kidder, Peabody Acceptance Corporation-1,
Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation and the no-action letter dated February 15, 1995
issued by the staff of the Commission to the Public Securities
Association.
-4-
<PAGE>
EXHIBIT 99
CARCO Auto Loan Master Trust 1996-2 Structural and Collateral Materials
EXHIBIT 99
TERM SHEET
CARCO Auto Loan Master Trust
Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2
Title of Securities Floating Rate Auto Loan Asset
Backed Certificates, Series 1996-2 (the
"Series 1996-2 Certificates").
Seller U.S. Auto Receivables Company.
Servicer Chrysler Financial Corporation (CFC).
The Series 1996-2
Invested Amount The Series 1996-2 Invested Amount is
expected to be $500,000,000 on the Series
Issuance Date (based on information as of the
Series Cut-Off Date) and represents the
principal amount of the Series 1996-2
Certificates invested in Receivables as of
the Series Issuance Date.
Interest Interest on the principal balance of the
Series 1996-2 Certificates will accrue at the
Certificate Rate and will be payable to
Series 1996-2 Certificateholders on the
fifteenth day of each month (or, if such day
is not a business day, on the next succeeding
business day) (each, a "Distribution Date").
The Certificate Rate will be equal one-month
LIBOR (the "Index") for the applicable
Interest Period plus 0.05%.
Expected Payment Date December 17, 2001
Yield Supplement Account On the Series Issuance Date, the Seller will
deposit $2,000,000 in a trust account which
will be established by the Seller with the
Trustee (the "Yield Supplement Account"). The
Yield Supplement Account will be funded, from
time to time, by the deposit thereto of
certain amounts otherwise distributable to
the Seller.
Accumulation Period Unless an Early Amortization Event that is
not cured or waived as described herein shall
have occurred, the Series 1996-2 Certificates
will have an Accumulation Period of one, two,
three, four or five month(s) long as
described in the following paragraph.
On the June 2001 Distribution Date and each
Distribution Date thereafter that occurs
prior to the Accumulation Period Commencement
Date, the Servicer shall calculate the
Accumulation Period Length. The "Accumulation
Period Length" will be calculated on each
such date as the lesser of (i) the number of
full Collection Periods between such
Distribution Date and the Expected Payment
Date and (ii) the product, rounded upwards to
the nearest integer not greater than five, of
(a) one divided by the lowest Monthly Payment
Rate on the Receivables during the last 12
months and (b) a fraction, the numerator of
which is the sum of (i) the Invested Amount
as of such Distribution Date (after giving
effect to all
<PAGE>
Accumulation Period (continued) changes therein on such date) and (ii) the
invested amounts of all other Series
(excluding certain Series) currently in their
amortization or accumulation periods or
expected to be in their amortization or
accumulation periods by the Expected Payment
Date and the denominator of which is the sum
of such Invested Amount and the invested
amounts as of such Distribution Date (after
giving effect to all changes therein on such
date) of all other outstanding Series
(excluding certain Series) which are expected
to be outstanding on the Expected Payment
Date. The Accumulation Period Commencement
Date (which will be the first day of a
Collection Period) will occur when the number
of full Collection Periods remaining until
the Expected Payment Date first equals the
Accumulation Period Length as calculated
above. If the Accumulation Period Length is
one month, two months, three months, four
months or five months in length, the
"Accumulation Period Commencement Date" shall
be the first day of the November 2001
Collection Period, the October 2001
Collection Period, the September 2001
Collection Period, the August 2001 Collection
Period or the July 2001 Collection Period,
respectively. In addition, if at any time
after the June 2001 Distribution Date, any
other outstanding Series (excluding certain
Series) shall have entered into a
reinvestment period or an early amortization
period, the Accumulation Period Commencement
Date shall be the earlier of (i) the date
that such outstanding Series shall have
entered into its reinvestment period or early
amortization period and (ii) the Accumulation
Period Commencement Date as previously
determined.
The effect of the calculation described above
is to permit the reduction of the length of
the Accumulation Period based on the invested
amounts of certain other Series which are
scheduled to be in their revolving periods
during the Accumulation Period and on
increases in the principal payment rate,
which, if continued, would result in a
shorter Accumulation Period.
