<PAGE>
UNITED STATES
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): October 19, 1998
------------------------------
FIRST SECURITY BANK-Registered Trademark-, N.A.
-----------------------------------------------
(Exact name of registrant as specified in its charter)
United States of America 333-35847 87-0131890
- ---------------------------- ---------------- -------------------
(State or other Jurisdiction (Commission File (I.R.S. employer
of Incorporation) Number) Identification No.)
79 South Main Street
Salt Lake City, Utah 84111
(Address of principal executive offices)
----------------------------------------
Registrant's telephone number, including area code: 801-246-5706
Page 1 of 4
Exhibit Index appears on Page 4
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<PAGE>
ITEM 5. OTHER EVENTS
On October 19, 1998, the registrant made available to prospective
investors a series term sheet setting forth a description of the collateral pool
and the proposed structure of $147,500,000.00 aggregate principal amount of
Class A-1 ___% Asset Backed Notes, $232,000,000.00 aggregate principal amount of
Class A-2 ___% Asset Backed Notes, $336,470,000.00 aggregate principal amount of
Class A-3 ___% Asset Backed Notes and $33,776,000.00 aggregate principal amount
of Class B ___% Asset Backed Notes of First Security Auto Owner Trust 1998-1.
The term sheet is attached hereto as Exhibit 99.
EXHIBIT 99 The following is filed as an Exhibit to this Report under Exhibit
99.
Term Sheet dated October 19, 1998, with respect to the proposed
issuance of the Class A-1 Notes, Class A-2 Notes, Class A-3
Notes and Class B Notes of First Security Auto Owner Trust
1998-1.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
as amended, the registrant has duly caused this report to be signed on its
behalf by the undersigned hereunto duly authorized.
FIRST SECURITY BANK-Registered
Trademark-, N.A.
(Registrant)
Dated: October 19, 1998
By:
---------------------------------
Name: Scott C. Ulbrich
Title: Chief Financial Officer
<PAGE>
INDEX TO EXHIBITS
<TABLE>
<CAPTION>
Sequentially
Exhibit Number Exhibit Numbered Page
- ---------------- ------------------------------------------ ----------------
<S> <C> <C>
99 Term Sheet dated as of October 19, 1998
</TABLE>
<PAGE>
SUBJECT TO REVISION
TERM SHEET DATED OCTOBER 19, 1998 EXHIBIT 99
$749,746,000.00
$147,500,000.00 CLASS A-1 ___% ASSET BACKED NOTES
$232,000,000.00 CLASS A-2 ___% ASSET BACKED NOTES
$336,470,000.00 CLASS A-3 ___% ASSET BACKED NOTES
$ 33,776,000.00 CLASS B ___% ASSET BACKED NOTES
FIRST SECURITY-Registered Trademark- AUTO OWNER TRUST 1998-1
ISSUER
FIRST SECURITY BANK-Registered Trademark-, N.A.
SELLER AND SERVICER
Attached is a preliminary term sheet (the "TERM SHEET") describing the
structure, collateral pool and certain aspects of the First Security-Registered
Trademark- Auto Owner Trust 1998-1 (the "TRUST"). The information contained in
the attached Term Sheet is referred to as the "INFORMATION".
The attached Term Sheet has been prepared with the cooperation of First Security
Bank, N.A. (the "BANK"). Neither the underwriters, nor any of their affiliates,
makes any representation as to the accuracy or completeness of the Information.
The description of the collateral pool and other Information contained herein is
preliminary and will be superseded by the applicable prospectus supplement and
by any other information subsequently filed with the Securities and Exchange
Commission. In addition, the attached Term Sheet supersedes any prior term
sheet.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, a final prospectus supplement relating
to the securities discussed in this communication has not been filed with the
Securities and Exchange Commission. A final prospectus supplement will be filed
after the securities have been priced and all of the terms and information are
finalized. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the securities
discussed in this communication in any state in which such offer, solicitation
or sale would be unlawful prior to registration or qualification under the
securities laws of such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication ("OFFERING
DOCUMENTS") for definitive Information on any matter discussed in this
communication. Any investment decision should be based on the data in the
Offering Documents and the then current version of the Information. Offering
Documents contain data that is current as of their publication dates and after
publication may no longer be complete or current. A final prospectus and
prospectus supplement may be obtained by contacting the J.P. Morgan Asset
Finance Group at (212) 648-4506.
Sales of the securities to be offered by the Trust may not be consummated unless
the purchaser has received the Offering Documents. The securities to be offered
by the Trust under the Offering Documents 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 NOTES
J.P. MORGAN & CO.
CREDIT SUISSE FIRST BOSTON
FIRST SECURITY CAPITAL MARKETS, INC.
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<PAGE>
FIRST SECURITY-Registered Trademark- AUTO OWNER TRUST 1998-1
FIRST SECURITY BANK-Registered Trademark-, N.A., SELLER AND SERVICER
Subject to Revision
Term Sheet Dated October 19, 1998
Capitalized terms used below which are not defined have the meanings
specified in the Base Prospectus of First Security Bank-Registered Trademark-,
N.A. Dated August 12, 1998 and pertaining to First Security-Registered
Trademark- Auto Owner Trusts. A copy of such Prospectus is available from the
Securities and Exchange Commission and by contacting
J.P. Morgan Finance Group at (212) 648-4506.
