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) November 6, 1998
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)
<PAGE>
Item 5. Other Events
On November 6, 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
$628,875,000 aggregate principal amount of asset-backed notes by Case
Equipment Receivables Trust 1998-C. The Term Sheet is attached hereto as
Exhibit 99.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits
Exhibit 99 Term Sheet dated November 6, 1998 of Case Equipment
Receivables Trust 1998-C
<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: November 10, 1998 By: /s/ Peter Hong
--------------------
Peter Hong
Treasurer
<PAGE>
Exhibit Index
Exhibit 99 Term Sheet dated November 6, 1998 of Case Equipment
Receivables Trust 1998-C
SUBJECT TO REVISION
TERM SHEET DATED NOVEMBER 6, 1998
$628,875,000 Asset Backed Notes
Case Equipment Receivables Trust 1998-C
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-C.
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superseded in their entirety by a prospectus supplement and by any other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
Salomon Smith Barney
Chase Securities Inc.
First Chicago Capital Markets, Inc.
Merrill Lynch & Co.
J.P. Morgan & Co.
NationsBanc Montgomery Securities LLC
Underwriters of the Class B Notes
Salomon Smith Barney
J.P. Morgan & Co.
page 1
<PAGE>
$628,875,000 Asset Backed Notes
Case Equipment Receivables Trust 1998-C
Subject to Revision
TERM SHEET
Issuer..............................Case Equipment Receivables Trust 1998-C,
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................$86,400,000 Class A-1 _____% Asset Backed
Notes (the "A-1 Notes").
$250,000,000 Class A-2 _____% Asset
Backed Notes (the "A-2 Notes").
$110,000,000 Class A-3 _____% Asset
Backed Notes (the "A-3 Notes").
$148,350,000 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..................$34,125,000 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
Receivables") with a fixed rate of
interest that have an aggregate
Contract Value of $448,629,271.31 as
of October 31, 1998 (the "Initial
Cutoff Date").
The Leases to be included in the trust
consist of Leases referred to by Case
Credit as Low Payment Leases. "Low
Payment Leases" are Leases with a
termination value payment of more
than $1. The termination value
payment is a fixed dollar amount
determined at the time a Lease is
entered into and specified in the
Lease. It is generally equal to the
portion of the original equipment
cost not amortized through the
principal component of the periodic
rental payments. Under Low Payment
Leases, the lessee has the right (but
not the obligation) to purchase the
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<PAGE>
leased equipment at the end of the
lease term for an amount equal to the
termination value payment. 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 (other than termination
value payments) unless the equipment
is repossessed in a default
situation.
When Leases are sold to the trust, the
security or ownership interest held
by the Seller in any related leased
equipment will be assigned by the
Seller to the trust. Each Lease is
either a "true lease" or a lease
intended for security (often referred
to as a "finance lease"). Whether the
Seller is deemed to hold a security
interest or an ownership interest in
particular leased equipment depends
in part upon whether the related
Lease is a "true lease" or not.
"true lease" = the lessor (i.e., the
originating Dealer and its assigns) is
deemed to be the beneficial owner of
the leased equipment.
"finance lease" (not a true lease) = the
lessee is deemed to be the beneficial
owner, and the lessor (or its assignee)
is deemed to hold a security interest
in the leased equipment.
<PAGE>
The treatment of certain Low Payment
Leases as finance leases or true
leases under applicable state law is
uncertain. Case Credit will represent
that all Low Payment Leases with a
termination value payment equal to or
less than 10% of the original cost of
the leased equipment are finance
leases rather than true leases, and
so such leases should be treated
similarly to Retail Installment
Contracts with respect to matters
relating to security interests in the
related leased equipment and remedies
on default. Although Case Credit also
views Low Payment Leases with a
termination value payment greater
than 10% of the original cost of the
leased equipment as finance leases,
no legal assurance can be given that
these Leases would not be deemed to
be true leases. Substantially all of
the Leases to be included in the
trust consist of Low Payment Leases
with a termination value payment
greater than 10% of the original cost
of the leased equipment.
