<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):
February 22, 2000
NAVISTAR FINANCIAL RETAIL RECEIVABLES CORPORATION
(Exact name of registrant as specified in its charter)
Delaware
(State or other Jurisdiction of Incorporation)
333-62445
(Commission File Number)
51-0337491
(I.R.S. Employer Identification No.)
Navistar Financial Retail Receivables Corporation
2850 W. Golf Road
Rolling Meadows, IL 60008
(Address of principal executive offices, including 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
<PAGE>
Item 5. Other Events
On February 22, 2000, the registrant made available to prospective
investors a series term sheet setting forth a description of the initial
collateral pool and the proposed structure of $475,000,000 aggregate principal
amount of Series 2000-A Asset Backed Notes, Class A-1, Class A-2, Class A-3,
Class A-4 and Class B, of Navistar Financial 2000-A 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 February 22, 2000 with respect to the
proposed issuance of the Series 2000-A Asset Backed Notes, Class
A-1, Class A-2, Class A-3, Class A-4 and Class B, of Navistar
Financial 2000-A Owner Trust
<PAGE>
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: February 23, 2000 By: /s/ R. Wayne Cain
Its: Vice President and Treasurer
<PAGE>
INDEX OF EXHIBITS
Exhibit No Exhibit
Exhibit 99 Series Term Sheet dated February 22, 2000 with respect to the
proposed issuance of the Series 2000-A Asset Backed Notes, Class
A-1, Class A-2, Class A-3, Class A-4 and Class B, of Navistar
Financial 2000-A Owner Trust
<PAGE>
Exhibit 99
Navistar Financial 2000-A Owner Trust
Navistar Financial Retail Receivables Corporation
Seller
Navistar Financial Corporation
Servicer
Subject to Revision
Term Sheet Dated February 22, 2000
Underwriters of the Class A Notes
Banc One Capital Markets, Inc.
Credit Suisse First Boston
J.P. Morgan & Co.
Underwriter of the Class B Notes
Banc One Capital Markets, Inc.
<PAGE>
THE SOLE SOURCE OF PAYMENTS ON THE NOTES IS THE TRUST PROPERTY. THE NOTES ARE
NOT INTERESTS IN, OBLIGATIONS OF, OR INSURED OR GUARANTEED BY THE OWNER TRUSTEE,
NAVISTAR FINANCIAL CORPORATION, NAVISTAR FINANCIAL RETAIL RECEIVABLES
CORPORATION OR ANY OTHER PERSON OR ENTITY.
THIS TERM SHEET CONTAINS STRUCTURAL AND COLLATERAL INFORMATION WITH RESPECT TO
THE NAVISTAR FINANCIAL 2000-A 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 2000-A 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 THE PROSPECTUS) RELATING TO THE
NOTES HAS BEEN FILED WITH THE SECURITIES AND EXCHANGE COMMISSION AND IS
EFFECTIVE, AS OF THE DATE OF THIS TERM SHEET 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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<PAGE>
$475,000,000.00 Asset Backed Notes
Navistar Financial 2000-A Owner Trust
Navistar Financial Retail Receivables Corporation
Seller
Navistar Financial Corporation
Servicer
Subject to Revision
Term Sheet Dated February 22, 2000
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 your sales representative.
Issuer.............................. Navistar Financial 2000-A Owner Trust
(the "Trust"), a Delaware common law
trust to be formed by the Seller and the
Owner Trustee pursuant to the Owner Trust
Agreement, acting by and through the
Owner Trustee.
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 Issuer will issue Notes as follows:
Class A-1 % Asset Backed Notes in the
aggregate principal amount of $84,000,000
(the "Class A-1 Notes").
Class A-2 % Asset Backed Notes in the
aggregate principal amount of
$142,000,000 (the "Class A-2 Notes").
Class A-3 % Asset Backed Notes in the
aggregate principal amount of
$110,000,000 (the "Class A-3 Notes").
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<PAGE>
Class A-4 % Asset Backed Notes in the
aggregate principal amount of
$121,187,500 (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").
Class B % Asset Backed Notes in the
aggregate principal amount of $17,812,500
(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
in this Term Sheet and in the Prospectus
Supplement.
The sole source of payments on the Notes
is the Trust Property. The Notes are not
interests in, obligations of, or insured
or guaranteed by the Owner Trustee, the
Seller, the Servicer or any other person
or entity.
The Issuer will also issue Certificates
(the "Certificates"), which will not bear
interest but will have certain rights in
excess monies in the Reserve Account, the
Negative Carry Account and certain other
excess funds. The Certificates 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 or received thereunder on and
after February 1, 2000 (the "Initial
Cutoff Date") for the Initial Receivables
and the related Cutoff Date that is
designated as such by the Seller for any
Subsequent Receivables, security
interests in the vehicles financed
thereby, certain other property and
monies on deposit in certain accounts,
including the Reserve Account, 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
specified insurance policies, the
benefits of any lease assignments and
specified rights of the Seller under the
related Purchase Agreement and the
related Custodian Agreement. The
aggregate Starting Receivables Balance
for the Initial Receivables is
$380,843,908.73 (the "Initial Aggregate
Starting Receivables Balance").
