<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) August 18, 1998
------------------------
CASE RECEIVABLES II INC.
- ------------------------------------------------------------------------------
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
Delaware 333-52493 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)
<PAGE>
ITEM 5. OTHER EVENTS
On August 18, 1998, 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 $612,500,000
aggregate principal amount of asset-backed notes (the "NOTES") by Case Equipment
Receivables Trust 1998-B. The Term Sheet is attached hereto as Exhibit 99.
Attached is a definitive legality and tax opinion relating to the Notes.
For both opinions, see Exhibits 5 and 8(a).
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS
Exhibit 5 - Opinion of Mayer, Brown & Platt with respect to legality
Exhibit 8(a) - Opinion of Mayer, Brown & Platt with respect to Federal
income tax matters (included as part of Exhibit 5)
Exhibit 99 - Term Sheet dated August 14, 1998 of Case Equipment
Receivables Trust 1998-B
<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: August 20, 1998 By: /s/ Peter Hong
------------------
PETER HONG
<PAGE>
EXHIBIT INDEX
Exhibit 5 - Opinion of Mayer, Brown & Platt with respect to legality
Exhibit 8(a) - Opinion of Mayer, Brown & Platt with respect to Federal income
tax matters (included as part of Exhibit 5)
Exhibit 99 - Term Sheet dated August 14, 1998 of Case Equipment Receivables
Trust 1998-B
<PAGE>
August 20, 1998
Case Credit Corporation
5729 Washington Avenue
Racine, Wisconsin 53406
Case Receivables II Inc.
700 State Street
Racine, Wisconsin 53404
Case Equipment Receivables Trust 1998-B
233 Lake Avenue
Racine, Wisconsin 53403
Re: Case Receivables II Inc.
Registration Statement on
Form S-3 (Registration No. 333-52493)
--------------------------------------
Ladies and Gentlemen:
We have acted as special counsel for Case Receivables II Inc., a Delaware
corporation (the "COMPANY"), in connection with (a) the above-captioned
Registration Statement (such registration statement, together with the exhibits
and any amendments thereto, the "REGISTRATION STATEMENT"), filed by the Company
with the Securities and Exchange Commission in connection with the registration
by the Company of Asset Backed Notes and Asset Backed Certificates with a
proposed maximum aggregate offering price of $4,000,000,000 and (b) the
contemplated sale under the Registration Statement on August 26, 1998 of
$612,500,000 of Asset Backed Notes (the "NOTES") issued by Case Equipment
Receivables Trust 1998-B (the "TRUST").
In that connection, we are familiar with the proceedings taken by the
Company in connection with the authorization, issuance and sale of the Notes and
have examined copies of such documents, corporate records and other instruments
as we have deemed necessary or appropriate for the purposes of this opinion,
including the Registration Statement and the documents relating to the issuance
of the Notes. Terms used herein without definition have the meanings given to
such terms in the Registration Statement.
We are also familiar with the certificates of incorporation of the Company
and the Servicer and have examined all statutes, corporate records and other
instruments that we have
<PAGE>
Page 2
deemed necessary to examine for the purposes of this opinion.
Based on the foregoing, we are of the opinion that:
(i) the Notes have been duly authorized by all necessary action of the
Trust and will be legally issued and binding obligations of the Trust and
entitled to the benefits afforded by the related Indenture; and
(ii) the statements set forth in the Prospectus relating to the Notes under
the captions "PROSPECTUS SUMMARY--Tax Status" (to the extent they relate to
federal income tax consequences), "PROSPECTUS SUMMARY--ERISA
Considerations", "CERTAIN FEDERAL INCOME TAX CONSEQUENCES" and "ERISA
CONSIDERATIONS" (as modified by the statements, if any, set forth under
those same headings in the related Prospectus Supplement) accurately
reflect our opinion.
Our opinions expressed herein are limited to the federal laws of the United
States, the laws of the State of New York and the business trust laws of the
State of Delaware.
Very truly yours,
/s/ Mayer, Brown & Platt
MAYER, BROWN & PLATT
<PAGE>
EXHIBIT 99
TERM SHEET DATED AUGUST 14, 1998 SUBJECT TO REVISION
$612,500,000 ASSET BACKED NOTES
CASE EQUIPMENT RECEIVABLES TRUST 1998-B
Issuer
CASE RECEIVABLES II INC.
Seller
CASE CREDIT CORPORATION
Servicer
Attached is a preliminary term sheet describing the structure, collateral pool
and certain aspects of the Case Equipment Receivables Trust 1998-B. 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 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. 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) 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 AND 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
Merrill Lynch & Co.
Credit Suisse First Boston
First Union Capital Markets
J.P. Morgan & Co.
NationsBanc Montgomery Securities LLC
Salomon Smith Barney
UNDERWRITERS OF THE CLASS B NOTES
Merrill Lynch & Co. Salomon Smith Barney
<PAGE>
$612,500,000 ASSET BACKED NOTES
CASE EQUIPMENT RECEIVABLES TRUST 1998-B
SUBJECT TO REVISION
TERM SHEET
ISSUER Case Equipment Receivables Trust 1998-B, 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.
INDENTURE TRUSTEE Harris Trust and Savings Bank.
TRUSTEE The Bank of New York.
THE NOTES:
A. The Class A Notes $112,706,000 Class A-1 _____% Asset Backed Notes (the
"A-1 NOTES").
$200,000,000 Class A-2 _____% Asset Backed Notes (the
"A-2 NOTES").