Case Credit requires Dealers that
originate Leases to obtain a
precautionary first priority
perfected security interest in the
related leased equipment (in case the
Leases are deemed to be a finance
leases). These security interests are
transferred to Case Credit when it
purchases the related Leases. When
Case Credit originates a Lease
directly, it also obtains a
precautionary first priority
perfected security interest in the
related leased equipment. For Leases
that are deemed to be finance leases,
Case Credit and its assigns will have
a very similar position to the
position they obtain with respect to
Retail Installment Contracts. The
Seller must repurchase any Lease that
is represented to be a finance lease
in the Sale and Servicing Agreement
that is sold to the trust if a first
priority perfected security interest
in the name of Case Credit in the
leased equipment securing such Lease
did not exist as of the date such
Lease was purchased by the trust, if
such breach will materially adversely
affect the interest of the trust in
such Lease and such failure is not
corrected within a specified grace
period.
page 3
<PAGE>
Case Credit also obtains a security
interest in leased equipment against
originating Case Dealers in the event
that the leased equipment is deemed
to be owned by the Dealer (which
would be the case for any Low Payment
Lease that is deemed to be a true
lease) and the transfer of such
leased equipment from the Dealer to
Case Credit is not deemed to be a
true sale. However, that security
interest may not in all cases be
perfected or have first priority
status.
Each Lease transferred to the trust
will contain a "hell or high water"
clause pursuant to which the lessee's
obligation to make payments due under
that Lease is absolute and
unconditional, without set-off or
counterclaim, notwithstanding any
damages to, or loss of, the leased
equipment or any other event.
Asused 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, 8.689%, 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
$201,370,728.69, 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
<PAGE>
(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
May, 1999 Payment Date.
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 December 15, 1998.
Interest on the Class B Notes will not
be paid on any Payment Date until
interest payments
page 4
<PAGE>
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.
<PAGE>
"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 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,
page 5
<PAGE>
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 5.25%.
"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 December, 1999 Payment
Date, the August, 2002 Payment Date
and the June, 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 April, 2005
Payment Date (the "Final Scheduled
Maturity Date"), in each case from
funds available therefor.
<PAGE>
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.
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
$21,025,000. The Certificates will
not be publicly offered.
page 6
<PAGE>
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 $201,370,728.69,
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
$383,646. On each Subsequent Transfer
Date, cash or eligible investments
having a value equal to the Required
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 "Required Yield
Supplement Amount" for a Receivable
shall be equal to 8.0% of the Maximum
Yield Supplement Amount for such
Receivable. The "Maximum Yield
Supplement Amount" for each
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
the Initial Cutoff Date APR or the
Subsequent Cutoff Date APR, as
applicable, minus (B) the present
value of the scheduled and unpaid
payments on the Receivable discounted
monthly at an annual rate equal to
its individual APR.
<PAGE>
On each Payment Date for any Receivable
that has either defaulted or prepaid,
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 Maximum Yield
Supplement Amount for such
Receivable, as calculated immediately
prior to such default or prepayment.
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 sum of
the Required 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.
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<PAGE>
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
$8,972,585.47. 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:
o 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);
o 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
balance on deposit therein will not
be less than the Specified Spread
Account Balance;
(vi) to the Yield Supplement Account, to
the extent necessary so that the
balance on deposit therein will
not be less than the Required Yield
Supplement Account Balance;
<PAGE>
(vii) accrued and unpaid interest on the
Deferred Purchase Price and the
Certificates;
(viii) the Deferred Purchase Price
Distributable Amount and the
Certificateholders' Principal
Distributable Amount;
(ix) 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
(x) the remaining balance, if any, to
the Seller.
page 8
<PAGE>
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.
<PAGE>
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.
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.