Additional Retail Notes may be purchased
by the Trust from the Seller from time to
time on or before the June 2000
Distribution Date from funds on deposit
in the Pre-Funding Account. The Initial
Pre-Funded Amount is $94,156,091.27.
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<PAGE>
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 the 15th
day is not a business day, on the next
business day, starting on March 15, 2000
(each, a "Distribution Date"). Interest
on the Class A-1 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-2 Notes, 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 the Notes
are declared to be due and payable
following the occurrence of an Event of
Default resulting from the failure to
make a payment on 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................ Subject to the subordination provisions
described in the two following
paragraphs, on each Distribution Date,
the Notes will be payable to the extent
of the Principal Payment Amount as
follows: (1) first, 100% of the Principal
Payment Amount to the Class A-1 Notes
until the Class A-1 Notes are paid in
full; (2) thereafter, 96.25% of the
Principal Payment Amount (in the case of
the Distribution Date on which the Class
A-1 Notes are paid in full, 96.25% of the
remaining Principal Payment Amount) to
the Class A Notes (all of which shall be
paid to the Class A-2 Notes until paid in
full, then to the Class A-3 Notes until
paid in full, and then to the Class A-4
Notes until paid in full) and 3.75% of
the Principal Payment Amount (in the case
of the Distribution Date on which the
Class A-1 Notes are paid in full, 3.75%
of the remaining Principal Payment
Amount) to the Class B Notes until the
Class A Notes are paid in full; and (3)
thereafter, 100% of the Principal Payment
Amount (in the case of the Distribution
Date on
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<PAGE>
which the Class A Notes are paid in full,
the remaining Principal Payment Amount)
to the Class B Notes until the Class B
Notes are paid in full. The "Principal
Payment Amount" for each Distribution
Date will generally equal the lesser of
(a) the Principal Distributable Amount
for such Distribution Date and (b) the
excess, if any, of the sum of the
Available Amount for such Distribution
Date and available funds on deposit in
the Reserve Account on such Distribution
Date (the "Total Available Amount") over
the sum of the Total Servicing Fee and
accrued and unpaid interest on the Notes
due and payable on such Distribution
Date. For a Distribution Date, the
"Principal Distributable Amount"
generally will equal the sum, with
respect to the related Monthly Period, of
the principal portion of all payments due
on the Receivables, the principal portion
of all prepayments received in respect of
the Receivables, the principal portion of
all Receivables repurchased by the Seller
or purchased by the Servicer and the
principal portion of all Receivables that
became Liquidating Receivables, and the
"Available Amount" generally will equal
(a) the sum, with respect to the related
Monthly Period, of (1) that portion of
all collections on the Receivables
allocable to principal, interest or
Prepayment Surplus, (2) all Liquidation
Proceeds to the extent attributable to
principal or interest in accordance with
the Servicer's customary procedures, (3)
that portion of all Monthly Advances made
by the Servicer allocable to principal or
interest due on the Receivables, (4) the
Warranty Payment, the Administrative
Purchase Payment or the Optional Purchase
Proceeds of each Receivable that the
Seller repurchased or the Servicer
purchased during such related Monthly
Period to the extent attributable to
principal, accrued interest or Prepayment
Surplus thereon and (5) the principal
portion of all Prepayments minus (b) that
portion of collections retained by the
Servicer in respect of unreimbursed
Monthly Advances and Liquidation
Expenses.
If the amount on deposit in the Reserve
Account on any Distribution Date, after
giving effect to the distribution of the
Principal Payment Amount in accordance
with the priorities set forth above,
would be less than 1.0% of the Aggregate
Starting Receivables Balance, then the
Class A Notes will receive 100% of the
Principal Payment Amount (all of which
shall be paid to the Class A-1 Notes
until paid in full, then to the Class A-2
Notes until paid in full, then to the
Class A-3 Notes until paid in full, and
then to the Class A-4 Notes until paid in
full) until either the Class A Notes are
paid in full or the amount on deposit in
the Reserve Account equals or exceeds the
Specified Reserve Account Balance. When
principal payments on the Class B Notes
resume in
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<PAGE>
accordance with the preceding sentence,
the Principal Payment Amount shall be
distributed in accordance with the first
sentence in the preceding paragraph.
