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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 30, 1999
-------------------------------
CASE RECEIVABLES II
- - -------------------------------------------------------------------------------
(Exact Name of Registrant as Specified in Charter)
Delaware 333-82741 76-0439709
- - -------------------------------------------------------------------------------
(State or Other Jurisdiction (Commission (IRS Employer
of Incorporation) File Number) Identification No.)
475 Half Day Road, Lincolnshire, Illinois 60069
- - -------------------------------------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (847) 955-1002
----------------------------
- - -------------------------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
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Item 5. Other Events
On August 30, 1999, 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
$682,500,000 aggregate principal amount of asset-backed notes (the "Notes")
by Case Equipment Receivables Trust 1999-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
certain income tax matters (included as part of Exhibit 5)
Exhibit 99 -Term Sheet dated August 30, 1999 of Case Equipment
Receivables Trust 1999-B
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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 31, 1999 By: /S/ Ralph A. Than
-------------------------------------------
Ralph A. Than
Vice President and Treasurer
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EXHIBIT INDEX
Exhibit 5 - Opinion of Mayer, Brown & Platt with respect to legality
Exhibit 8(a) - Opinion of Mayer, Brown & Platt with respect to
certain income tax matters (included as part of Exhibit 5)
Exhibit 99 - Term Sheet dated August 30, 1999 of Case Equipment
Receivables Trust 1999-B
4
Exhibit 5
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August 31, 1999
Case Credit Corporation
233 Lake Avenue
Racine, Wisconsin 53403
Case Receivables II Inc.
475 Half Day Road
Lincolnshire, Illinois 60069
Case Equipment Receivables Trust 1999-B
233 Lake Avenue
Racine, Wisconsin 53403
Re: Case Receivables II Inc.
Registration Statement on
Form S-3 (Registration No. 333-82741)
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 $2,000,125,000 and (b) the contemplated sale
under the Registration Statement on September 13, 1999 of $682,500,000 of
Asset Backed Notes (the "Subject Notes") issued by Case Equipment
Receivables Trust 1999-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
Subject 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 Subject 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 deemed necessary to examine for the
purposes of this opinion.
<PAGE>
Page 2
Based on the foregoing, we are of the opinion that:
(i) the Subject 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
Subject Notes under the captions "U.S. Federal Income Tax
Consequences," "Illinois State Tax Consequences" and "ERISA
Considerations" (as modified by the statements, if any, set forth
under the headings "Summary of Terms--Tax Status," "Summary of
Terms --ERISA Considerations" and "ERISA Considerations" 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, the laws of the State
of Illinois and the business trust laws of the State of Delaware.
Very truly yours,
/s/ MAYER, BROWN & PLATT
MAYER, BROWN & PLATT
RFH:BCB
SUBJECT TO REVISION
TERM SHEET DATED AUGUST 30, 1999
$682,500,000 Asset Backed Notes
Case Equipment Receivables Trust 1999-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 1999-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 final prospectus supplement and by any
other additional information subsequently filed with the Securities and
Exchange 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 SEC and has been declared effective. The
final prospectus supplement and prospectus relating to the securities to be
issued 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 final
prospectus supplement and prospectus 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 final prospectus supplement and the
prospectus. The securities to be offered by the trust under the prospectus
and the prospectus supplement have not been approved or disapproved by the
SEC or any state securities commission; any representation to the contrary
is a criminal offense.
Underwriters of the Class A Notes
Merrill Lynch & Co.
Banc of America Securities LLC
Chase Securities Inc.
Credit Suisse First Boston
J.P. Morgan & Co.
Salomon Smith Barney
Underwriters of the Class B Notes
Merrill Lynch & Co. J.P. Morgan & Co.
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$682,500,000 Asset Backed Notes
Case Equipment Receivables Trust 1999-B
Subject to Revision
TERM SHEET
Offered Securities
We (Case Receivables II Inc.) are offering five classes of fixed rate notes
issued by Case Equipment Receivables Trust 1999-B:
Aggregate Principal
Class Amount
A-1 $68,629,000
A-2 $300,000,000
A-3 $100,000,000
A-4 $182,371,000
B $31,500,000
The notes will be book-entry securities clearing through DTC (in the United
States) or Cedel or Euroclear (in Europe) in minimum denominations of
$1,000 and in greater whole-dollar denominations.
Subordination
The A-1, A-2, A-3 and A-4 Notes are all Class A Notes. The Class B Notes
will be subordinated to the Class A Notes as follows:
o no interest will be paid on the Class B Notes on any payment date
until all interest due on the Class A Notes through that payment date
has been paid in full; and
o no principal will be paid on the Class B Notes on any payment date
until all principal due on the Class A Notes through that payment
date has been paid in full.
Closing Date
September 13, 1999.
Indenture Trustee
Harris Trust and Savings Bank.
Trustee
The Bank of New York.
