<PAGE>
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): October 21, 1997
------------------------------
NAVISTAR FINANCIAL RETAIL RECEIVABLES CORPORATION
-------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-64249 51-0337491
- --------------- ------------------------ --------------------
(State or other (Commission File Number) (I.R.S. Employer
Jurisdiction of Identification No.)
Incorporation)
Navistar Financial Retail Receivables Corporation
2850 W. Golf Road
Rolling Meadows, IL 60008
- -------------------------------------------------- ----------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (847) 734-4000
Former name or former address, if changed since last report: Not applicable
Exhibit Index appears on Page 4
1
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Item 5. Other Events
------------
Series 1997-B. On October 21, 1997, the registrant made available
to prospective investors a series term sheet setting forth a description of the
collateral pool and the proposed structure of $500,000,000 aggregate principal
amount of Series 1997-B Asset Backed Notes, Class A and Class B, of Navistar
Financial 1997-B Owner Trust. The series term sheet is attached hereto as
Exhibit 99.
Item 7. Financial Statements, Pro Forma Financial Statements and Exhibits
-----------------------------------------------------------------
Exhibit No. Description
- ----------- -----------
Exhibit 99 Series Term Sheet dated October 20, 1997, with respect to the
proposed issuance of the Asset Backed Notes, Class A and Class B,
of Navistar Financial 1997-B Owner Trust.
2
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
as amended, the registrant has duly caused this report to be signed on its
behalf by the undersigned hereunto duly authorized.
NAVISTAR FINANCIAL RETAIL RECEIVABLES
CORPORATION
(Registrant)
Dated: October 22, 1997 By: /s/ R. Wayne Cain
-----------------------------------
Its: Vice President and Treasurer
3
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INDEX OF EXHIBITS
-----------------
Sequentially
Exhibit Number Exhibit Numbered Page
- ---------------- --------------------------------------- ------------------
Exhibit 99 Series Term Sheet dated October 20, 1997, 5
with respect to the proposed issuance of
the Asset Backed Notes, Class A and Class B,
of Navistar Financial 1997-B Owner Trust.
4
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NAVISTAR FINANCIAL 1997-B OWNER TRUST
NAVISTAR FINANCIAL RETAIL RECEIVABLES CORPORATION
SELLER
NAVISTAR FINANCIAL CORPORATION
SERVICER
SUBJECT TO REVISION
TERM SHEET DATED OCTOBER 20, 1997
Underwriters of the Class A Notes
CREDIT SUISSE FIRST BOSTON
BANCAMERICA ROBERTSON STEPHENS
CHASE SECURITIES INC.
FIRST CHICAGO CAPITAL MARKETS, INC.
J.P. MORGAN & CO.
NATIONSBANC MONTGOMERY SECURITIES, INC.
Underwriter of the Class B Notes
CREDIT SUISSE FIRST BOSTON
<PAGE>
PROCEEDS OF THE ASSETS OF THE TRUST AND AMOUNTS ON DEPOSIT IN THE RESERVE
ACCOUNT, THE NEGATIVE CARRY ACCOUNT AND THE PRE-FUNDING ACCOUNT ARE THE SOLE
SOURCES OF PAYMENTS ON THE NOTES. NONE OF THE NOTES REPRESENTS AN INTEREST IN
OR OBLIGATION OF, OR IS INSURED OR GUARANTEED BY, NAVISTAR FINANCIAL
CORPORATION, NAVISTAR FINANCIAL RETAIL RECEIVABLES CORPORATION OR ANY OF THEIR
RESPECTIVE AFFILIATES.
THIS TERM SHEET CONTAINS STRUCTURAL AND COLLATERAL INFORMATION WITH RESPECT TO
THE NAVISTAR FINANCIAL 1997-B OWNER TRUST. THE INFORMATION CONTAINED IN THIS
TERM SHEET IS PRELIMINARY AND WILL BE SUPERSEDED IN ITS ENTIRETY BY THE
INFORMATION APPEARING IN THE PROSPECTUS SUPPLEMENT RELATING TO THE NAVISTAR
FINANCIAL 1997-B OWNER TRUST (THE "PROSPECTUS SUPPLEMENT") AND THE RELATED
PROSPECTUS (THE "PROSPECTUS"). THE INFORMATION CONTAINED IN THIS TERM SHEET
ADDRESSES ONLY CERTAIN LIMITED ASPECTS OF THE NOTES' CHARACTERISTICS, AND DOES
NOT PURPORT TO PROVIDE A COMPLETE ASSESSMENT THEREOF. THE INFORMATION CONTAINED
HEREIN THEREFORE MAY NOT REFLECT THE IMPACT OF ALL STRUCTURAL CHARACTERISTICS OF
THE NOTES OR ANY CHANGES MADE TO THE STRUCTURE OF THE NOTES 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.
ALTHOUGH A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS) RELATING TO THE NOTES
HAS BEEN FILED WITH THE SECURITIES AND EXCHANGE COMMISSION AND IS EFFECTIVE, THE
PROSPECTUS SUPPLEMENT HAS NOT BEEN FILED WITH THE SECURITIES AND EXCHANGE
COMMISSION. SALES OF THE NOTES MAY NOT BE CONSUMMATED UNLESS THE PURCHASER HAS
RECEIVED BOTH THE PROSPECTUS SUPPLEMENT AND THE PROSPECTUS. THIS TERM SHEET
SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY NOR
SHALL THERE BE ANY SALE OF THE NOTES IN ANY STATE OR OTHER JURISDICTION IN WHICH
SUCH OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR
QUALIFICATION UNDER THE SECURITIES OR OTHER APPLICABLE LAWS OF ANY SUCH STATE OR
OTHER JURISDICTION. THE NOTES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE
SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION.
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$500,000,000 Asset Backed Notes
Navistar Financial 1997-B Owner Trust
Navistar Financial Retail Receivables Corporation
Seller
Navistar Financial Corporation
Servicer
Subject to Revision
Term Sheet Dated October 20, 1997
This Term Sheet will be superseded in its entirety by the information appearing
in the Prospectus Supplement and the Prospectus. Capitalized terms used but not
defined herein shall have the meanings specified in the Prospectus Supplement
and the Prospectus. A final Prospectus and Prospectus Supplement may be
obtained by contacting Ruben Avilez at (212) 325-9274.
Issuer...................... Navistar Financial 1997-B Owner Trust, a Delaware
business trust to be formed by the Seller and the
Owner Trustee pursuant to the Owner Trust
Agreement.
Seller...................... Navistar Financial Retail Receivables Corporation.
Servicer.................... Navistar Financial Corporation.
Indenture Trustee........... The Bank of New York, as trustee under the
Indenture.