Also, if an Event of Default occurs and
the Notes are declared to be due and
payable, the Class A Notes will be
payable in an amount equal to 100% of the
Principal Payment Amount (and each class
of Class A Notes will be entitled to
ratable repayment of principal on the
basis of their respective unpaid
principal balances) and no principal of
the Class B Notes will be paid on any
Distribution Date thereafter until the
Class A Notes are paid in full.
Thereafter, the principal of the Class B
Notes will be payable in an amount equal
to 100% of the Principal Payment Amount
on each Distribution Date until the Class
B Notes are 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: March 2001
Class A-2 Notes: March 2003
Class A-3 Notes: May 2004
Class A-4 Notes: January 2007
Class B Notes: February 2007
C. Mandatory
Prepayment............. The 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
that Distribution Date, after giving
effect to the purchase of all Subsequent
Receivables, including any Subsequent
Receivables purchased on that date. This
mandatory prepayment will be applied to
each class of Notes in accordance with
the priorities with respect to
distributions of principal described
above; provided that if the remaining
Pre-Funded Amount at the time of the
mandatory 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 with respect to each class of
Notes (including the Class B Notes) in
connection with any mandatory prepayment
if the remaining Pre-Funded Amount at the
time of such prepayment exceeds $100,000.
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<PAGE>
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 that
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 the 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
paying the Noteholders' Prepayment
Premium.
D. Redemption............... If the Aggregate Receivables Balance
declines to 10% or less of the aggregate
Starting Receivables Balance of the
Initial Receivables and of all Subsequent
Receivables as of the related Cutoff Date
(the "Aggregate Starting Receivables
Balance") and the Servicer exercises its
option to purchase the Receivables on any
Distribution Date on or after the date on
which 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 and the
Class B Notes will be redeemed in whole,
but not in part, at a redemption price
equal to the unpaid principal amount of
those Notes, plus accrued and unpaid
interest thereon.
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: (1) the Servicing Fee
and any unpaid Servicing Fee for prior
Distribution Dates ("Total Servicing
Fee"); (2) interest on the Class A Notes;
(3) interest on the Class B Notes; and
(4) principal on the Notes as described
above. After the Notes are declared to be
due and payable following the occurrence
of an Event of Default resulting from the
failure to make a payment on the Notes,
all principal and interest on the Class A
Notes will be paid in full prior
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<PAGE>
to making any further payments on or with
respect to the Class B Notes.
Reserve Account..................... On the Closing Date an amount of cash or
eligible investments equal to
$18,090,085.66 or 4.75% of the Initial
Aggregate Starting Receivables Balance
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 5.50% of the
aggregate Starting Receivables Balance of
the transferred Subsequent Receivables
will be deposited in the Reserve Account.
If on any Distribution Date the amounts
on deposit in the Reserve Account are
less than the Specified Reserve Account
Balance for that Distribution Date,
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
will be deposited into the Reserve
Account until the balance in the Reserve
Account equals the Specified Reserve
Account Balance for that Distribution
Date.
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 for
such Distribution Date will be paid to
the holders of the Certificates. The
"Specified Reserve Account Balance" on
each Distribution Date will equal the
lesser of (1) the aggregate outstanding
principal balance of the Notes and (2)
the greater of (a) 5.50% (or 10.0% under
specified circumstances described in the
Prospectus Supplement) of the Aggregate
Receivables Balance as of the close of
business on the last day of the related
Monthly Period, and (b) 2.0% of the
Aggregate Starting Receivables Balance.
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............ On the Closing Date $94,156,091.27 (the
"Initial Pre-Funded Amount") will be
deposited into the Pre-Funding Account.
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
Subsequent Receivables have been acquired
by the
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<PAGE>
Seller from NFC, and to deposit the
required amounts in the Reserve Account
in connection with that purchase. The
"Funding Period" will be the period from
and including the Closing Date until the
earliest of (1) 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 Subsequent
Receivables purchased on that date) is
less than $100,000, (2) the occurrence of
an Event of Default under the Indenture,
(3) the occurrence of a Servicer Default
under the Pooling and Servicing
Agreement, (4) the occurrence of
specified events of insolvency with
respect to the Seller or the Servicer and
(5) the close of business on the June
2000 Distribution Date. Any amount
remaining in the Pre-Funding Account at
the end of the Funding Period will be
payable to the Noteholders as a mandatory
prepayment as described above.
Negative Carry Account.............. On the Closing Date the Seller will
deposit $ (the "Negative Carry Account
Initial Deposit") into the Negative Carry
Account. On each Distribution Date, an
amount equal to the Negative Carry Amount
for that Distribution Date will be
withdrawn from the Negative Carry Account
and deposited into the Collection
Account. On each Distribution Date
amounts on deposit in the Negative Carry
Account in excess of the Required
Negative Carry Account Balance for that
Distribution Date will be released to the
Seller. On the Distribution Date on or
immediately following the last day of the
Funding Period, after giving effect to
all withdrawals from the Negative Carry
Account on that Distribution Date, all
amounts remaining on deposit in the
Negative Carry Account 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,
special tax counsel, for federal income
tax purposes, the Notes will be
characterized as indebtedness and the
Trust will not be characterized as an
association (or publicly traded
partnership) taxable as a corporation.