$140,000,000 Class A-3 _____% Asset Backed Notes (the
"A-3 NOTES").
$134,794,000 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 B Notes $25,000,000 Class B _____% Asset Backed Notes (the
"CLASS B NOTES," and, with the Class A Notes, the
"NOTES"). The Notes, the Certificates and the Deferred
Purchase Price referred to under "Other Securities;
Deferred Purchase Price" below are collectively called
the "SECURITIES."
THE RECEIVABLES The Receivables consist of retail installment sale
contracts or loans (the "RETAIL INSTALLMENT CONTRACTS")
secured by new or used agricultural and construction or
other equipment and leases ("LEASES" and together with
the Retail Installment Contracts, the "CONTRACTS") of
similar equipment, including rights to receive certain
payments made with respect to such Receivables, and
security or ownership interests in the equipment
financed or leased under the Receivables, and the
proceeds thereof. On the closing date, the trust will
purchase Contracts (the "INITIAL
PAGE 2
<PAGE>
RECEIVABLES") with a fixed rate of interest that have
an aggregate Contract Value of $525,229,239.02 as of
July 31, 1998 (the "INITIAL CUTOFF DATE").
All of the Leases to be included in the trust are of a
type referred to by Case Credit as Full Payout Leases.
"FULL PAYOUT LEASES" are Leases that give the lessee
the option to purchase the leased equipment for $1 or
less at the end of the lease term. If a lessee does not
elect to purchase the leased equipment, then the Dealer
that originated the Lease is required to do so and is
entitled to obtain the equipment from the lessee. In no
case will the trust (or Case Credit, as Servicer)
obtain possession of any leased equipment or be
entitled to the proceeds from the sale of such
equipment unless the equipment is repossessed in a
default situation.
For state law purposes, the Full Payout Leases are
"leases intended as security" (often called "FINANCE
LEASES"), rather than true leases. As a result, with
respect to matters relating to security interests in
the related Financed Equipment and remedies on default,
the Full Payout Leases are very similar to Retail
Installment Contracts.
As used herein: "CONTRACT VALUE" of the Receivables is
generally equivalent to their principal balance and is
defined, as of any calculation date (including the
Initial Cutoff Date) as the present value of the
scheduled and unpaid payments on the Receivables
(including termination value payments on Leases)
discounted monthly at an annual rate equal to (a) in
the case of the Initial Receivables, 8.559%, which is
the weighted average APR of the Initial Receivables as
of the Initial Cutoff Date (the "INITIAL CUTOFF DATE
APR") and (b) in the case of the Subsequent
Receivables, the weighted average APR of the Subsequent
Receivables sold as of the applicable Subsequent Cutoff
Date (the "SUBSEQUENT CUTOFF DATE APR").
The trust will be obligated to purchase, subject only
to the availability thereof, additional Contracts (the
"SUBSEQUENT RECEIVABLES") from time to time during the
Funding Period having an aggregate Contract Value of
approximately $99,770,760.98, 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 trust 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, 1999 Payment Date.
PAGE 3
<PAGE>
TERMS OF THE NOTES:
A. Interest Payments The A-1 Notes will 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-2 Notes, A-3 Notes, A-4 Notes and Class B
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
September 15, 1998. Interest on the Class B Notes will
not be paid on any Payment Date until interest payments
on the Class A Notes have been paid in full. If the
amount of interest on the Class A Notes payable on any
Payment Date exceeds the amounts available on such
date, the Class A Noteholders will receive their
ratable share (based upon the total amount of interest
due to each of them) of the amount available to be
distributed in respect of interest on the Class A Notes.
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 generally equal to the Class A
Noteholders' Monthly Principal Distributable Amount to
the holders of the various Classes of Class A Notes,
sequentially, so that no principal will be paid on any
Class of Class A Notes until each Class of Class A
Notes with a lower numerical designation has been paid
in full (E.G., no principal will be paid on the A-2
Notes until the A-1 Notes have been paid in full). The
principal of the Class B Notes will be payable on each
Payment Date, to the extent of funds available
therefor, in an amount generally equal to the Class B
Noteholders' Monthly Principal Distributable Amount;
PROVIDED, that no principal payments will be made with
respect to the Class B Notes on any Payment Date until
all amounts payable with respect to the Class A Notes
on that Payment Date have been paid in full.
As used herein, with respect to any Payment Date:
"CLASS A NOTEHOLDERS' MONTHLY PRINCIPAL DISTRIBUTABLE
AMOUNT" means, with respect to any payment date until
the payment date on which the outstanding amount of the
Class A Notes has been reduced to zero, the Principal
Distributable Amount MINUS the Class B Noteholders'
Adjusted Principal Distributable Amount.
"CLASS B NOTEHOLDERS' PRINCIPAL CARRYOVER SHORTFALL"
means, with respect to any payment date, the excess of
the Class B Noteholders' Monthly Principal
Distributable Amount for the preceding payment date
over the amount that was actually deposited in the Note
Distribution Account in respect of principal of the
Class B Notes on such preceding Payment Date.