Payment Dates
Payments on the notes will be made on the 15th day of each calendar month
(or, if not a business day, the next business day), beginning with October 15,
1999.
Principal Payments
The aggregate amount of principal payments to be made on all outstanding
classes of notes on each payment date will generally equal the decrease
during the prior collection period in the sum of the contract value of the
receivables and the amount on deposit in the trust's pre-funding account.
The contract value of the receivables equals the discounted present value
of their scheduled cash flows, using a discount rate equal to the weighted
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average annual percentage rate of the receivables. A collection period is a
period the length of a calendar month that ends about nine days prior to a
payment date, however, the first collection period will commence on the
initial cutoff date and end on October 5, 1999.
Principal payments on each payment date generally will be allocated between
the Class A Notes and the Class B Notes so that the ratio of Class B Note
principal to the sum of the contract values of the receivables and the
amount on deposit in the pre-funding account remains constant. However, the
following exceptions to this general rule will apply:
o Until the A-1 Notes have been repaid in full, distributions of
principal to the Class B Notes will be limited to the Class B Notes'
share of prepayments on the receivables during the related collection
period. The balance will be applied to the A-1 Notes.
o Any shortfall in the amount of funds available for principal payments
on any payment date will reduce the principal payment on the Class B
Notes (up to the amount of the full target payment on the Class B
Notes) before the principal payment on the Class A Notes is reduced.
Principal payments on the Class A Notes will generally be made 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. For
instance, no principal will be paid on the A-2 Notes until the A-1 Notes
have been paid in full.
Special priority rules that would apply in a default situation will be
described in the final prospectus supplement.
Final Scheduled Maturity Dates
The outstanding principal amount, if any, of each class of notes will be
payable in full on the date specified or the payment date falling in the
month specified for each below:
Class Final Maturity Date
A-1.......................... September, 2000
A-2.......................... October, 2003
A-3.......................... June, 2004
A-4.......................... June, 2006
B .......................... June, 2006
Optional Redemption
Any notes that remain outstanding on any payment date on which Case Credit
Corporation, as servicer, exercises its clean-up call will be prepaid in
whole on that payment date at a redemption price for each class of notes
equal to the outstanding principal balance of that class of notes, plus
accrued and unpaid interest thereon. The servicer cannot exercise its
clean-up call until the aggregate contract value of the receivables
declines to 10% or less of the aggregate initial contract value of the
receivables, as measured for each receivable at the time of its sale to the
trust.
Mandatory Redemption
The trust will have a pre-funding period. On the payment date on or
immediately following the last day of the pre-funding period, any funds
remaining in the trust's pre-funding account after any purchase of
receivables on that date will be applied to prepay the notes then
outstanding in whole or in part in the same sequence and proportions that
would apply in a normal principal distribution.
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The Initial Receivables
On the closing date, we will sell to the trust retail installment contracts
and full payout leases with an aggregate contract value of $322,989,181.27,
measured as of July 31, 1999.
Pre-funding
We will sell the trust additional retail installment contracts during a
pre-funding period beginning on the closing date and ending not later than
the close of business on the February 2000 payment date.
The trust will pay for the subsequent receivables with funds on deposit in
a pre-funding account established for the trust, with an initial deposit of
$377,010,818.73. We expect to sell subsequent receivables to the trust with
an aggregate contract value approximately equal to the amount deposited in
the pre-funding account. Prior to being used to purchase receivables, funds
on deposit in the pre-funding account will be invested from time to time in
highly rated short-term securities.
The pre-funding period will end earlier than the February 2000 payment date
if and when the balance in the pre-funding account is reduced to less than
$100,000. The pre-funding period will also terminate early if certain
defaults or other adverse events occur. Any balance remaining in the
pre-funding account at the end of the pre-funding period will be payable to
the noteholders as principal.
Negative Carry Account
We anticipate that the average interest rate earned by the trust on
investment of funds in the pre-funding account may be less than the
weighted average interest rate on the notes. To provide a source of funds
to cover any short fall resulting from this difference, we will deposit
approximately $6,001,000 into the trust's negative carry account.
Credit Enhancement
Spread Account
As credit enhancement for the notes, the trust will have a spread account.
The spread account will be funded as follows:
o On the closing date, we will deposit $8,074,729.53 (2.50% of the
contract value of the initial receivables) into the spread account.
o On the date of each subsequent sale of receivables to the trust, the
indenture trustee will transfer cash or highly rated, short-term
securities from the pre-funding account to the spread account having a
value approximately equal to 2.50% of the aggregate contract value of
the receivables purchased.
o On or after the last day of the pre-funding period, the amount on
deposit in the spread account will be reduced to an amount equal to
2.00% of the contract value of the receivables as of the last day
of the pre-funding period, but only if Standard & Poor's has notified the
servicer that the reduction will not result in a decrease of the
original credit ratings of the notes.
