<PAGE> 1
EXHIBIT 99
SUBJECT TO REVISION - TERM SHEET DATED SEPTEMBER 18, 2000
---------------------------------------------------------
$521,517,000.00
$ 98,000,000.00 CLASS A-1 _____% ASSET BACKED NOTES
$211,000,000.00 CLASS A-2 _____% ASSET BACKED NOTES
$115,000,000.00 CLASS A-3 _____% ASSET BACKED NOTES
$ 58,400,000.00 CLASS A-4 _____% ASSET BACKED NOTES
$ 39,117,000.00 CLASS B _____% ASSET BACKED NOTES
FIRST SECURITY(R) AUTO OWNER TRUST 2000-2
ISSUER
FIRST SECURITY BANK(R), N.A.
SELLER AND SERVICER
Attached is a preliminary Term Sheet describing the structure, collateral pool
and certain aspects of the First Security(R) Auto Owner Trust 2000-2. 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. 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preliminary and will be superseded by a final prospectus and prospectus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 J.P. Morgan's 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 Class A Notes
J.P. MORGAN & CO.
BANC OF AMERICA SECURITIES LLC
CREDIT SUISSE FIRST BOSTON
FIRST SECURITY VAN KASPER
LEHMAN BROTHERS
WELLS FARGO BROKERAGE SERVICE LLC
Underwriters of the Class B Notes
J.P. MORGAN & CO. FIRST SECURITY VAN KASPER
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<PAGE> 2
FIRST SECURITY(R) AUTO OWNER TRUST 2000-2
FIRST SECURITY BANK(R), N.A., SELLER AND SERVICER
Subject to Revision
Term Sheet Dated September 18, 2000
Capitalized terms used below which are not defined have the meanings
specified in the Base Prospectus of First Security Bank(R), N.A. dated
June 16, 2000 and pertaining to First Security(R) Auto Owner Trusts. A copy
of such Prospectus is available from the Securities and Exchange
Commission and by contacting J.P. Morgan's Asset Finance Group at (212)
648-4506.
Issuer.................First Security Auto Owner Trust 2000-2 (the "Trust" or
the "Issuer").
Indenture Trustee......The Chase Manhattan Bank 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 $98,000,000.00.
2) Class A-2 ____% Asset Backed Notes in the aggregate
principal amount of $211,000,000.00.
3) Class A-3 ____% Asset Backed Notes in the aggregate
principal amount of $115,000,000.00.
4) Class A-4 ____% Asset Backed Notes in the aggregate
principal amount of $58,400,000.00.
5) Class B ____% Asset Backed Notes in the aggregate
principal amount of $39,117,000.00. The seller will
retain a Class B Note in the aggregate principal
amount of $738.61 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 and the yield
supplement account.
Terms of the Notes:
Distribution Dates..The 15th day of each month (or, if such day is not a
business day, the next succeeding business day),
beginning October 16, 2000.
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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.
- Interest on the Class A-1 Notes will be calculated on
the basis of the actual number of days elapsed from
the last distribution date and a 360-day year.
- Interest on the Class A-2 Notes, the Class A-3 Notes,
the Class A-4 Notes and the Class B Notes will be
calculated on the basis of a 360-day year of twelve
30-day months.
- Payments of interest on the Class B Notes are
subordinated to interest payments on the Class A Notes
as follows:
- On any distribution date, interest on the Class B
Notes will not be paid until all accrued and unpaid
interest on the Class A Notes have been paid in
full.
- After an acceleration of the notes following an
event of default, or if any notes remain
outstanding on or after the applicable final
scheduled distribution date, no interest or
principal will be paid on the Class B Notes until
all principal and interest on the Class A Notes has
been paid in full.
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. Except as
provided below, these payments will be made -
- 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 to 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) until all of the
Class A Notes have been paid in full.
- 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 on or
after the applicable final scheduled distribution
date, then principal payments will be made as follows:
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- first, to the Class A-1 Notes until paid in full;
and
- second, to the Class A-2 Notes, the Class A-3 Notes
and the Class A-4 Notes, ratably according to the
amount due and payable on each class until all of
the Class A-2 Notes, the Class A-3 Notes and the
Class A-4 Notes have been paid in full; and
- third, to the Class B Noteholders until the Class B
Notes have been 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, any amounts otherwise payable as
interest on the Class B Notes will be available to
make payments of principal on the Class A Notes.