"CLASS B NOTEHOLDERS' ADJUSTED PRINCIPAL DISTRIBUTABLE
AMOUNT" means, with respect to each payment date, an
amount equal to the excess, if any, of: (a) the
outstanding amount of the Class B Notes on the related
record date minus any Class B Noteholders' Principal
Carryover Shortfall over (b) the Initial Class B
Percentage of the sum of the outstanding Pool Balance
and the Pre-Funded Amount as of the beginning of the
current Collection Period; PROVIDED, HOWEVER, that if
on the related Record Date any principal of the A-1
Notes remains outstanding, then the Class B
Noteholders' Adjusted Principal Distributable Amount
for such payment date shall not exceed an amount equal
to the aggregate unscheduled principal payments on the
Receivables received during the related Collection
Period. Notwithstanding
PAGE 4
<PAGE>
the above, on and after the payment date on which the
Class A Notes are reduced to zero, the Class B
Noteholders' Adjusted Principal Distributable Amount
shall be the Principal Distributable Amount less the
amount necessary to reduce the Class A Notes to zero.
"CLASS B NOTEHOLDERS' MONTHLY PRINCIPAL DISTRIBUTABLE
AMOUNT" means, with respect to any payment date, the
sum of (a) the Class B Noteholders' Adjusted Principal
Distributable Amount for such payment date and (b) the
Class B Noteholders' Principal Carryover Shortfall for
such payment date; PROVIDED, HOWEVER, that the sum of
CLAUSES (a) and (b) shall not exceed the outstanding
amount of the Class B Notes, and, on the Final
Scheduled Maturity Date, the Class B Noteholders'
Monthly Principal Distributable Amount will include the
amount, to the extent of available funds, necessary to
reduce the outstanding amount of the Class B Notes to
zero.
"INITIAL CLASS B PERCENTAGE" means 4%.
"PRINCIPAL CARRYOVER SHORTFALL" means, with respect to
each payment date, the excess of the Principal
Distributable Amount for the preceding payment date
over the amount that was actually deposited in the Note
Distribution Account in respect of principal of the
Notes on such preceding payment date.
"PRINCIPAL DISTRIBUTABLE AMOUNT" means, with respect to
each payment date, the sum of (a) the Principal
Distribution Amount plus (b) the Principal Carryover
Shortfall.
"PRINCIPAL DISTRIBUTION AMOUNT" means, with respect to
any Payment Date, the amount (not less than zero) equal
to (i) the sum of the Contract Value of all Receivables
and the Pre-Funded Amount as of the beginning of the
immediately preceding Collection Period less (ii) the
sum of the Contract Value of all Receivables and the
Pre-Funded Amount as of the beginning of the current
Collection Period.
The outstanding principal amount, if any, of the A-1
Notes, the A-2 Notes and the A-3 Notes will be payable
in full on the September 15, 1999 Payment Date, the May
15, 2002 Payment Date and the May 15, 2003 Payment
Date, respectively, in each case from funds available
therefor. The outstanding principal amount, if any, of
the A-4 Notes and the Class B Notes will be payable in
full on the October 15, 2005 Payment Date (the "FINAL
SCHEDULED MATURITY DATE"), in each case from funds
available therefor.
C. Optional Redemption The remaining 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 Clean-Up Call with respect to the
Receivables. The Servicer may exercise its Clean-Up
call 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 trust as of their respective
Subsequent Cutoff Dates.
PAGE 5
<PAGE>
OTHER SECURITIES;
DEFERRED
PURCHASE PRICE In addition to the Notes, the trust will also issue
$100,000 ___% Asset Backed Certificates (the
"CERTIFICATES") and will owe a deferred purchase price
(the "DEFERRED PURCHASE PRICE") to the Seller in an
amount of $12,400,000. The Certificates will not be
publicly offered.
The Certificates and the unpaid balance of the Deferred
Purchase Price 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 and Deferred Purchase Price). No Deferred
Purchase Price or principal with respect to the
Certificates will be distributable 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 $99,770,760.98, 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 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 Noteholders. The Negative Carry Account will be
created with an initial deposit by the Seller.
YIELD SUPPLEMENT
ACCOUNT In order to maintain the rating of the Notes at their
initial levels, the Servicer will establish and
maintain in the name of the Indenture Trustee an
account (the "YIELD SUPPLEMENT ACCOUNT") for the
benefit of the Noteholders. The Yield Supplement
Account will be created with an initial deposit by the
Seller of $__________. On each Subsequent Transfer
Date, cash or eligible investments having a value equal
to the Maximum Yield Supplement Amount 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 Yield
Supplement Account. The amount initially deposited in
the Yield Supplement Account by the Seller together
with the aggregate amount transferred from the
Pre-Funding Account to the Yield Supplement Account on
each Subsequent Transfer Date is referred to as the
"YIELD SUPPLEMENT ACCOUNT INITIAL DEPOSIT." The
"MAXIMUM YIELD SUPPLEMENT AMOUNT" for a Receivable is
equal to the difference (if positive) between (A) the
present value of the scheduled and unpaid payments on
the Receivable discounted monthly at an annual rate
equal to its individual APR minus (B) the present value
of the scheduled and unpaid payments on the Receivable
discounted monthly at an annual rate equal to the sum
of (i) the weighted average interest rate on the Notes,
plus (ii) the servicing fee rate.
On each Payment Date, the Servicer will instruct the
Indenture Trustee to withdraw from the Yield Supplement
Account and deposit into the Collection Account an
amount equal to the Yield Supplement Amount for such
Collection Period. "YIELD SUPPLEMENT AMOUNT" means, for
each Collection Period, the difference (if positive)
between (i) the sum of (a) the servicing fee plus (b)
the product of (x) the aggregate interest payable on
the Notes (including overdue interest, if any),
multiplied by (y) the Receivables Percentage, minus
(ii) the difference (if positive) between (x) the
aggregate amount of collections on or with respect to
the Receivables with respect to the related Collection
Period minus (y) the Principal Distribution Amount. The
"RECEIVABLE PERCENTAGE" for each Collection Period is
equal to the percentage equivalent of a fraction the
numerator of which is the Pool Balance and the
denominator of which is the sum of the Pool Balance and
PAGE 6
<PAGE>
the Pre-Funded Amount, after taking into account all
transfers of Subsequent Receivables during such
Collection Period.