Issuer . . . . . . . . First Security Auto Owner Trust 1998-1 (the "TRUST"
or the "ISSUER").
Indenture Trustee . . . Bankers Trust Company will act as the Indenture
Trustee.
Owner Trustee . . . . . Wilmington Trust Company will act as the Owner
Trustee.
The Notes . . . . . . . The Notes offered hereby are:
1) Class A-1 ____% Asset Backed Notes in the
aggregate principal amount of $147,500,000.00.
2) Class A-2 ____% Asset Backed Notes in the
aggregate principal amount of $232,000,000.00.
3) Class A-3 ____% Asset Backed Notes in the
aggregate principal amount of $336,470,000.00.
4) Class B ____% Asset Backed Notes in the
aggregate principal amount of $33,776,00.00.
The Seller will retain a Class B Note in the
aggregate principal amount of $311.45, which
is not offered hereby.
Trust Property. . . . . The principal property of the Trust will include,
among other things,: (i) a pool of fixed rate motor
vehicle installment sale contracts and installment
loans; (ii) all monies due or received thereunder
on and after the Cutoff Date; (iii) security
interests in the Financed Vehicles; and (iv)
amounts on deposit in the Trust Accounts, including
the Reserve Account.
Terms of the Notes:
Distribution Date . The 15th day of each month (or, if such day is
not a business day, the next succeeding business
day), beginning November 16, 1998.
Interest. . . . . . - The interest rate for each Class of Notes is
the fixed rate as specified on the cover page
of this Term Sheet. Interest will be payable
on all Notes on each Distribution Date.
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<PAGE>
- Interest on the Class A-1 Notes and the Class
A-2 Notes will be calculated on the basis of
the actual number of days from the last
Distribution Date and a 360-day year.
- Interest on the Class A-3 Notes and the Class
B Notes will be calculated on the basis of a
360-day year of twelve 30-day months.
Principal . . . . . - Principal on the Notes will be payable on each
Distribution Date in an aggregate amount based
on the amount of principal collected on the
Receivables during the related Collection
Period:
- first, 100% to the 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 and no
principal will be paid on the Class A-3
Notes until the Class A-1 Notes and the
Class A-2 Notes have been paid in full);
and
- second, 100% to the Class B Notes until
paid in full.
- After an acceleration of the Notes following
an Event of Default or if any Notes remain
outstanding following the applicable Final
Scheduled Distribution Date, in lieu of the
above, principal payments will be made as
follows:
- first, to the Class A Noteholders ratably
according to the amount due and payable
on each class until all the Class A Notes
have been paid in full; and
- second, to the Class B Noteholders until
the Class B Notes have been paid in full.
Redemption. . . . . The Class A-3 Notes and the Class B Notes will be
redeemed in whole on any Distribution Date if the
Servicer exercises its option to purchase from the
Trust the Receivables and other Trust Property. The
Servicer may exercise this option only if:
- the Aggregate Receivables Balance declines to
10% or less of the Aggregate Starting
Receivables Balance;
- the aggregate of the Repurchase Amount of the
Receivables (other than Liquidating
Receivables) is greater than or equal to the
sum of the outstanding principal balance of
all Notes, plus accrued and unpaid interest
thereon; and
- the Class A-1 Notes and the Class A-2 Notes
have been paid in full.
-7-
<PAGE>
The redemption price will be equal to the
unpaid principal amount of the Class A-3 Notes
and the Class B Notes, plus accrued and unpaid
interest thereon.
Subordination . . . . The Class B Notes are subordinated to the Class A
Notes. This provides additional credit enhancement
for the Class A Notes.
- No interest will be paid on the Class B Notes
on any Distribution Date until all accrued and
unpaid interest on the Class A Notes has been
paid in full.
- No principal will be paid on the Class B Notes
until all principal owed on all the Class A
Notes has been paid in full.
Reserve Account . . . Funds on deposit in the Reserve Account
will be available on each Distribution Date to
cover shortfalls in distributions of interest and
principal on the Notes due to delinquencies and
defaults on the Receivables. Amounts in the Reserve
Account will also be available to pay servicing
fees.
The Reserve Account will be funded as follows:
- On the Closing Date, the Seller will deposit
the Reserve Account Initial Deposit of
$18,743,657.79 into the Reserve Account.
- On each Distribution Date, any collections on
the Receivables remaining after providing for
all required payments to holders of the Notes,
reimbursement of Outstanding Advances and the
payment of the Total Servicing Fee will be
deposited in the Reserve Account.
On each Distribution Date, any amount in the
Reserve Account in excess of the Specified Reserve
Account Balance will be paid to the
Certificateholders. The Noteholders will have no
further rights to any amounts paid to the
Certificateholders from the Reserve Account.