page 9
<PAGE>
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
Initial Weighted Weighted Average
Cutoff Date Aggregate Number of Average Average Contract
APR Contract Value Receivables Remaining Term Original Term Value
- ----------- -------------- ----------- -------------- ------------- -------
8.689% $447,928,675.06 13,644 43.97 months 51.72 months $32,829.72
Composition of the Receivables Pool
as of the Initial Cutoff Date
by Receivables Type
Percent of
Aggregate
Number of Aggregate Contract
Receivables Type Receivables Contract Value Value
- ---------------- ----------- -------------- ----------
Retail Installment Contracts 11,246 $326,985,845.19 73.00%
Low Payment Leases 2,398 120,942,829.87 27.00
------- -------------- -------
13,644 $447,928,675.06 100.00%
====== =============== ======
page 10
<PAGE>
Distribution by APR of the Receivables Pool as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
APR Range Receivables Contract Value Value
- --------- ----------- ------------- --------
3.00% to 3.99%......................... 145 $3,277,784.12 0.73%
4.00% to 4.99%......................... 97 5,366,379.48 1.20
5.00% to 5.99%......................... 1,623 28,292,933.73 6.32
6.00% to 6.99%......................... 1,369 31,431,848.26 7.02
7.00% to 7.99%......................... 1,533 47,930,274.58 10.70
8.00% to 8.99%......................... 2,505 144,122,134.07 32.18
9.00% to 9.99%......................... 2,947 112,629,788.60 25.14
10.00% to 10.99%........................... 2,541 51,174,362.22 11.42
11.00% to 11.99%........................... 474 13,593,527.32 3.03
12.00% to 12.99%........................... 227 5,964,901.37 1.33
13.00% to 13.99%........................... 128 2,796,803.05 0.62
14.00% to 14.99%........................... 27 581,729.24 0.13
15.00% to 15.99%........................... 10 198,393.77 0.04
16.00% to 16.99% .......................... 3 94,433.49 0.02
17.00% to 17.99% .......................... 15 473,381.76 0.11
------ --------------- --------
Total............................ 13,644 $447,928,675.06 100.00%
====== =============== =======
Distribution by Equipment Type of the Receivables Pool
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Type Receivables Contract Value Value
Agricultural ----------- -------------- ----------
New.................................. 3,854 $121,508,297.75 27.13%
Used................................. 6,078 172,702,296.49 38.56
Construction
New.................................. 2,038 92,456,614.03 20.64
Used................................. 1,674 61,261,466.79 13.68
----- ----------------- -----
Total........................13,644 $447,928,675.06 100.00%
====== =============== ======
page 11
<PAGE>
Distribution by Payment Frequency of the Receivables Pool
as of the Initial Cutoff Date
Percent of
Aggregate
Number of Aggregate Contract
Frequency Receivables Contract Value Value
- --------- -------- -------------- --------
Annual(1)............................... 7,514 $233,589,342.81 52.15%
Semiannual.............................. 634 23,740,252.32 5.30
Quarterly............................... 169 5,651,752.20 1.26
Monthly................................. 5,327 184,947,327.73 41.29
----- -------------- ------
Total........................ 13,644 $447,928,675.06 100.00%
====== =============== ======
- ---------------------
(1) Approximately 9.46%, 3.85%, 4.20%, 5.32%, 3.07%, 2.17%, 3.06%, 4.74%,
24.59%, 17.47%, 13.93% and 8.15%, 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.
Distribution by Current Contract Value of the Receivables Pool
as of the Initial Cutoff Date
Percent of
Contract Aggregate
Value Number of Aggregate Contract
Range Receivables Contract Value Value
--------- ----------- -------------- --------
$ 0.00 to $ 4,999.99............... 1,325 $4,207,751.83 0.94
5,000.00 to 9,999.99............... 2,272 17,086,737.48 3.81
10,000.00 to 14,999.99............... 1,984 24,474,624.17 5.46
15,000.00 to 19,999.99............... 1,449 25,118,983.19 5.61
20,000.00 to 24,999.99............... 961 21,516,847.66 4.80
25,000.00 to 29,999.99............... 715 19,616,335.37 4.38
30,000.00 to 34,999.99............... 622 20,164,371.32 4.50
35,000.00 to 39,999.99............... 537 20,088,131.21 4.48
40,000.00 to 44,999.99............... 498 21,177,561.54 4.73
45,000.00 to 49,999.99............... 463 21,939,257.06 4.90
50,000.00 to 54,999.99............... 358 18,793,684.85 4.20
55,000.00 to 59,999.99............... 370 21,251,341.88 4.74