Amounts on deposit in the Yield Supplement Account on
any Payment Date (after giving effect to all
distributions to be made on such Payment Date) in
excess of the Required Yield Supplement Account Balance
will be distributed to the Seller.
"REQUIRED YIELD SUPPLEMENT ACCOUNT BALANCE" means, as
of the beginning of each Collection Period, the lesser
of (a) the Yield Supplement Account Initial Deposit for
the Closing Date and each Subsequent Transfer Date
occurring prior to that Collection Period minus all
previous withdrawals from the Yield Supplement Account
and (b) the sum of the Maximum Yield Supplement Amounts
for each Receivable as of such day.
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 or the Deferred Purchase Price. The Spread
Account will be created with an initial deposit by the
Seller of $10,504,585. On each Subsequent Transfer
Date, cash or eligible investments having a value
approximately equal 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:
(i) accrued and unpaid Administration Fees through the
end of the related Collection Period;
(ii) accrued and unpaid interest on the Class A Notes;
(iii) accrued and unpaid interest on the Class B Notes;
(iv) the Principal Distribution Amount to pay principal:
- to the extent of the Class A Noteholders'
Monthly Principal Distributable Amount, 100%
to the holders of the various Classes of
Class A Notes, sequentially, so that no
principal will be paid on any Class of Class
A Notes until each Class of Class A Notes
with a lower numerical designation has been
paid in full (E.G., no principal will be paid
on the Class A-2 Notes until the Class A-1
Notes have been paid in full);
- to the extent of the Class B Noteholders'
Monthly Principal Distributable Amount, to
the holders of the Class B Notes until paid
in full;
(v) to the Spread Account, to the extent necessary so
that the
PAGE 7
<PAGE>
balance on deposit therein will not be
less than the Specified Spread Account Balance;
(vi) accrued and unpaid interest on the Deferred
Purchase Price and the Certificates;
(vii) the Deferred Purchase Price Distributable Amount
and the Certificateholders' Principal
Distributable Amount;
(viii) accrued and unpaid Servicing Fees through the end
of the related Collection Period, except that if
neither Case Credit nor any of its affiliates is
the Servicer, the amounts described in this
clause will be paid prior to any other
application of funds on deposit in the Collection
Account; and
(ix) the remaining balance, if any, to the Seller.
After an Event of Default and acceleration of the Notes
(and, if any Notes remain outstanding, on and after the
Final Scheduled Maturity Date), principal payments will
be made first to Class A Noteholders ratably according
to the amounts due on the Class A Notes for principal
and then to the Class B Noteholders until the
outstanding principal amount of the Class B Notes has
been paid in full.
As used herein:
"CERTIFICATEHOLDERS' PRINCIPAL DISTRIBUTABLE AMOUNT"
means, on any payment date, the remainder, if any, of
the Principal Distributable Amount for that payment
date after subtracting the Class A Noteholders' Monthly
Principal Distributable Amount, the Class B
Noteholders' Monthly Principal Distributable Amount and
the Deferred Purchase Price Distributable Amount;
PROVIDED that (a) in no event shall the
Certificateholders' Principal Distributable Amount
exceed the outstanding principal amount of
Certificates, and (b) on the Final Scheduled Maturity
Date, the Certificateholders' Principal Distributable
Amount will include the amount, to the extent of
available funds, necessary to reduce the outstanding
principal amount of Certificates to zero.
"DEFERRED PURCHASE PRICE DISTRIBUTABLE AMOUNT" means,
on any payment date, the remainder, if any, of the
Principal Distributable Amount for that payment date
after subtracting the Class A Noteholders' Monthly
Principal Distributable Amount and the Class B
Noteholders' Principal Distributable Amount, PROVIDED
that (a) in no event shall the Deferred Purchase Price
Distributable Amount exceed the remaining unpaid
Deferred Purchase Price, and (b) on the Final Scheduled
Maturity Date, the Deferred Purchase Distributable
Amount will include the amount, to the extent of
available funds, necessary (after giving effect to the
other amounts to be deposited in the Note Distribution
Account on such payment date and allocable to
principal) to reduce the remaining unpaid Deferred
Purchase Price to zero.
TAX STATUS It is contemplated that the 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 Notes will be eligible for purchase by
employee benefit plans.
PAGE 8
<PAGE>
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 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 B Notes be rated at least in the "A"
category or its equivalent, in each case by at least
two nationally recognized statistical rating agencies.
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.
For purposes of the data in the following tables, "CONTRACT VALUE" for
each: (a) Standard Precomputed Receivable has been calculated as the sum of
(i) the present value of the future scheduled payments on such Receivable as
of the Initial Cutoff Date discounted monthly at an annual rate equal to the
adjusted APR of such Receivable and (ii) an amount attributable to past due
payments, and (b) precomputed simple rebate Receivable has been deemed to
equal the current balance plus accrued interest of that Receivable shown on
the Servicer's records as of the Initial Cutoff Date.
