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) September 10, 1997
CASE RECEIVABLES II INC.
(Exact Name of Registrant as Specified in Charter)
Delaware 33-99298 76-0439709
(State or Other Jurisdiction (Commission (IRS Employer
of Incorporation) File Number) Identification No.)
233 Lake Avenue, Racine, Wisconsin 53403
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (414) 636-6011
233 Lake Avenue, Racine, Wisconsin 53403
(Former Name or Former Address, if Changed Since Last Report)
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<PAGE>
Item 5. Other Events
On September 9, 1997, the registrant made available to prospective
investors a term sheet (the "Term Sheet") setting forth a description of
the initial collateral pool and the proposed structure for the issuance of
$754,810,000 aggregate principal amount of asset-backed notes by Case
Equipment Loan Trust 1997-B. The Term Sheet is attached hereto as Exhibit 99.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits
Exhibit 99 Term Sheet dated September 9, 1997 of Case Equipment
Loan Trust 1997-B
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
CASE RECEIVABLES II INC.
(Registrant)
Dated: September 10, 1997 By: /s/ Robert A. Wegner
----------------------
Robert A. Wegner
3
<PAGE>
Exhibit Index
Exhibit 99 Term Sheet dated September 9, 1997 of Case Equipment Loan Trust
1997-B
4
SUBJECT TO REVISION EXHIBIT 99
TERM SHEET DATED SEPTEMBER 9, 1997
$754,810,000 Asset Backed Notes
Case Equipment Loan Trust 1997-B
Issuer
Case Receivables II Inc.
Seller
Case Credit Corporation
Servicer
Attached is a preliminary term sheet (the "Term Sheet") describing the
structure, collateral pool and certain aspects of the Case Equipment Loan
Trust 1997-B (the "Trust"). The Term Sheet has been prepared by the Seller
for informational purposes only and is subject to modification or change.
The information and assumptions contained in the Term Sheet are preliminary
and will be superseded in their entirety by a prospectus supplement (the
"Prospectus Supplement") and by any other additional information
subsequently filed with the Securities and Exchange Commission (the
"Commission") or incorporated by reference in the relevant registration
statement (the "Registration Statement"). In addition, the attached Term
Sheet supersedes any prior or similar term sheet.
None of the Underwriters named below and none of their respective
affiliates makes any representation as to the accuracy or completeness of
any of the information set forth in the attached Term Sheet. This cover
sheet is not a part of the Term Sheet.
The Registration Statement (including a base prospectus (the "Prospectus"))
relating to the Trust has been filed with the Commission and has been
declared effective. The Prospectus Supplement relating to the securities
offered by the Trust will be filed after the securities have been priced
and all of the terms and information are finalized. This communication is
not an offer to sell or the solicitation of an offer to buy nor shall there
be any sale of the securities of the Trust in any state in which such
offer, solicitation or sale would be unlawful before the registration or
qualification under the securities laws of any such state. Interested
persons are referred to the Prospectus and Prospectus Supplement. Any
investment decision should be based upon the information in the Prospectus
and Prospectus Supplement as of their publication date. Sales of the
securities to be offered by the Trust may not be consummated unless the
purchaser has received both the Prospectus and the Prospectus Supplement.
The securities to be offered by the Trust under the Prospectus Supplement
have not been approved or disapproved by the Commission or any state
securities commission; any representation to the contrary is a criminal
offense.
Underwriters of the Class A Notes
Credit Suisse First Boston
First Chicago Capital Markets, Inc.
Merrill Lynch & Co.
J.P. Morgan & Co.
NationsBanc Capital Markets, Inc.
Salomon Brothers Inc
Underwriters of the Class C Notes
Credit Suisse First Boston J.P. Morgan & Co.
page 1
<PAGE>
$754,810,000 Asset Backed Notes
Case Equipment Loan Trust 1997-B
Subject to Revision
TERM SHEET
Issuer..............................Case Equipment Loan Trust 1997-B (the
"Trust" or the "Issuer"), a Delaware
business trust.
Seller..............................Case Receivables II Inc. (the "Seller"), a
Delaware corporation and a wholly-owned
subsidiary of Case Credit Corporation.
Servicer............................Case Credit Corporation, a Delaware
corporation (the "Servicer" or "Case
Credit").
Indenture Trustee...................Harris Trust and Savings Bank, as indenture
trustee (the "Indenture Trustee").
Trustee.............................The Bank of New York, as trustee (the
"Trustee").
The Offered Notes:
A. The Class A Notes................$90,000,000 Class A-1 _____% Asset Backed
Notes (the "A-1 Notes").
$204,500,000 Class A-2 _____% Asset
Backed Notes (the "A-2 Notes").
$237,000,000 Class A-3 _____% Asset
Backed Notes (the "A-3 Notes").
$188,591,000 Class A-4 _____% Asset
Backed Notes (the "A-4 Notes" and,
with the A-1 Notes, A-2 Notes and
A-3 Notes, the "Class A Notes").
B. The Class C Notes................$34,719,000 Class C _____% Asset Backed
Notes (the "Class C Notes," and, with
the Class A Notes, the "Offered Notes").
The Offered Notes and the Class B
Notes referred to under "Other
Securities" below are collectively
called the "Notes."
The Receivables.....................The Receivables consist of retail
installment sale contracts
("Contracts") secured by new or used
agricultural or construction
equipment, including rights to
receive certain payments made with
respect to such Receivables, and
security interests in the equipment
financed thereby, and the proceeds
thereof. On the closing date, the
Seller will own Contracts (the
"Initial Contracts"): (a) with a
fixed rate of interest (the "Fixed
Rate Receivables") that have an
aggregate Contract Value of
approximately $358,115,964.52 and
(b) with a floating rate of interest
(the "Floating Rate Receivables")
that have an aggregate Contract
Value of approximately
$97,960,250.83, in each case as of
August 31, 1997 (the "Initial Cutoff
Date").
As used herein: "Contract Value" means,
with respect to any day (including
the Initial Cutoff Date): (a) with
respect to the Fixed Rate
Receivables, the present value of
the scheduled and unpaid payments on
the Fixed Rate Receivables
discounted monthly at an annual rate
equal to: (i) in the case of the
Initial Receivables that are Fixed
Rate Receivables, the Initial Cutoff
Date APR, and
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<PAGE>
(ii) in the case of any Subsequent
Receivables, the applicable
Subsequent Cutoff Date APR, and (b)
with respect to the Floating Rate
Receivables, the current principal
balance of the Floating Rate
Receivables shown on the Servicer's
records; "Initial Cutoff Date APR"
means 8.637%, which is the weighted
average annual percentage rate
("APR") of the Initial Receivables
that are Fixed Rate Receivables as
of the Initial Cutoff Date; and
"Subsequent Cutoff Date APR" means,
with respect to any Subsequent
Cutoff Date, the weighted average
APR of the Subsequent Receivables
sold as of such Subsequent Cutoff
Date.