Final Scheduled
Distribution Dates.....The outstanding principal amount, if any, of each class
of notes will be payable in full on the final scheduled
distribution date set forth below.
If any class of notes is not repaid in full on or prior
to that class's final scheduled distribution date, an
event of default will occur. If an event of default
occurs, no interest or principal will be paid on the
Class B Notes until all interest and principal have been
paid on the Class A Notes.
Notes Final Scheduled Distribution Date
----- ---------------------------------
Class A-1 Notes September 2001 distribution date
Class A-2 Notes August 2003 distribution date
Class A-3 Notes July 2004 distribution date
Class A-4 Notes January 2005 distribution date
Class B Notes February 2007 distribution date
Redemption........The Class A-4 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 on the notes; and
- the Class A-1 Notes, the Class A-2 Notes and the
Class A-3 Notes have been paid in full.
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<PAGE> 5
The redemption price will be equal to the unpaid
principal amount of such Class A-4 Notes and the Class B
Notes, plus accrued and unpaid interest on those notes.
Voting Rights.....If the Offering Documents specify certain circumstances
under which a specified percentage in principal amount of
the outstanding notes must consent, approve, direct or
request an action, that action shall be valid only if
such specified percentage in principal amount of all the
outstanding Class A Notes or, in the event that no Class
A Notes are outstanding, all outstanding Class B Notes,
voting together as a single class have voted to give that
consent, approval, direction, request or notice or take
such action.
Any notes held by the seller will not be deemed
outstanding and shall be disregarded when a vote is
taken.
Credit Enhancement:
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 on any
distribution date until all principal owed on the
Class A Notes has been paid in full.
- After an acceleration of the notes following an event
of default or if any of the notes remain outstanding
on and after the applicable final scheduled
distribution date -
- no principal or interest will be paid on the Class
B Notes until all principal and interest owed on
the Class A Notes has been paid in full; and
- amounts otherwise payable as interest and principal
on the Class B Notes will be available to make
payments of principal on the Class A Notes.
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 and to make principal payments on the
final scheduled distribution date for each class of
notes.
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<PAGE> 6
The reserve account will be funded as follows:
- On the closing date, the seller will deposit the
reserve account initial deposit of $26,075,886.93 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, the payment of the
total servicing fee and reimbursement of outstanding
advances 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
seller will be the initial certificateholder. 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 6.50% 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 the January 2001 distribution date, 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:
(1) $13,037,943.47 and
(2) 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.
Yield Supplement
Account................Funds on deposit in the yield supplement account will be
available to supplement the interest collections on some
receivables. On each distribution date, funds on deposit
in the yield supplement account will be used to cover,
for each receivable, the excess, if any, of:
(1) one month's interest that would accrue on the
receivable balance at a rate equal to (a) the
weighted average interest rate of the notes plus
(b) the servicing fee rate of 1%; over
(2) one month's interest that accrued on that
receivable at the contract rate of that
receivable.
On the closing date, the seller will deposit $ [ _____ ]
in cash into the yield supplement account. That amount is
the total amount estimated to be required to be withdrawn
from the yield supplement account on all distribution
dates. Neither the seller nor the servicer will make any
other deposits to the yield supplement account on or
after the closing date.
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<PAGE> 7
Tax Status.............As described in the Offering Documents, Kirkland & Ellis,
special federal tax counsel to the seller, will give an
opinion that for federal income tax purposes-
- the notes will be characterized as debt and
- the trust will not be classified as an association or
publicly traded partnership taxable as a corporation.
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 with respect to any of the
federal income tax consequences discussed herein and no
assurance can be given that the Internal Revenue Service
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, upon satisfaction of certain conditions
described therein. Any benefit plan fiduciary considering
a purchase of notes 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 issue the notes only if -
(1) the Class A-1 Notes are rated in the highest
short-term rating category by at least two
nationally recognized statistical rating agencies;
(2) the Class A-2 Notes, the Class A-3 Notes and the
Class A-4 Notes are rated in the highest long-term
rating category by at least two nationally
recognized statistical rating agencies; and
(3) the Class B Notes are rated at least investment
grade by at least two nationally recognized
statistical rating agencies.
After the notes are issued, any ratings may be lowered or
withdrawn by the applicable rating agencies.