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o On each payment date after any draw has been made on the spread
account, available collections remaining after other more senior
payments have been made will be deposited into the spread account to
the extent necessary to maintain a specified minimum balance.
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.
Yield Supplement Account
As further credit enhancement for the notes, the trust will have a yield
supplement account. However, no deposit is required to be made into the
yield supplement account on or before the closing date. On the date of each
subsequent sale of receivables to the trust, a specified amount based on
the annual percentage rate and contract value of the receivables will be
deposited into the yield supplement account, but only if necessary to
maintain the original credit ratings of the notes.
Prior to each payment date, for any receivable that has either prepaid or
been liquidated during the related collection period, the servicer will
calculate the excess (if any) of the contract value of that receivable over
its outstanding principal balance. Any funds available in the yield
supplement account up to the amount of that excess will be added to the
funds available for distribution to noteholders to the extent that there
would otherwise be a shortfall before any withdrawal from the spread
account.
The Certificates
On the closing date, the trust will issue certificates to us in an
aggregate principal amount of $17,500,000. We will initially retain the
entire principal amount of the certificates. Distributions of interest on
the certificates will be junior in priority of payment to interest and
principal due on the notes, and no principal will be paid on the
certificates until the notes have been repaid in full.
Subordination
The subordination of the Class B Notes to the Class A Notes will provide
additional credit enhancement for the Class A Notes.
Priority of Distributions
On each payment date, available collections, plus funds transferred from
various trust accounts as described above, will be applied to the following
(in the priority indicated):
(1) administration fees;
(2) interest on the Class A Notes;
(3) interest on the Class B Notes;
(4) to pay principal on the notes in the priority described above under
"Offered Securities-Principal Payments";
(5) to the spread account, to the extent
necessary to maintain a specified
balance;
(6) interest on the certificates;
(7) after the notes have been repaid in full, principal on the
certificates;
(8) servicing fees, except that if neither Case Credit nor any of its
affiliates is the servicer, servicing fees will be paid
prior to any other application of funds; and
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(9) the remaining balance, if any, to us.
Special priority rules that would apply in a default situation will be
described in the final prospectus supplement.
Tax Status
Mayer, Brown & Platt, our special Federal tax counsel, is of the opinion
that for Federal income tax purposes the notes will be characterized as
debt and the trust will not be characterized as an association (or publicly
traded partnership) taxable as a corporation. Mayer, Brown & Platt, our
special Illinois tax counsel, is also of the opinion that the same
characterizations should apply for Illinois tax purposes as for Federal
income tax purposes.
ERISA Considerations
Subject to the considerations discussed under "ERISA Considerations," the
notes are eligible for purchase by employee benefit plans.
Legal Investment
The A-1 Notes will be eligible securities for purchase by money market
funds under paragraph (a)(10) of Rule 2a-7 under the Investment Company Act
of 1940, as amended.
Rating of the Notes
The trust will not issue the notes unless the A-1 Notes are rated in the
highest short-term rating category, the A-2 Notes, A-3 Notes and A-4 Notes
are rated in the highest long-term rating category and that the Class B
Notes are rated at least in the "A" category or its equivalent, in each
case by at least two nationally recognized statistical rating agencies.
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Capitalization of the Trust
The following table illustrates the capitalization of the trust as
of July 31, 1999, as if the issuance and sale of the notes and the
certificates had taken place on that date:
Class A-1 Asset Backed Notes.......................................$68,629,000
Class A-2 Asset Backed Notes......................................$300,000,000
Class A-3 Asset Backed Notes......................................$100,000,000
Class A-4 Asset Backed Notes......................................$182,371,000
Class B Asset Backed Notes.........................................$31,500,000
Asset Backed Certificates........................................ $17,500,000
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Total ................................................$700,000,000
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The Receivables
The receivables consist of retail installment sale contracts or
loans secured by new or used agricultural, construction or other equipment
(including trucks and forestry equipment) and leases of similar equipment.
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, 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
financed equipment and remedies on default, full payout leases are very
similar to retail installment contracts.
The composition, distribution by annual percentage rate,
receivable type, equipment type, payment frequency, current contract value
and geographic distribution, in each case of the initial receivables as of
July 31, 1999, are as set forth in the following tables. For purposes of
the data in the following tables, the "Statistical Contract Value" for each
receivable has been calculated as either (a) the sum of the present value
of the scheduled and unpaid payments on the receivable, discounted monthly
at an annual rate equal to its annual percentage rate (instead of the
weighted average annual percentage rate of the initial receivables) plus
any amount of past due payments or (b) the current balance of the
receivable on the servicer's records, depending upon the type of
receivable.
Totals may not add to 100% due to rounding.