The "SPECIFIED RESERVE ACCOUNT BALANCE" for any
Distribution Date will equal 4.5% of the Aggregate
Receivables Balance as of the last day of the
related Collection Period. However, the Specified
Reserve Account Balance will be calculated as 9.0%
of the Aggregate Receivables Balance for any
Distribution Date (beginning on February 15, 1999)
on which the Average Net Loss Ratio exceeds 1.50%
or the Average Delinquency Ratio exceeds 1.25%. In
no event will the Specified Reserve Account Balance
be less than the lesser of (i) $14,994,926.23 and
(ii) the aggregate outstanding principal amount of
the Notes. We may change this definition without
your consent so long as the change does not cause
the ratings of the Notes to be reduced or
withdrawn.
Tax Status. . . . . . As described in the Offering Documents, in the
opinion of Kirkland & Ellis, special tax counsel to
the Seller, the Trust will not be classified as an
association (or publicly traded partnership)
taxable as
-8-
<PAGE>
a corporation and the Notes will be characterized
as debt. Prospective investors should consult their
own tax advisors to determine the federal, state,
local, and other tax consequences of the purchase,
ownership and disposition of the Notes. Prospective
investors should note that no rulings have been or
will be sought from the Internal Revenue Service
(the "IRS") with respect to any of the federal
income tax consequences discussed herein and no
assurance can be given that the IRS will not take a
contrary position.
ERISA Considerations. As described in the Offering Documents, the Notes
may be purchased by employee benefit plans that are
subject to the Employee Retirement Income Security
Act of 1974, as amended ("ERISA"), upon
satisfaction of certain conditions described
therein. Any benefit plan fiduciary considering a
purchase of Certificates should, among other
things, consult with experienced legal counsel in
determining whether all required conditions have
been satisfied.
Legal Investment. . . The Class A-1 Notes will be eligible securities for
purchase by money market funds under paragraph
(a)(9) of Rule 2a-7 under the Investment Company
Act of 1940, as amended.
Ratings . . . . . . . We will not issue the Notes unless (1) the Class
A-1 Notes are rated in the highest short-term
rating category, (2) the Class A-2 Notes and the
Class A-3 Notes are rated in the highest long-term
rating category and (3) the Class B Notes are rated
at least investment grade, in each case by at least
two nationally recognized statistical rating
agencies (the "RATING AGENCIES"). After the Notes
are issued, any ratings may be lowered or withdrawn
by the applicable Rating Agency.
-9-
<PAGE>
THE RECEIVABLES
SELECTION CRITERIA
Approximately 97.04% of the Aggregate Receivables Balance of Motor
Vehicle Loans were originated by the Seller through Dealers in the ordinary
course of the Seller's business and in accordance with Seller's underwriting
standards; the remainder of the Motor Vehicle Loans were made directly by the
Seller to the Obligors in accordance with the Seller's underwriting standards.
The Seller will warrant in the Agreement that all the Receivables have the
following individual characteristics, among others: (i) the obligation of the
related Obligor under each Receivable is secured by a security interest in
either a new or used automobile or light truck; (ii) each Receivable has a
contractual interest rate ("CONTRACT RATE") of at least 6.0% and not more than
29.0%; (iii) each Receivable had a remaining maturity, as of the Cutoff Date, of
not less than 6 months and not more than 65 months; (iv) each Receivable had a
remaining principal balance of not less than $100 and not more than $74,000 as
of the Cutoff Date; (v) no Receivable was more than 29 days past due as of the
Cutoff Date; (vi) no Financed Vehicle had been repossessed as of the Cutoff
Date; (vii) each Receivable is a Simple Interest Receivable (as described
below); (viii) the Dealer of the Financed Vehicle, if any, has no participation
in, or other right to receive, any proceeds of the Receivable and (ix) each
Receivable was originated on or after August 27, 1992. No procedures adverse to
Noteholders were used by the Seller in selecting the Receivables to be
transferred to the Trust on the Closing Date. All terms of the retail motor
vehicle installment sale contracts and installment loans constituting the
Receivables which are material to the Noteholders are described in the
Prospectus.
CERTAIN CHARACTERISTICS
As of the Cutoff Date, approximately 31.11% of the Aggregate
Receivables Balance was attributable to loans for purchases of new Financed
Vehicles and approximately 68.89% of the Aggregate Receivables Balance was
attributable to loans for purchases of used Financed Vehicles.
The composition, distribution by Contract Rate and distribution by
remaining term of the Receivables as of the Cutoff Date are set forth in the
following tables. Due to rounding, the percentages shown in these tables may not
add to 100.00%.
COMPOSITION OF THE RECEIVABLES
<TABLE>
<CAPTION>
WEIGHTED AVERAGE
CONTRACT RATE OF AGGREGATE RECEIVABLES NUMBER OF AVERAGE WEIGHTED AVERAGE WEIGHTED AVERAGE
RECEIVABLES BALANCES RECEIVABLES IN POOL RECEIVABLE BALANCE ORIGINAL TERM REMAINING TERM
- ---------------- --------------------- ------------------- ------------------ ---------------- ----------------
<S> <C> <C> <C> <C> <C>
10.39% $ 749,746,311.45 67,326 $ 11,136.06 59.30 mos. 51.26 mos.