The floating rate of interest
applicable to some of the Floating
Rate Receivables is subject to a cap
of 3.5% above the initial rate
applicable to each such Floating
Rate Receivable.
The Trust will be obligated to
purchase, subject only to the
availability thereof, additional
Fixed Rate Receivables (the
"Subsequent Receivables") from time
to time during the Funding Period
having an aggregate Contract Value
of approximately $411,884,035.48,
such amount being equal to the
amount on deposit in a Pre-Funding
Account (the "Pre-Funding Account")
on the Closing Date (the "Initial
Pre-Funded Amount"). It is expected
that Subsequent Receivables will be
conveyed to the Trust monthly on
dates specified by the Seller (each
date on which Subsequent Receivables
are conveyed being referred to as a
"Subsequent Transfer Date")
occurring during the Funding Period,
with such transfers being given
effect as of the close of business
on the last day of the preceding
calendar month (each, a "Subsequent
Cutoff Date"). The Subsequent
Receivables together with the
Initial Receivables are referred to
herein as the "Receivables." The
"Funding Period" means the period
from and including the Closing Date
until the earliest of: (a) the first
Payment Date on which the amount on
deposit in the Pre-Funding Account
(after giving effect to any
transfers therefrom in connection
with the transfer of Subsequent
Receivables to the Issuer on or
before such Determination Date) is
less than $100,000, (b) the
occurrence of an event of default or
a servicer default, (c) the
occurrence of certain events of
insolvency with respect to the
Seller or the Servicer and (d) the
close of business on the February
1998 Payment Date.
Terms of the Offered Notes:
A. Interest Payments................The A-1 and A-2 Notes will each bear
interest at a fixed rate per annum,
calculated on the basis of the
actual number of days in the
applicable interest period and a
360-day year. The A-3, A-4 and Class
C Notes will each bear interest at a
fixed rate per annum, calculated on
the basis of a 360-day year of
twelve 30-day months. Interest on
the Notes will be payable on the
fifteenth day of each calendar month
or, if any such date is not a
business day, on the next business
day (each, a "Payment Date"),
commencing on October 15, 1997.
Interest on the Class C Notes will
not be paid on any Payment Date
until interest payments on the Class
A Notes have been paid in full.
B. Principal Payments.............. The principal of the Class A Notes will be
payable on each Payment Date, to the
extent of funds available therefor,
in an amount (the "Class A Principal
Distributable Amount") generally
equal to: (a) the Fixed Rate
Principal Distribution Amount minus
(b) the Class C Noteholders'
Principal Distributable Amount.
Principal will be allocated and
distributed to the Class A Notes of
lowest numerical designation
outstanding.
page 3
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The principal of the Class C Notes
generally will be payable on each
Payment Date, to the extent of funds
available therefor, in an amount
(the "Class C Noteholders' Principal
Distributable Amount") equal to the
Class C Percentage of the Principal
Distribution Amount; provided, that
no principal payments will be made
with respect to the Class C Notes on
any Payment Date until all amounts
payable with respect to the Class A
Notes and the Class B Notes (other
than the Class B Net Funds Carryover
Amount) on that Payment Date have
been paid in full.
As used herein, with respect to any
Payment Date: "Principal
Distribution Amount" means the sum
of (a) the Fixed Rate Principal
Distribution Amount, plus (b) the
Floating Rate Principal Distribution
Amount; "Fixed Rate Principal
Distribution Amount" means an amount
(not less than zero) equal to: (i)
the sum of the Contract Value of all
Fixed Rate Receivables and the
Pre-Funded Amount as of the
beginning of the immediately
preceding collection period minus
(ii) the sum of the Contract Value
of all Fixed Rate Receivables and
the Pre-Funded Amount as of the
beginning of the current collection
period; "Floating Rate Principal
Distribution Amount" means the
amount (not less than zero) equal
to: (a) the sum of the Contract
Value of all Floating Rate
Receivables as of the beginning of
the immediately preceding collection
period minus (b) the sum of the
Contract Value of all Floating Rate
Receivables as of the beginning of
the current collection period;
"Class C Percentage" means the
percentage equivalent of a fraction
the numerator of which is the
aggregate outstanding principal
amount of the Class C Notes and the
denominator of which is the
aggregate outstanding principal
amount of all of the Notes, as of
the related Record Date.
The outstanding principal amount, if
any, of the A-1 Notes will be
payable in full on the October 1998
Payment Date, and the outstanding
principal amount, if any, of the A-2
Notes, the A-3 Notes, the A-4 Notes
and the Class C Notes (as well as
the Class B Notes) will be payable
in full on the September 2004
Payment Date, in each case from
funds available therefor.
C. Optional Redemption..............The remaining Offered Notes may be
prepaid in whole, but not in part,
at a price equal to the unpaid
principal balance of such Notes plus
accrued and unpaid interest thereon,
on the Payment Date on which the
Servicer exercises its option to
purchase the Receivables. The
Servicer may purchase the
Receivables from the Trust when the
Pool Balance declines to 10% or less
of the Initial Pool Balance. As used
herein, the "Pool Balance" means the
sum of the aggregate Contract Values
of the Receivables at the beginning
of a collection period, after giving
effect to all payments received from
obligors and certain amounts to be
remitted by the Servicer and the
Seller for the purchase of
Receivables, as the case may be,
with respect to the preceding
collection period and all losses
realized on Receivables liquidated
during such preceding collection
period; and "Initial Pool Balance"
means the sum of: (a) the Pool
Balance as of the Initial Cutoff
Date plus (b) the aggregate Contract
Value of all Subsequent Receivables
sold to the Issuer as of their
respective Subsequent Cutoff Dates.
Other Securities....................In addition to the Offered Notes, the Trust
will also issue $97,960,250.83 Class B
Asset Backed Notes (the "Class B
Notes"), and $15,190,000 ____% Asset
Backed Certificates (the
"Certificates"). The Class B Notes
and the Certificates will not be
publicly offered.
page 4
<PAGE>
The Class B Notes will bear interest at
a floating rate to be agreed upon
between the Trust and the Class B
Noteholder; provided, that such rate
may not exceed the Net Funds Cap
(the effective rate on the Class B
Notes from time to time being the
"Floating Rate"). "Net Funds Cap"
means, for any interest period: (a)
the quotient of the aggregate amount
of interest payments due during the
collection period during which such
interest period begins on Floating
Rate Receivables that had a positive
Contract Value at the beginning of
such collection period divided by
the outstanding principal amount of
the Class B Notes at the beginning
of such interest period (after
giving effect to payments of
principal on the day that such
interest period begins) multiplied
by (b) a fraction the numerator of
which is 360 and the denominator of
which is the number of days in such
collection period minus (c) if
neither Case Credit nor an affiliate
of Case Credit is the Servicer, 1.00%.