Each Noteholder by the acceptance of a
Note will agree to treat the Notes as
indebtedness.
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<PAGE>
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,
the Class A-2, Class A-3 and Class A-4
Notes be rated in the highest rating
category for long-term debt obligations
by at least one nationally recognized
rating agency, and the Class B Notes be
rated in the "A" category or its
equivalent 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 originated by Navistar Financial Corporation
("NFC"). Some 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 on 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
(a) has a first payment due date on or before February 29, 2000, (b) has an
original term to maturity of 13 to 84 months, (c) has a remaining term to
maturity of 12 to 72 months, (d) provides for finance charges at an APR of no
less than 6.75%, (e) was not more than 60 days past due as of the Initial Cutoff
Date, and (f) 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 as of the Initial Cutoff Date are as set forth in the
following tables. Due to rounding, the percentages shown in these tables may not
add to 100.00%.
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<PAGE>
Composition of the Initial Receivables
<TABLE>
<CAPTION>
Weighted Average Initial Weighted Weighted
Annual Aggregate Aggregate Average Average Average
Percentage Rate Starting Original Starting Original Remaining
(Range) Receivables Principal Number of Receivables Maturity Maturity
Balance Balance Receivables Balance (Range) (Range)
- ------------------ ------------------- ------------------- -------------- -------------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
9.298% $380,843,908.73 $394,120,117.36 8,352 $45,599.12 56.65 53.67
(6.75%-21.49%) (1) months months
(13 to 84 (12 to 72
months) months)
</TABLE>
(1) Excludes five Receivables with APRs above 21.49%.
Distribution by Annual Percentage Rate of the Initial Receivables
<TABLE>
<CAPTION>
Percentage of Initial
Annual Percentage Number of Starting Aggregate Starting
Rate Range Receivables Receivables Balance Receivables Balance
- -------------------- ---------------- -------------------------- ------------------------
<S> <C> <C> <C>
6.75-7.49% 600 $ 19,710,667.43 5.18%
7.50-8.49% 3,003 143,942,399.93 37.80%
8.50-9.49% 2,015 100,870,820.20 26.49%
9.50-10.49% 886 45,980,711.69 12.07%
10.50-11.49% 602 29,324,581.24 7.70%
11.50-12.49% 413 17,283,991.59 4.54%
12.50-13.49% 253 8,854,103.07 2.32%
13.50-14.49% 210 6,024,929.56 1.58%
14.50-15.49% 171 4,642,266.98 1.22%
15.50-16.49% 84 1,902,689.37 0.50%
16.50-17.49% 44 882,310.01 0.23%
17.50 & Over 71 1,424,437.66 0.37%
Total 8,352 $380,843,908.73 100.00%
</TABLE>
Distribution by Remaining Maturity of the Initial Receivables
<TABLE>
<CAPTION>
Remaining Percentage of Initial
Maturity Number of Starting Aggregate Starting
(Months) Receivables Receivables Balance Receivables Balance
- ------------- ------------------ ----------------------- ------------------------
<S> <C> <C> <C>
12-24 393 $ 7,045,584.14 1.85%
25-36 1,553 40,290,928.48 10.58%
37-48 1,813 76,975,232.22 20.21%
49-60 3,031 187,121,470.65 49.14%
61-66 181 5,731,379.44 1.50%
67 & Over 1,381 63,679,313.80 16.72%
Total 8,352 $380,843,908.73 100.00%
</TABLE>
-12-
<PAGE>
Distribution by Payment Terms of the Initial Receivables
Percentage of Initial
Aggregate Starting
Type of Receivable Receivables Balance
- ------------------------------- ---------------------------------
Equal Payment Fully Amortizing 59.26%
Equal Payment Balloon 11.48%
Equal Payment Skip 2.56%
Level Principal Fully Amortizing 6.25%
Level Principal Balloon 16.95%
Level Principal Skip 0.04%
Other 3.46%
Total 100.00%
The Initial Receivables include Receivables originated in 48 states and The
District of Columbia. The following table sets forth the percentage of the
Initial Aggregate Starting Receivables Balance in the states with the largest
concentration of Initial Receivables. No other state accounts for more than
1.57% of the Initial Aggregate Starting Receivables Balance. None of the Initial
Receivables were originated in Alaska or Hawaii.