</TABLE>
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<PAGE>
DISTRIBUTION BY CONTRACT RATE OF THE RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
NUMBER OF AGGREGATE
CONTRACT RATE RANGE RECEIVABLES RECEIVABLES BALANCE RECEIVABLES BALANCE
- ------------------- ----------- ------------------- -------------------
<S> <C> <C> <C>
6.00-6.99% ................. 358 $ 4,509,550.02 0.60%
7.00-7.99% ................. 6,108 $ 85,674,520.43 11.43%
8.00-8.99% ................. 10,543 $ 140,721,550.10 18.77%
9.00-9.99% ................. 15,528 $ 187,831,299.50 25.05%
10.00-10.99% ............... 10,933 $ 119,176,134.70 15.90%
11.00-11.99% ............... 6,925 $ 68,145,168.80 9.09%
12.00-12.99% ............... 6,171 $ 57,206,961.81 7.63%
13.00-13.99% ............... 3,270 $ 29,855,240.42 3.98%
14.00-14.99% ............... 2,394 $ 19,832,647.55 2.65%
15.00-15.99% ............... 1,884 $ 14,331,770.18 1.91%
16.00-16.99% ............... 1,064 $ 8,237,460.58 1.10%
17.00-17.99% ............... 560 $ 4,352,685.39 0.58%
18.00-18.99% ............... 723 $ 4,641,838.83 0.62%
19.00-19,99% ............... 308 $ 2,177,033.83 0.29%
20.00-20.99% ............... 111 $ 694,264.94 0.09%
21.00-21.99% ............... 253 $ 1,432,009.13 0.19%
22.00-22.99% ............... 67 $ 338,882.29 0.05%
23.00-23.99% ............... 51 $ 250,486.64 0.03%
24.00-24.99% ............... 34 $ 158,313.86 0.02%
25.00-25.99% ............... 21 $ 94,694.90 0.01%
26.00-26.99% ............... 13 $ 52,638.15 0.01%
27.00-27.99% ............... 3 $ 6,950.48 0.00%
28.00-28.99% ............... 2 $ 2,823.19 0.00%
29.00% ..................... 2 $ 21,385.73 0.00%
----------- ------------------- -------------------
Total .................. 67,326 $ 749,746,311.45 100.0%
----------- ------------------- -------------------
----------- ------------------- -------------------
</TABLE>
DISTRIBUTION BY REMAINING TERM OF THE RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
REMAINING TERM NUMBER OF AGGREGATE
(MONTHS) RECEIVABLES RECEIVABLE BALANCE RECEIVABLES BALANCE
- -------------- ----------- ------------------ -------------------
<S> <C> <C> <C>
6-12 .................... 1,271 $ 3,001,920.12 0.40%
13-24 ................... 4,388 $ 18,321,440.68 2.44%
25-36 ................... 8,724 $ 59,490,189.25 7.93%
37-48 ................... 14,926 $ 145,477,882.44 19.40%
49-60 ................... 35,185 $ 477,609,679.10 63.70%
61-65 ................... 2,832 $ 45,845,199.86 6.11%
----------- ------------------ -------------------
Total ............... 67,326 $ 749,746,311.45 100.0%
----------- ------------------ -------------------
----------- ------------------ -------------------
</TABLE>
The following table sets forth the percentage of the Aggregate Receivables
Balance of the Receivables in the states with the largest concentration of
Receivables. No other state accounts for more than 1.0% of the
Aggregate Receivables Balance of the Receivables.
-11-
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
STATE RECEIVABLES BALANCE
----- -------------------
<S> <C>
Washington ......... 25.87%
Utah ............... 24.29%
Idaho .............. 21.03%
Nevada ............. 9.63%
Oregon ............. 8.70%
Montana ............ 3.76%
California ......... 2.31%
Wyoming ............ 1.42%
</TABLE>
PAYMENTS ON THE RECEIVABLES
All Receivables provide for the allocation of payments according to
the "Simple Interest" method (each a "SIMPLE INTEREST RECEIVABLE"). A Simple
Interest Receivable provides for the amortization of the amount financed under
the Receivable over a series of fixed level months payments (except that the
last such payment may be different). However, each monthly payment consists of
an installment of interest which is calculated on the basis of the Receivable
Balance multiplied by the stated Contract Rate and further multiplied by the
period elapsed (as a fraction of a calendar year) since the preceding payment of
interest was made. As payments are received under a Simple Interest Receivable
the amount received is applied first to interest accrued and unpaid to the date
of payment and the balance is applied to reduce the unpaid Receivable Balance of
the Receivables. Accordingly, if an Obligor pays a fixed monthly installment
before its schedule date, the portion of the payment allocable to interest for
the period since the preceding payment was made will be less than it would have
been had the payment been made as scheduled, and the portion of the payment
applied to reduce the unpaid principal balance will be correspondingly greater,
thereby having the effect of a prepayment. Conversely, if an Obligor pays a
fixed monthly installment after its scheduled due date, the portion of the
payment allocable to interest for the period since the preceding payment was
made will be greater than it would have been had the payment been made as
scheduled, and the portion of the payment applied to reduce the unpaid principal
balance will be correspondingly less. In either case, the Obligor pays a fixed
monthly installment until the final scheduled payment date, at which time the
amount of the final installment is increased or decreased as necessary to repay
the Receivable Balance as of such date.