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<PAGE> 8
THE RECEIVABLES
SELECTION CRITERIA
Approximately 96.98% 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 sale and servicing agreement that all
the receivables have the following individual characteristics, among others -
(1) the obligation of the obligor under each receivable is secured
by a security interest in either a new or used automobile or
light truck;
(2) each receivable has a Contract Rate of at least 6.00% and less
than 29.99%;
(3) each receivable had a remaining maturity, as of the cutoff
date, of not less than 6 months and not more than 72 months;
(4) each receivable had a remaining principal balance of not less
than $100.00 and not more than $59,000.00 as of the cutoff
date;
(5) no receivable was more than 29 days past due as of the cutoff
date;
(6) no financed vehicle had been repossessed as of the cutoff
date;
(7) each receivable is a Simple Interest Receivable, as that term
is defined below;
(8) any dealer of the financed vehicle has no participation in, or
other right to receive, any proceeds of the receivable; and
(9) each receivable was originated on or after July 23, 1991.
The seller did not use any procedures adverse to noteholders in
selecting the receivables to be transferred to the trust on the closing date.
The prospectus describes all terms of the retail motor vehicle installment sale
contracts and installment loans constituting the receivables which are material
to the noteholders.
CERTAIN CHARACTERISTICS
As of the cutoff date, approximately 35.49% of the Aggregate
Receivables Balance was attributable to loans for purchases of new financed
vehicles and approximately 64.51% 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%.
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<PAGE> 9
COMPOSITION OF THE RECEIVABLES
<TABLE>
<CAPTION>
WEIGHTED AVERAGE NUMBER OF AVERAGE
CONTRACT RATE OF AGGREGATE STARTING RECEIVABLES IN RECEIVABLE WEIGHTED AVERAGE WEIGHTED AVERAGE
RECEIVABLES RECEIVABLES BALANCE POOL BALANCE ORIGINAL TERM REMAINING TERM
---------------- ------------------- -------------- ---------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
10.863% $ 521,517,738.61 42,027 $12,409.11 66.61 mos. 49.90 mos.
</TABLE>
DISTRIBUTION BY CONTRACT RATE OF THE RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
STARTING
NUMBER OF RECEIVABLES
CONTRACT RATE RANGE RECEIVABLES RECEIVABLES BALANCE BALANCE
------------------- ----------- ------------------- --------------
<S> <C> <C> <C>
6.00-6.99%........................................ 748 $ 10,524,727.88 2.02%
7.00-7.99%........................................ 2,462 36,673,398.85 7.03
8.00-8.99%........................................ 4,939 69,342,644.23 13.30
9.00-9.99%........................................ 8,454 109,569,565.99 21.01
10.00-10.99%...................................... 7,461 89,833,579.75 17.23
11.00-11.99%...................................... 5,420 65,477,267.30 12.56
12.00-12.99%...................................... 4,754 55,385,360.11 10.62
13.00-13.99%...................................... 2,979 34,634,315.10 6.64
14.00-14.99%...................................... 1,877 20,773,285.40 3.98
15.00-15.99%...................................... 1,242 13,482,188.14 2.59
16.00-16.99%...................................... 692 7,241,761.76 1.39
17.00-17.99%...................................... 351 3,383,507.47 0.65
18.00-18.99%...................................... 352 3,081,643.42 0.59
19.00-19.99%...................................... 119 921,715.63 0.18
20.00-20.99%...................................... 62 482,966.93 0.09
21.00-21.99%...................................... 83 538,504.01 0.10
22.00-22.99%...................................... 13 88,628.93 0.02
23.00-23.99%...................................... 10 33,523.17 0.01
24.00-24.99%...................................... 3 20,981.19 0.00
25.00-25.99%...................................... 3 14,424.15 0.00
26.00-26.99%...................................... 2 9,216.22 0.00
27.00-29.99%...................................... 1 4,532.98 0.00
------------------------------- ---------------
Total.................................... 42,027 $521,517,738.61 100.00%
------------ ------------------- -------------
</TABLE>
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DISTRIBUTION BY REMAINING TERM OF THE RECEIVABLES
<TABLE>
<CAPTION>
PERCENTAGE OF
REMAINING TERM NUMBER OF AGGREGATE STARTING
(MONTHS) RECEIVABLES RECEIVABLE BALANCE RECEIVABLES BALANCE
------------------ --------------------- -------------------- ---------------------
<S> <C> <C> <C>
1-12......................... 2,114 $ 6,175,570.42 1.18%
13-24........................ 5,093 28,046,616.18 5.38
25-36........................ 6,870 59,339,593.74 11.38
37-48........................ 9,713 118,061,467.16 22.64
49-60........................ 11,555 179,323,935.81 34.39
61-72........................ 6,682 130,570,555.30 25.04
--------------------- -------------------- ---------------------
Total............... 42,027 $521,517,738.61 100.00%
------------------------------------------ ---------------------
</TABLE>
GEOGRAPHIC DISTRIBUTION OF THE RECEIVABLES
The following table sets forth the percentage of the Aggregate Starting
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 Starting Receivables Balance of the receivables.