Geographic Distribution of the Initial Receivables
Percentage of Initial
Aggregate Starting Receivables
State(1) Balance
- -------------------------- -----------------------------------
New York 8.47%
Texas 7.64%
Illinois 7.51%
Iowa 6.21%
California 5.60%
Ohio 4.88%
Florida 4.64%
Michigan 3.35%
Tennessee 3.31%
Pennsylvania 3.28%
Minnesota 3.25%
Indiana 3.22%
Kansas 2.99%
Wisconsin 2.95%
Arkansas 2.73%
South Carolina 2.56%
Maryland 2.51%
Missouri 2.51%
New Jersey 2.34%
Other 20.05%
Total 100.00%
- --------
(1) Based on billing addresses of the obligors on the Initial Receivables.
-13-
<PAGE>
No single obligor accounts for more than 2.00% of the Initial Aggregate
Starting Receivables Balance. As of the Initial Cutoff Date, approximately
83.34% of the Initial Aggregate Starting Receivables Balance, constituting
69.98% 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 the 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 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 9.07% and that the aggregate principal balance of
all Receivables owing from any single Obligor not exceed 2.0% of the aggregate
principal balance of the 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 57 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 selected 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. As a result of the bankruptcy of one
of NFC's largest obligors, a combined charge of $10.9 million was taken in 1996
by NFC and NITC, $3.8 million of which was reversed in 1998 by NFC. There can be
no assurance that the delinquency, repossession and net loss experience on the
Initial Receivables or the Subsequent Receivables will be comparable to that set
forth below. Due to rounding, the amounts shown for NFC and NITC separately in
this table may not add to the amount shown for NFC and NITC combined.
-14-
<PAGE>
<TABLE>
<CAPTION>
Year Ended October 31,
------------------------------------------------------------
NFC Retail Notes 1995 1996 1997 1998 1999
---------------- ---- ---- ---- ---- ----
($ in millions)
<S> <C> <C> <C> <C> <C>
Gross Balance Outstanding at end of
Period ......................... $ 2,073 $ 2,282 $ 2,282 $ 2,481 $ 2,825
Gross Balance Past Due as a
Percentage of Gross Balance
Outstanding at end of Period
31-60 days..................... 2.43% 1.99% 2.42% 2.49% 2.87%
over 60 days................... 0.09% 0.30% 0.60% 0.61% 0.52%
Average Gross Balance of Retail
Notes (13 month average) $ 1,809 $ 2,204 $ 2,245 $ 2,339 $ 2,632
Net Losses (recoveries):
NFC........................... $ 0.3 $ 5.0 $ 2.1 $ - $ 5.2
NITC.......................... 0.6 9.5 3.9 9.9 3.0
--------- --------- --------- --------- ---------
Combined...................... $ 0.9 $ 14.5 $ 6.0 $ 9.9 $ 8.2
Liquidations minus Net Losses ..... $ 833 $ 1,002 $ 1,083 $ 1,178 $ 1,193
Net Losses (recoveries) as a
Percentage of Liquidations
minus Net Losses:
NFC........................... 0.04% 0.50% 0.19% 0.00% 0.44%
NITC.......................... 0.07% 0.95% 0.36% 0.84% 0.25%
--------- --------- --------- --------- ---------
Combined...................... 0.11% 1.45% 0.55% 0.84% 0.69%
Net Losses (recoveries) as a
Percentage of Average Gross
Balance:
NFC........................... 0.02% 0.23% 0.09% 0.00% 0.20%
NITC.......................... 0.03% 0.43% 0.18% 0.42% 0.11%
--------- --------- --------- --------- ---------
Combined...................... 0.05% 0.66% 0.27% 0.42% 0.31%
Repossessions as a Percentage of
Average Gross Balance............ 0.92% 3.15% 2.01% 2.31% 1.94%
</TABLE>
-15-
<PAGE>
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 (the "ABS Model"), represents an
assumed rate of prepayment each month relative to the original number of
receivables in a pool of receivables. The ABS Model 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. The ABS Model 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 (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 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
(1) the Receivables prepay in full at the specified constant percentage of ABS
monthly, with no defaults, losses or repurchases, (2) each scheduled monthly
payment on the Receivables is made on the last day of each month and each month
has 30 days, (3) 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, (4)
the balance in the Reserve Account on each Distribution Date is equal to the
Specified Reserve Account Balance, (5) the Negative Carry Amount never exceeds
amounts on deposit in the Negative Carry Account, and (6) the Servicer does not
exercise its option to purchase the Receivables. 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 February 1, 2000 and the Subsequent
Receivables Pool has an assumed Cutoff Date of March 1, 2000, and the first
distribution of principal is assumed to occur on March 15, 2000 for the Initial
Receivables Pool and April 15, 2000 for the Subsequent Receivables Pool.