Owner Trustee............... Chase Manhattan Bank Delaware, as owner trustee
under the Owner Trust Agreement.
The Notes................... The Trust will issue Notes as follows:
Class A-1 ____% Asset Backed Notes in the
aggregate principal amount of $107,000,000 (the
"CLASS A-1 NOTES").
Class A-2 ____% Asset Backed Notes in the
aggregate principal amount of $94,000,000 (the
"CLASS A-2 NOTES").
Class A-3 ____% Asset Backed Notes in the
aggregate principal amount of $132,000,000 (the
"CLASS A-3 NOTES").
Class A-4 ______% Asset Backed Notes in the
aggregate principal amount of $149,500,000 (the
"CLASS A-4 NOTES"; together with the Class A-1
Notes, the Class A-2 Notes and the Class A-3
Notes, the "CLASS A NOTES").
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Class B ____% Asset Backed Notes in the aggregate
principal amount of $17,500,000 (the "CLASS B
NOTES"; together with the Class A Notes, the
"NOTES").
The Class B Notes will be subordinated to the
Class A Notes to the extent described herein and
in the Prospectus Supplement.
The Trust will also issue Certificates (the
"CERTIFICATES"), which will not bear interest but
will have certain rights in excess monies in the
Reserve Account and certain other excess funds,
that will initially be held by the Seller, the
Servicer and/or one of their affiliates.
The Trust Property.......... The Trust Property will include a pool of Retail
Notes (the "RECEIVABLES"), certain monies due
thereunder on and after (i) for the Initial
Receivables, October 1, 1997 and (ii) for any
Subsequent Receivables, the related Cutoff Date
that is designated as such by the Seller, security
interests in the vehicles financed thereby,
certain other property and monies on deposit in
certain accounts, including the Pre-Funding
Account and the Negative Carry Account, and the
proceeds thereof, the proceeds, if any, of Dealer
Liability, NITC Purchase Obligations and any
Guaranties, any proceeds from claims on certain
insurance policies, the benefits of any lease
assignments and certain rights of the Seller under
the related Purchase Agreement and the related
Custodian Agreement. The aggregate Starting
Receivables Balance for the Initial Receivables is
$408,527,638.36. Additional Retail Notes may be
purchased by the Trust from the Seller from time
to time on or before the January 1998 Distribution
Date from funds on deposit in the Pre-Funding
Account. The Initial Pre-Funded Amount is
$91,472,361.64.
Terms of the Notes: The principal terms of the Notes will be as
described below:
A. Interest........... Class A-1 Notes: ____%
Class A-2 Notes: ____%
Class A-3 Notes: ____%
Class A-4 Notes: ____%
Class B Notes: ____%
Interest on the Notes will accrue at the
applicable Interest Rate from the Closing Date or
the most recent Distribution Date on which
interest has been paid to but excluding the next
Distribution Date, and will generally be payable
monthly on the 15th day of each month, or, if any
such day is not a business day, on the next
succeeding business day, commencing on November
15, 1997 (each, a "DISTRIBUTION DATE"). Interest
on the Class A-1 Notes
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and the Class A-2 Notes will be calculated on the
basis of the actual number of days elapsed since
the Closing Date or the preceding Distribution
Date divided by 360. Interest on the Class A-3
Notes, the Class A-4 Notes and the Class B Notes
will be calculated on the basis of a 360-day year
consisting of twelve 30-day months.
Interest on the Class B Notes will not be paid on
any Distribution Date until all accrued interest
due and payable on the Class A Notes on such
Distribution Date has been paid in full. After an
Event of Default and acceleration of the Notes, no
interest will be payable on the Class B Notes
until all principal of and interest on the Class A
Notes has been paid in full.
B. Principal.......... Principal of the Class A Notes will be payable on
each Distribution Date in an amount equal to the
Class A Principal Distributable Amount for such
Distribution Date as follows: 100% to the Class A-
1 Notes until the CLass A-1 Notes are paid in
full; thereafter, 100% to the Class A-2 Notes
until the Class A-2 Notes are paid in full;
thereafter, 100% to the Class A-3 Notes until the
Class A-3 Notes are paid in full; and thereafter,
100% to the Class A-4 Notes until the Class A-4
Notes are paid in full.
The "CLASS A PRINCIPAL DISTRIBUTABLE AMOUNT" for a
Distribution Date will be the Class A Noteholders'
Percentage multiplied by the Principal
Distributable Amount. The "CLASS A NOTEHOLDERS'
PERCENTAGE" will generally be (i) 100% for each
Distribution Date prior to the Distribution Date
on which the Class A-1 Notes are paid in full,
(ii) the percentage(s) for the next Distribution
Date (or, if necessary, two Distribution Dates)
that will result in (a) first, the Class A-1 Notes
being paid in full, (b) second, the Class B Notes
being paid down until the principal balance of the
Class B Notes equals 3.5% of the aggregate unpaid
principal balance of all outstanding Notes after
the Class A-1 Notes have been repaid, and (c)
third, 96.5% of any remaining Principal
Distributable Amount being paid to the Class A-2
Noteholders, and (iii) 96.5% thereafter. The
"PRINCIPAL DISTRIBUTABLE AMOUNT" for the calendar
month preceding a Distribution Date generally
means the principal portion of all payments due
with respect to the Receivables, the principal
portion of all prepayments received and the
principal balance of all Receivables repurchased
by the Seller or purchased by the Servicer, each
during such calendar month. If the amount on
deposit in the Reserve Account on any Distribution
Date is less than 1.00% of the Aggregate Starting
Receivables Balance, then the Class A Noteholders'
Percentage will be 100% until either the
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Class A Notes are paid in full or the amount on
deposit in the Reserve Account exceeds the
Specified Reserve Account Balance.
No principal will be payable to the Class B
Noteholders until the Class A-1 Notes have been
paid in full; thereafter, the Class B Noteholders
will receive on each Distribution Date an amount
equal to the Class B Principal Distributable
Amount for the calender month preceding such
Distribution Date. The "CLASS B PRINCIPAL
DISTRIBUTABLE AMOUNT" for a Distribution Date will
be the Class B Noteholders' Percentage multiplied
by the Principal Distributable Amount. The "CLASS
B NOTEHOLDERS' PERCENTAGE" will generally be 100%
minus the Class A Noteholders' Percentage.
However, the Class B Noteholders' Percentage will
be 0.0% under the circumstances described in the
last sentence of the preceding paragraph.
After an Event of Default and acceleration of the
Notes, principal payments will be made, first,
among all of the Class A Noteholders ratably
according to the amounts due and payable on the
Class A Notes for principal until paid in full
and, second, to the Class B Noteholders until paid
in full.