Subordination of
the Seller's Interest If the Interest Collections, Investment
Proceeds, certain amounts in the Reserve
Fund, certain amounts in the Yield Supplement
Account and certain other amounts allocable
to the Series 1996-2 Certificateholders for
any Collection Period are not sufficient to
cover the interest payable with respect to
the Series 1996-2 Certificates on the next
Distribution Date (plus any overdue interest
and interest thereon), the Monthly Servicing
Fee for such Distribution Date, any Investor
Default Amount for such Distribution Date and
certain other amounts, the Available
Subordinated Amount will be applied to make
up such deficiency. Available Seller's
Collections to the extent of the Available
Subordinated Amount will also be applied to
pay any Carry-over Amount on the Final
Payment Date that is not satisfied by the
application of Certificateholder Interest
Collections, Investment
2
<PAGE>
Subordination of the
Seller's Interest (continued) Proceeds and funds on deposit in the Yield
Supplement Account and the Reserve Fund on
such date.
The "Available Subordinated Amount" for a
Determination Date is equal to (a) the lesser
of (i) the Available Subordinated Amount for
the preceding Determination Date, minus, with
certain limitations, the Draw Amount for such
preceding Determination Date, minus funds
from the Reserve Fund applied to cover any
portion of the Investor Default Amount, plus
the excess, if any, of the Required
Subordinated Amount for such Determination
Date over the Required Subordinated Amount
for the immediately preceding Determination
Date due to an increase in the Subordination
Factor, plus the amount of Excess Servicing
available to be paid to the Seller, and (ii)
the product of the fractional equivalent of
the Subordinated Percentage and the Invested
Amount minus (b) in the case of clause
(a)(i), the Incremental Subordinated Amount
for such preceding Determination Date, plus
(c) the Incremental Subordinated Amount for
the current Determination Date, plus (d) the
Subordinated Percentage of funds to be
withdrawn from the Excess Funding Account on
the succeeding Distribution Date and paid to
the Seller or allocated to one or more
Series; provided, however, that, from and
after the commencement of the Accumulation
Period or any Early Amortization Period that
is not terminated as described herein until
the payment in full of the Series 1996-2
Certificates, the Available Subordinated
Amount shall be calculated based on the
Invested Amount as of the close of business
on the day preceding such Accumulation Period
or Early Amortization Period. The Available
Subordinated Amount for the first
Determination Date is equal to the Required
Subordinated Amount. The "Required
Subordinated Amount" shall mean, as of any
date of determination, the sum of (a) the
product of the initial Subordinated
Percentage, as adjusted from time to time as
described herein other than as a result of an
increase therein at the option of the Seller,
and the Invested Amount and (b) the
Incremental Subordinated Amount.
The "Incremental Subordinated Amount" on any
Determination Date will equal the result
obtained by multiplying (a) a fraction, the
numerator of which is the sum of the Invested
Amount on the last day of the immediately
preceding Collection Period and the Available
Subordinated Amount for such Determination
Date (calculated without adding the
Incremental Subordinated Amount for such
Determination Date as described in clause (c)
above), and the denominator of which is the
Pool Balance on such last day by (b) the
excess, if any, of (x) the sum of the
Overconcentration Amount, the Installment
Balance Amount and the aggregate amount of
3
<PAGE>
Subordination of the
Seller's Interest (continued) Ineligible Receivables on such Determination
Date over (y) the aggregate amount of
Ineligible Receivables, Receivables in
Accounts containing Dealer Overconcentrations
and Receivables in Installment Balances, in
each case that became Defaulted Receivables
during the preceding Collection Period and
are not subject to reassignment from the
Trust, unless certain insolvency events
relating to the Seller or CFC have occurred,
as further described in the Pooling and
Servicing Agreement.
The "Subordinated Percentage" will initially
equal the percentage equivalent of a
fraction, the numerator of which is the
Subordination Factor and the denominator of
which will be the excess of 100% over the
Subordination Factor. The Subordination
Factor will initially be 10%, but will be
subject to increase to 11% in the event that
the rating of CFC's long-term unsecured debt
is lowered below BBB- by Standard & Poor's or
withdrawn by Standard & Poor's, unless the
Seller receives written confirmation from
Standard & Poor's that the failure to so
increase the Subordination Factor would not
result in such Rating Agency lowering or
withdrawing its rating of the Series 1996-2
Certificates. The Seller may, in its sole
discretion, increase at any time the
Available Subordinated Amount for so long as
the cumulative amount of such discretionary
increases does not exceed the lesser of (i)
$5,555,555 or (ii) 1.11% of the Invested
Amount on such date. The Seller is not under
any obligation to increase the Available
Subordinated Amount at any time, except as
described herein. If the Available
Subordinated Amount were reduced to less than
the Required Subordinated Amount, an Early
Amortization Event would occur. The Seller
could elect to increase the Available
Subordinated Amount at the time such an Early
Amortization Event would otherwise occur,
thus preventing or delaying the occurrence of
the Early Amortization Event.