The Receivables are prepayable at any time. Prepayments may also result
from liquidations due to default, the receipt of monthly installments earlier
than the scheduled due dates for such installments, the receipt of proceedings
from credit life, disability, theft or physical damage, insurance, repurchases
by the Seller as a result of certain uncured breaches of the warranties made by
it in the Sale and Servicing Agreement with respect to the Receivables,
purchases by the Servicer as a result of certain uncured breaches of the
covenants made by it in the Sale and Servicing Agreement with respect to the
Receivables, or the Servicer exercising its option to purchase all of the
remaining Receivables. Prepayments on the Receivables may be influenced by a
variety of economic, social, and other factors, including decreases in interest
rates and the fact that an Obligor may not sell or transfer the Financed Vehicle
securing a Receivable without the consent of the Seller.
WEIGHTED AVERAGE LIFE OF THE NOTES
Prepayments on automotive receivables can be measured relative to a
prepayment standard or model. The model used in this Prospectus Supplement, the
Absolute Prepayment Model (the "MODEL"), is based on an assumed rate of
prepayment (the "ABS") each month relative to the original number of receivables
in a pool of receivables. The model further assumes that all the receivables are
the same size and amortize at the same rate and that each receivable in each
month of its life will either be paid as scheduled or be prepaid in full. For
example, in a pool of receivables originally containing 10,000 receivables, a 1%
ABS rate means that 100 receivables prepay each month. ABS does not
-12-
<PAGE>
purport to be an historical description of prepayment experience or a prediction
of the anticipated rate of prepayment of any pool of receivables, including the
Receivables.
As the rate of payment of principal of each class of Notes will depend on
the rate of payment (including prepayments) of the principal balance of the
Receivables and the final payment in respect of any class of Notes could
occur significantly earlier than the respective Final Scheduled Distribution
Dates. Reinvestment risk associated with early payment of the Notes will be
borne exclusively by the Noteholders.
The table on the following pages captioned "Percent of Initial Principal
Balance at Various ABS Percentages" (the "ABS TABLE") has been prepared on the
basis of the characteristics of the Receivables, as described below. The ABS
Table assumes that (i) the Receivables prepay in full at the specified constant
percentage of ABS monthly, with no defaults, losses or repurchases, (ii) each
scheduled monthly payment on the Receivables is made on the last day of each
month and each month has 30 days, (iii) distributions on the Notes are made on
each Distribution Date (and each such date is assumed to be the fifteenth day of
each applicable month) and (iv) the Servicer does not exercise its option to
purchase the Receivables. The pool has an assumed cutoff date of September 23,
1998. The ABS Table indicates the projected weighted average life of each class
of Notes and sets forth the percent of the initial principal balance of each
class of the Notes that is projected to be outstanding after payments are made
on each of the Distribution Dates shown at various constant ABS percentages. The
ABS Table also indicates the month in which the Servicer can exercise its
optional clean-up call and the associated projected average weighted life.
The ABS Table also assumes that the Receivables have been aggregated
into a hypothetical pool, with all of the Receivables within the pool having the
following characteristics and that the level scheduled monthly payment (which is
based on its Aggregate Receivables Balance, annual percentage rate ("APR"),
original term to maturity and remaining term to maturity as of the Cutoff Date)
will be such that the pool will be fully amortized by the end of its remaining
term to maturity.
<TABLE>
<CAPTION>
Aggregate Original Term Remaining Term
Receivables Balance APR to Maturity (mos.) to Maturity (mos.)
------------------- --- ------------------ ------------------
<S> <C> <C> <C>
$749,746,311.45 10.387% 59 51
</TABLE>
The actual characteristics and performance of the Receivables will differ
from the assumptions used in constructing the ABS Table. The assumptions used
are hypothetical and have been provided only to give a general sense of how
the principal cash flows might behave under varying prepayment scenarios. For
example, it is very unlikely that the Receivables will prepay at a constant
level of ABS until maturity or that all of the Receivables will prepay at the
same level of ABS. Moreover, the diverse terms of receivables within the
hypothetical pool could produce slower or faster principal distributions than
indicated in the ABS Table at the various constant percentages of ABS specified,
even if the original and remaining terms to maturity of the Receivables are as
assumed. Any difference between such assumptions and the actual characteristics
and performance of the Receivables, or actual prepayment experience, will affect
the percentages of initial amounts outstanding over time and the weighted
average lives of each class of the Notes.