Each class of Notes will be payable in full on the
applicable Final Scheduled Distribution Date in
the calendar month set forth below (however, the
actual payment in full of any class of Notes could
occur sooner):
Class A-1 Notes: November 1998
Class A-2 Notes: January 2000
Class A-3 Notes: March 2001
Class A-4 Notes: August 2004
Class B Notes: August 2004
C. Mandatory
Prepayment......... The Class A-1 Notes will be prepaid in whole or in
part on the Distribution Date on or immediately
following the last day of the Funding Period if
any amount remains on deposit in the Pre-Funding
Account on such date, after giving effect to the
purchase of all Subsequent Receivables, including
any such purchase on such date. Any such
prepayment will be made in accordance with the
priorities described above; provided, that if the
remaining Pre-Funded Amount at the time of such
prepayment exceeds $100,000, each class of Notes
(including the Class B Notes) will be prepaid pro
rata based on the initial principal balance of
such class.
In addition, the Trust will be obligated to pay a
Noteholders' Prepayment Premium to be described in
the Prospectus Supplement
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<PAGE>
with respect to each class of Notes (including the
Class B Notes) in connection with such mandatory
prepayment if the remaining Pre-Funded Amount at
the time of such prepayment exceeds $100,000. The
Trust's obligation to pay the Noteholders'
Prepayment Premium will be limited to the pro rata
portion (based on the initial principal balance of
such class) of funds that are received from the
Seller under the Pooling and Servicing Agreement
as liquidated damages for the failure to deliver
Subsequent Receivables (and the Seller's
obligation to pay such liquidated damages
thereunder is limited to funds it receives from
NFC as liquidated damages for NFC's failure to
deliver Subsequent Receivables to the Seller). No
other assets of the Trust will be available for
the purpose of making such payment.
D. Redemption......... If the Servicer exercises its option to purchase
the Receivables when the Class A-1 Notes, the
Class A-2 Notes and the Class A-3 Notes have been
paid in full and the Aggregate Receivables Balance
declines to 10% or less of the Aggregate Starting
Receivables Balance, the holders of the Class A-4
Notes and the Class B Notes will be redeemed in
whole, but not in part, on any Distribution Date
at a redemption price equal to the unpaid
principal amount of such Notes, plus accrued and
unpaid interest thereon.
The "AGGREGATE STARTING RECEIVABLES BALANCE" means
the Starting Receivable Balances of the Initial
Receivables plus the Starting Receivable Balances
of all Subsequent Receivables as of the related
Cutoff Date.
E. Voting Rights........... To the extent the Prospectus specifies certain
circumstances under which the consent, approval,
direction, or request of a specified percentage in
principal amount of the outstanding Notes must be
obtained, given or made, or under which such a
specified percentage are permitted to take an
action or give a notice, then such consent,
approval, direction, request, action or notice
shall be valid only if the holders of such
specified percentage in principal amount of (a)
all the outstanding Class A Notes and Class B
Notes voting together as a single class and (b)
the outstanding Class A Notes voting as a single
class have voted to give such consent, approval,
direction, request or notice, or take such action.
Priority of Distributions... Distributions of the Total Available Amount to the
Noteholders and the Servicer will generally be
distributed in the following order of priority on
each Distribution Date: (i) the Servicing Fee and
any unpaid Servicing Fee for prior Distribution
Dates ("TOTAL SERVICING FEE"); (ii) interest on
the Class A Notes; (iii) interest on the Class B
Notes; (iv) principal on the Class A Notes; and
(v) principal on the Class B Notes. Upon the
occurrence of an Event
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<PAGE>
of Default and the acceleration of the Notes, all
principal and interest on the Class A Notes will
be paid in full prior to making any further
payments on or with respect to the Class B Notes.
Reserve Account............. On the Closing Date $21,447,701.01 in cash or
eligible investments will be deposited into the
Reserve Account and on each date during the
Funding Period on which Subsequent Receivables are
to be transferred to the Trust, cash or eligible
investments in an amount equal to at least 5.25%
of the aggregate Starting Receivables Balance of
such Receivables will be deposited into the
Reserve Account. The Reserve Account will be
increased on each Distribution Date by the deposit
in the Reserve Account of amounts remaining after
payment to the Servicer of the Total Servicing Fee
and deposits to the Distribution Account of
amounts to be distributed to Noteholders.
Amounts in the Reserve Account on any Distribution
Date (after giving effect to all distributions to
be made to the Servicer and the Noteholders on
such Distribution Date) in excess of the Specified
Reserve Account Balance specified in the Pooling
and Servicing Agreement for such Distribution Date
will be paid to the holders of the Certificates.
Funds will be withdrawn from cash in the Reserve
Account on the day preceding each Distribution
Date to the extent that the Available Amount
(after payment of the Total Servicing Fee) is less
than amounts payable on the Notes.
Pre-Funding Account......... The Pre-Funding Account will be created with the
deposit of $91,472,361.64 (the "INITIAL PRE-FUNDED
AMOUNT"). During the Funding Period, the Seller
will be obligated to sell to the Trust additional
Receivables (the "SUBSEQUENT RECEIVABLES") having
an aggregate principal balance equal to the
Initial Pre-Funded Amount to the extent that such
Subsequent Receivables have been acquired by the
Seller from NFC, and to deposit the required
amounts in the Reserve Account in connection with
such purchase. The "FUNDING PERIOD" will be the
period from and including the Closing Date until
the earliest of (i) the Distribution Date on which
the amount on deposit in the Pre-Funding Account
(after giving effect to the purchase of all
Subsequent Receivables, including any such
purchase on such date) is less than $100,000, (ii)
the occurrence of an Event of Default under the
Indenture or a Servicer Default under the Pooling
and Servicing Agreement, (iii) the occurrence of
certain events of insolvency with respect to the
Seller or the Servicer and (iv) the close of
business on the January 1998 Distribution Date.
Any amount remaining in the Pre-Funding Account at
the end of
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the Funding Period will be payable as described in
the prior discussion of Mandatory Prepayments.
Negative Carry Account...... The Negative Carry Account will be created with
the deposit by the Seller of $___________ (the
"NEGATIVE CARRY ACCOUNT INITIAL DEPOSIT"). On each
Distribution Date, an amount equal to the Negative
Carry Amount for such Distribution Date will be
withdrawn from the Negative Carry Account and
deposited in the Collection Account. Amounts on
deposit in the Negative Carry Account in excess of
the Required Negative Carry Account Balance will
be released to the Seller on each Distribution
Date, and all amounts remaining on deposit in the
Negative Carry Account on the Distribution Date on
or immediately following the last day of the
Funding Period (after giving effect to all
withdrawals therefrom on such Distribution Date)
will be released to the Seller. The "NEGATIVE
CARRY AMOUNT" means, as of any Distribution Date,
the amount by which the total interest payable to
the Noteholders with respect to the pre-funded
portion of the pool exceeds the investment
earnings on the Pre-Funded Amount during the
preceding calendar month. The "REQUIRED NEGATIVE
CARRY ACCOUNT BALANCE" means, as of any
Distribution Date, the lesser of the amount then
on deposit in the Negative Carry Account and the
maximum negative carry amount for the remainder of
the Funding Period, assuming no further
withdrawals from the Pre-Funding Account and
investment earnings on amounts on deposit therein
at a rate of 2.5%.