Should the Floating Rate ever be
determined by the Net Funds Cap for
any interest period, the excess of:
(a) the amount of interest on the
Class B Notes that would have
accrued in respect of the such
interest period had the Floating
Rate been calculated without regard
to the Net Funds Cap over (b) the
amount of interest on the Class B
Notes actually accrued during such
interest period (such excess,
together with the unpaid portion of
any such excess from prior interest
periods (and interest accrued
thereon at the Floating Rate,
calculated without regard to the Net
Funds Cap), is referred to as the
"Class B Net Funds Cap Carryover
Amount") will accumulate and be paid
as and when described herein.
The principal of the Class B Notes will
be payable on each Payment Date, to
the extent of funds available
therefor, in an amount (the "Class B
Noteholders' Principal Distributable
Amount") generally equal to the
Floating Rate Principal Distribution
Amount.
The Certificates will bear interest at
a fixed rate per annum (except that
during the Funding Period no
interest will accrue on the
pre-funded portion of the
Certificates). No principal will be
distributable with respect to the
Certificates until the Notes have
been repaid in full.
Pre-Funding Account.................The amount on deposit in the Pre-Funding
Account (the "Pre-Funded Amount")
will initially equal the Initial
Pre-Funded Amount of
$411,884,035.48, and, during the
Funding Period, will be reduced by
the amount thereof used to purchase
Subsequent Receivables.
Negative Carry Account..............In order to maintain the rating of the
Offered Notes at their initial
levels, the Servicer will establish
and maintain in the name of the
Indenture Trustee an account (the
"Negative Carry Account") for the
benefit of the Offered Noteholders.
The Negative Carry Account will be
created with an initial deposit by
the Seller.
Spread Account......................The Servicer will establish and maintain
in the name of the Indenture Trustee
a collateral account (the "Spread
Account") into which funds will be
deposited from time to time. Funds
on deposit in the Spread Account
will be available on each Payment
Date to cover shortfalls in
distributions of interest and
principal on the Notes. Funds on
deposit in the Spread Account will
not be used to cover shortfalls in
any distributions on the
Certificates. The Spread Account
will be created with an initial
deposit by the Seller of $_________.
On each Subsequent Transfer Date,
cash or eligible investments having
a value approximately equal
page 5
<PAGE>
to 2.00% of the aggregate Contract
Value of the Subsequent Receivables
conveyed to the Trust on such
Subsequent Transfer Date will be
withdrawn from the Pre-Funding
Account and deposited in the Spread
Account.
Amounts in the Spread Account on any
Payment Date (after giving effect to
all distributions to be made on such
Payment Date) in excess of the
lesser of: (a) 2.00% of the Initial
Pool Balance and (b) the Note
Balance will be distributed to the
Seller.
Priority of Distributions...........Collections on the Receivables with respect
to each collection period will be
applied on the related Payment Date in
the priority indicated below:
(a) with respect to the Fixed Rate
Distribution Amount:
(i) if neither Case Credit nor an
affiliate of Case Credit is the
Servicer, the Fixed Rate Percentage
of the servicing fee for the prior
collection period and any overdue
servicing fees to the Servicer,
(ii) the Fixed Rate Percentage of
the administration fee for the prior
collection period and any overdue
administration fees to Case Credit.,
as the administrator (the
"Administrator") of the Trust,
(iii) the amount, if any, by which:
(A) the sum of: (1) if neither Case
Credit nor an affiliate of Case
Credit is the Servicer, the Floating
Rate Percentage of the servicing fee
for the prior collection period and
any overdue servicing fees plus (2)
the Floating Rate Percentage of the
administration fee for the prior
collection period and any overdue
administration fees exceeds (B) the
Floating Rate Distribution Amount,
to pay such amounts in the order
indicated,
(iv) interest on the Class A Notes
to the holders thereof,
(v) interest on the Class C Notes to
the holders thereof,
(vi) the Class A Noteholders'
Principal Distributable Amount to
the holders of the Class A Notes
(sequentially),
(vii) any remaining amounts to pay,
if necessary, interest at the
Floating Rate and the Class B
Noteholders' Principal Distributable
Amount, in such order, to the
holders of the Class B Notes, and
(viii) the balance distributed under
clause (c) below;
(b) from the Floating Rate Distribution
Amount:
(i) if neither Case Credit nor an
affiliate of Case Credit is the
Servicer, the Floating Rate
Percentage of the servicing fee for
the prior collection period and any
overdue servicing fees to the
Servicer,
(ii) the Floating Rate Percentage of
the administration fee for the prior
collection period and any overdue
administration fees to the
Administrator,
(iii) the amount, if any, by which:
(A) the sum of: (1) if neither Case
Credit nor an affiliate of Case
Credit is the Servicer, the Fixed
Rate Percentage of the
page 6
<PAGE>
servicing fee for the prior
collection period and any overdue
servicing fees plus (2) the Fixed
Rate Percentage of the
administration fee for the prior
collection period and any overdue
administration fees exceeds (B) the
Fixed Rate Distribution Amount, to
pay such amounts in the order
indicated,
(iv) interest at the Floating Rate
on the Class B Notes to the holders
thereof,
(v) the Class B Noteholders'
Principal Distributable Amount to
the holders of the Class B Notes,
(vi) any remaining amounts to pay,
if necessary, interest on the Class
A Notes and the Class C Notes and
the Class A Principal Distributable
Amount, in such order, and
(vii) the balance distributed under
clause (c) below; and
(c) from the balances from clauses
(a)(viii) and (b)(vii):
(i) the Class C Noteholders'
Principal Distributable Amount to
the holders of the Class C Notes,
(ii) the Class B Net Funds Cap
Carryover Amount to the holders of
the Class B Notes,
(iii) interest on the Certificates to
the holders thereof,
(iv) after the outstanding balance
of the Notes has been reduced to
zero, principal of the Certificates,
(v) if Case Credit or an affiliate
of Case Credit is the Servicer, the
servicing fee for the prior
collection period and any overdue
servicing fees to the Servicer, and
(vi) the remaining balance, if any,
to the Spread Account.
As used herein:
"Fixed Rate Distribution Amount"
means the portion of the Total
Distribution Amount that includes
all of the aggregate collections on
the Fixed Rate Receivables plus the
applicable withdrawal from the
Negative Carry Account plus all of
the investment earnings on amounts
on deposit in the Pre-Funding
Account and the Negative Carry
Account plus the Fixed Rate
Percentage of all other investment
earnings.
"Fixed Rate Percentage" means, with
respect to any Payment Date, the
percentage equivalent of a fraction:
(a) the numerator of which is the
sum of the Contract Value of all
Fixed Rate Receivables and the
Pre-Funded Amount and (b) the
denominator of which is the sum of
the Contract Value of all
Receivables and the Pre-Funded
Amount, all determined as of the
beginning of the immediately
preceding collection period.
"Floating Rate Distribution Amount"
means the Total Distribution Amount
minus the Fixed Rate Distribution
Amount.
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<PAGE>
"Floating Rate Percentage" means,
with respect to any Payment Date,
100% minus the Fixed Rate
Percentage.