Moreover, the ABS Table assumes that the Initial Receivables Pool and the
Subsequent Receivables Pool have the following 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:
-16-
<PAGE>
<TABLE>
<CAPTION>
Starting Annual Original Remaining
Receivables Percentage Maturity Maturity
Pool Balance Rate (In Months) (In Months)
- ---------------------------- -------------------- --------------- --------------- ------------------
<S> <C> <C> <C> <C>
Initial Receivables Pool $380,843,908.73 9.22% 57 54
Subsequent Receivables Pool $ 94,156,091.27 9.22% 57 57
--------------------
$475,000,000.00
===============
</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 the ABS Model
until maturity or that all of the Receivables will prepay at the same level of
the ABS Model. Moreover, the diverse terms of Receivables within each of the
hypothetical pools could produce slower or faster principal distributions than
indicated in the ABS Table at the various constant percentages of the ABS Model
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 6.75% to 26.00%, and only 59.26% of the Initial
Receivables (by percentage of Initial 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.
-17-
<PAGE>
<TABLE>
<CAPTION>
Percent of Initial Principal Amount of the Offered Notes Remaining at Various ABS Percentages
Class A-1 Notes Class A-2
------------------------------------------------------------- -------------------------------------------------------------
Distribution Distribution
Date 0.00% 1.00% 1.40% 1.80% 2.00% Date 0.00% 1.00% 1.40% 1.80% 2.00%
------------- ------- ------- ------- ------- ------- -------------- ------- ------- ------- ------- -------
<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%
3/15/00 93 89 87 85 84 3/15/00 100 100 100 100 100
4/15/00 85 75 70 66 64 4/15/00 100 100 100 100 100
5/15/00 76 61 54 48 44 5/15/00 100 100 100 100 100
6/15/00 68 47 38 29 25 6/15/00 100 100 100 100 100
7/15/00 59 33 23 12 6 7/15/00 100 100 100 100 100
8/15/00 50 20 7 0 0 8/15/00 100 100 100 97 93
9/15/00 42 6 0 0 0 9/15/00 100 100 95 87 82
10/15/00 33 0 0 0 0 10/15/00 100 96 87 77 72
11/15/00 24 0 0 0 0 11/15/00 100 88 78 67 62
12/15/00 15 0 0 0 0 12/15/00 100 81 70 58 52
1/15/01 6 0 0 0 0 1/15/01 100 74 61 49 42
2/15/01 0 0 0 0 0 2/15/01 98 66 53 40 33
3/15/01 0 0 0 0 0 3/15/01 93 59 45 31 24
4/15/01 0 0 0 0 0 4/15/01 88 52 37 22 14
5/15/01 0 0 0 0 0 5/15/01 82 45 29 13 5
6/15/01 0 0 0 0 0 6/15/01 77 38 22 5 0
7/15/01 0 0 0 0 0 7/15/01 72 31 14 0 0
8/15/01 0 0 0 0 0 8/15/01 66 24 7 0 0
9/15/01 0 0 0 0 0 9/15/01 61 17 0 0 0
10/15/01 0 0 0 0 0 10/15/01 55 11 0 0 0
11/15/01 0 0 0 0 0 11/15/01 50 4 0 0 0
12/15/01 0 0 0 0 0 12/15/01 44 0 0 0 0
1/15/02 0 0 0 0 0 1/15/02 38 0 0 0 0
2/15/02 0 0 0 0 0 2/15/02 33 0 0 0 0
3/15/02 0 0 0 0 0 3/15/02 27 0 0 0 0
4/15/02 0 0 0 0 0 4/15/02 21 0 0 0 0
5/15/02 0 0 0 0 0 5/15/02 15 0 0 0 0
6/15/02 0 0 0 0 0 6/15/02 10 0 0 0 0
7/15/02 0 0 0 0 0 7/15/02 4 0 0 0 0
8/15/02 0 0 0 0 0 8/15/02 0 0 0 0 0
9/15/02 0 0 0 0 0 9/15/02 0 0 0 0 0
10/15/02 0 0 0 0 0 10/15/02 0 0 0 0 0
11/15/02 0 0 0 0 0 11/15/02 0 0 0 0 0