Tax Status.................. In the opinion of Kirkland & Ellis, federal tax
counsel, for federal income tax purposes, the
Notes will be characterized as indebtedness. Each
Noteholder by the acceptance of a Note will agree
to treat the Notes as indebtedness.
ERISA Considerations........ Although there is little guidance on the subject,
the Seller believes the Notes should be treated as
indebtedness without substantial equity features
for the purposes of the Plan Assets Regulation.
Therefore, the Notes are available for investment
by a Benefit Plan, subject to a determination by
such Benefit Plan's fiduciary that the Notes are
suitable investments for such Benefit Plan under
ERISA and the Internal Revenue Code.
Legal Investment............ The Class A-1 Notes will be eligible securities
for purchase by money market funds under Rule 2a-7
under the Investment Company Act of 1940, as
amended.
Ratings..................... It is a condition to the issuance of the Notes
that the Class A-1 Notes be rated in the highest
rating category for short-term debt obligations by
at least two nationally recognized rating
agencies, and the Class A-2, Class A-3 and Class
A-4 Notes be rated in the
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highest rating category for long-term debt
obligations, and the Class B Notes be rated in the
"A" category or its equivalent, in each case, by
at least one nationally recognized rating agency.
THE RECEIVABLES POOL
THE INITIAL RECEIVABLES
The Receivables to be transferred to the Trust on the Closing Date (the
"INITIAL RECEIVABLES") were originally acquired by Navistar Financial
Corporation ("NFC") from (i) Navistar International Transportation Corp.
("NITC") dealers, (ii) other dealers, including those selling other
manufacturers' vehicles and equipment and (iii) retail customers. Certain of the
Initial Receivables were sold by NFC to Truck Retail Instalment Paper Corp.
("TRIP"), a special purpose, wholly owned subsidiary of NFC, and will be
repurchased by NFC from TRIP as of the Closing Date for resale to the Seller.
The Initial Receivables were selected randomly for inclusion in the Receivables
Pool from those Retail Notes in NFC's portfolio of owned Retail Notes which
satisfied several criteria, including that each Initial Receivable (i) has a
first payment due date on or before October 31, 1997, (ii) has an original term
to maturity of 12 to 84 months and a remaining term to maturity of 12 to 72
months, (iii) provides for finance charges at an APR of no less than 7.00%, (iv)
as of October 1, 1997, was not more than 60 days past due and (v) satisfies the
other criteria set forth in the Prospectus under the caption "The Receivables
Pools."
The composition, distribution by annual percentage rate, distribution by
remaining maturity, distribution by payment terms and geographic distribution of
the Initial Receivables are as set forth in the following tables. Due to
rounding, the percentages shown in these tables may not add to 100.00%.
COMPOSITION OF THE INITIAL RECEIVABLES
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
WEIGHTED AVERAGE AGGREGATE AVERAGE AVERAGE AVERAGE
ANNUAL PERCENTAGE STARTING AGGREGATE NUMBER STARTING ORIGINAL REMAINING
RATE OF RECEIVABLES RECEIVABLES ORIGINAL PRINCIPAL OF RECEIVABLE MATURITY MATURITY
(RANGE) BALANCE BALANCE RECEIVABLES BALANCE (RANGE) (RANGE)
- ------------------- ----------- ------------------ ------------ ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
10.051% $408,527,638.36 $447,876,741.19 7,805 $52,341.79 53.91 months 50.11 months
(7.20%-25.00%) (12 to 84 (12 to 72
months) months)
</TABLE>
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<PAGE>
DISTRIBUTION BY ANNUAL PERCENTAGE RATE OF THE INITIAL RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
ANNUAL PERCENTAGE NUMBER OF STARTING RECEIVABLES AGGREGATE STARTING
RATE RANGE RECEIVABLES BALANCE RECEIVABLES BALANCE
- -------------------------------- ---------------- ------------------------ ----------------------
<S> <C> <C> <C>
7.00-8.49%..................... 1,191 $ 81,661,004.21 19.99%
8.50-9.49%..................... 2,027 123,778,778.16 30.30%
9.50-10.49%.................... 1,495 86,507,275.22 21.18%
10.50-11.49%.................... 811 39,895,110.85 9.77%
11.50-12.49%.................... 581 25,550,208.75 6.25%
12.50-13.49%.................... 518 21,561,370.95 5.28%
13.50-14.49%.................... 421 12,371,373.63 3.03%
14.50-15.49%.................... 342 8,103,933.47 1.98%
15.50-16.49%.................... 217 4,706,129.57 1.15%
16.50-17.49%.................... 71 1,547,143.20 0.38%
17.50% & Over................... 131 2,845,310.35 0.69%
Total...................... 7,805 $408,527,638.36 100.00%
</TABLE>
DISTRIBUTION BY REMAINING MATURITY OF THE INITIAL RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
ANNUAL PERCENTAGE NUMBER OF STARTING RECEIVABLES AGGREGATE STARTING
(Months) RECEIVABLES BALANCE RECEIVABLES BALANCE
- -------------------------------- ---------------- ------------------------ ----------------------
<S> <C> <C> <C>
1-12........................... 161 $ 2,951,318.43 0.72%
13-24........................... 1,142 19,302,639.59 4.73%
25-36........................... 1,467 54,046,923.30 13.23%
37-48........................... 1,647 95,326,703.93 23.33%
49-60........................... 2,829 198,269,833.11 48.53%
61-66........................... 46 2,863,172.99 0.70%
67 & Over....................... 513 35,767,047.01 8.76%
Total...................... 7,805 $408,527,638.36 100.00%
</TABLE>
DISTRIBUTION BY PAYMENT TERMS OF INITIAL RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE STARTING
TYPE OF RECEIVABLE RECEIVABLES BALANCE
------------------------------------- ------------------------
<S> <C>
Equal Payment Fully Amortizing....... 55.47%
Equal Payment Balloon................ 15.02%
Equal Payment Skip................... 8.98%
Level Principal Fully Amortizing..... 6.15%
Level Principal Balloon.............. 9.81%
Level Principal Skip................. 0.40%
Other................................ 4.17%
Total........................... 100.00%
</TABLE>
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The Receivables Pool includes Receivables originated in 48 states and The
District of Columbia. The following table sets forth the percentage of the
aggregate Starting Receivables Balance of the Initial Receivables in the states
with the largest concentration of Receivables. No other state accounts for more
than 3.33% of the aggregate Starting Receivables Balance of the Initial
Receivables. None of the Receivables were originated in Alaska or Hawaii.