"Total Distribution Amount" means,
for a Payment Date, the aggregate
collections on Receivables
(including collections received
after the end of the preceding
calendar month on any Subsequent
Receivables that were added to the
Trust after the end of that
preceding calendar month but on or
prior to the Payment Date) with
respect to the related collection
period (including any liquidation
proceeds and the purchase amount of
any Receivables repurchased by the
Seller or purchased by the Servicer)
plus investment earnings for such
Payment Date plus the withdrawal
from the Negative Carry Account for
such collection period.
Tax Status..........................It is contemplated that the Offered
Notes will be characterized as debt
for Federal income tax purposes and
the Trust will not be characterized
as an association (or a publicly
traded partnership) taxable as a
corporation.
ERISA Considerations................Subject to certain considerations, it is
contemplated that the Offered Notes will
be eligible for purchase by employee
benefit plans.
Legal Investment....................It is contemplated that the A-1 Notes will
be eligible for purchase by money market
funds under paragraph (a)(9) of Rule
2a-7 under the Investment Company Act
of 1940, as amended.
Rating of the Notes.................It is a condition to the issuance of the
Offered Notes that the A-1 Notes be
rated in the highest short-term rating
category, that the A-2 Notes, A-3 Notes
and A-4 Notes be rated in the highest
long-term rating category and that the
Class C Notes be rated at least in the
"A" category or its equivalent, in each
case by at least two nationally
recognized statistical rating agencies.
The rating agencies do not evaluate,
and the ratings do not address, the
likelihood that the any prepayment
premium will be paid. There can be no
assurance that such ratings
will not be lowered or withdrawn by
a rating agency if circumstances so
warrant.
Risk Factors........................Before making an investment decision,
prospective investors should consider
the factors that will be set forth under
the caption "Risk Factors" in the
Prospectus Supplement and the
Prospectus.
page 8
<PAGE>
For purposes of the data in the following tables, "Contract Value"
for each: (a) standard precomputed Fixed Rate Receivable has been
calculated as the sum of the present value of the scheduled and unpaid
payments on such Fixed Rate Receivable as of the Initial Cutoff Date
discounted monthly at an annual rate equal to the APR of such Receivable
and (b) precomputed simple rebate Fixed Rate Receivable and Floating Rate
Receivable has been deemed to equal the current balance of that Receivable
shown on the Servicer's records as of the Initial Cutoff Date.
<TABLE>
<CAPTION>
FIXED RATE RECEIVABLES
Composition of the Fixed Rate Receivables
as of the Initial Cutoff Date
Weighted
Average Weighted Weighted Average
APR of Aggregate Number of Average Average Contract
Receivables Contract Value Receivables Remaining Term Original Term Value
- ----------- -------------- ----------- -------------- ------------- -------
<S> <C> <C> <C> <C> <C>
8.637% $357,707,763.96 12,783 46.32 months 48.85 months $27,983.08
<CAPTION>
Distribution by APR of the Fixed Rate Receivables as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
APR Range Receivables Contract Value Value
- --------- ----------- -------------- --------
<S> <C> <C> <C>
3.00% to 3.99%.................................................. 591 $ 9,184,651.26 2.57%
4.00% to 4.99%.................................................. 100 8,477,733.63 2.37
5.00% to 5.99%.................................................. 529 14,849,178.27 4.15
6.00% to 6.99%.................................................. 700 13,242,127.95 3.70
7.00% to 7.99%.................................................. 2,819 81,606,689.89 22.81
8.00% to 8.99%.................................................. 2,082 93,194,262.76 26.05
9.00% to 9.99%.................................................. 1,969 71,563,500.87 20.01
10.00% to 10.99%.................................................... 3,067 45,059,082.00 12.60
11.00% to 11.99%.................................................... 508 10,488,580.88 2.93
12.00% to 12.99%.................................................... 212 5,602,064.61 1.57
13.00% to 13.99%.................................................... 129 2,623,397.18 0.73
14.00% to 14.99%.................................................... 71 1,641,790.84 0.46
15.00% to 15.99%.................................................... 5 71,433.76 0.02
16.00% to 16.99%.................................................... 1 103,270.06 0.03
----------- ------------------- --------
Total..................................................... 12,783 $357,707,763.96 100.00%
================================ ======
page 9
<PAGE>
<CAPTION>
Distribution by Equipment Type of the Fixed Rate Receivables
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Type Receivables Contract Value Value
- ---- ----------- -------------- ---------
<S> <C> <C> <C>
Agricultural
New............................................................ 4,035 $ 99,127,282.64 27.71%
Used........................................................... 4,459 100,333,486.74 28.05
Construction
New............................................................ 2,641 111,195,192.08 31.09
Used........................................................... 1,469 45,558,207.62 12.74
Consumer
New............................................................ 118 1,025,166.72 0.29
Used........................................................... 61 468,428.16 0.13
---------- -------------------- -------
Total..................................................... 12,783 $357,707,763.96 100.00%
======= ================ ======
<CAPTION>
Distribution by Payment Frequency of the Fixed Rate Receivables
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Frequency Receivables Contract Value Value
- --------- ----------- -------------- --------
<S> <C> <C> <C>
Annual(1)........................................................... 6,235 $158,709,105.39 44.37%
Semiannual.......................................................... 566 17,321,777.72 4.84
Quarterly........................................................... 104 2,414,037.76 0.67
Monthly............................................................. 5,878 179,262,843.09 50.11
-------- ---------------- ------
Total..................................................... 12,783 $357,707,763.96 100.00%
======= =============== ======
- ---------------------
(1) Approximately 6.35%, 2.49%, 2.80%, 6.68%,13.09%, 17.48%, 16.82%,
12.96%, 5.00%, 2.54%, 3.25% and 10.54%, of the annual Fixed Rate
Receivables have scheduled payments within the collection periods relating
to the Payment Dates in January, February, March, April, May, June, July,
August, September, October, November and December, respectively.