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Composition of the Receivables Pool
Average
Initial Aggregate Weighted Weighted Statistical
Cutoff Statistical Number of Average Average Contract
Date APR Contract Value Receivables Remaining Term Original Term Value
- - --------- -------------- ----------- -------------- ------------- ----------
8.99% $323,269,745.63 10,435 48.40 months 50.41 months $30,979.37
Composition of the Receivables Pool
by Receivables Type
Percent of
Aggregate
Aggregate Statistical
Receivables Type Number of Statistical Contract
Receivables Contract Value Value
----------- -------------- -----------
Retail Installment Contracts.......... 9,723 $288,711,982.75 89.31%
Full Payout Leases.................... 712 34,557,762.88 10.69
---- ------------- -----
Total................................ 10,435 $323,269,745.63 100.00%
====== =============== =======
Distribution by Note APR of the Receivables Pool
Percent of
Aggregate
Aggregate Statistical
Number of Statistical Contract
Note APR Range Receivables Contract Value Value
- - -------------- ----------- -------------- ------
3.000% to 3.999%.................... 399 $ 7,062,714.76 2.18%
4.000% to 4.999%.................... 639 18,411,187.84 5.70
5.000% to 5.999%.................... 516 20,884,310.66 6.46
6.000% to 6.999%.................... 801 21,851,763.08 6.76
7.000% to 7.999%.................... 1,565 50,135,706.11 15.51
8.000% to 8.999%.................... 771 51,930,149.51 16.06
9.000% to 9.999%.................... 1,949 66,570,189.20 20.59
10.000% to 10.999%.................... 2,219 35,721,709.67 11.05
11.000% to 11.999%.................... 552 16,000,807.80 4.95
12.000% to 12.999%.................... 295 8,616,109.67 2.67
13.000% to 13.999%.................... 208 7,283,441.05 2.25
14.000% to 14.999%.................... 157 5,537,442.46 1.71
15.000% to 15.999%.................... 136 5,602,578.92 1.73
16.000% to 16.999%.................... 64 2,251,118.06 0.70
17.000% to 17.999%.................... 163 5,341,387.14 1.65
20.000% to 20.999%.................... 1 69,129.70 0.02
------ -------------- -------
Total................................. 10,435 $323,269,745.63 100.00%
====== =============== ======
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Distribution by Equipment Type of the Receivables Pool
Percent of
Aggregate
Aggregate Statistical
Number of Statistical Contract
Type Receivables Contract Value Value
- - ---- ----------- -------------- -----------
Agricultural
New....................... 2,778 $ 54,549,554.91 16.87%
Used...................... 3,055 64,663,670.42 20.00
Construction
New....................... 1,917 77,554,617.81 23.99
Used...................... 1,416 53,948,264.97 16.69
Truck
New....................... 266 24,063,361.05 7.44
Used...................... 729 28,820,213.11 8.92
Forestry
New....................... 107 10,809,124.13 3.34
Used...................... 167 8,860,939.23 2.74
-------- ---------------- --------
Total.......................... 10,435 $323,269,745.63 100.00%
====== =============== =======
Distribution by Payment Frequency of the Receivables Pool
Percent of
Aggregate
Aggregate Statistical
Number of Statistical Contract
Frequency Receivables Contract Value Value
- - --------- ----------- --------------- ------
Annual(1)...................... 3,591 $ 81,770,721.45 25.29%
Monthly........................ 6,371 227,576,197.52 70.40
Quarterly...................... 82 2,069,597.30 0.64
Semi-Annual.................... 391 11,853,229.36 3.67
--- ------------- -------
Total..........................10,435 $323,269,745.63 100.00%
====== =============== =======
- - ---------------------
(1) Approximately 6.70%, 3.80%, 4.24%, 4.16%, 7.06%, 20.47%, 28.18%,
11.51%, 4.64%, 2.05%, 2.25% and 4.93% of the 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.