GEOGRAPHIC DISTRIBUTION OF THE INITIAL RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
STARTING
RECEIVABLES
STATE(1) BALANCE
-------------------------- -----------------
<S> <C>
Illinois.................. 7.84%
Texas..................... 7.44%
Ohio...................... 6.87%
New York.................. 5.83%
California................ 5.80%
Florida................... 4.03%
Indiana................... 4.00%
Arkansas.................. 3.48%
Wisconsin................. 3.42%
Other..................... 51.29%
Total................ 100.00%
</TABLE>
_________
(1) Based on billing addresses of the obligors on the Initial Receivables.
No single obligor accounts for more than 1.74% of the aggregate Starting
Receivables Balance of the Initial Receivables. As of October 1, 1997,
approximately 75.28% of the aggregate Starting Receivables Balance of the
Initial Receivables, constituting 63.72% of the aggregate number of Initial
Receivables, represent Receivables secured by new vehicles. The remainder are
secured by used vehicles.
THE SUBSEQUENT RECEIVABLES
Any transfer of Subsequent Receivables is subject to the satisfaction, on
or before the related subsequent transfer date, of certain conditions precedent
described in the Prospectus and the Prospectus Supplement. Each Subsequent
Receivable must satisfy the eligibility criteria specified in the Pooling and
Servicing Agreement at the time of its addition. The Subsequent Receivables,
however, need not satisfy any other eligibility criteria. Subsequent Receivables
may be originated by NITC dealers, other dealers or NFC at a later date using
credit criteria different from those that were applied to the Initial
Receivables and may be of a different credit quality and seasoning. In addition,
following the transfer of Subsequent Receivables to the Trust, the
characteristics of the Receivables, including the composition of the
Receivables, the distribution by APR, equipment type, payment frequency, average
maturity, current Receivable Balance and geographic distribution, may vary from
those of the Initial Receivables; provided, however, there will be a requirement
that, after giving effect to the transfer of Subsequent Receivables to the
Trust, the weighted average APR of the Receivables in the Trust be not less than
9.50% and that the aggregate principal balance of all Receivables owing from any
single Obligor not exceed 2% of the aggregate principal balance of the
-12-
<PAGE>
Receivables in the Trust. Since the weighted average life of the Notes will be
influenced by the rate at which the principal balances of the Receivables are
paid, some of these variations will affect the weighted average life of each
class of Notes. The requirements that no Subsequent Receivables have a remaining
term in excess of 72 months and that on each Subsequent Transfer Date the
weighted average remaining maturity of the Receivables in the Trust will not be
greater than 54 months are intended to minimize the effect of the addition of
Subsequent Receivables on the weighted average life of the Notes.
THE SERVICER
DELINQUENCIES, REPOSSESSIONS AND NET LOSSES
Set forth below is certain information concerning NFC's experience in the
United States pertaining to delinquencies, repossessions and net losses on its
entire portfolio of Retail Notes (including Retail Notes previously sold which
NFC continues to service). Fluctuations in retail delinquencies, repossessions
and losses generally follow cycles in the overall business environment. Although
NFC believes retail delinquencies, repossessions and net losses are particularly
sensitive to the industrial sector, which generates a significant portion of the
freight tonnage hauled, NFC does not track such data and is unable to ascertain
the specific causes of such fluctuations. There can be no assurance that the
delinquency, repossession and net loss experience on the Receivables Pool will
be comparable to that set forth below. Due to rounding, the amounts shown for
NFC and NITC separately in this table may not add to the amount shown for NFC
and NITC combined.
-13-
<PAGE>
<TABLE>
<CAPTION>
NINE MONTHS
-----------
NFC RETAIL NOTES YEAR ENDED OCTOBER 31, ENDED JULY 31,
- ---------------- ---------------------------------------------- --------------
1992 1993 1994 1995 1996(1) 1996(1) 1997
------- -------- ------- ------- --------- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
($ IN MILLIONS)
Gross Balance Outstanding at end of
Period.......................... $1,330 $ 1,437 $1,653 $2,073 $2,282 $2,280 $2,238
Gross Balance Past Due as a
Percentage of Gross Balance
Outstanding at end of Period
31-60 days.................... 1.03% 0.67% 0.41% 2.43% 1.99% 2.43% 3.45%
over 60 days.................. 0.19% 0.09% 0.06% 0.09% 0.30% 1.36% 1.18%
Average Gross Balance of Retail
Notes (13 month average) $1,320 $ 1,341 $1,515 $1,809 $2,204 $2,182 $2,237
Net Losses (recoveries):
NFC........................... $ 2.3 $ (0.1) $ 0.6 $ 0.3 $ 5.0 $ 1.4 $ 1.1
NITC.......................... 10.5 4.8 0.6 0.6 9.5 7.8 3.3
------------------------------------------------------------------
Combined...................... $ 12.8 $ 4.7 $ 1.2 $ 0.9 $ 14.5 $ 9.2 $ 4.4
Liquidations minus Net Losses...... $ 794 $ 713 $ 790 $ 833 $1,002 $ 730 $ 794
Net Losses (recoveries) as a
Percentage of Liquidations
minus Net Losses:
NFC........................... 0.29% (0.01)% 0.08% 0.04% 0.50% 0.19% 0.14%
NITC.......................... 1.32% 0.67% 0.07% 0.07% 0.95% 1.07% 0.42%
------------------------------------------------------------------
Combined...................... 1.61% 0.66% 0.15% 0.11% 1.45% 1.26% 0.56%
Net Losses (recoveries) as a
Percentage of Average Gross
Balance (2):
NFC........................... 0.18% 0.00% 0.04% 0.02% 0.23% 0.08% 0.06%
NITC.......................... 0.79% 0.35% 0.04% 0.03% 0.43% 0.48% 0.20%
------------------------------------------------------------------
Combined...................... 0.97% 0.35% 0.08% 0.05% 0.66% 0.56% 0.26%
Repossessions as a Percentage of
Average Gross Balance (2)....... 3.70% 1.95% 0.97% 0.92% 3.15% 3.04% 1.97%
</TABLE>
________
(1) The information presented herein for the year ended October 31, 1996 and
the nine months ended July 31, 1996 includes the effect of the bankruptcy
of one of NFC's largest obligors, with obligations under Retail Notes
covering approximately 720 vehicles. As adjusted to eliminate the impact of
that obligor's bankruptcy, the Combined Net Losses, Combined Net Losses as
a Percentage of Liquidations minus Net Losses, Combined Net Losses as a
Percentage of Average Gross Balance and Repossessions as a Percentage of
Average Gross Balance for the year ended October 31, 1996 would have been
$4.0 million, 0.39%, 0.18% and 1.64%, respectively, and for the nine months
ended July 31, 1996 would have been $1.8 million, 0.25%, 0.11% and 1.52%,
respectively.