PERCENTAGE OF
STATE AGGREGATE STARTING
----- RECEIVABLES BALANCE
-------------------
Washington............................... 23.12%
Utah..................................... 17.18%
Idaho.................................... 15.59%
California............................... 15.47%
Nevada................................... 6.89%
Oregon................................... 6.40%
Colorado................................. 3.11%
Montana.................................. 2.69%
Oklahoma................................. 2.13%
Wyoming.................................. 1.91%
South Dakota............................. 1.17%
PAYMENTS ON THE RECEIVABLES
All receivables are Simple Interest Receivables. 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 scheduled due 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. The portion of the payment applied to
reduce the unpaid principal balance will be correspondingly greater, thereby
having the effect of a prepayment.
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<PAGE> 11
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. 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,
- purchases by the servicer as a result of certain uncured
breaches of the covenants made by it in the sale and servicing
agreement, or
- the servicer exercising its option to purchase all of the
remaining receivables.
A variety of economic, social, and other factors, may influence
prepayments on the receivables. These factors include decreases in interest
rates and the fact that an obligor may sell or transfer the financed vehicle
securing a receivable without the seller's consent.
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 Term Sheet 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 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.
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. Therefore, the final payment in respect of any class of notes could
occur significantly earlier than the respective final scheduled distribution
dates. The noteholders will bear exclusively any reinvestment risk associated
with early payment of the notes.
The table on the following pages captioned "Percent of Initial
Principal Balance at Various ABS Percentages" is the ABS Table. The ABS Table
has been prepared on the basis of the characteristics of the receivables, as
described below. The ABS Table assumes that -
(1) the receivables prepay in full at the specified constant
percentage of ABS monthly, with no defaults, losses or
repurchases,
(2) each scheduled monthly payment on the receivables is made on
the last day of each month and each month has 30 days,
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<PAGE> 12
(3) 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
(4) the servicer does not exercise its option to purchase the
receivables.
The pool has an assumed cutoff date of August 25, 2000. 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 option to purchase
the receivables and the associated projected average weighted life.
The ABS Table also assumes that the receivables have been aggregated
into hypothetical pools, with all of the receivables within the pools having the
following characteristics and that the level scheduled monthly payment - which
is based on its Aggregate Receivables Balance, APR, original term to maturity
and remaining term to maturity as of the cutoff date - will be such that each
pool will be fully amortized by the end of its remaining term to maturity.
Aggregate Original Term Remaining Term
Receivables Balance APR to Maturity (mos.) to Maturity (mos.)
------------------- --- ------------------ ------------------
$ 118,060.18 10.062% 12 9
860,211.56 12.460% 24 19
6,872,225.04 11.688% 35 26
22,547,746.04 11.969% 47 34
133,075,681.34 10.971% 60 45
327,547,542.25 10.746% 70 53
30,496,272.20 10.613% 74 53
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 pools 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.