COMPOSITION OF THE RECEIVABLES POOL
AS OF THE INITIAL CUTOFF DATE
<TABLE>
<CAPTION>
INITIAL WEIGHTED WEIGHTED AVERAGE
CUTOFF DATE AGGREGATE NUMBER OF AVERAGE AVERAGE CONTRACT
APR CONTRACT VALUE RECEIVABLES REMAINING TERM ORIGINAL TERM VALUE
----------- --------------- ----------- --------------- ------------- --------
<S> <C> <C> <C> <C> <C>
8.559% $524,899,028.57 17,361 46.46 months 49.49 months $30,234
</TABLE>
COMPOSITION OF THE RECEIVABLES POOL
AS OF THE INITIAL CUTOFF DATE
BY RECEIVABLES TYPE
<TABLE>
<CAPTION>
PERCENT OF
AGGREGATE
NUMBER OF AGGREGATE CONTRACT
RECEIVABLES TYPE RECEIVABLES CONTRACT VALUE VALUE
- ---------------- ----------- -------------- -----------
<S> <C> <C> <C>
RETAIL INSTALLMENT CONTRACTS 15,930 $ 461,486,338.30 87.92%
FULL PAYOUT LEASES 1,431 63,412,690.27 12.08
------ --------------- ------
17,361 $524,899,028.57 100.00%
------ --------------- ------
------ --------------- ------
</TABLE>
PAGE 9
<PAGE>
DISTRIBUTION BY APR OF THE RECEIVABLES POOL AS OF THE INITIAL CUTOFF DATE
<TABLE>
<CAPTION>
PERCENT OF
AGGREGATE
NUMBER OF AGGREGATE CONTRACT
APR RANGE RECEIVABLES CONTRACT VALUE VALUE
- --------- ----------- --------------- --------
<S> <C> <C> <C>
3.00% to 3.99% 792 $ 13,892,447.91 2.65%
4.00% to 4.99% 307 24,140,973.14 4.60
5.00% to 5.99% 549 19,689,927.08 3.75
6.00% to 6.99% 3,316 69,723,476.48 13.28
7.00% to 7.99% 2,520 84,573,046.45 16.11
8.00% to 8.99% 1,533 93,961,444.17 17.90
9.00% to 9.99% 2,139 93,614,416.21 17.83
10.00% to 10.99% 4,571 82,605,065.31 15.74
11.00% to 11.99% 780 18,217,815.50 3.47
12.00% to 12.99% 382 9,617,511.68 1.83
13.00% to 13.99% 161 3,906,195.37 0.74
14.00% to 14.99% 61 2,045,141.10 0.39
15.00% to 15.99% 45 1,782,158.73 0.34
16.00% to 16.99% 51 2,276,743.34 0.43
17.00% to 17.99% 153 4,844,088.99 0.92
18.00% to 18.99% 1 8,577.11 0.00
------- ---------------- ------
Total 17,361 $524,899,028.57 100.00%
------- ---------------- ------
------- ---------------- ------
</TABLE>
DISTRIBUTION BY EQUIPMENT TYPE OF THE RECEIVABLES POOL
AS OF THE INITIAL CUTOFF DATE
<TABLE>
<CAPTION>
PERCENT OF
AGGREGATE
NUMBER OF AGGREGATE CONTRACT
TYPE RECEIVABLES CONTRACT VALUE VALUE
- ---- ----------- -------------- ----------
<S> <C> <C> <C>
Agricultural
New 5,296 $134,649,723.85 25.65%
Used 5,376 119,983,676.38 22.86
Construction
New 3,844 173,813,504.40 33.11
Used 2,845 96,452,123.94 18.38
------ -------------- -----
Total 17,361 $524,899,028.57 100.00%
------ -------------- -----
------ -------------- -----
</TABLE>
DISTRIBUTION BY PAYMENT FREQUENCY OF THE RECEIVABLES POOL
AS OF THE INITIAL CUTOFF DATE
<TABLE>
<CAPTION>
PERCENT OF
AGGREGATE
NUMBER OF AGGREGATE CONTRACT
FREQUENCY RECEIVABLES CONTRACT VALUE VALUE
- --------- ----------- -------------- --------
<S> <C> <C> <C>
Annual(1) 7,279 $192,178,901.14 36.61%
Semiannual 650 20,259,678.36 3.86
Quarterly 175 5,070,559.25 0.97
Monthly 9,257 307,389,889.82 58.56
------ --------------- ------
Total 17,361 $524,899,028.57 100.00%
------ --------------- ------
------ --------------- ------
</TABLE>
- ---------------------
(1) Approximately 9.05%, 3.63%, 2.98%, 14.53%, 19.59%, 15.88%, 14.83%, 6.02%,
4.12%, 1.89%, 2.56% and 4.93%, of the annual 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>
DISTRIBUTION BY CURRENT CONTRACT VALUE OF THE RECEIVABLES POOL
AS OF THE INITIAL CUTOFF DATE
<TABLE>
<CAPTION>
PERCENT OF
CONTRACT AGGREGATE
VALUE NUMBER OF AGGREGATE CONTRACT
RANGE RECEIVABLES CONTRACT VALUE VALUE
--------- ----------- -------------- --------
<S> <C> <C> <C>
$ 0.00 to $ 4,999.99 1,998 $ 6,587,218.33 1.25%
5,000.00 to 9,999.99 3,138 22,990,629.85 4.38
10,000.00 to 14,999.99 2,612 32,177,607.19 6.13
15,000.00 to 19,999.99 1,794 31,103,090.34 5.93
20,000.00 to 24,999.99 1,275 28,487,320.86 5.43
25,000.00 to 29,999.99 1,016 27,833,334.34 5.30
30,000.00 to 34,999.99 789 25,490,826.79 4.86
35,000.00 to 39,999.99 710 26,564,673.21 5.06