(2) July 31 figures have been annualized.
WEIGHTED AVERAGE LIFE OF THE NOTES
Prepayments on medium and heavy duty truck, bus and trailer 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 prepaid in full. ABS does not purport to be
an historical description of prepayment experience or a prediction of the
anticipated rate of prepayment of receivables, including the Receivables.
As the rate of payment of principal of each class of Notes will depend on the
rate of payment
-14-
<PAGE>
(including prepayments) of the principal balance of the Receivables, final
payment of any class of Notes will likely occur significantly earlier than the
respective Final Scheduled Distribution Dates. Reinvestment risk associated with
early payment of the Notes will be borne exclusively by the Noteholders.
The table captioned "Percent of Initial Note Principal Amount of the Offered
Notes Remaining at Various ABS Percentages" (the "ABS TABLE") has been prepared
on the basis of characteristics of the Receivables. The ABS Table assumes that
(i) the Receivables prepay in full at the specified constant percentage of ABS
monthly, with no defaults, losses or repurchases, (ii) each scheduled monthly
payment on the Receivables is made on the last day of each month and each month
has 30 days, (iii) payments on the Notes are made on each Distribution Date (and
each such date is assumed to be the fifteenth day of each applicable month),
(iv) the balance in the Reserve Account on each Distribution Date is equal to
the Specified Reserve Account Balance, and (v) the Servicer exercises its option
to purchase the Receivables on the first Distribution Date on which it is
permitted to do so, as described herein. The ABS Table indicates the projected
weighted average life of each class of Notes and sets forth the percent of the
initial principal amount of each class of Notes that is projected to be
outstanding after each of the Distribution Dates shown at various constant ABS
percentages.
The ABS Table also assumes that the Receivables have been aggregated into two
hypothetical pools, the first pool being composed of the Initial Receivables
("INITIAL RECEIVABLES POOL") and the second pool being composed of the
Subsequent Receivables ("SUBSEQUENT RECEIVABLES POOL"). The Initial Receivables
Pool has an assumed Cutoff Date of October 1, 1997 and the Subsequent
Receivables Pool has an assumed Cutoff Date of November 1, 1997, and the first
distribution of principal in respect of each such pool is assumed to occur on
November 15, 1997 for the Initial Receivables Pool and December 15, 1997 for the
Subsequent Receivables Pool. Moreover, the ABS Table assumes that the Initial
Receivables Pool and the Subsequent Receivables Pool have the following
Aggregate Starting Receivables Balances and that each of the Receivables within
each of the pools is an Equal Payment Fully Amortizing Receivable that has the
following annual percentage rate, original maturity and remaining maturity:
<TABLE>
<CAPTION>
AGGREGATE
STARTING ANNUAL ORIGINAL REMAINING
RECEIVABLES PERCENTAGE MATURITY MATURITY
POOL BALANCE RATE (IN MONTHS) (IN MONTHS)
- ------------------------- -------------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
Initial Receivables Pool $408,527,638.36 10.051% 54 50
Subsequent Receivables Pool 91,472,361.64 10.051% 54 54
---------------
$500,000,000.00
===============
</TABLE>
The actual characteristics and performance of the Receivables will differ from
the assumptions used in constructing the 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. 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 hypothetical pools
could produce slower or faster principal
-15-
<PAGE>
distributions than indicated in the 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. For example, the Initial Receivables
have annual percentage rates that range from 7.20% to 25.00%, and only 55.47% of
the Initial Receivables (by percentage of Aggregate Starting Receivables
Balance) are Equal Payment Fully Amortizing Receivables. 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.
-16-
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE OFFERED NOTES REMAINING AT VARIOUS
ABS PERCENTAGES
<TABLE>
<CAPTION>
Class A-1 Notes Class A-2 Notes
---------------------------- ---------------------------
Distribution Date 0.0% 1.0% 1.2% 1.5% 2.0% Distribution Date 0.0% 1.0% 1.2% 1.5% 2.0%
- ----------------- ---- ---- ---- ---- ---- ----------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date ....... 100 100 100 100 100 Closing Date ....... 100 100 100 100 100
11/15/97 ....... 94 90 89 88 86 11/15/97 ....... 100 100 100 100 100
12/15/97 ....... 86 78 76 73 69 12/15/97 ....... 100 100 100 100 100
1/15/98 ....... 79 66 63 59 52 1/15/98 ....... 100 100 100 100 100