60,000.00 to 64,999.99............... 243 15,181,570.19 3.39
65,000.00 to 69,999.99............... 217 14,646,102.69 3.27
70,000.00 to 74,999.99............... 188 13,638,607.79 3.04
75,000.00 to 99,999.99............... 716 61,900,322.34 13.82
100,000.00 to 199,999.99............... 648 83,536,644.96 18.65
200,000.00 to 299,999.99............... 51 12,234,454.30 2.73
300,000.00 to 499,999.99............... 20 7,085,152.97 1.58
500,000.00 to 699,999.99............... 6 3,536,927.06 0.79
700,000.00 to 799,999.99............... 1 733,265.20 0.16
------- ---------------- -------
Total .................. 13,644 $447,928,675.06 100.00%
====== =============== ======
page 12
<PAGE>
Geographic Distribution of the Receivables Pool
as of the Initial Cutoff Date
Percent of Percent of
Aggregate Aggregate
Contract Contract
State(1) Value State(1) Value
- -------- ------------- -------- -----------
Alabama...................2.32% Nebraska.................... 3.96%
Alaska....................0.10 Nevada...................... 0.57
Arizona...................1.18 New Hampshire............... 0.10
Arkansas..................5.39 New Jersey.................. 0.45
California................3.83 New Mexico.................. 0.27
Colorado..................1.31 New York.................... 2.46
Connecticut...............0.39 North Carolina.............. 2.48
Delaware..................0.29 North Dakota................ 1.43
Florida...................1.56 Ohio........................ 1.95
Georgia...................2.24 Oklahoma.................... 1.77
Hawaii....................0.02 Oregon...................... 1.34
Idaho.....................1.84 Pennsylvania................ 1.85
Illinois..................4.90 Rhode Island................ 0.01
Indiana...................2.80 South Carolina.............. 0.95
Iowa......................5.54 South Dakota................ 1.74
Kansas....................2.91 Tennessee................... 1.78
Kentucky..................1.38 Texas....................... 8.04
Louisiana.................4.49 Utah........................ 1.13
Maine.....................0.26 Vermont..................... 0.49
Maryland..................0.88 Virginia.................... 1.15
Massachusetts.............0.17 Washington.................. 1.57
Michigan..................2.07 West Virginia............... 0.16
Minnesota.................5.61 Wisconsin................... 3.29
Mississippi...............3.87 Wyoming..................... 0.34
Missouri..................4.06 ------
Montana...................1.32 Total....................00.00%
======
- ----------------------
(1) Based upon billing addresses of the obligors.
page 13
<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.
<TABLE>
<CAPTION>
Delinquency Experience(1)
At December 31,
--------------------------------------------------------------------------------------------------------
1997 1996 1995 1994 1993
------------------------- ------------------- ---------------- ---------------- --------------------
(Dollars in Millions)
Number Number Number Number Number
of of of of of
Contract Amount Contract Amount Contract Amount Contract Amount Contract 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%
</TABLE>
At September 30,
---------------------------------------------------
1998 1997
-------------------------- ----------------------
Number Number
of of
Contracts Amount Contracts Amount
Portfolio..... 152,610 $4,023.3 142,639 $3,462.3
Period of
Delinquincy
31-60 days.. 2,545 84.2 2,259 58.6
60 Days or
More.. 2,589 95.0 2,818 64.6
----- ----- ------ ------
Total
Delinquencies 5,134 179.2 5,077 123.2
Total Delinquencies
as a Percent of
the Portfolio. 3.4% 4.5% 3.6% 3.6%
- -------------------
(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 14
<PAGE>
<TABLE>
<CAPTION>
Credit Loss/Repossession Experience(1)
Year Ended December 31, Nine Months Ended
-----------------------------------------------------
September 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 $3,800.6 $3,356.2
Repossessions as a
Percent of Average
Gross Portfolio
Outstanding (5) . 1.20% 1.07% 1.14% 1.33% 1.83% 1.22% 1.22%
Net Losses as a Percent
of Liquidations(2)(3)(4).. 0.34% 0.15% 0.22% 0.36% 0.61% 0.45% 0.31%
Net Losses as a Percent
of Average
Gross Portfolio
Outstanding(2)(3)(5) 0.20% 0.08% 0.11% 0.19% 0.31% 0.23% 0.17%
</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 informaiton 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 contrcts that Case Credit continues to service.
(2) A portion of the contracts provide for recourse to Dealers.