Required Participation
Percentage "Required Participation Percentage" shall
mean, with respect to Series 1996-2, 103%,
except under certain circumstances.
Registration of Series
1996-2 Certificates The Series 1996-2 Certificates will initially
be represented by one or more Certificates
registered in the name of Cede, as the
nominee of DTC. No person acquiring an
interest in the Series 1996-2 Certificates
will be entitled to receive a definitive
certificate representing such person's
interest except under certain limited
circumstances. Series 1996-2
Certificateholders may only hold their Series
1996-2 Certificates through DTC. Series
1996-2 Certificates may not be held through
CEDEL or Euroclear.
Servicing Fee Rate 1.0%.
4
<PAGE>
Optional Repurchase The Series 1996-2 Certificateholders'
Interest will be subject to optional
repurchase by the Seller on any Distribution
Date after the Invested Amount is reduced to
an amount less than or equal to $50,000,000
(10% of the initial outstanding principal
amount of the Series 1996-2 Certificates.)
Series 1996-2 Termination Date November 17, 2003.
ERISA Considerations Series 1996-2 Certificates may
be eligible for purchase by employee benefit
plans.
Certificate Ratings It is a condition to the issuance of
the Series 1996-2 Certificates that they be
rated in the highest long-term rating
category by at least one nationally
recognized rating agency.
Series Issuance Date December 16, 1996.
Series Cut-Off Date November 30, 1996.
Underwriter Merrill Lynch & Co.
Expected Pricing Dec. 6, 1996.
Expected Settlement Dec. 16, 1996.
Trustee The Bank of New York
5
<PAGE>
U.S. Wholesale Master Trust Portfolio
As of the Nine Months Ended
September 30, 1996 there were:
a) 3,326 Accounts with a Principal Receivables balance of
approximately $7.4 billion.
b) Average credit line for New and Used Dealers were
approximately $2.92 million and $0.34 million respectively.
c) The aggregate total Receivables balance as a percentage of
the totalcredit line was approximately 67.7%.
d) Weighted Average spread over prime was 0.8%.
Geographic Distribution: Percentage of Receivables Outstanding
California 8.63%
New York 7.53%
Texas 6.82%
Michigan 5.60%
New Jersey 5.58%
Pennsylvania 5.44%
Florida 5.44%
Illinois 5.39%
All other states less than 5.00%
Dealer
Concentration: There are no dealers (or group of affiliate dealers) with
a concentration greater than 2%.
<TABLE>
<CAPTION>
Monthly Payment Rates:
Nine Months Ended
September 30, Year Ended December 31,
-------------- -------------------------------------------------
1996 1995 1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Highest Month 52.2% 61.8% 59.1% 59.7% 54.7% 50.6% 49.0% 42.1%
Lowest Month 43.2 36.5 36.5 34.2 35.9 34.4 30.2 25.3
Average 49.5 46.4 45.6 50.3 46.6 41.3 38.4 35.7
<CAPTION>
Year Ended December 31,
-------------------------------------------------------------------
1989 1988 1987 1986 1985 1984 1983 1982
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Highest Month 41.5% 48.7% 40.3% 56.7% 45.9% 43.7% 45.9% 35.5%
Lowest Month 29.5 29.5 26.8 27.7 35.8 35.7 37.7 29.0
Average 35.6 41.2 34.2 37.7 40.1 39.9 42.2 32.9
Year Ended December 31,
-----------------------
1981 1980 1979
---- ---- ----
<S> <C> <C> <C>
Highest Month 34.3% 28.9% 36.5%
Lowest Month 27.4 26.7 26.0
Average 32.2 28.1 30.0
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Loss Experience for the U.S. Wholesale Portfolio:
Nine Months Ended
September 30,
-----------------
1996 1995
---- ----
<S> <C> <C>
Avg.Pr.Rec.Bal.(1) $8,850 $8,105
N.Losses(Rec.)(2) $(0) $(1)
N.Losses(Rec.)/Liq. (0.001)% (0.004)%
N.Losses(Rec.)/Avg.