2/15/98 ....... 71 54 50 45 35 2/15/98 ....... 100 100 100 100 100
3/15/98 ....... 63 42 38 31 19 3/15/98 ....... 100 100 100 100 100
4/15/98 ....... 56 30 25 17 3 4/15/98 ....... 100 100 100 100 100
5/15/98 ....... 48 19 13 3 0 5/15/98 ....... 100 100 100 100 90
6/15/98 ....... 40 7 0 0 0 6/15/98 ....... 100 100 100 93 73
7/15/98 ....... 32 0 0 0 0 7/15/98 ....... 100 99 91 78 56
8/15/98 ....... 24 0 0 0 0 8/15/98 ....... 100 87 78 64 40
9/15/98 ....... 16 0 0 0 0 9/15/98 ....... 100 75 65 50 24
10/15/98 ....... 8 0 0 0 0 10/15/98 ....... 100 62 52 36 8
11/15/98 ....... 0 0 0 0 0 11/15/98 ....... 100 50 39 22 0
12/15/98 ....... 0 0 0 0 0 12/15/98 ....... 95 38 27 9 0
1/15/99 ....... 0 0 0 0 0 1/15/99 ....... 85 26 14 0 0
2/15/99 ....... 0 0 0 0 0 2/15/99 ....... 76 15 2 0 0
3/15/99 ....... 0 0 0 0 0 3/15/99 ....... 67 3 0 0 0
4/15/99 ....... 0 0 0 0 0 4/15/99 ....... 57 0 0 0 0
5/15/99 ....... 0 0 0 0 0 5/15/99 ....... 48 0 0 0 0
6/15/99 ....... 0 0 0 0 0 6/15/99 ....... 38 0 0 0 0
7/15/99 ....... 0 0 0 0 0 7/15/99 ....... 29 0 0 0 0
8/15/99 ....... 0 0 0 0 0 8/15/99 ....... 19 0 0 0 0
9/15/99 ....... 0 0 0 0 0 9/15/99 ....... 9 0 0 0 0
10/15/99 ....... 0 0 0 0 0 10/15/99 ....... 0 0 0 0 0
11/15/99 ....... 0 0 0 0 0 11/15/99 ....... 0 0 0 0 0
12/15/99 ....... 0 0 0 0 0 12/15/99 ....... 0 0 0 0 0
1/15/00 ....... 0 0 0 0 0 1/15/00 ....... 0 0 0 0 0
2/15/00 ....... 0 0 0 0 0 2/15/00 ....... 0 0 0 0 0
3/15/00 ....... 0 0 0 0 0 3/15/00 ....... 0 0 0 0 0
4/15/00 ....... 0 0 0 0 0 4/15/00 ....... 0 0 0 0 0
5/15/00 ....... 0 0 0 0 0 5/15/00 ....... 0 0 0 0 0
6/15/00 ....... 0 0 0 0 0 6/15/00 ....... 0 0 0 0 0
7/15/00 ....... 0 0 0 0 0 7/15/00 ....... 0 0 0 0 0
8/15/00 ....... 0 0 0 0 0 8/15/00 ....... 0 0 0 0 0
9/15/00 ....... 0 0 0 0 0 9/15/00 ....... 0 0 0 0 0
10/15/00 ....... 0 0 0 0 0 10/15/00 ....... 0 0 0 0 0
11/15/00 ....... 0 0 0 0 0 11/15/00 ....... 0 0 0 0 0
12/15/00 ....... 0 0 0 0 0 12/15/00 ....... 0 0 0 0 0
1/15/01 ....... 0 0 0 0 0 1/15/00 ....... 0 0 0 0 0
2/15/01 ....... 0 0 0 0 0 2/15/01 ....... 0 0 0 0 0
3/15/01 ....... 0 0 0 0 0 3/15/01 ....... 0 0 0 0 0
4/15/01 ....... 0 0 0 0 0 4/15/01 ....... 0 0 0 0 0
5/15/01 ....... 0 0 0 0 0 5/15/01 ....... 0 0 0 0 0
6/15/01 ....... 0 0 0 0 0 6/15/01 ....... 0 0 0 0 0
7/15/01 ....... 0 0 0 0 0 7/15/01 ....... 0 0 0 0 0
8/15/01 ....... 0 0 0 0 0 8/15/01 ....... 0 0 0 0 0
9/15/01 ....... 0 0 0 0 0 9/15/01 ....... 0 0 0 0 0
10/15/01 ....... 0 0 0 0 0 10/15/01 ....... 0 0 0 0 0
11/05/01 ....... 0 0 0 0 0 11/15/01 ....... 0 0 0 0 0
12/15/01 ....... 0 0 0 0 0 12/15/01 ....... 0 0 0 0 0
1/15/02 ....... 0 0 0 0 0 1/15/02 ....... 0 0 0 0 0
2/15/02 ....... 0 0 0 0 0 2/15/02 ....... 0 0 0 0 0
</TABLE>
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE OFFERED NOTES REMAINING AT VARIOUS
ABS PERCENTAGES
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3/15/02...... 0 0 0 0 0 3/15/02...... 0 0 0 0 0
4/15/02...... 0 0 0 0 0 4/15/02...... 0 0 0 0 0
5/15/02...... 0 0 0 0 0 5/15/02...... 0 0 0 0 0
Average Life (years) 0.5 0.3 0.3 0.3 0.2 Average Life (years) 1.5 1.1 1.0 0.9 0.8
to 10% Call to 10% Call
</TABLE>
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE OFFERED NOTES REMAINING AT VARIOUS
ABS PERCENTAGES
<TABLE>
<CAPTION>
Class A-3 Notes Class A-4 Notes
---------------------------- ---------------------------
Distribution Date 0.0% 1.0% 1.2% 1.5% 2.0% Distribution Date 0.0% 1.0% 1.2% 1.5% 2.0%
- ----------------- ---- ---- ---- ---- ---- ----------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date ....... 100 100 100 100 100 Closing Date ....... 100 100 100 100 100
11/15/97 ....... 100 100 100 100 100 11/15/97 ....... 100 100 100 100 100
12/15/97 ....... 100 100 100 100 100 12/15/97 ....... 100 100 100 100 100
1/15/98 ....... 100 100 100 100 100 1/15/98 ....... 100 100 100 100 100
2/15/98 ....... 100 100 100 100 100 2/15/98 ....... 100 100 100 100 100
3/15/98 ....... 100 100 100 100 100 3/15/98 ....... 100 100 100 100 100
4/15/98 ....... 100 100 100 100 100 4/15/98 ....... 100 100 100 100 100
5/15/98 ....... 100 100 100 100 100 5/15/98 ....... 100 100 100 100 100
6/15/98 ....... 100 100 100 100 100 6/15/98 ....... 100 100 100 100 100
7/15/98 ....... 100 100 100 100 100 7/15/98 ....... 100 100 100 100 100
8/15/98 ....... 100 100 100 100 100 8/15/98 ....... 100 100 100 100 100
9/15/98 ....... 100 100 100 100 100 9/15/98 ....... 100 100 100 100 100
10/15/98 ....... 100 100 100 100 100 10/15/98 ....... 100 100 100 100 100
11/15/98 ....... 100 100 100 100 95 11/15/98 ....... 100 100 100 100 100
12/15/98 ....... 100 100 100 100 84 12/15/98 ....... 100 100 100 100 100
1/15/99 ....... 100 100 100 97 74 1/15/99 ....... 100 100 100 100 100
2/15/99 ....... 100 100 100 87 64 2/15/99 ....... 100 100 100 100 100