page 10
<PAGE>
<CAPTION>
Distribution by Current Contract Value of the Fixed Rate Receivables
as of the Initial Cutoff Date
Percent of
Contract Aggregate
Value Number of Aggregate Contract
Range Receivables Contract Value Value
--------- ----------- -------------- --------
<S> <C> <C> <C>
$ 0.00 to $ 4,999.99........................................ 1,594 $ 5,387,556.11 1.51%
5,000.00 to 9,999.99........................................ 2,484 18,149,229.33 5.07
10,000.00 to 14,999.99........................................ 1,905 23,394,233.34 6.54
15,000.00 to 19,999.99........................................ 1,385 23,884,305.80 6.68
20,000.00 to 24,999.99........................................ 903 20,077,903.74 5.61
25,000.00 to 29,999.99........................................ 629 17,228,545.23 4.82
30,000.00 to 34,999.99........................................ 527 17,123,204.08 4.79
35,000.00 to 39,999.99........................................ 558 20,871,391.13 5.83
40,000.00 to 44,999.99........................................ 413 17,477,198.66 4.89
45,000.00 to 49,999.99........................................ 365 17,306,990.12 4.84
50,000.00 to 54,999.99........................................ 340 17,836,558.46 4.99
55,000.00 to 59,999.99........................................ 272 15,637,351.80 4.37
60,000.00 to 64,999.99........................................ 187 11,692,006.48 3.27
65,000.00 to 69,999.99........................................ 168 11,319,420.41 3.16
70,000.00 to 74,999.99........................................ 137 9,907,653.56 2.77
75,000.00 to 99,999.99........................................ 441 37,809,760.35 10.57
100,000.00 to 199,999.99........................................ 409 52,571,293.74 14.70
200,000.00 to 299,999.99........................................ 38 9,373,045.73 2.62
300,000.00 and over............................................... 28 10,660,115.89 2.98
----------- ------------------ --------
Total...................................................... 12,783 $357,707,763.96 100.00%
============================= ======
page 11
<PAGE>
<CAPTION>
Geographic Distribution of the Fixed Rate Receivables
as of the Initial Cutoff Date
Percent of Percent of
Aggregate Aggregate
Contract Contract
State(1) Value State(1) Value
- -------- ------------- -------- ----------
<S> <C> <C> <C>
Alabama........................................ 3.80% Nebraska................................. 2.89%
Alaska......................................... 0.31 Nevada................................... 0.51
Arizona........................................ 2.62 New Hampshire............................ 0.33
Arkansas....................................... 3.94 New Jersey............................... 0.82
California..................................... 3.18 New Mexico............................... 0.44
Colorado....................................... 2.12 New York................................. 2.20
Connecticut.................................... 0.57 North Carolina........................... 2.37
Delaware....................................... 0.44 North Dakota............................. 1.96
Florida........................................ 2.14 Ohio..................................... 2.37
Georgia........................................ 2.50 Oklahoma................................. 2.07
Hawaii......................................... 0.05 Oregon................................... 1.66
Idaho.......................................... 1.93 Pennsylvania............................. 2.22
Illinois....................................... 4.50 Rhode Island............................. 0.03
Indiana........................................ 2.42 South Carolina........................... 0.87
Iowa........................................... 4.26 South Dakota............................. 3.23
Kansas......................................... 3.02 Tennessee................................ 2.54
Kentucky....................................... 1.48 Texas.................................... 7.92
Louisiana...................................... 1.76 Utah..................................... 0.90
Maine.......................................... 0.56 Vermont.................................. 0.23
Maryland....................................... 0.98 Virginia................................. 1.18
Massachusetts.................................. 0.27 Washington............................... 2.32
Michigan....................................... 2.60 Washington, D.C.......................... 0.01
Minnesota...................................... 3.89 West Virginia............................ 0.32
Mississippi.................................... 3.27 Wisconsin................................ 2.87
Missouri....................................... 2.98 Wyoming.................................. 0.44
Montana........................................ 1.76 -------
Total............................... 100.00%
======
___________________
(1) Based upon billing addresses of the obligors.
page 12
<PAGE>
<CAPTION>
FLOATING RATE RECEIVABLES
Composition of the Floating Rate Receivables
as of the Initial Cutoff Date
Weighted
Average Weighted Weighted Average
APR of Aggregate Number of Average Average Contract
Receivables Contract Value Receivables Remaining Term Original Term Value
- ----------- -------------- ----------- -------------- ------------- --------
<S> <C> <C> <C> <C> <C>
7.750% $97,960,250.83 4,549 39.08 months 51.73 months $21,534.46
<CAPTION>
Distribution by APR of the Floating Rate Receivables as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
APR Range Receivables Contract Value Value
- --------- ----------- -------------- ---------
<S> <C> <C> <C>
6.00% to 6.99%.................................................. 1,931 $39,505,777.25 40.33%
7.00% to 7.99%.................................................. 502 18,180,164.35 18.56
8.00% to 8.99%.................................................. 1,004 24,432,382.86 24.94
9.00% to 9.99%.................................................. 921 12,760,254.21 13.03
10.00% to 10.99%.................................................... 157 2,901,112.31 2.96
11.00% to 11.99%.................................................... 28 134,515.81 0.14
12.00% to 12.99%.................................................... 6 46,044.04 0.05
----------- ------------------ -------
Total..................................................... 4,549 $97,960,250.83 100.00%
================================= ======
<CAPTION>
Distribution of Maximum Cap on Floating Rate Receivables
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Maximum Cap Receivables Contract Value Value
- ----------- ----------- -------------- ---------
<S> <C> <C> <C>
10.00% to 10.49%.................................................... 2,008 $40,478,158.54 41.32%
10.50% to 10.99%.................................................... 4 101,390.63 0.10
11.00% to 11.49%.................................................... 332 15,695,080.56 16.02
11.50% to 11.99%.................................................... 259 5,156,736.70 5.26
12.00% to 12.49%.................................................... 1,056 22,782,025.16 23.26
12.50% to 12.99%.................................................... 316 5,494,527.95 5.61
13.00% to 13.49%.................................................... 334 4,522,182.21 4.62
13.50% to 13.99%.................................................... 9 138,439.54 0.14
14.00% to 14.49%.................................................... 6 90,837.90 0.09
14.50% to 14.99%.................................................... 0 0.00 0.00
15.00% to 15.49%.................................................... 0 0.00 0.00
15.50% to 15.99%.................................................... 1 5,704.00 0.01
16.00% to 16.49%.................................................... 2 27,950.44 0.03
No Cap.............................................................. 222 3,467,217.20 3.54
--------- ---------------- -------
Total..................................................... 4,549 $97,960,250.83 100.00%
================================= ======
page 13
<PAGE>
<CAPTION>
Distribution of Margins under/over Prime Rate on Floating Rate Receivables
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Margin Receivables Contract Value Value
- ------ ----------- -------------- ---------
<S> <C> <C> <C>
- -2.99% to -2.00%.................................................... 131 $ 2,464,863.44 2.52%
- -1.99% to -1.00%.................................................... 2,020 41,491,959.70 42.36
- -0.99% to -0.01%.................................................... 301 14,330,652.01 14.63
0.00% to 0.99%................................................... 1,092 26,015,850.56 26.56
1.00% to 1.99%................................................... 859 11,456,943.92 11.70
2.00% to 2.99%................................................... 131 2,103,094.58 2.15
3.00% to 3.99%................................................... 13 68,936.18 0.07
4.00% to 4.99%................................................... 2 27,950.44 0.03
---------- ------------------ --------
Total..................................................... 4,549 $97,960,250.83 100.00%
================================ ======
<CAPTION>
Distribution by Equipment Type of the Floating Rate Receivables
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Type Receivables Contract Value Value
<S> <C> <C> <C>
Agricultural
New............................................................ 1,636 $38,754,788.41 39.56%
Used........................................................... 2,722 54,939,201.53 56.08
Construction
New............................................................ 89 2,553,447.13 2.61
Used........................................................... 73 1,571,324.46 1.60
Consumer
New............................................................ 24 124,856.67 0.13
Used........................................................... 5 16,632.63 0.02
--------- ------------------- -------
Total..................................................... 4,549 $97,960,250.83 100.00%
====== ============== ======
<CAPTION>
Distribution by Payment Frequency of the Floating Rate Receivables
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Frequency Receivables Contract Value Value
- --------- ----------- -------------- --------
<S> <C> <C> <C>
Annual(1)........................................................... 3,390 $76,697,369.26 78.29%
Semiannual.......................................................... 440 9,077,691.69 9.27
Quarterly........................................................... 52 857,472.09 0.88
Monthly............................................................. 667 11,327,717.79 11.56
------- --------------- ------
Total..................................................... 4,549 $97,960,250.83 100.00%
====== ============== ======
- ---------------------
(1) Approximately 12.57%, 7.03%, 9.14%, 9.02%, 6.00%, 5.04%, 5.60%, 4.68%,
7.48%, 8.40%, 9.77% and 15.29% of the annual Floating Rate Receivables have
scheduled payments within the collection periods relating to the Payment
Dates in January, February, March, April, May, June, July, August,
September, October, November and December, respectively.