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Distribution by Current Statistical Contract Value of the Receivables Pool
Percent of
Aggregate
Aggregate Statistical
Statistical Contract Number of Statistical Contract
Value Range Receivables Contract Value Value
0.01- 4,999.99................. 1,452 $ 4,947,345.79 1.53%
$5,000.00 to $9,999.99................. 1,872 13,299,557.29 4.11
$10,000.00 to $14,999.99................ 1,344 16,594,940.37 5.13
$15,000.00 to $19,999.99................ 1,043 18,072,905.94 5.59
$20,000.00 to $24,999.99................ 760 16,925,679.80 5.24
$25,000.00 to $29,999.99................ 537 14,772,041.08 4.57
$30,000.00 to $34,999.99................ 477 15,405,972.19 4.77
$35,000,00 to $40,999.99................ 387 14,532,220.89 4.50
$40,000,00 to $44,999.99................ 349 14,807,242.55 4.58
$45,000.00 to $49,999.99................ 332 15,769,002.17 4.88
$50,000.00 to $54,999.99................ 306 16,032,574.49 4.96
$55,000.00 to $59.999.99................ 200 11,519,520.09 3.56
$60,000.00 to $64,999.99................ 182 11,394,430.20 3.52
$65,000.00 to $69,999.99................ 175 11,830,054.65 3.66
$70,000.00 to $74,999.99................ 115 8,319,463.87 2.57
$75,000.00 to $79,999.99................ 86 6,649,863.30 2.06
$80,000.00 to $84,999.99................ 80 6,614,149.29 2.05
$85,000.00 to $89,999.99................ 76 6,665,318.54 2.06
$90,000.00 to $94,000.00................ 85 7,870,615.74 2.43
$95,000.00 to $99,999.99................ 74 7,211,900.16 2.23
$100,000.00 to $199,999.99............... 409 53,368,768.79 16.51
$200,000.00 to $299,999.99............... 57 13,730,263.49 4.25
$300,000.00 to $399,999.99............... 28 9,802,460.10 3.03
$400,000.00 to $499,999.99............... 2 835,159.20 0.26
$500,000.00 to $599,999.99............... 4 2,132,405.36 0.66
$600,000.00 to $699,999.99............... 1 654,813.34 0.20
$900,000.00 to $999,999.99............... 1 919,193.63 0.28
Greater than $999,999.99................ 1 2,591,883.32 0.80
---- ------------ -----
10,435 $323,269,745.63 100.00%
Total.................................... ====== =============== =======
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Geographic Distribution of the Receivables Pool
Percent of Percent of
Aggregate Aggregate
Statistical Statistical
Contract Contract
State(1) Value State(1) Value
- - -------- ------------- -------- ---------
Alabama....................... 3.19% Nebraska...................... 1.86%
Alaska........................ 0.03 Nevada........................ 0.92
Arizona....................... 2.28 New Hampshire................. 0.21
Arkansas...................... 4.14 New Jersey.................... 1.10
California.................... 3.74 New Mexico.................... 0.71
Colorado...................... 2.97 New York...................... 2.21
Connecticut................... 0.20 North Carolina................ 1.91
Delaware...................... 0.23 North Dakota.................. 0.94
Florida....................... 4.79 Ohio.......................... 1.94
Georgia....................... 4.01 Oklahoma...................... 2.14
Hawaii........................ 0.05 Oregon........................ 1.01
Idaho......................... 1.34 Pennsylvania.................. 2.51
Illinois...................... 3.36 Rhode Island.................. 0.02
Indiana....................... 1.93 South Carolina................ 1.63
Iowa.......................... 2.40 South Dakota.................. 2.25
Kansas........................ 2.70 Tennessee..................... 3.27
Kentucky...................... 1.73 Texas.........................11.32
Louisiana..................... 1.99 Utah.......................... 1.60
Maine......................... 0.62 Vermont....................... 0.28
Maryland...................... 1.30 Virginia...................... 1.04
Massachusetts................. 0.43 Washington.................... 2.44
Michigan...................... 2.05 West Virginia................. 0.39
Minnesota..................... 2.20 Wisconsin..................... 3.20
Mississippi................... 3.78 Wyoming....................... 0.62
Missouri...................... 1.97 -----
Montana....................... 1.04 Total.................... 100.00%
=======
(1) Based upon billing addresses of the obligors.
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, forestry, truck and construction 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.
12
<PAGE>
<TABLE>
<CAPTION>
Delinquency Experience (1)
At December 31,
---------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
---------------------------------------------------------------------------------------------------
(Dollars in Millions)
<S> <C> <C> <C> <C> <C> <C> <C> >C> <C>
Number Number Number Number Number
of of of of of
Contracts Amount Contracts Amounts Contracts Amount Contracts Amount Contracts Amount
--------- ----- -------- ------- --------- ------ --------- ------ ------- ---------
Portfolio...... 153,959 $4,150.3 145,101 $3,623.3 135,211 $3,262.4 135,722 $3,093.1 128,891 $2,641.0
Period of
Delinquency
31-60 days..... 3,100 104.1 2,649 74.2 2,031 45.9 1,927 33.5 1,457 18.4
60 Days or More 3,251 133.0 2,502 65.3 1,778 36.3 1,509 18.5 855 9.4
----- ----- ----- ---- ----- ---- ----- ---- ------ -----
Total
Delinquencies. 6,351 237.1 5,151 $139.5 $3,809 $82.2 3,436 $52.0 $2,312 $27.8
Total
Delinquencies as a
Percent of the
Portfolio...... 4.1% 5.7% 3.6% 3.9% 2.8% 2.5% 2.5% 1.7% 1.8% 1.0
Delinquency Experience (1)
At June 30,
------------------------------------------------------
1999 1998
------------------------------------------------------
(Dollars in Millions
<S> <C> <C> <C> <C>
Number Number
of of
Contracts Amount Contracts Amount
--------- ------ --------- ------
Portfolio...... 156,340 $4,412.9 149,535 $3,891.6
Period of
Delinquency
31-60 days..... 3,002 109.2 2,303 66.0
60 Days or More 3,688 169.80 2,089 65.6
----- ------ ----- ----
Total
Delinquencies.. 6,690 $279.0 4,392 $131.6
Total
Delinquencies as a
Percent of the
Portfolio..... 4.3% 6.3% 2.9% 3.4%
- - ----------------------
(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,
forestry, truck 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.