40,000.00 to 44,999.99 566 24,037,419.03 4.58
45,000.00 to 49,999.99 477 22,634,937.02 4.31
50,000.00 to 54,999.99 424 22,189,056.27 4.23
55,000.00 to 59,999.99 357 20,499,520.95 3.91
60,000.00 to 64,999.99 311 19,424,688.13 3.70
65,000.00 to 69,999.99 232 15,686,613.87 2.99
70,000.00 to 74,999.99 208 15,076,793.99 2.87
75,000.00 to 99,999.99 637 54,713,697.53 10.42
100,000.00 to 199,999.99 701 92,627,723.70 17.65
200,000.00 to 299,999.99 64 15,213,823.28 2.90
300,000.00 to 499,999.99 43 16,055,049.00 3.06
500,000.00 to 699,999.99 7 4,030,607.17 0.77
700,000.00 to 799,999.99 2 1,474,397.72 0.28
------- --------------- ------
Total 17,361 $524,899,028.57 100.00%
------- --------------- ------
------- --------------- ------
</TABLE>
GEOGRAPHIC DISTRIBUTION OF THE RECEIVABLES POOL
AS OF THE INITIAL CUTOFF DATE
<TABLE>
<CAPTION>
PERCENT OF PERCENT OF
AGGREGATE AGGREGATE
CONTRACT CONTRACT
STATE(1) VALUE STATE(1) VALUE
- -------- ---------- -------- ----------
<S> <C> <C> <C>
Alabama 3.20% Nebraska 2.09%
Alaska 0.12 Nevada 0.89
Arizona 1.71 New Hampshire 0.28
Arkansas 3.70 New Jersey 0.77
California 3.38 New Mexico 0.45
Colorado 2.60 New York 2.07
Connecticut 0.37 North Carolina 2.04
Delaware 0.29 North Dakota 1.23
Florida 2.80 Ohio 2.51
Georgia 4.71 Oklahoma 2.52
Hawaii 0.09 Oregon 1.60
Idaho 1.36 Pennsylvania 2.49
Illinois 4.13 Rhode Island 0.01
Indiana 2.52 South Carolina 1.39
Iowa 3.66 South Dakota 2.28
Kansas 3.41 Tennessee 2.50
Kentucky 1.43 Texas 8.84
Louisiana 2.67 Utah 0.89
Maine 0.52 Vermont 0.42
Maryland 0.96 Virginia 1.11
Massachusetts 0.34 Washington 2.22
Michigan 2.51 Washington, D.C 0.00
Minnesota 3.56 West Virginia 0.26
Mississippi 4.05 Wisconsin 2.75
Missouri 2.89 Wyoming 0.45
------
Montana 0.98 Total 100.00%
------
------
</TABLE>
- ------------------
(1) Based upon billing addresses of the obligors.
PAGE 11
<PAGE>
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.
DELINQUENCY EXPERIENCE(1)
<TABLE>
<CAPTION>
AT DECEMBER 31,
----------------------------------------------------------------------------------------------
1997 1996 1995 1994 1993
---------------- ----------------- ----------------- ----------------- ------------------
(DOLLARS IN MILLIONS)
Number Number Number Number Number
of of of of of
Contracts Amount Contracts Amount Contracts Amount Contracts Amount Contracts Amount
--------- ------ --------- ------ --------- ------ --------- ------ --------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Portfolio 145,101 $3,623.3 135,211 $3,262.4 135,722 $3,093.1 128,891 $2,641.0 128,562 $2,434.0
Period of
Delinquency
31-60 days 2,649 74.2 2,031 45.9 1,927 33.5 1,457 18.4 2,033 27.2
60 Days or
More 2,502 65.3 1,778 36.3 1,509 18.5 855 9.4 2,145 22.5
------- -------- ------- -------- ------- -------- ------- -------- ------- --------
Total
Delinquencies 5,151 $ 139.5 $ 3,809 $ 82.2 3,436 $ 52.0 2,312 $ 27.8 4,178 $ 49.7
Total Delinquencies
as a Percent of
the Portfolio 3.6% 3.9% 2.8% 2.5% 2.5% 1.7% 1.8% 1.0% 3.2% 2.0%
<CAPTION>
AT JUNE 30,
--------------------------------------
1998 1997
----------------- ------------------
(DOLLARS IN MILLIONS)
Number Number
of of
Contracts Amount Contracts Amount
--------- -------- --------- --------
<S> <C> <C> <C> <C>
Portfolio 149,535 $3,891.6 139,759 $3,416.7
Period of
Delinquency
31-60 days 2,303 66.0 2,205 50.9
60 Days or
More 2,089 65.6 2,442 57.4
------- -------- ------- --------
Total
Delinquencies 4,392 $ 131.6 4,647 $ 108.3
Total Delinquencies
as a Percent of
the Portfolio 2.9% 3.4% 3.3% 3.2%
</TABLE>
- -----------------------
(1) Except as indicated, all amounts and percentages are based on the gross
amount scheduled to be paid on each retail installment sale contract,
including unearned finance and other charges. The information in the table
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. Case
Credit treats a receivable as delinquent when it is one day past due.