-13-
<PAGE>
PERCENT OF INITIAL PRINCIPAL BALANCE AT VARIOUS ABS PERCENTAGES
<TABLE>
<CAPTION>
CLASS A NOTES
---------------------------------------------------------------------------------------------------------
DISTRIBUTION DATE CLASS A-1 NOTES CLASS A-2 NOTES CLASS A-3 NOTES
- ----------------- --------------------------------- --------------------------------- ---------------------------------
0.0% 1.2% 1.5% 1.8% 0.0% 1.2% 1.5% 1.8% 0.0% 1.2% 1.5% 1.8%
------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/98 ........ 92.03 85.39 83.50 81.51 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/98 ........ 83.99 70.92 67.21 63.29 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
1/15/99 ......... 75.88 56.60 51.12 45.34 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
2/15/99 ......... 67.70 42.43 35.25 27.66 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
3/15/99 ......... 59.45 28.41 19.59 10.27 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
4/15/99 ......... 51.13 14.54 4.14 0.00 100.00 100.00 100.00 95.65 100.00 100.00 100.00 100.00
5/15/99 ......... 42.74 0.83 0.00 0.00 100.00 100.00 92.96 84.96 100.00 100.00 100.00 100.00
6/15/99 ......... 34.27 0.00 0.00 0.00 100.00 91.91 83.42 74.45 100.00 100.00 100.00 100.00
7/15/99 ......... 25.73 0.00 0.00 0.00 100.00 83.39 74.03 64.14 100.00 100.00 100.00 100.00
8/15/99 ......... 17.12 0.00 0.00 0.00 100.00 74.98 64.78 54.01 100.00 100.00 100.00 100.00
9/15/99 ......... 8.43 0.00 0.00 0.00 100.00 66.67 55.68 44.07 100.00 100.00 100.00 100.00
10/15/99 ........ 0.00 0.00 0.00 0.00 99.79 58.47 46.73 34.34 100.00 100.00 100.00 100.00
11/15/99 ........ 0.00 0.00 0.00 0.00 94.17 50.38 37.94 24.80 100.00 100.00 100.00 100.00
12/15/99 ........ 0.00 0.00 0.00 0.00 88.50 42.39 29.30 15.46 100.00 100.00 100.00 100.00
1/15/00 ......... 0.00 0.00 0.00 0.00 82.78 34.52 20.81 6.33 100.00 100.00 100.00 100.00
2/15/00 ......... 0.00 0.00 0.00 0.00 77.02 26.76 12.49 0.00 100.00 100.00 100.00 98.21
3/15/00 ......... 0.00 0.00 0.00 0.00 71.20 19.12 4.32 0.00 100.00 100.00 100.00 92.21
4/15/00 ......... 0.00 0.00 0.00 0.00 65.33 11.59 0.00 0.00 100.00 100.00 97.46 86.35
5/15/00 ......... 0.00 0.00 0.00 0.00 59.41 4.18 0.00 0.00 100.00 100.00 92.06 80.64
6/15/00 ......... 0.00 0.00 0.00 0.00 53.44 0.00 0.00 0.00 100.00 97.85 86.77 75.07
7/15/00 ......... 0.00 0.00 0.00 0.00 47.42 0.00 0.00 0.00 100.00 92.91 81.61 69.67
8/15/00 ......... 0.00 0.00 0.00 0.00 41.35 0.00 0.00 0.00 100.00 88.05 76.56 64.42
9/15/00 ......... 0.00 0.00 0.00 0.00 35.23 0.00 0.00 0.00 100.00 83.28 71.63 59.32
10/15/00 ........ 0.00 0.00 0.00 0.00 29.05 0.00 0.00 0.00 100.00 78.59 66.82 54.39
11/15/00 ........ 0.00 0.00 0.00 0.00 22.82 0.00 0.00 0.00 100.00 73.99 62.14 49.61
12/15/00 ........ 0.00 0.00 0.00 0.00 16.53 0.00 0.00 0.00 100.00 69.49 57.58 45.00
1/15/01 ......... 0.00 0.00 0.00 0.00 10.19 0.00 0.00 0.00 100.00 65.07 53.15 40.56
2/15/01 ......... 0.00 0.00 0.00 0.00 3.79 0.00 0.00 0.00 100.00 60.74 48.85 36.29
3/15/01 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 98.17 56.51 44.68 32.18
4/15/01 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 93.68 52.38 40.64 28.25
<CAPTION>
DISTRIBUTION DATE CLASS B NOTES
- ----------------- ---------------------------------
0.0% 1.2% 1.5% 1.8%
------ ------ ------ ------
<S> <C> <C> <C> <C>
Closing Date..... 100.00 100.00 100.00 100.00
11/15/98 ........ 100.00 100.00 100.00 100.00
12/15/98 ........ 100.00 100.00 100.00 100.00
1/15/99 ......... 100.00 100.00 100.00 100.00
2/15/99 ......... 100.00 100.00 100.00 100.00
3/15/99 ......... 100.00 100.00 100.00 100.00
4/15/99 ......... 100.00 100.00 100.00 100.00
5/15/99 ......... 100.00 100.00 100.00 100.00
6/15/99 ......... 100.00 100.00 100.00 100.00
7/15/99 ......... 100.00 100.00 100.00 100.00
8/15/99 ......... 100.00 100.00 100.00 100.00
9/15/99 ......... 100.00 100.00 100.00 100.00
10/15/99 ........ 100.00 100.00 100.00 100.00
11/15/99 ........ 100.00 100.00 100.00 100.00
12/15/99 ........ 100.00 100.00 100.00 100.00
1/15/00 ......... 100.00 100.00 100.00 100.00
2/15/00 ......... 100.00 100.00 100.00 100.00
3/15/00 ......... 100.00 100.00 100.00 100.00
4/15/00 ......... 100.00 100.00 100.00 100.00
5/15/00 ......... 100.00 100.00 100.00 100.00
6/15/00 ......... 100.00 100.00 100.00 100.00
7/15/00 ......... 100.00 100.00 100.00 100.00
8/15/00 ......... 100.00 100.00 100.00 100.00
9/15/00 ......... 100.00 100.00 100.00 100.00
10/15/00 ........ 100.00 100.00 100.00 100.00
11/15/00 ........ 100.00 100.00 100.00 100.00