page 14
<PAGE>
<CAPTION>
Distribution by Current Contract Value of the Floating Rate Receivables
as of the Initial Cutoff Date
Percent of
Contract Aggregate
Value Number of Aggregate Contract
Range Receivables Contract Value Value
----------- ----------- -------------- ----------
<S> <C> <C> <C>
$ 0.00 to $ 4,999.99........................................ 827 $ 2,680,507.87 2.74%
5,000.00 to 9,999.99........................................ 1,066 7,811,488.60 7.97
10,000.00 to 14,999.99........................................ 656 8,005,429.87 8.17
15,000.00 to 19,999.99........................................ 389 6,737,052.16 6.88
20,000.00 to 24,999.99........................................ 277 6,206,514.85 6.34
25,000.00 to 29,999.99........................................ 217 5,991,670.10 6.12
30,000.00 to 34,999.99........................................ 214 6,928,724.50 7.07
35,000.00 to 39,999.99........................................ 155 5,801,951.84 5.92
40,000.00 to 44,999.99........................................ 160 6,801,885.45 6.94
45,000.00 to 49,999.99........................................ 119 5,631,189.96 5.75
50,000.00 to 54,999.99........................................ 91 4,759,854.64 4.86
55,000.00 to 59,999.99........................................ 71 4,067,164.33 4.15
60,000.00 to 64,999.99........................................ 49 3,077,231.06 3.14
65,000.00 to 69,999.99........................................ 47 3,155,878.34 3.22
70,000.00 to 74,999.99........................................ 29 2,094,434.77 2.14
75,000.00 to 99,999.99........................................ 125 10,575,472.82 10.80
100,000.00 to 199,999.99........................................ 53 6,544,075.36 6.68
200,000.00 to 299,999.99........................................ 3 752,962.87 0.77
300,000.00 and over............................................... 1 336,761.44 0.34
--------- ----------------- -------
Total...................................................... 4,549 $97,960,250.83 100.00%
=========================== ======
page 15
<PAGE>
<CAPTION>
Geographic Distribution of the Floating Rate Receivables
as of the Initial Cutoff Date
Percent of Percent of
Aggregate Aggregate
Contract Contract
State(1) Value State(1) Value
- -------- ------------- -------- ----------
<S> <C> <C> <C>
Alabama........................................ 0.79% Nebraska................................. 5.52%
Alaska......................................... 0.00 Nevada................................... 0.07
Arizona........................................ 0.33 New Hampshire............................ 0.04
Arkansas....................................... 6.46 New Jersey............................... 0.11
California..................................... 1.12 New Mexico............................... 0.12
Colorado....................................... 0.33 New York................................. 1.24
Connecticut.................................... 0.04 North Carolina........................... 0.84
Delaware....................................... 0.59 North Dakota............................. 5.09
Florida........................................ 0.10 Ohio..................................... 1.65
Georgia........................................ 3.46 Oklahoma................................. 1.69
Hawaii......................................... 0.00 Oregon................................... 1.16
Idaho.......................................... 1.53 Pennsylvania............................. 1.12
Illinois....................................... 5.63 Rhode Island............................. 0.00
Indiana........................................ 1.88 South Carolina........................... 0.46
Iowa........................................... 9.43 South Dakota............................. 6.06
Kansas......................................... 8.02 Tennessee................................ 0.70
Kentucky....................................... 1.00 Texas.................................... 7.31
Louisiana...................................... 0.32 Utah..................................... 1.26
Maine.......................................... 0.07 Vermont.................................. 0.05
Maryland....................................... 0.49 Virginia................................. 0.15
Massachusetts.................................. 0.03 Washington............................... 2.08
Michigan....................................... 1.59 Washington, D.C.......................... 0.00
Minnesota...................................... 10.95 West Virginia............................ 0.06
Mississippi.................................... 0.75 Wisconsin................................ 3.83
Missouri....................................... 2.46 Wyoming.................................. 0.78
Montana........................................ 1.24 ------
Total............................... 100.00%
======
________________
(1) Based upon billing addresses of the obligors.
</TABLE>
Delinquencies, Repossessions, and Net Losses
Set forth below is certain information concerning Case Credit's
experience pertaining to the entire portfolio of United States retail
agricultural and construction equipment receivables that it services,
including receivables previously sold to trusts under prior asset-backed
securitizations. There can be no assurance that the delinquency,
repossession and net loss experience on the Receivables of the Trust will
be comparable to that set forth below.
Except as indicated, all amounts and percentages in the following
tables are based upon the gross amount scheduled to be paid on each retail
installment sale contract, including unearned finance and other charges.
The information in the following tables includes an immaterial amount of
retail installment sale contracts on equipment other than agricultural and
construction equipment and includes the receivables that remained with
Tenneco Credit Corporation and previously sold contracts that Case Credit
continues to service.