Approximately 25%, 25%, 22%, 22%, 22%, 20% and 24% 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 nine
months ended September 30, 1998 and September 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 nine months ended
September 30, 1998 and September 30, 1997, and are
not necessarily indicative of the experience for the year.
page 15
<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.
<TABLE>
<CAPTION>
Percent of Initial Principal Amount of the 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
December, 1998................ 81 77 76 75 74 100 100 100 100 100
January, 1999................. 63 52 49 47 45 100 100 100 100 100
February, 1999................ 53 35 31 28 24 100 100 100 100 100
March, 1999................... 44 19 15 10 6 100 100 100 100 100
April, 1999................... 34 3 0 0 0 100 100 99 97 95
May, 1999..................... 25 0 0 0 0 100 96 93 91 89
June, 1999.................... 17 0 0 0 0 100 91 88 86 83
July, 1999.................... 8 0 0 0 0 100 86 83 80 77
August, 1999.................. 0 0 0 0 0 98 80 77 74 70
September, 1999............... 0 0 0 0 0 91 69 66 63 59
October, 1999................. 0 0 0 0 0 81 68 55 51 48
November, 1999................ 0 0 0 0 0 72 49 45 41 38
December, 1999................ 0 0 0 0 0 66 42 38 34 31
January, 2000................. 0 0 0 0 0 61 36 32 28 24
February, 2000................ 0 0 0 0 0 57 31 27 23 19
March, 2000................... 0 0 0 0 0 54 27 22 18 14
April, 2000................... 0 0 0 0 0 50 22 18 13 9
May, 2000..................... 0 0 0 0 0 47 17 13 9 5
June, 2000.................... 0 0 0 0 0 44 14 9 5 0
July, 2000.................... 0 0 0 0 0 41 10 5 1 0
August, 2000.................. 0 0 0 0 0 38 6 1 0 0
September, 2000............... 0 0 0 0 0 29 0 0 0 0
October, 2000................. 0 0 0 0 0 20 0 0 0 0
November, 2000................ 0 0 0 0 0 13 0 0 0 0
December, 2000................ 0 0 0 0 0 8 0 0 0 0
January, 2001................. 0 0 0 0 0 3 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
September, 2002............... 0 0 0 0 0 0 0 0 0 0
October, 2002................. 0 0 0 0 0 0 0 0 0 0
November, 2002................ 0 0 0 0 0 0 0 0 0 0
December, 2002................ 0 0 0 0 0 0 0 0 0 0
January, 2003................. 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 0.35 0.23 0.22 0.21 0.20 1.47 1.10 1.03 1.00 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 16
<PAGE>
<TABLE>
<CAPTION>
Percent of Initial Principal Amount of the Notes at Various CPR Percentages
Payment Date A-3 Notes A-4 Notes
------------------------------------------- -------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0% 13% 15% 17% 19% 0% 13% 15% 17% 19%
--- --- --- --- --- --- --- --- --- ---
Closing Date.................... 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..................... 100 100 100 100 100 100 100 100 100 100
April, 2000..................... 100 100 100 100 100 100 100 100 100 100
May, 2000....................... 100 100 100 100 100 100 100 100 100 100
June, 2000...................... 100 100 100 100 100 100 100 100 100 100
July, 2000...................... 100 100 100 100 92 100 100 100 100 100
August, 2000.................... 100 100 100 100 82 100 100 100 100 100
September, 2000................. 100 94 84 74 64 100 100 100 100 100
October, 2000................... 100 75 68 56 46 100 100 100 100 100
November, 2000.................. 100 61 51 42 33 100 100 100 100 100
December, 2000.................. 100 50 41 32 22 100 100 100 100 100
January, 2001................... 100 40 30 21 12 100 100 100 100 100
February, 2001.................. 98 31 22 13 4 100 100 100 100 100
March, 2001..................... 91 24 14 5 0 100 100 100 100 96
April, 2001..................... 83 16 7 0 0 100 100 100 98 92
May, 2001....................... 75 9 0 0 0 100 100 100 93 87
June, 2001...................... 69 2 0 0 0 100 100 95 88 82
July, 2001...................... 63 0 0 0 0 100 97 90 84 78