12/15/00 ........ 100.00 100.00 100.00 100.00
1/15/01 ......... 100.00 100.00 100.00 100.00
2/15/01 ......... 100.00 100.00 100.00 100.00
3/15/01 ......... 100.00 100.00 100.00 100.00
4/15/01 ......... 100.00 100.00 100.00 100.00
</TABLE>
-14-
<PAGE>
PERCENT OF INITIAL PRINCIPAL BALANCE AT VARIOUS ABS PERCENTAGES
<TABLE>
<CAPTION>
CLASS A NOTES
---------------------------------------------------------------------------------------
DISTRIBUTION DATE CLASS A-1 NOTES CLASS A-2 NOTES CLASS A-3 NOTES
- ----------------- --------------------------- --------------------------- -------------------------------
0.0% 1.2% 1.5% 1.8% 0.0% 1.2% 1.5% 1.8% 0.0% 1.2% 1.5% 1.8%
------ ------ ------ ------ ------ ------ ------ ------ ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5/15/01 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 89.16 48.34 36.74 24.49
6/15/01 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 84.59 44.40 32.98 20.92
7/15/01 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 79.99 40.55 29.35 17.52
8/15/01 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 75.35 36.81 25.86 14.30
9/15/01 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 70.66 33.17 22.52 11.27*
10/15/01 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 65.94 29.63 19.32 8.42
11/15/01 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 61.17 26.20 16.26 5.77
12/15/01 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 56.37 22.87 13.35 3.30
1/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 51.52 19.65 10.60* 1.04
2/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 46.63 16.54 7.99 0.00
3/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 41.70 13.54 5.54 0.00
4/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 36.72 10.65* 3.25 0.00
5/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 31.70 7.88 1.11 0.00
6/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.64 5.22 0.00 0.00
7/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21.54 2.67 0.00 0.00
8/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.39 0.25 0.00 0.00
9/15/02 .......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.19* 0.00 0.00 0.00
10/15/02 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.95 0.00 0.00 0.00
11/15/02 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.67 0.00 0.00 0.00
12/15/02 ......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average
Life (years) (1) . 0.50 0.28 0.25 0.22 1.70 1.08 0.97 0.86 3.25 2.59 2.37 2.13
*Weighted Average
Life to Optional
Clean Up Call
(years) (1) ...... 3.24 2.57 2.34 2.11
*Optional Clean Up
Call Date (mo/yr) 9/02 4/02 1/02 9/01
<CAPTION>
DISTRIBUTION DATE CLASS B NOTES
- ----------------- ---------------------------------
0.0% 1.2% 1.5% 1.8%
------ ------ ------ ------
<S> <C> <C> <C> <C>
5/15/01 .......... 100.00 100.00 100.00 100.00
6/15/01 .......... 100.00 100.00 100.00 100.00
7/15/01 .......... 100.00 100.00 100.00 100.00
8/15/01 .......... 100.00 100.00 100.00 100.00
9/15/01 .......... 100.00 100.00 100.00 100.00*
10/15/01 ......... 100.00 100.00 100.00 100.00
11/15/01 ......... 100.00 100.00 100.00 100.00
12/15/01 ......... 100.00 100.00 100.00 100.00
1/15/02 .......... 100.00 100.00 100.00* 100.00
2/15/02 .......... 100.00 100.00 100.00 89.69
3/15/02 .......... 100.00 100.00 100.00 71.04
4/15/02 .......... 100.00 100.00* 100.00 54.42
5/15/02 .......... 100.00 100.00 100.00 39.83
6/15/02 .......... 100.00 100.00 91.35 27.32
7/15/02 .......... 100.00 100.00 73.27 16.90
8/15/02 .......... 100.00 100.00 56.83 8.61
9/15/02 .......... 100.00* 79.54 42.06 2.47
10/15/02 ......... 100.00 57.80 28.96 0.00
11/15/02 ......... 100.00 37.28 17.57 0.00
12/15/02 ......... 53.56 18.01 7.91 0.00
Weighted Average
Life (years) (1) . 4.16 4.02 3.88 3.54
*Weighted Average
Life to Optional
Clean Up Call
(years) (1) ...... 3.86 3.45 3.20 2.86
*Optional Clean Up
Call Date (mo/yr) 9/02 4/02 1/02 9/01
</TABLE>
- ----------------------
(1) The weighted average life of a Note is determined by (i) multiplying the
amount of each principal payment on a Note by the number of years from the
date of the issuance of the Note to the related Distribution Date, (ii)
adding the results and (iii) dividing the sum by the related principal
balance of the Note.
-15-
<PAGE>
The ABS Table has been prepared based on the assumptions described
above (including the assumptions regarding the characteristics and
performance of the Receivables which will differ from the actual
characteristics and performance thereof) and should be read in conjunction
therewith.