3/15/99 ....... 100 100 93 78 54 3/15/99 ....... 100 100 100 100 100
4/15/99 ....... 100 94 84 69 44 4/15/99 ....... 100 100 100 100 100
5/15/99 ....... 100 86 76 61 34 5/15/99 ....... 100 100 100 100 100
6/15/99 ....... 100 78 68 52 25 6/15/99 ....... 100 100 100 100 100
7/15/99 ....... 100 70 60 44 16 7/15/99 ....... 100 100 100 100 100
8/15/99 ....... 100 62 52 36 8 8/15/99 ....... 100 100 100 100 100
9/15/99 ....... 100 55 44 27 0 9/15/99 ....... 100 100 100 100 99
10/15/99 ....... 100 47 36 20 0 10/15/99 ....... 100 100 100 100 92
11/15/99 ....... 92 40 29 12 0 11/15/99 ....... 100 100 100 100 85
12/15/99 ....... 85 32 21 4 0 12/15/99 ....... 100 100 100 100 78
1/15/00 ....... 78 25 14 0 0 1/15/00 ....... 100 100 100 98 72
2/15/00 ....... 71 18 7 0 0 2/15/00 ....... 100 100 100 91 66
3/15/00 ....... 63 11 0 0 0 3/15/00 ....... 100 100 100 85 60
4/15/00 ....... 56 4 0 0 0 4/15/00 ....... 100 100 94 79 54
5/15/00 ....... 49 0 0 0 0 5/15/00 ....... 100 97 88 74 49
6/15/00 ....... 41 0 0 0 0 6/15/00 ....... 100 91 82 68 44
7/15/00 ....... 33 0 0 0 0 7/15/00 ....... 100 86 77 63 39
8/15/00 ....... 26 0 0 0 0 8/15/00 ....... 100 80 71 57 34
9/15/00 ....... 18 0 0 0 0 9/15/00 ....... 100 74 66 52 0
10/15/00 ....... 10 0 0 0 0 10/15/00 ....... 100 69 60 48 0
11/15/00 ....... 2 0 0 0 0 11/15/00 ....... 100 63 55 43 0
12/15/00 ....... 0 0 0 0 0 12/15/00 ....... 95 58 50 39 0
1/15/01 ....... 0 0 0 0 0 1/15/00 ....... 88 53 46 34 0
2/15/01 ....... 0 0 0 0 0 2/15/01 ....... 81 48 41 0 0
3/15/01 ....... 0 0 0 0 0 3/15/01 ....... 74 43 36 0 0
4/15/01 ....... 0 0 0 0 0 4/15/01 ....... 67 38 0 0 0
5/15/01 ....... 0 0 0 0 0 5/15/01 ....... 59 33 0 0 0
6/15/01 ....... 0 0 0 0 0 6/15/01 ....... 52 0 0 0 0
7/15/01 ....... 0 0 0 0 0 7/15/01 ....... 45 0 0 0 0
8/15/01 ....... 0 0 0 0 0 8/15/01 ....... 37 0 0 0 0
9/15/01 ....... 0 0 0 0 0 9/15/01 ....... 0 0 0 0 0
10/15/01 ....... 0 0 0 0 0 10/15/01 ....... 0 0 0 0 0
11/05/01 ....... 0 0 0 0 0 11/15/01 ....... 0 0 0 0 0
12/15/01 ....... 0 0 0 0 0 12/15/01 ....... 0 0 0 0 0
1/15/02 ....... 0 0 0 0 0 1/15/02 ....... 0 0 0 0 0
2/15/02 ....... 0 0 0 0 0 2/15/02 ....... 0 0 0 0 0
</TABLE>
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE OFFERED NOTES REMAINING AT VARIOUS
ABS PERCENTAGES
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3/15/02...... 0 0 0 0 0 3/15/02...... 0 0 0 0 0
4/15/02...... 0 0 0 0 0 4/15/02...... 0 0 0 0 0
5/15/02...... 0 0 0 0 0 5/15/02...... 0 0 0 0 0
Average Life (years) 2.5 2.0 1.8 1.7 1.4 Average Life (years) 3.6 3.2 3.1 2.9 2.5
to 10% Call to 10% Call
</TABLE>
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE OFFERED NOTES REMAINING AT VARIOUS
ABS PERCENTAGES
<TABLE>
<CAPTION>
Class B Notes
----------------------------
Distribution Date 0.0% 1.0% 1.2% 1.5% 2.0%
- ----------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Closing Date ....... 100 100 100 100 100
11/15/97 ....... 100 100 100 100 100
12/15/97 ....... 100 100 100 100 100
1/15/98 ....... 100 100 100 100 100
2/15/98 ....... 100 100 100 100 100
3/15/98 ....... 100 100 100 100 100
4/15/98 ....... 100 100 100 100 100
5/15/98 ....... 100 100 100 100 76
6/15/98 ....... 100 100 100 76 73
7/15/98 ....... 100 78 76 74 69
8/15/98 ....... 100 75 73 71 66
9/15/98 ....... 100 73 71 68 63
10/15/98 ....... 100 70 68 65 60
11/15/98 ....... 98 68 66 63 57
12/15/98 ....... 77 66 64 60 54
1/15/99 ....... 75 63 61 57 51
2/15/99 ....... 73 61 59 55 48
3/15/99 ....... 71 59 56 52 46
4/15/99 ....... 70 57 54 50 43
5/15/99 ....... 68 55 52 48 40
6/15/99 ....... 66 52 50 45 38
7/15/99 ....... 64 50 47 43 35
8/15/99 ....... 62 48 45 41 33
9/15/99 ....... 60 46 43 39 31
10/15/99 ....... 58 44 41 36 29
11/15/99 ....... 56 42 39 34 26
12/15/99 ....... 54 40 37 32 24
1/15/00 ....... 52 38 35 30 22
2/15/00 ....... 50 36 33 28 20
3/15/00 ....... 48 34 31 26 19
4/15/00 ....... 46 32 29 25 17
5/15/00 ....... 44 30 27 23 15
6/15/00 ....... 42 28 25 21 14
7/15/00 ....... 40 27 24 19 12
8/15/00 ....... 38 25 22 18 11
9/15/00 ....... 36 23 20 16 0
10/15/00 ....... 34 21 19 15 0
11/15/00 ....... 32 20 17 13 0
12/15/00 ....... 29 18 16 12 0
1/15/01 ....... 27 16 14 11 0
2/15/01 ....... 25 15 13 0 0
3/15/01 ....... 23 13 11 0 0
4/15/01 ....... 21 12 0 0 0
5/15/01 ....... 18 10 0 0 0
6/15/01 ....... 16 0 0 0 0
7/15/01 ....... 14 0 0 0 0
8/15/01 ....... 12 0 0 0 0
9/15/01 ....... 0 0 0 0 0
10/15/01 ....... 0 0 0 0 0
11/15/01 ....... 0 0 0 0 0
12/15/01 ....... 0 0 0 0 0
1/15/02 ....... 0 0 0 0 0
2/15/02 ....... 0 0 0 0 0
</TABLE>
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE OFFERED NOTES REMAINING AT VARIOUS
ABS PERCENTAGES
<TABLE>
<S> <C> <C> <C> <C> <C>
3/15/02......... 0 0 0 0 0
4/15/02......... 0 0 0 0 0
5/15/02......... 0 0 0 0 0
Average Life (years) 2.4 1.9 1.8 1.7 1.4
to 10% Call
</TABLE>