12/15/02 0 0 0 0 0 12/15/02 0 0 0 0 0
1/15/03 0 0 0 0 0 1/15/03 0 0 0 0 0
2/15/03 0 0 0 0 0 2/15/03 0 0 0 0 0
3/15/03 0 0 0 0 0 3/15/03 0 0 0 0 0
4/15/03 0 0 0 0 0 4/15/03 0 0 0 0 0
5/15/03 0 0 0 0 0 5/15/03 0 0 0 0 0
6/15/03 0 0 0 0 0 6/15/03 0 0 0 0 0
7/15/03 0 0 0 0 0 7/15/03 0 0 0 0 0
8/15/03 0 0 0 0 0 8/15/03 0 0 0 0 0
9/15/03 0 0 0 0 0 9/15/03 0 0 0 0 0
10/15/03 0 0 0 0 0 10/15/03 0 0 0 0 0
11/15/03 0 0 0 0 0 11/15/03 0 0 0 0 0
12/15/03 0 0 0 0 0 12/15/03 0 0 0 0 0
1/15/04 0 0 0 0 0 1/15/04 0 0 0 0 0
2/15/04 0 0 0 0 0 2/15/04 0 0 0 0 0
3/15/04 0 0 0 0 0 3/15/04 0 0 0 0 0
4/15/04 0 0 0 0 0 4/15/04 0 0 0 0 0
5/15/04 0 0 0 0 0 5/15/04 0 0 0 0 0
6/15/04 0 0 0 0 0 6/15/04 0 0 0 0 0
7/15/04 0 0 0 0 0 7/15/04 0 0 0 0 0
8/15/04 0 0 0 0 0 8/15/04 0 0 0 0 0
9/15/04 0 0 0 0 0 9/15/04 0 0 0 0 0
10/15/04 0 0 0 0 0 10/15/04 0 0 0 0 0
11/15/04 0 0 0 0 0 11/15/04 0 0 0 0 0
12/15/04 0 0 0 0 0 12/15/04 0 0 0 0 0
Average Lives to Average Lives to
Maturity (yrs) 0.48 0.29 0.25 0.22 0.20 Maturity (yrs) 1.71 1.17 1.01 0.89 0.83
</TABLE>
-18-
<PAGE>
<TABLE>
<CAPTION>
Class A-3 Notes Class A-4
- -------------------------------------------------------------- --------------------------------------------------------------
Distribution Distribution
Date 0.00% 1.00% 1.40% 1.80% 2.00% Date 0.00% 1.00% 1.40% 1.80% 2.00%
------------ ------- ------- ------- ------- ------- ------------ ------- ------- ------- ------- -------
<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%
3/15/00 100 100 100 100 100 3/15/00 100 100 100 100 100
4/15/00 100 100 100 100 100 4/15/00 100 100 100 100 100
5/15/00 100 100 100 100 100 5/15/00 100 100 100 100 100
6/15/00 100 100 100 100 100 6/15/00 100 100 100 100 100
7/15/00 100 100 100 100 100 7/15/00 100 100 100 100 100
8/15/00 100 100 100 100 100 8/15/00 100 100 100 100 100
9/15/00 100 100 100 100 100 9/15/00 100 100 100 100 100
10/15/00 100 100 100 100 100 10/15/00 100 100 100 100 100
11/15/00 100 100 100 100 100 11/15/00 100 100 100 100 100
12/15/00 100 100 100 100 100 12/15/00 100 100 100 100 100
1/15/01 100 100 100 100 100 1/15/01 100 100 100 100 100
2/15/01 100 100 100 100 100 2/15/01 100 100 100 100 100
3/15/01 100 100 100 100 100 3/15/01 100 100 100 100 100
4/15/01 100 100 100 100 100 4/15/01 100 100 100 100 100
5/15/01 100 100 100 100 100 5/15/01 100 100 100 100 100
6/15/01 100 100 100 100 96 6/15/01 100 100 100 100 100
7/15/01 100 100 100 96 85 7/15/01 100 100 100 100 100
8/15/01 100 100 100 85 74 8/15/01 100 100 100 100 100
9/15/01 100 100 99 75 63 9/15/01 100 100 100 100 100
10/15/01 100 100 90 65 53 10/15/01 100 100 100 100 100
11/15/01 100 100 81 56 43 11/15/01 100 100 100 100 100
12/15/01 100 97 72 46 33 12/15/01 100 100 100 100 100
1/15/02 100 88 63 37 24 1/15/02 100 100 100 100 100
2/15/02 100 80 54 28 15 2/15/02 100 100 100 100 100
3/15/02 100 72 46 19 6 3/15/02 100 100 100 100 100
4/15/02 100 64 38 11 0 4/15/02 100 100 100 100 97
5/15/02 100 56 30 3 0 5/15/02 100 100 100 100 90
6/15/02 100 48 22 0 0 6/15/02 100 100 100 95 83
7/15/02 100 41 14 0 0 7/15/02 100 100 100 88 76