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<PAGE> 13
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
------------------ --------------------------------- --------------------------------- ---------------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8% 0.5% 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
10/15/00 ...... 88.41 83.43 80.83 77.86 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/00 ...... 76.84 67.05 61.93 56.08 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/00 ...... 65.29 50.86 43.31 34.68 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
1/15/01 ....... 53.75 34.85 24.96 13.66 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
2/15/01 ....... 42.23 19.03 6.90 0.00 100.00 100.00 100.00 96.76 100.00 100.00 100.00 100.00
3/15/01 ....... 30.73 3.41 0.00 0.00 100.00 100.00 94.95 87.36 100.00 100.00 100.00 100.00
4/15/01 ....... 19.25 0.00 0.00 0.00 100.00 94.42 86.82 78.14 100.00 100.00 100.00 100.00
5/15/01 ....... 7.79 0.00 0.00 0.00 100.00 87.35 78.84 69.11 100.00 100.00 100.00 100.00
6/15/01 ....... 0.00 0.00 0.00 0.00 98.31 80.37 70.99 60.26 100.00 100.00 100.00 100.00
7/15/01 ....... 0.00 0.00 0.00 0.00 93.01 73.50 63.29 51.62 100.00 100.00 100.00 100.00
8/15/01 ....... 0.00 0.00 0.00 0.00 87.72 66.72 55.73 43.17 100.00 100.00 100.00 100.00
9/15/01 ....... 0.00 0.00 0.00 0.00 82.45 60.05 48.32 34.92 100.00 100.00 100.00 100.00
10/15/01 ...... 0.00 0.00 0.00 0.00 77.18 53.47 41.06 26.86 100.00 100.00 100.00 100.00
11/15/01 ...... 0.00 0.00 0.00 0.00 71.93 46.99 33.94 19.01 100.00 100.00 100.00 100.00
12/15/01 ...... 0.00 0.00 0.00 0.00 66.68 40.62 26.97 11.37 100.00 100.00 100.00 100.00
1/15/02 ....... 0.00 0.00 0.00 0.00 61.45 34.36 20.16 3.93 100.00 100.00 100.00 100.00
2/15/02 ....... 0.00 0.00 0.00 0.00 56.23 28.20 13.51 0.00 100.00 100.00 100.00 93.97
3/15/02 ....... 0.00 0.00 0.00 0.00 51.03 22.14 7.01 0.00 100.00 100.00 100.00 81.11
4/15/02 ....... 0.00 0.00 0.00 0.00 45.83 16.20 0.68 0.00 100.00 100.00 100.00 68.65
5/15/02 ....... 0.00 0.00 0.00 0.00 40.67 10.39 0.00 0.00 100.00 100.00 89.94 56.62
6/15/02 ....... 0.00 0.00 0.00 0.00 35.53 4.69 0.00 0.00 100.00 100.00 78.95 45.01
7/15/02 ....... 0.00 0.00 0.00 0.00 30.40 0.00 0.00 0.00 100.00 98.36 68.26 33.81
8/15/02 ....... 0.00 0.00 0.00 0.00 25.28 0.00 0.00 0.00 100.00 88.32 57.88 23.03
9/15/02 ....... 0.00 0.00 0.00 0.00 20.18 0.00 0.00 0.00 100.00 78.51 47.81 12.68
10/15/02 ...... 0.00 0.00 0.00 0.00 15.09 0.00 0.00 0.00 100.00 68.91 38.07 2.76
11/15/02 ...... 0.00 0.00 0.00 0.00 10.02 0.00 0.00 0.00 100.00 59.53 28.65 0.00
12/15/02 ...... 0.00 0.00 0.00 0.00 5.08 0.00 0.00 0.00 100.00 50.55 19.69 0.00
<CAPTION>
CLASS A NOTES
---------------------------------
DISTRIBUTION DATE CLASS A-4 NOTES CLASS B NOTES
------------------ --------------------------------- ---------------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8%
------ ------ ------ ------ ------ ------ ------ ------
<S> <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
10/15/00 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/00 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/00 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
1/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
2/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
3/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
4/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
5/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
6/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
7/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
8/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
9/15/01 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/01 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/01 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/01 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
1/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
2/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
3/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
4/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
5/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
6/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
7/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
8/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
9/15/02 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/02 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/02 ...... 100.00 100.00 100.00 86.77 100.00 100.00 100.00 100.00
12/15/02 ...... 100.00 100.00 100.00 69.19 100.00 100.00 100.00 100.00
</TABLE>
---------------
-17-
<PAGE> 14
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
---------------------- ------------------------- ------------------------- -----------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8%
---- ---- ---- ---- ---- ---- ---- ---- ------ ----- ----- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/15/03 .............. 0.00 0.00 0.00 0.00 0.17 0.00 0.00 0.00 100.00 41.79 11.06 0.00
2/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 91.31 33.25 2.77 0.00
3/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 82.35 24.95 0.00 0.00
4/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 73.41 16.88 0.00 0.00
5/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 64.51 9.05 0.00 0.00
6/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.65 1.46 0.00 0.00
7/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 46.81 0.00 0.00 0.00
8/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 38.57 0.00 0.00 0.00
9/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 30.36 0.00 0.00 0.00
10/15/03 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22.18 0.00 0.00 0.00
11/15/03 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 14.04 0.00 0.00 0.00
12/15/03 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.93 0.00 0.00 0.00
1/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
6/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
7/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
8/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
9/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10/15/04 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
11/15/04 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12/15/04 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
6/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
7/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
8/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
9/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10/15/05 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
11/15/05 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12/15/05 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1/15/06 .............. 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) ... 0.37 0.27 0.23 0.20 1.53 1.15 1.00 0.87 2.82 2.28 2.00 1.73
*Weighted Average
Life to Optional
Clean Up Call
(years) (1) ........