August, 2001.................... 56 0 0 0 0 100 92 86 79 73
September, 2001................. 37 0 0 0 0 100 82 76 70 64
October, 2001................... 18 0 0 0 0 100 71 65 60 55
November, 2001.................. 4 0 0 0 0 100 63 58 53 48
December, 2001.................. 0 0 0 0 0 96 58 53 48 44
January, 2002................... 0 0 0 0 0 90 53 48 44 40
February, 2002.................. 0 0 0 0 0 85 49 45 40 36
March, 2002..................... 0 0 0 0 0 81 46 42 37 33
April, 2002..................... 0 0 0 0 0 77 43 39 34 31
May, 2002....................... 0 0 0 0 0 73 40 35 32 28
June, 2002...................... 0 0 0 0 0 69 37 33 29 0
July, 2002...................... 0 0 0 0 0 65 34 30 0 0
August, 2002.................... 0 0 0 0 0 61 31 0 0 0
September, 2002................. 0 0 0 0 0 50 0 0 0 0
October, 2002................... 0 0 0 0 0 40 0 0 0 0
November, 2002.................. 0 0 0 0 0 32 0 0 0 0
Decemberr, 2002................. 0 0 0 0 0 28 0 0 0 0
January, 2003................... 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 2.74 2.16 2.09 2.02 1.95 3.78 3.32 3.24 3.15 3.07
</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 17
<PAGE>
<TABLE>
<CAPTION>
Percent of Initial Principal Amount of the Notes at Various CPR Percentages
Payment Date Class B Notes
-------------------------------------------
<S> <C> <C> <C> <C> <C>
0% 13% 15% 17% 19%
--- --- --- --- ---
Closing Date.................... 100 100 100 100 100
December, 1998.................. 100 97 97 97 96
January, 1999................... 100 93 93 93 92
February, 1999.................. 100 91 90 90 89
March, 1999..................... 100 89 88 87 87
April, 1999..................... 100 86 86 85 84
May, 1999....................... 100 84 83 82 81
June, 1999...................... 100 82 81 80 79
July, 1999...................... 100 80 79 78 77
August, 1999.................... 100 78 77 75 74
September, 1999................. 82 74 72 71 69
October, 1999................... 78 69 68 66 65
November, 1999.................. 75 65 64 62 61
December, 1999.................. 72 62 61 59 58
January, 2000................... 70 60 58 57 55
February, 2000.................. 69 58 56 55 53
March, 2000..................... 67 56 54 53 51
April, 2000..................... 66 54 53 51 49
May, 2000....................... 64 52 51 49 47
June, 2000...................... 63 51 49 47 46
July, 2000...................... 62 49 48 46 44
August, 2000.................... 61 48 46 44 42
September, 2000................. 57 44 43 41 39
October, 2000................... 53 41 39 37 36
November, 2000.................. 51 38 37 35 33
December, 2000.................. 49 37 35 33 32
January, 2001................... 47 35 33 31 30
February, 2001.................. 45 33 31 30 28
March, 2001..................... 44 32 30 28 27
April, 2001..................... 42 30 29 27 26
May, 2001....................... 41 29 27 26 24
June, 2001...................... 40 28 26 25 23
July, 2001...................... 39 27 25 24 22
August, 2001.................... 37 26 24 23 21
September, 2001................. 34 23 22 20 19
October, 2001................... 31 21 19 18 17
November, 2001.................. 28 19 17 16 15
December, 2001.................. 27 17 16 15 14
January, 2002................... 25 16 15 14 13
February, 2002.................. 24 15 14 13 12
March, 2002..................... 23 15 13 12 11
April, 2002..................... 22 14 13 12 11
May, 2002....................... 21 13 12 11 10
June, 2002...................... 20 12 11 10 0
July, 2002...................... 19 12 11 0 0
August, 2002.................... 18 11 0 0 0
September, 2002................. 16 0 0 0 0
October, 2002................... 13 0 0 0 0
November, 2002.................. 11 0 0 0 0
December, 2002.................. 10 0 0 0 0
January, 2003................... 0 0 0 0 0
Weighted Average Life (years)(1) 2.26 1.80 1.74 1.68 1.63
----------------------
</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 18