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
Credit Loss/Repossession Experience(1)
Six Months Ended June
Year Ended December 31, June 30,
--------------------------------------------------------------------------------------
1998 1997 1996 1995 1994 1999 1998
--------------------------------------------------------------------------------------
(Dollars in Millions)
<S> <C> <C> <C> <C> <C> <C> <C>
Average Gross Portfolio Outstanding
During the Period........................ $3,886.8 $3,442.9 $3,155.5 $2,857.7 $2,511.2 $4,281.6 $3,726.4
Repossessions as a Percent of Average
Gross Portfolio Outstanding.............. 1.22% 1.20% 1.07% 1.14% 1.33% 1.19% 1.40%
Net Losses as a Percent of
Liquidations (2)(3)(4)................... 0.53% 0.34% 0.15% 0.22% 0.36% 0.82% 0.48%
Net Losses as a Percent of Average
Gross Portfolio Outstanding (2)(3)(5).... 0.29% 0.20% 0.08% 0.11% 0.19% 0.42% 0.30%
</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,
forestry, truck and construction equipment and includes the
receivables that remained with Tenneco Credit Corporation and
previously sold contracts that Case Credit continues to service.
(2) A portion of the contracts provide for recourse to dealers.
Approximately 16%, 25%, 25%, 22%, 22%, 15% and 20% of the aggregate
amounts scheduled to be paid on the contracts acquired during the
years ended December 31, 1998, 1997, 1996, 1995 and 1994 and the six
months ended June 30, 1999 and 1998, respectively, provide for
recourse to dealers (excluding some contracts which provide for
partial 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.
(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, 1999
and June 30, 1998, and are not necessarily indicative of the experience for
the year.
13
<PAGE>
Weighted Average Life of the Notes
As the rate of payment of principal of the notes depends primarily on
the rate of payment (including prepayments) of the principal balance of the
receivables, final payment of each class of notes could occur significantly
earlier than the final maturity date for that class. You will bear the risk
of being able to reinvest principal payments on your notes at yields at
least equal to the yield on your notes.
Prepayments on retail installment sale contracts can be measured
relative to a prepayment standard or model. The model used in this term
sheet is based on a constant prepayment rate ("CPR"). CPR is determined by
the percentage of principal outstanding at the beginning of a period that
prepays during that period, stated as an annualized rate. The CPR
prepayment model, like any prepayment model, does not purport to be either
an historical description of prepayment experience or a prediction of the
anticipated rate of prepayment.
The tables on the following pages have been prepared on the basis of
certain assumptions, including that: (a) the receivables prepay in full at
the specified monthly CPR, with no repurchases, (b) each scheduled payment
on the receivables is made on the last day of each collection period, (c)
distributions are made on each payment date in respect of the notes in
accordance with the description set forth under "Priority of Distributions"
above, (d) the balance in the spread account on any day is equal to the
required spread account balance, (e) the balance in the yield supplement
account on any day is equal to the required yield supplement account
balance, (f) the closing date occurs on September 13, 1999 and (g) the
servicer exercises its option to purchase the receivables on the earliest
permitted payment date. The tables indicate the projected weighted average
life of each class of notes 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 CPR
percentages.
The tables also assume that the receivables have been aggregated into
four hypothetical pools with all of the receivables within each pool having
the following characteristics:
Aggregate Weighted
Pool Contract Value Average APR
1 .................................... $322,989,181.27 8.911%
2 .................................... 170,000,000.00 7.917
3 .................................... 140,000,000.00 7.917
4 .................................... 67,010,818.73 7.917
----------------- -----
$700,000,000.00 8.376%
=============== ======
Hypothetical pool 1 has the same contract value and cashflow
characteristics as the initial receivables. Hypothetical pools 2, 3 and 4
have a contract value equal in the aggregate to the amount deposited in the
trust's pre-funding account.
The information included in the following tables represents
forward-looking statements and involves risks and uncertainties that could
cause actual results to differ materially from those in the forward-looking
statements. The actual characteristics and performance of the receivables
will differ from the assumptions used in constructing the tables. The
assumptions used are hypothetical and have been provided only to give a
general sense of how the principal cash flows might behave under varying
prepayment scenarios. For example, it is highly unlikely that the
receivables will prepay at a constant CPR until maturity or that all of the
receivables will prepay at the same CPR. Similarly, the aggregate contract
value of additional receivables may be less than the amount deposited in
the trust's pre-funding account. Moreover, the diverse terms of receivables
within each of the four
14
<PAGE>
hypothetical pools could produce slower or faster principal distributions
than indicated in the table at the various CPR specified. Any difference
between those assumptions and the actual characteristics and performance of
the receivables, or actual prepayment experience, will affect the
percentages of initial balances outstanding over time and the weighted
average lives of the notes.