8/15/02 97 33 6 0 0 8/15/02 100 100 100 81 69
9/15/02 89 26 0 0 0 9/15/02 100 100 99 75 62
10/15/02 82 18 0 0 0 10/15/02 100 100 93 68 56
11/15/02 74 11 0 0 0 11/15/02 100 100 86 62 50
12/15/02 66 4 0 0 0 12/15/02 100 100 80 57 45
1/15/03 58 0 0 0 0 1/15/03 100 97 74 51 39
2/15/03 50 0 0 0 0 2/15/03 100 91 69 46 34
3/15/03 42 0 0 0 0 3/15/03 100 85 63 41 29
4/15/03 33 0 0 0 0 4/15/03 100 79 58 36 25
5/15/03 25 0 0 0 0 5/15/03 100 73 52 31 21
6/15/03 17 0 0 0 0 6/15/03 100 67 47 27 17
7/15/03 9 0 0 0 0 7/15/03 100 62 43 23 13
8/15/03 0 0 0 0 0 8/15/03 100 56 38 20 10
9/15/03 0 0 0 0 0 9/15/03 92 51 34 16 7
10/15/03 0 0 0 0 0 10/15/03 85 46 29 13 5
11/15/03 0 0 0 0 0 11/15/03 77 41 25 10 2
12/15/03 0 0 0 0 0 12/15/03 69 36 22 8 0
1/15/04 0 0 0 0 0 1/15/04 61 31 18 5 0
2/15/04 0 0 0 0 0 2/15/04 53 26 15 3 0
3/15/04 0 0 0 0 0 3/15/04 45 21 12 2 0
4/15/04 0 0 0 0 0 4/15/04 37 17 9 0 0
5/15/04 0 0 0 0 0 5/15/04 29 13 6 0 0
6/15/04 0 0 0 0 0 6/15/04 20 8 3 0 0
7/15/04 0 0 0 0 0 7/15/04 12 4 1 0 0
8/15/04 0 0 0 0 0 8/15/04 4 0 0 0 0
9/15/04 0 0 0 0 0 9/15/04 2 0 0 0 0
10/15/04 0 0 0 0 0 10/15/04 1 0 0 0 0
11/15/04 0 0 0 0 0 11/15/04 0 0 0 0 0
12/15/04 0 0 0 0 0 12/15/04 0 0 0 0 0
Average Lives to Average Lives to
Maturity (yrs) 2.97 2.30 2.03 1.78 1.68 Maturity (yrs) 4.01 3.60 3.33 2.98 2.79
Average Lives to
10% Call (yrs) 3.95 3.50 3.19 2.85 2.66
</TABLE>
-19-
<PAGE>
Class B Notes
- -------------------------------------------------------------
Distribution
Date 0.00% 1.00% 1.40% 1.80% 2.00%
----- ------ ----- -------- -------- --------
Closing Date 100% 100% 100% 100% 100%
3/15/00 100 100 100 100 100
4/15/00 100 100 100 100 100
5/15/00 100 100 100 100 100
6/15/00 100 100 100 100 100
7/15/00 100 100 100 100 100
8/15/00 100 100 100 99 98
9/15/00 100 100 99 96 95
10/15/00 100 99 96 93 91
11/15/00 100 96 93 90 88
12/15/00 100 94 91 87 85
1/15/01 100 92 88 84 82
2/15/01 99 90 85 81 79
3/15/01 98 87 83 79 76
4/15/01 96 85 80 76 73
5/15/01 95 83 78 73 71
6/15/01 93 81 76 71 68
7/15/01 91 79 73 68 65
8/15/01 90 76 71 65 63
9/15/01 88 74 69 63 60
10/15/01 86 72 66 61 58
11/15/01 84 70 64 58 55
12/15/01 83 68 62 56 53
1/15/02 81 66 60 54 51
2/15/02 79 64 58 52 48
3/15/02 77 62 56 50 46
4/15/02 76 60 54 47 44
5/15/02 74 58 52 45 42
6/15/02 72 56 50 44 40
7/15/02 70 55 48 42 38
8/15/02 68 53 46 40 37
9/15/02 66 51 45 38 35
10/15/02 65 49 43 37 33
11/15/02 63 48 41 35 32
12/15/02 61 46 40 33 30
1/15/03 59 44 38 32 29
2/15/03 57 42 37 31 27
3/15/03 55 41 35 29 26
4/15/03 53 39 34 28 25
5/15/03 51 38 32 27 24
6/15/03 49 36 31 26 23
7/15/03 47 35 30 25 22
8/15/03 45 33 28 24 21
9/15/03 43 32 27 23 20
10/15/03 41 30 26 22 20
11/15/03 39 29 25 21 19
12/15/03 37 28 24 20 18
1/15/04 35 26 23 20 10
2/15/04 32 25 22 19 7
3/15/04 30 24 21 19 4
4/15/04 28 23 21 18 2
5/15/04 26 22 20 12 0
6/15/04 24 21 19 7 0
7/15/04 22 20 19 4 0
8/15/04 19 18 12 2 0
9/15/04 19 16 8 1 0
10/15/04 19 10 5 0 0
11/15/04 11 5 2 0 0
12/15/04 0 0 0 0 0
Average Lives to
Maturity (yrs) 3.18 2.73 2.52 2.29 2.13
Average Lives to
10% Call (yrs) 3.06 2.55 2.29 2.05 1.90
-20-