*Optional Clean Up
Call Date (mo/yr) ..
<CAPTION>
CLASS A NOTES
-----------------------------------
DISTRIBUTION DATE CLASS A-4 NOTES CLASS B NOTES
---------------------- ----------------------------------- ------------------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8%
------ ------ ------ ----- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1/15/03 .............. 100.00 100.00 100.00 52.49 100.00 100.00 100.00 100.00
2/15/03 .............. 100.00 100.00 100.00 36.67 100.00 100.00 100.00 100.00
3/15/03 .............. 100.00 100.00 89.77 21.75* 100.00 100.00 100.00 100.00*
4/15/03 .............. 100.00 100.00 74.75 7.73 100.00 100.00 100.00 100.00
5/15/03 .............. 100.00 100.00 60.42 0.00 100.00 100.00 100.00 91.97
6/15/03 .............. 100.00 100.00 46.77 0.00 100.00 100.00 100.00 73.80
7/15/03 .............. 100.00 88.41 33.82 0.00 100.00 100.00 100.00 57.05
8/15/03 .............. 100.00 75.10 22.05* 0.00 100.00 100.00 100.00* 42.47
9/15/03 .............. 100.00 62.26 10.95 0.00 100.00 100.00 100.00 29.67
10/15/03 ............. 100.00 49.89 0.52 0.00 100.00 100.00 100.00 18.16
11/15/03 ............. 100.00 37.99 0.00 0.00 100.00 100.00 86.25 7.95
12/15/03 ............. 100.00 26.58 0.00 0.00 100.00 100.00 72.76 2.06
1/15/04 .............. 95.79 15.66* 0.00 0.00 100.00 100.00* 60.34 0.62
2/15/04 .............. 79.97 5.23 0.00 0.00 100.00 100.00 48.98 0.00
3/15/04 .............. 64.23 0.00 0.00 0.00 100.00 93.00 38.71 0.00
4/15/04 .............. 48.56 0.00 0.00 0.00 100.00 78.95 29.55 0.00
5/15/04 .............. 32.97 0.00 0.00 0.00 100.00 65.67 21.50 0.00
6/15/04 .............. 17.47* 0.00 0.00 0.00 100.00* 53.18 14.59 0.00
7/15/04 .............. 6.70 0.00 0.00 0.00 100.00 44.51 9.93 0.00
8/15/04 .............. 0.00 0.00 0.00 0.00 94.01 36.40 6.22 0.00
9/15/04 .............. 0.00 0.00 0.00 0.00 78.11 28.86 3.25 0.00
10/15/04 ............. 0.00 0.00 0.00 0.00 62.30 21.90 1.05 0.00
11/15/04 ............. 0.00 0.00 0.00 0.00 46.58 15.53 0.00 0.00
12/15/04 ............. 0.00 0.00 0.00 0.00 30.95 9.75 0.00 0.00
1/15/05 .............. 0.00 0.00 0.00 0.00 15.43 4.57 0.00 0.00
2/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
6/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
7/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
8/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
9/15/05 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10/15/05 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
11/15/05 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12/15/05 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1/15/06 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average
Life (years) (1) ... 3.59 3.10 2.75 2.36 4.16 3.84 3.46 2.90
*Weighted Average
Life to Optional
Clean Up Call
(years) (1) ........ 3.57 3.08 2.72 2.34 3.72 3.30 2.88 2.47
*Optional Clean Up
Call Date (mo/yr) .. 06/04 01/04 08/03 03/03 06/04 01/04 08/03 03/03
</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.
-18-
<PAGE> 15
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 of the receivables) and should be read in conjunction with the
assumptions.