15
<PAGE>
<TABLE>
<CAPTION>
Percent of Initial Principal Amount of the Notes at Various CPR Percentages
Class A-1 Notes Class A-2 Notes
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Payment Date 0% 13% 15% 17% 19% 0% 13% 15% 17% 19%
- - ------------ ------- ------ ----- ----- ----- ------ ----- ----- ----- -----
Closing Date ....................... 100 100 100 100 100 100 100 100 100 100
October, 1999....................... 78 67 64 62 60 100 100 100 100 100
November, 1999...................... 65 45 41 37 34 100 100 100 100 100
December, 1999...................... 50 20 15 9 4 100 100 100 100 100
January, 2000....................... 34 0 0 0 0 100 99 97 96 94
February, 2000...................... 19 0 0 0 0 100 94 92 90 88
March, 2000......................... 4 0 0 0 0 100 88 86 84 82
April, 2000......................... 0 0 0 0 0 98 83 81 78 76
May, 2000........................... 0 0 0 0 0 95 78 75 72 70
June, 2000.......................... 0 0 0 0 0 91 72 69 66 63
July, 2000.......................... 0 0 0 0 0 84 64 61 58 54
August, 2000........................ 0 0 0 0 0 78 56 53 50 46
September, 2000..................... 0 0 0 0 0 72 49 46 43 39
October, 2000....................... 0 0 0 0 0 68 44 40 37 33
November, 2000...................... 0 0 0 0 0 64 39 36 32 28
December, 2000...................... 0 0 0 0 0 61 35 31 27 23
January, 2001....................... 0 0 0 0 0 57 30 26 22 18
February, 2001...................... 0 0 0 0 0 53 26 22 18 14
March, 2001......................... 0 0 0 0 0 50 21 17 13 9
April, 2001......................... 0 0 0 0 0 46 17 13 9 5
May, 2001........................... 0 0 0 0 0 42 13 9 4 0
June, 2001.......................... 0 0 0 0 0 37 8 3 0 0
July, 2001.......................... 0 0 0 0 0 31 1 0 0 0
August, 2001........................ 0 0 0 0 0 24 0 0 0 0
September, 2001..................... 0 0 0 0 0 18 0 0 0 0
October, 2001....................... 0 0 0 0 0 14 0 0 0 0
November, 2001...................... 0 0 0 0 0 10 0 0 0 0
December, 2001...................... 0 0 0 0 0 7 0 0 0 0
January, 2002....................... 0 0 0 0 0 3 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
February, 2003...................... 0 0 0 0 0 0 0 0 0 0
March, 2003......................... 0 0 0 0 0 0 0 0 0 0
April, 2003......................... 0 0 0 0 0 0 0 0 0 0
May, 2003........................... 0 0 0 0 0 0 0 0 0 0
June, 2003.......................... 0 0 0 0 0 0 0 0 0 0
July, 2003.......................... 0 0 0 0 0 0 0 0 0 0
August, 2003........................ 0 0 0 0 0 0 0 0 0 0
September, 2003..................... 0 0 0 0 0 0 0 0 0 0
October, 2003....................... 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1).... 0.30 0.20 0.19 0.18 0.17 1.51 1.10 1.05 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.