DELINQUENCY AND LOSS EXPERIENCE OF SELLER
The tables set forth below indicate the delinquency and credit
loss/repossession experience for each of the last five calendar years of
the Bank's entire portfolio of Motor Vehicle Loans (including Motor Vehicle
Loans that it previously sold but continues to service). The tables include
both Mother Vehicle Loans originated directly by the Bank and through
Dealers in a relative proportion substantially similar to the Motor Vehicle
Loans to be transferred to the Trust. Fluctuations in delinquencies,
repossessions and charge-offs generally follow trends in the overall
economic environment and may be affected by such factors as increased
competition for Obligors, rising consumer debt burden per household and
increases in personal bankruptcies.
No assurance can be made, that the delinquency and loss experience for the
Motor Vehicle Loans as a whole or those transferred to the Trust will be
similar to the historical experience set forth below.
DELINQUENCY EXPERIENCE
<TABLE>
<CAPTION>
Nine Months Ended September 30, As of December 31,
1998 1997 1997 1996
------------------- ------------------- ------------------- -------------------
Number Number Number Number
of Loans Amount of Loans Amount of Loans Amount of Loans Amount
-------- ------ -------- ------ -------- ------ -------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
(DOLLARS IN THOUSANDS)
Portfolio at Period End.. 288,900 $ 3,261,808 231,374 $ 2,402,246 242,396 $ 2,557,565 200,922 $ 1,979,782
Delinquency(1)
30-59 Days.......... 3,869 $ 40,872 3,341 $ 33,377 3,557 $ 35,995 3,380 $ 31,646
60-89 Days.......... 1,141 $ 12,728 807 $ 8,440 765 $ 8,035 1,209 $ 11,330
90 Days or More..... 638 $ 6,923 394 $ 4,320 444 $ 4,694 600 $ 5,947
Total Delinquencies...... 5,648 $ 60,522 4,542 $ 46,137 4,766 $ 48,724 5,189 $ 48,923
Total Delinquencies
as Percentage of
the Portfolio....... 1.96% 1.86% 1.96% 1.92% 1.97% 1.91% 2.58% 2.47%
As of December 31,
1995 1994
------------------- -------------------
Number Number
of Loans Amount of Loans Amount
-------- ------ -------- ------
<S> <C> <C> <C> <C>
Portfolio at Period End.. 193,634 $ 1,824,411 197,996 $ 1,885,491
Delinquency(1)
30-59 Days.......... 2,867 $ 24,914 2,345 $ 20,775
60-89 Days.......... 557 $ 5,358 603 $ 5,839
90 Days or More..... 255 $ 2,462 273 $ 2,594
Total Delinquencies...... 3,679 $ 32,734 3,221 $ 29,208
Total Delinquencies
as Percentage of
the Portfolio....... 1.90% 1.79% 1.63% 1.55%
</TABLE>
- -----------------
(1) The period of delinquency is based on the number of days payments are
contractually past due for all Motor Vehicle Loans other than Motor Vehicle
Loans previously charged off.
CREDIT LOSS/REPOSSESSION EXPERIENCE
<TABLE>
<CAPTION>
Nine Months Ended
September 30, Year Ended December 31,
------------------------ --------------------------------------------------
1998 1997 1997 1996 1995 1994
----------- ----------- ----------- ----------- ----------- -----------
(DOLLARS IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
Portfolio Balance at Period End.................. $ 3,261,808 $ 2,402,246 $ 2,557,565 $ 1,979,782 $ 1,824,411 $ 1,885,491
Average Portfolio Balance During Period.......... $ 2,886,636 $ 2,190,936 $ 2,270,731 $ 1,883,171 $ 1,850,693 $ 1,670,756
Average Number of Loans Outstanding During
the Period..................................... 264,609 216,426 222,092 195,749 195,834 180,660
Number of Repossessions During the Period........ 4,579 3,666 4,967 4,198 4,153 3,528
Number of Repossessions as percentage
of Average Number of Loans Outstanding (A)..... 2.31% 2.26% 2.24% 2.14% 2.12% 1.95%
Gross Charge-offs(1)............................. $ 35,752 $ 29,691 $ 39,184 $ 29,488 $ 25,644 $ 17,354
Recoveries on Loans Previously Charged Off(2).... $ 13,812 $ 13,196 $ 16,901 $ 11,849 $ 11,321 $ 8,370
Net Charge-offs(3)............................... $ 21,940 $ 16,495 $ 22,283 $ 17,639 $ 14,323 $ 8,984
Net Charge-offs as a Percentage of Portfolio
Balance at Period End (A)...................... 0.90% 0.92% 0.87% 0.89% 0.79% 0.48%
Net Charge-offs as a Percentage of Average
Balance During Period (A)...................... 1.01% 1.00% 0.98% 0.94% 0.77% 0.54%
</TABLE>
- ----------------
(A) September figures have been annualized.
(1) Gross Charge-offs are generally stated net of liquidation proceeds.
(2) Recoveries on Loans Previously Charged Off generally include amounts
received with respect to loans previously charged off, other than
liquidation proceeds, net of collection expenses. A portion of recoveries
has resulted from certain collection and recovery efforts used by the Bank
with respect to defaulted receivables acquired by the Bank from other
institutions as a result of mergers. Such defaulted receivables are not
being transferred to the Trust and such reported recoveries may not be
indicative of future results.
(3) Net Charge-offs equal Gross Charge-offs minus Recoveries on Loans
Previously Charged Off.
-16-