Prin.Rec.Bal(3) (0.00)% (0.02)%
<CAPTION>
Year Ended December 31,
------------------------------------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Avg.Pr.Rec.Bal.(1) $8,256 $6,754 $6,271 $5,344 $4,826 $4,726
N.Losses(Rec.)(2) $(1) $(1) $12 $26 $36 $23
N.Losses(Rec.)/Liq. (0.002)% (0.003)% 0.035% 0.098% 0.163% 0.117%
N.Losses(Rec.)/Avg.
Prin.Rec.Bal(3) (0.01)% (0.01)% 0.19% 0.49% 0.75% 0.49%
<CAPTION>
Year Ended December 31,
-------------------------------------------------
1989 1988 1987 1986 1985
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Avg.Pr.Rec.Bal.(1) $4,933 $4,129 $3,787 $2,991 $2,532
N.Losses(Rec.)(2) $13 $3 $2 $3 $1
N.Losses(Rec.)/Liq. 0.060% 0.015% 0.015% 0.023% 0.004%
N.Losses(Rec.)/Avg.
Prin.Rec.Bal(3) 0.26% 0.07% 0.06% 0.10% 0.02%
<CAPTION>
Year Ended December 31,
------------------------------------------------------------
1984 1983 1982 1981 1980 1979
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Avg.Pr.Rec.Bal.(1) $2,098 $1,461 $1,451 $1,390 $1,622 $1,837
N.Losses(Rec.)(2) $(2) $2 $14 $12 $18 $11
N.Losses(Rec.)/Liq. (0.019)% 0.023% 0.239% 0.225% 0.338% 0.163%
N.Losses(Rec.)/Avg.
Prin.Rec.Bal(3) (0.09)% 0.12% 0.95% 0.85% 1.12% 0.58%
<FN>
- ---------
(1) Average Principal Receivables Balance is the average of the month end
principal balances for the thirteen months ending on the last day of the
period, except for the nine months ended September 30, 1996 and 1995
which are based on a ten-month average.
(2) Net losses in any period are gross losses less recoveries for such period.
(3) Percentages for the nine months ended September 30, 1996 and 1995 are
expressed on an annualized basis.
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
Aging Experience:
As of Sept. 30, Year Ended December 31,
-------------- ----------------------------------------------
Days 1996 1995 1995 1994 1993 1992 1991 1990
- ---- ---- ---- ---- ---- ---- ---- ---- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
1-120 80.3% 79.0% 82.2% 82.5% 82.4% 77.2% 75.9% 72.2%
121-180 7.9 7.8 9.3 10.1 9.6 13.8 12.9 13.7
181-270 5.9 7.0 3.8 4.0 4.6 4.8 4.8 7.1
Over 270 5.9 6.2 4.7 3.4 3.4 4.2 6.4 7.0
<CAPTION>
Aging Experience:
Year Ended December 31,
-------------------------------
1989 1988 1987 1986
---- ---- ---- ----
<C> <C> <C> <C> <C>
1-120 71.3% 78.8% 73.0% 81.5%
121-180 14.5 11.0 13.9 9.2
181-270 6.4 4.7 6.8 4.4
Over 270 7.8 5.5 6.3 4.9
</TABLE>
8
<PAGE>
The attached tables and other statistical analyses (the "Term Sheet")
are privileged and confidential and are intended for use by the addressee
only. Neither Merrill Lynch, the issuer of the securities nor any of its
affiliates makes any representation as to the accuracy or completeness of the
information herein. The information herein is preliminary, and will be
subsequently filed with the Securities and Exchange Commission. They may not
be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Term Sheet which may
or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Term Sheet in any particular
context; or as to whether the Term Sheet and/or the assumptions upon which it
is based reflect present market conditions or future market performance. This
Term Sheet should not be construed as either projections or predictions or as
legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Term Sheet are based
on prepayment assumptions and actual prepayment experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Term Sheet. Furthermore, unless otherwise
provided, the Term Sheet assumes no losses on the underlying assets and no
interest shortfall. The specific characteristics of the securities may differ
from those shown in the Term Sheet due to differences between the actual
underlying assets and the hypothetical assets used in preparing the Term
Sheet. The principal amount and designation of any security described in the
Term Sheet are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating
to the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any sale of the securities discussed in this communication
in any state in which such offer, solicitations or sale would be unlawful
prior to registration or qualification under the securities laws of any such
state. Prospective purchasers are referred to the final prospectus and
prospectus supplement relating to the securities discussed in this
communication for definitive Term Sheet on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk and (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the
sending party immediately by telephone and return the original to such party
by mail.
[GRAPHIC OMITTED] 9
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Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