16
<PAGE>
<TABLE>
<CAPTION>
Percent of Initial Principal Amount of the Notes at Various CPR Percentages
Class A-3 Notes Class A-4 Notes
-------------------------------------------------------------------------------------------------
Payment Date 0% 13% 15% 17% 19% 0% 13% 15% 17% 19%
- - ------------ ------- ------ ----- ----- ----- ------ ----- ----- ----- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................... 100 100 100 100 100 100 100 100 100 100
October, 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...................... 100 100 100 100 100 100 100 100 100 100
August, 2000.................... 100 100 100 100 100 100 100 100 100 100
September, 2000................. 100 100 100 100 100 100 100 100 100 100
October, 2000................... 100 100 100 100 100 100 100 100 100 100
November, 2000.................. 100 100 100 100 100 100 100 100 100 100
December, 2000.................. 100 100 100 100 100 100 100 100 100 100
January, 2001................... 100 100 100 100 100 100 100 100 100 100
February, 2001.................. 100 100 100 100 100 100 100 100 100 100
March, 2001..................... 100 100 100 100 100 100 100 100 100 100
April, 2001..................... 100 100 100 100 100 100 100 100 100 100
May, 2001....................... 100 100 100 100 100 100 100 100 100 100
June, 2001...................... 100 100 100 98 85 100 100 100 100 100
July, 2001...................... 100 100 91 79 67 100 100 100 100 100
August, 2001.................... 100 85 73 60 49 100 100 100 100 100
September, 2001................. 100 69 56 44 33 100 100 100 100 100
October, 2001................... 100 55 43 32 20 100 100 100 100 100
November, 2001.................. 100 45 33 21 10 100 100 100 100 100
December, 2001.................. 100 34 22 10 0 100 100 100 100 100
January, 2002................... 100 23 11 0 0 100 100 100 100 94
February, 2002.................. 97 12 0 0 0 100 100 100 94 88
March, 2002..................... 85 1 0 0 0 100 100 95 89 83
April, 2002..................... 74 0 0 0 0 100 95 89 83 78
May, 2002....................... 63 0 0 0 0 100 90 84 78 73
June, 2002...................... 48 0 0 0 0 100 83 77 72 67
July, 2002...................... 28 0 0 0 0 100 75 69 64 59
August, 2002.................... 9 0 0 0 0 100 67 62 57 53
September, 2002................. 0 0 0 0 0 96 60 56 51 47
October, 2002................... 0 0 0 0 0 90 55 51 46 42
November, 2002.................. 0 0 0 0 0 85 51 47 43 39
December, 2002.................. 0 0 0 0 0 80 48 43 39 36
January, 2003................... 0 0 0 0 0 75 44 40 36 32
February, 2003.................. 0 0 0 0 0 70 40 36 32 29
March, 2003..................... 0 0 0 0 0 65 36 33 29 0
April, 2003..................... 0 0 0 0 0 60 33 29 0 0
May, 2003....................... 0 0 0 0 0 56 30 0 0 0
June, 2003...................... 0 0 0 0 0 50 0 0 0 0
July, 2003...................... 0 0 0 0 0 43 0 0 0 0
August, 2003.................... 0 0 0 0 0 36 0 0 0 0
September, 2003................. 0 0 0 0 0 30 0 0 0 0
October, 2003................... 0 0 0 0 0 0 0 0 0 0
Weighted Average Life (years)(1) 2.76 2.19 2.11 2.04 1.97 3.70 3.26 3.18 3.10 3.02
</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.
17
<PAGE>
Percent of Initial Principal Amount of the Notes
at Various CPR Percentages
Payment Date
Class B Notes
------------------------------------------------
0% 13% 15% 17% 19%
--- --- --- --- ---
Closing Date.................... 100 100 100 100 100
October, 1999................... 100 97 96 96 96
November, 1999.................. 100 94 94 94 93
December, 1999.................. 100 92 91 91 90
January, 2000................... 100 89 89 88 87
February, 2000.................. 100 87 86 85 84
March, 2000..................... 100 84 83 82 81
April, 2000..................... 100 82 81 80 79
May, 2000....................... 88 80 79 77 76
June, 2000...................... 86 77 76 74 73
July, 2000...................... 83 74 72 71 69
August, 2000.................... 80 70 69 67 66
September, 2000................. 77 67 66 64 62
October, 2000................... 75 65 63 61 60
November, 2000.................. 74 63 61 59 58
December, 2000.................. 72 61 59 57 55
January, 2001................... 70 58 57 55 53
February, 2001.................. 69 56 55 53 51
March, 2001..................... 67 54 53 51 49
April, 2001..................... 66 53 51 49 47
May, 2001....................... 64 51 49 47 45
June, 2001...................... 62 48 46 45 43
July, 2001...................... 59 45 44 42 40
August, 2001.................... 56 43 41 39 37
September, 2001................. 53 40 38 37 35
October, 2001................... 51 38 36 35 33
November, 2001.................. 49 37 35 33 31
December, 2001.................. 48 35 33 31 30
January, 2002................... 46 33 32 30 28
February, 2002.................. 44 32 30 28 27
March, 2002..................... 43 30 28 27 25
April, 2002..................... 41 29 27 25 24
May, 2002....................... 39 27 25 24 22
June, 2002...................... 37 25 24 22 21
July, 2002...................... 34 23 22 20 19
August, 2002.................... 31 21 19 18 17
September, 2002................. 29 19 18 17 15
October, 2002................... 27 18 16 15 14
November, 2002.................. 26 17 15 14 13
December, 2002.................. 24 16 14 13 12
January, 2003................... 23 14 13 12 11
February, 2003.................. 22 13 12 11 11
March, 2003..................... 20 12 12 11 0
April, 2003..................... 19 12 11 0 0
May, 2003....................... 18 11 0 0 0
June, 2003...................... 16 0 0 0 0
July, 2003...................... 14 0 0 0 0
August, 2003.................... 12 0 0 0 0
September, 2003................. 11 0 0 0 0
October, 2003................... 0 0 0 0 0
Weighted Average Life (years)(1) 2.28 1.83 1.77 1.71 1.66
- - --------------------------
(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.
18