page 16
<PAGE>
<TABLE>
<CAPTION>
Delinquency Experience
At December 31, June 30,
------------------------------------------------------------------------------------ ----------------------------------
1996 1995 1994 1993 1992 1997 1996
---------------- ---------------- ---------------- ---------------- ---------------- ---------------- -----------------
(Dollars in Millions)
Number Number Number Number Number Number Number
of of of of of of of
Contracts Amount Contracts Amount Contracts Amount Contracts Amount Contracts Amount Contracts Amount Contracts Amount
--------- ------ --------- ------ --------- ------ --------- ------ --------- ------ --------- ------ --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Portfolio....135,211 $3,262.4 135,722 $3,093.1 128,891 $2,641.0 128,562 $2,434.0 138,711 $2,549.8 139,759 $3,416.7 132,739 $3,160.5
Period of
Delinquency
31-60 days.. 2,031 45.9 1,927 33.5 1,457 18.4 2,033 27.2 4,877 71.7 2,205 50.9 1,768 31.4
60 Days or
More..... 1,778 36.3 1,509 18.5 855 9.4 2,145 22.5 6,177 78.3 2,442 57.4 1,838 28.6
------- -------- ------- -------- ------- -------- ------- -------- ------- -------- ------- -------- ------- --------
Total
Delinquencies 3,809 $ 82.2 3,426 $ 52.0 2,312 $ 27.8 4,178 $ 49.7 11,054 $150.0 4,647 $107.9 3,606 $60.0
Total
Delinquencies
as a Percent of
the Portfolio..2.8% 2.5% 2.5% 1.7% 1.8% 1.0% 3.2% 2.0% 8.0% 5.9% 3.3% 3.2% 2.7% 1.9%
<CAPTION>
Credit Loss/Repossession Experience
Year Ended December 31, Six Months Ended June 30,
--------------------------------------------------- -------------------------
1996 1995 1994 1993 1992 1997 1996
---------- --------- --------- --------- --------- --------- ----------
(Dollars in Millions)
<S> <C> <C> <C> <C> <C> <C> <C>
Average Gross Portfolio Outstanding
During the Period................ $3,155.5 $2,857.7 $2,511.2 $2,487.1 $2,512.7 $3,320.8 $3,108.1
Repossessions as a Percent of Average
Gross Portfolio Outstanding...... 1.07% 1.14% 1.33% 1.83% 2.68% 1.06% 1.25%
Net Losses as a Percent of
Liquidations(1)(2)(3)............ 0.15% 0.22% 0.36% 0.61% 1.23% 0.56% 0.15%
Net Losses as a Percent of Average
Gross Portfolio Outstanding(1)(2) 0.08% 0.11% 0.19% 0.31% 0.67% 0.15% 0.08%
(1) A portion of the contracts provide for recourse to Dealers.
Approximately 23%, 28%, 25%, 22%, 22%, 22% and 27% of the aggregate
amounts scheduled to be paid on the contracts acquired during the six
months ended June 30, 1997 and 1996 and the years ended December 31,
1996, 1995, 1994, 1993 and 1992, provide for recourse to Dealers
(excluding contracts which provide for recourse to Dealers through the
Dealers' reserve accounts). In the event of defaults by the obligor
under any such contract, the contract is required to be repurchased by
the Dealer for an amount generally equal to all amounts due and unpaid
thereunder. As a result, any losses under any such contract are
incurred by the Dealer and are not included in the net loss figures
set forth above.
(2) Net losses are equal to the aggregate of the principal balances of all
contracts (plus accrued but unpaid interest thereon) that are
determined to be uncollectible in the period, less any recoveries on
contracts charged off in the period or any prior periods, excluding
any losses resulting from repossession expenses and excluding any
recoveries from Dealers' reserve accounts.
(3) Liquidations represent a reduction in the outstanding balances of the
contracts as a result of cash payments and charge-offs.
page 17
<PAGE>
<CAPTION>
WEIGHTED AVERAGE LIFE OF THE OFFERED NOTES
The following tables indicates the projected weighted average life of
each Class of Offered Notes and sets forth the percent of the initial
principal balance of each Class of Offered Notes that is projected to be
outstanding after each of the Payment Dates shown at various constant
prepayment rate ("CPR") percentages.
Percent of Initial Principal Amount of the Offered Notes at Various CPR Percentages
A-1 Notes A-2 Notes
--------------------------------------- --------------------------------------
Payment Date 0% 13% 15% 17% 19% 0% 13% 15% 17% 19%
- ------------ ---- --- --- --- --- ---- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
October 1997.................. 94 90 89 89 88 100 100 100 100 100
November 1997................. 87 78 76 74 72 100 100 100 100 100
December 1997................. 78 62 59 56 53 100 100 100 100 100
January 1998.................. 63 39 35 31 26 100 100 100 100 100
February 1998................. 50 18 12 7 1 100 100 100 100 100
March 1998.................... 38 0 0 0 0 100 99 96 93 90
April 1998.................... 26 0 0 0 0 100 91 88 84 80
May 1998...................... 13 0 0 0 0 100 83 79 75 71
June 1998..................... 0 0 0 0 0 98 73 68 64 60
July 1998..................... 0 0 0 0 0 91 61 56 52 47
August 1998................... 0 0 0 0 0 80 48 43 38 33
September 1998................ 0 0 0 0 0 70 36 30 25 20
October 1998.................. 0 0 0 0 0 61 25 20 14 9
November 1998................. 0 0 0 0 0 55 17 11 5 0
December 1998................. 0 0 0 0 0 49 9 3 0 0
January 1999.................. 0 0 0 0 0 42 1 0 0 0
February 1999................. 0 0 0 0 0 36 0 0 0 0
March 1999.................... 0 0 0 0 0 31 0 0 0 0
April 1999.................... 0 0 0 0 0 26 0 0 0 0
May 1999...................... 0 0 0 0 0 20 0 0 0 0
June 1999..................... 0 0 0 0 0 13 0 0 0 0
July 1999..................... 0 0 0 0 0 3 0 0 0 0
August 1999................... 0 0 0 0 0 0 0 0 0 0
September 1999................ 0 0 0 0 0 0 0 0 0 0
October 1999.................. 0 0 0 0 0 0 0 0 0 0
November 1999................. 0 0 0 0 0 0 0 0 0 0
December 1999................. 0 0 0 0 0 0 0 0 0 0
January 2000.................. 0 0 0 0 0 0 0 0 0 0
February 2000................. 0 0 0 0 0 0 0 0 0 0
March 2000.................... 0 0 0 0 0 0 0 0 0 0
April 2000.................... 0 0 0 0 0 0 0 0 0 0
May 2000...................... 0 0 0 0 0 0 0 0 0 0
June 2000..................... 0 0 0 0 0 0 0 0 0 0
July 2000..................... 0 0 0 0 0 0 0 0 0 0
August 2000................... 0 0 0 0 0 0 0 0 0 0
September 2000................ 0 0 0 0 0 0 0 0 0 0
October 2000.................. 0 0 0 0 0 0 0 0 0 0
November 2000................. 0 0 0 0 0 0 0 0 0 0
December 2000................. 0 0 0 0 0 0 0 0 0 0
January 2001.................. 0 0 0 0 0 0 0 0 0 0
February 2001................` 0 0 0 0 0 0 0 0 0 0
March 2001.................... 0 0 0 0 0 0 0 0 0 0
April 2001.................... 0 0 0 0 0 0 0 0 0 0
May 2001...................... 0 0 0 0 0 0 0 0 0 0
June 2001..................... 0 0 0 0 0 0 0 0 0 0
July 2001..................... 0 0 0 0 0 0 0 0 0 0
August 2001................... 0 0 0 0 0 0 0 0 0 0
September 2001................ 0 0 0 0 0 0 0 0 0 0
October 2001.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 0.4 0.3 0.3 0.3 0.3 1.3 0.9 0.9 0.9 0.8
(1) The weighted average life of an Offered Note is determined by: (a)
multiplying the amount of each principal payment on the applicable
Offered Note by the number of years from the date of issuance of such
Offered Note to the related Payment Date, (b) adding the results and
(c) dividing the sum by the related initial principal amount of such
Offered Note.