CREDIT LOSS/REPOSSESSION EXPERIENCE(1)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, SIX MONTHS ENDED
JUNE 30,
-------------------------------------------------- ------------------
1997 1996 1995 1994 1993 1998 1997
-------- -------- -------- -------- -------- -------- --------
(DOLLARS IN MILLIONS)
<S> <C> <C> <C> <C> <C> <C> <C>
Average Gross Portfolio Outstanding
During the Period $3,442.9 $3,155.5 $2,857.7 $2,511.2 $2,487.1 $3,726.4 $3,320.8
Repossessions as a Percent of Average
Gross Portfolio Outstanding(5) 1.20% 1.07% 1.14% 1.33% 1.83% 1.40% 1.06%
Net Losses as a Percent of
Liquidations(2)(3)(4) 0.34% 0.15% 0.22% 0.36% 0.61% 0.48% 0.28%
Net Losses as a Percent of Average
Gross Portfolio Outstanding(2)(3)(5) 0.20% 0.08% 0.11% 0.19% 0.31% 0.30% 0.15%
</TABLE>
(1) Except as indicated, all amounts and percentages are based on the gross
amount scheduled to be paid on each retail installment sale contract,
including unearned finance and other charges. The information in the table
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 12
<PAGE>
(2) A portion of the contracts provide for recourse to Dealers. Approximately
25%, 25%, 22%, 22%, 22%, 20% and 23% of the aggregate amounts scheduled to
be paid on the contracts acquired during the years ended December 31, 1997,
1996, 1995, 1994 and 1993 and the six months ended June 30, 1998 and June
30, 1997, respectively, 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.
(3) 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.
(4) Liquidations represent a reduction in the outstanding balances of the
contracts as a result of cash payments and charge-offs.
(5) Percentages have been annualized for the six months ended June 30, 1998 and
June 30, 1997, and are not necessarily indicative of the experience for
the year.
PAGE 13
<PAGE>
WEIGHTED AVERAGE LIFE OF THE NOTES
The following tables indicate the projected weighted average life of each
Class of Notes (assuming the Servicer exercises its Clean-Up Call) and sets
forth the percent of the initial principal balance of each Class of 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 NOTES AT VARIOUS CPR PERCENTAGES
<TABLE>
<CAPTION>
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
September, 1998 89 84 83 83 82 100 100 100 100 100
October, 1998 82 72 71 69 67 100 100 100 100 100
November, 1998 74 59 56 54 51 100 100 100 100 100
December, 1998 65 45 42 38 34 100 100 100 100 100
January, 1999 54 29 25 21 16 100 100 100 100 100
February, 1999 45 16 11 6 1 100 100 100 100 100
March, 1999 38 4 0 0 0 100 100 99 96 93
April, 1999 24 0 0 0 0 100 93 89 86 82
May, 1999 7 0 0 0 0 100 82 78 74 71
June, 1999 0 0 0 0 0 95 71 67 63 59
July, 1999 0 0 0 0 0 88 61 57 53 48
August, 1999 0 0 0 0 0 82 53 49 45 40
September, 1999 0 0 0 0 0 77 47 42 38 33
October, 1999 0 0 0 0 0 73 41 36 31 26
November, 1999 0 0 0 0 0 68 35 30 25 20
December, 1999 0 0 0 0 0 63 29 23 18 13
January, 2000 0 0 0 0 0 57 21 16 11 6
February, 2000 0 0 0 0 0 52 16 10 5 0
March, 2000 0 0 0 0 0 48 10 5 0 0
April, 2000 0 0 0 0 0 40 2 0 0 0
May, 2000 0 0 0 0 0 31 0 0 0 0
June, 2000 0 0 0 0 0 22 0 0 0 0
July, 2000 0 0 0 0 0 13 0 0 0 0
August, 2000 0 0 0 0 0 7 0 0 0 0
September, 2000 0 0 0 0 0 2 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
November, 2001 0 0 0 0 0 0 0 0 0 0
December, 2001 0 0 0 0 0 0 0 0 0 0
January, 2002 0 0 0 0 0 0 0 0 0 0
February, 2002 0 0 0 0 0 0 0 0 0 0
March, 2002 0 0 0 0 0 0 0 0 0 0
April, 2002 0 0 0 0 0 0 0 0 0 0
May, 2002 0 0 0 0 0 0 0 0 0 0
June, 2002 0 0 0 0 0 0 0 0 0 0
July, 2002 0 0 0 0 0 0 0 0 0 0
August, 2002 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 0.45 0.31 0.29 0.28 0.26 1.48 1.10 1.06 1.01 0.96
</TABLE>
- --------------
(1) The weighted average life of a Note is determined by: (a) multiplying the
amount of each principal payment on the applicable Note by the number of
years from the date of issuance of such Note to the related Payment Date,
(b) adding the results and (c) dividing the sum by the related initial
principal amount of such Note.