page 18
<PAGE>
<CAPTION>
Percent of Initial Principal Amount of the Offered Notes at Various CPR Percentages
A-3 Notes A-4 Notes
--------------------------------------- --------------------------------------
Payment Date 0% 13% 15% 17% 19% 0% 13% 15% 17% 19%
- ------------ ---- --- --- --- --- ---- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
October 1997.................. 100 100 100 100 100 100 100 100 100 100
November 1997................. 100 100 100 100 100 100 100 100 100 100
December 1997................. 100 100 100 100 100 100 100 100 100 100
January 1998.................. 100 100 100 100 100 100 100 100 100 100
February 1998................. 100 100 100 100 100 100 100 100 100 100
March 1998.................... 100 100 100 100 100 100 100 100 100 100
April 1998.................... 100 100 100 100 100 100 100 100 100 100
May 1998...................... 100 100 100 100 100 100 100 100 100 100
June 1998..................... 100 100 100 100 100 100 100 100 100 100
July 1998..................... 100 100 100 100 100 100 100 100 100 100
August 1998................... 100 100 100 100 100 100 100 100 100 100
September 1998................ 100 100 100 100 100 100 100 100 100 100
October 1998.................. 100 100 100 100 100 100 100 100 100 100
November 1998................. 100 100 100 100 100 100 100 100 100 100
December 1998................. 100 100 100 98 93 100 100 100 100 100
January 1999.................. 100 100 96 91 85 100 100 100 100 100
February 1999................. 100 95 89 84 78 100 100 100 100 100
March 1999.................... 100 89 83 77 72 100 100 100 100 100
April 1999.................... 100 83 77 72 66 100 100 100 100 100
May 1999...................... 100 77 71 66 60 100 100 100 100 100
June 1999..................... 100 70 64 59 53 100 100 100 100 100
July 1999..................... 100 62 56 50 45 100 100 100 100 100
August 1999................... 93 53 47 41 36 100 100 100 100 100
September 1999................ 83 44 38 33 27 100 100 100 100 100
October 1999.................. 76 37 31 26 20 100 100 100 100 100
November 1999................. 70 31 25 20 15 100 100 100 100 100
December 1999................. 65 26 20 15 10 100 100 100 100 100
January 2000.................. 59 20 15 10 5 100 100 100 100 100
February 2000................. 54 15 10 5 0 100 100 100 100 100
March 2000.................... 49 11 5 0 0 100 100 100 100 94
April 2000.................... 44 6 1 0 0 100 100 100 95 89
May 2000...................... 39 2 0 0 0 100 100 96 89 83
June 2000..................... 33 0 0 0 0 100 95 89 83 77
July 2000..................... 24 0 0 0 0 100 87 81 75 70
August 2000................... 15 0 0 0 0 100 78 72 67 62
September 2000................ 6 0 0 0 0 100 69 64 59 55
October 2000.................. 0 0 0 0 0 99 63 58 53 49
November 2000................. 0 0 0 0 0 92 57 53 49 44
December 2000................. 0 0 0 0 0 87 53 49 45 41
January 2001.................. 0 0 0 0 0 81 49 45 41 37
February 2001................` 0 0 0 0 0 75 45 41 37 33
March 2001.................... 0 0 0 0 0 71 41 37 34 0
April 2001.................... 0 0 0 0 0 66 37 34 0 0
May 2001...................... 0 0 0 0 0 61 34 0 0 0
June 2001..................... 0 0 0 0 0 55 0 0 0 0
July 2001..................... 0 0 0 0 0 48 0 0 0 0
August 2001................... 0 0 0 0 0 41 0 0 0 0
September 2001................ 0 0 0 0 0 0 0 0 0 0
October 2001.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 2.5 2.0 1.9 1.9 1.8 3.7 3.3 3.2 3.2 3.1
(1) The weighted average life of an Offered Note is determined by: (a)
multiplying the amount of each principal payment on the applicable
Offered Note by the number of years from the date of issuance of the
Offered Note to the related Payment Date, (b) adding the results and
(c) dividing the sum by the related initial principal amount of the
Offered Note.
page 19
<PAGE>
<CAPTION>
Percent of Initial Principal Amount of the Offered Notes at Various CPR Percentages
Class C Notes
---------------------------------------
Payment Date 0% 13% 15% 17% 19%
- ------------- ---- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
October 1997.................. 100 99 99 98 98
November 1997................. 100 97 97 96 96
December 1997................. 100 95 94 94 94
January 1998.................. 100 92 91 91 90
February 1998................. 100 89 88 88 87
March 1998.................... 100 87 86 85 84
April 1998.................... 100 84 83 82 81
May 1998...................... 100 82 81 80 78
June 1998..................... 100 79 78 77 75
July 1998..................... 84 76 75 73 72
August 1998................... 81 72 71 70 68
September 1998................ 79 69 68 66 65
October 1998.................. 76 66 65 63 62
November 1998................. 74 64 62 61 59
December 1998................. 73 62 60 59 57
January 1999.................. 71 59 58 56 54
February 1999................. 69 57 55 54 52
March 1999.................... 67 55 53 52 50
April 1999.................... 66 53 51 50 48
May 1999...................... 64 51 49 48 46
June 1999..................... 62 49 47 45 44
July 1999..................... 59 47 45 43 41
August 1999................... 56 44 42 40 38
September 1999................ 54 41 39 37 36
October 1999.................. 51 39 37 35 34
November 1999................. 49 37 35 33 32
December 1999................. 48 35 34 32 30
January 2000.................. 46 33 32 30 28
February 2000................. 44 32 30 28 27
March 2000.................... 42 30 28 27 25
April 2000.................... 40 29 27 25 24
May 2000...................... 39 27 25 24 23
June 2000..................... 37 25 24 22 21
July 2000..................... 34 23 22 20 19
August 2000................... 31 21 20 19 17
September 2000................ 29 19 18 17 15
October 2000.................. 26 17 16 15 14
November 2000................. 25 16 15 14 13
December 2000................. 23 15 14 13 12
January 2001.................. 22 14 13 12 11
February 2001................` 20 13 12 11 10
March 2001.................... 19 12 11 10 0
April 2001.................... 18 11 10 0 0
May 2001...................... 17 10 0 0 0
June 2001..................... 15 0 0 0 0
July 2001..................... 13 0 0 0 0
August 2001................... 12 0 0 0 0
September 2001................ 0 0 0 0 0
October 2001.................. 0 0 0 0 0
Weighted Average Life (years)(1) 2.3 1.8 1.8 1.7 1.7
(1) The weighted average life of an Offered Note is determined by: (a)
multiplying the amount of each principal payment on the applicable
Offered Note by the number of years from the date of issuance of the
Offered Note to the related Payment Date, (b) adding the results and
(c) dividing the sum by the related initial principal amount of the
Offered Note.
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