PAGE 14
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE NOTES AT VARIOUS CPR PERCENTAGES
<TABLE>
<CAPTION>
PAYMENT DATE A-3 NOTES A-4 NOTES
- ------------ ------------------------------------------- ---------------------------------------
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
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 100 100 100 100 100 100 100 100 100 100
January, 1999 100 100 100 100 100 100 100 100 100 100
February, 1999 100 100 100 100 100 100 100 100 100 100
March, 1999 100 100 100 100 100 100 100 100 100 100
April, 1999 100 100 100 100 100 100 100 100 100 100
May, 1999 100 100 100 100 100 100 100 100 100 100
June, 1999 100 100 100 100 100 100 100 100 100 100
July, 1999 100 100 100 100 100 100 100 100 100 100
August, 1999 100 100 100 100 100 100 100 100 100 100
September, 1999 100 100 100 100 100 100 100 100 100 100
October, 1999 100 100 100 100 100 100 100 100 100 100
November, 1999 100 100 100 100 100 100 100 100 100 100
December, 1999 100 100 100 100 100 100 100 100 100 100
January, 2000 100 100 100 100 100 100 100 100 100 100
February, 2000 100 100 100 100 100 100 100 100 100 100
March, 2000 100 100 100 99 91 100 100 100 100 100
April, 2000 100 100 96 88 80 100 100 100 100 100
May, 2000 100 90 83 75 68 100 100 100 100 100
June, 2000 100 78 71 63 56 100 100 100 100 100
July, 2000 100 66 59 52 45 100 100 100 100 100
August, 2000 100 58 50 43 36 100 100 100 100 100
September, 2000 100 50 43 36 29 100 100 100 100 100
October, 2000 96 44 37 30 23 100 100 100 100 100
November, 2000 90 38 31 24 17 100 100 100 100 100
December, 2000 83 31 24 17 10 100 100 100 100 100
January, 2001 74 23 16 9 3 100 100 100 100 100
February, 2001 67 17 10 4 0 100 100 100 100 97
March, 2001 61 11 5 0 0 100 100 100 98 91
April, 2001 51 3 0 0 0 100 100 96 90 83
May, 2001 38 0 0 0 0 100 92 86 80 74
June, 2001 26 0 0 0 0 100 83 77 71 66
July, 2001 14 0 0 0 0 100 74 68 63 58
August, 2001 7 0 0 0 0 100 68 62 57 53
September, 2001 1 0 0 0 0 100 63 58 53 49
October, 2001 0 0 0 0 0 96 59 54 49 45
November, 2001 0 0 0 0 0 91 55 50 46 42
December, 2001 0 0 0 0 0 85 50 46 42 38
January, 2002 0 0 0 0 0 79 46 41 37 0
February, 2002 0 0 0 0 0 74 42 38 0 0
March, 2002 0 0 0 0 0 69 38 0 0 0
April, 2002 0 0 0 0 0 62 0 0 0 0
May, 2002 0 0 0 0 0 53 0 0 0 0
June, 2002 0 0 0 0 0 44 0 0 0 0
July, 2002 0 0 0 0 0 37 0 0 0 0
August, 2002 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 2.64 2.14 2.07 2.00 1.93 3.71 3.28 3.20 3.13 3.05
</TABLE>
- ----------------------
(1) The weighted average life of a Note is determined by: (a) multiplying the
amount of each principal payment on the applicable Note by the number of
years from the date of issuance of the Note to the related Payment Date,
(b) adding the results and (c) dividing the sum by the related initial
principal amount of the Note.
PAGE 15
<PAGE>
PERCENT OF INITIAL PRINCIPAL AMOUNT OF THE NOTES AT VARIOUS CPR PERCENTAGES
<TABLE>
<CAPTION>
PAYMENT DATE CLASS B NOTES
- ------------ ---------------------------------------
0% 13% 15% 17% 19%
--- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Closing Date 100 100 100 100 100
September, 1998 100 97 97 97 97
October, 1998 100 95 94 94 94
November, 1998 100 92 92 91 91
December, 1998 100 90 89 88 88
January, 1999 100 87 86 85 84
February, 1999 100 84 83 82 81
March, 1999 100 82 81 80 79
April, 1999 100 79 78 77 75
May, 1999 100 75 74 73 71
June, 1999 100 72 70 69 68
July, 1999 77 68 67 65 64
August, 1999 75 66 64 63 61
September, 1999 74 63 62 60 59
October, 1999 72 62 60 58 57
November, 1999 71 60 58 56 55
December, 1999 69 57 56 54 52
January, 2000 67 55 53 52 50
February, 2000 65 53 51 50 48
March, 2000 64 51 49 48 46
April, 2000 61 49 47 45 43
May, 2000 58 46 44 42 40
June, 2000 55 43 41 39 38
July, 2000 52 40 38 37 35
August, 2000 50 38 36 35 33
September, 2000 48 36 35 33 31
October, 2000 47 35 33 32 30
November, 2000 46 33 32 30 28
December, 2000 44 32 30 28 27
January, 2001 42 30 28 27 25
February, 2001 40 29 27 25 24
March, 2001 39 27 26 24 23
April, 2001 36 25 24 22 21
May, 2001 33 23 21 20 19
June, 2001 31 21 19 18 17
July, 2001 28 19 17 16 15
August, 2001 26 17 16 15 14
September, 2001 25 16 15 14 13
October, 2001 24 15 14 13 12
November, 2001 23 14 13 12 11
December, 2001 21 13 12 11 11
January, 2002 20 12 11 10 0
February, 2002 19 11 11 0 0
March, 2002 18 11 0 0 0
April, 2002 16 0 0 0 0
May, 2002 14 0 0 0 0
June, 2002 12 0 0 0 0
July, 2002 10 0 0 0 0
August, 2002 0 0 0 0 0
Weighted Average Life (years)(1) 2.20 1.74 1.68 1.63 1.58
</TABLE>
- ----------------------
(1) The weighted average life of a Note is determined by: (a) multiplying the
amount of each principal payment on the applicable Note by the number of
years from the date of issuance of the Note to the related Payment Date,
(b) adding the results and (c) dividing the sum by the related initial
principal amount of the Note.
PAGE 16