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 motor
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,
- the supply and demand for automobiles, light trucks and sport
utility vehicles, and
- increases in personal bankruptcies.
We cannot assure 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>
AS OF JUNE 30,
---------------------------------------
2000 1999
---------------------------------------
NUMBER NUMBER
OF LOANS AMOUNT OF LOANS AMOUNT
-------- ---------- -------- ----------
<S> <C> <C> <C> <C>
Portfolio of Period
End................. 366,796 $4,433,036 336,740 $4,041,242
Delinquency(1)......
30-59 days...... 5,190 $58,387 4,419 $47,858
69-89 days...... 1,551 $16,871 1,512 $16,101
90 Day or More.. 724 $7,638 691 $7,670
Total Delinquencies as 7,465 $82,896 6,622 $71,630
Percentage of the
Portfolio......... 2.04% 1.87% 1.97% 1.77%
</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.
<TABLE>
<CAPTION>
AS OF DECEMBER 31,
--------------------------------------------------------------------------------
1999 1998 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>
Portfolio of Period
End................. 358,395 $4,370,722 303,595 $3,495,181 242,396 $2,557,565 200,922 $1,979,782
Delinquency(1)......
30-59 days...... 6,252 $67,455 5,002 $53,150 3,557 $35,995 3,380 $31,646
69-89 days...... 2,627 $28,783 1,726 $18,839 765 $8,035 1,209 $11,330
90 Day or More.. 1,337 $15,356 792 $8,891 444 $4,694 600 $5,947
Total Delinquencies a 10,216 $111,595 7,520 $80,880 4,766 $48,724 5,189 $48,923
Percentage of the
Portfolio......... 2.85% 2.55% 2.48% 2.31% 1.97% 1.91% 2.58% 2.47%
</TABLE>
CREDIT LOSS/REPOSSESSION EXPERIENCE
<TABLE>
<CAPTION>
SIX MONTHS ENDED JUNE 30, YEAR ENDED DECEMBER 31,
---------------------- ----------------------------------------------------------
2000 1999 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
Portfolio Balance at Period End.................. $4,433,036 $4,041,242 $4,370,722 $3,495,181 $2,557,565 $1,979,782 $1,824,411
Average Portfolio Balance during Period.......... $4,413,081 $3,842,412 $4,051,580 $3,020,363 $2,270,731 $1,883,171 $1,850,693
Average Number of Loans Outstanding during the
Period......................................... 363,787 324,879 $337,782 273,261 222,092 195,759 195,834
Number of Repossessions during the Period........ 4,601 4,003 $8,333 6,207 4,967 4,198 4,153
Number of Repossessions as percentage of Average
Number of Loans Outstanding.................... 2.53% 2.46% 2.47% 2.27% 2.24% 2.14% 2.12%
Gross Charge-offs(1)............................. $43,439 $35,570 $69,930 $53,485 $39,184 $29,488 $25,644
Recoveries on Loans Previously Charged Off(2).... $20,284 $17,138 $33,614 $19,882 $16,901 $11,849 $11,321
Net Charge-offs(3)............................... $23,154 $18,432 $36,316 $33,604 $22,283 $17,639 $14,323
Net Charge-offs as a Percentage of Portfolio
Balance at Period End(4)....................... 1.04% 0.91% 0.83% 0.96% 0.87% 0.89% 0.79%
Net Charge-offs as a Percentage of Average
Balance During Period(4)....................... 1.05% 0.96% 0.90% 1.11% 0.98% 0.94% 0.77%
</TABLE>
----------------
(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.
(4) Annualized.
-19-
<PAGE> 16
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
----------------- --------------------------------- --------------------------------- ---------------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8% 0.5% 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
6/15/99 ....... 91.21 87.38 85.64 83.88 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
7/15/99 ....... 82.43 74.83 71.44 67.95 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
8/15/99 ....... 73.66 62.41 57.38 52.22 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
9/15/99 ....... 64.91 50.09 43.47 36.68 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/99 ...... 56.17 37.89 29.72 21.34 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/99 ...... 47.45 25.80 16.12 6.20 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/99 ...... 38.73 13.82 2.68 0.00 100.00 100.00 100.00 92.97 100.00 100.00 100.00 100.00
1/15/00 ....... 30.04 1.95 0.00 0.00 100.00 100.00 91.47 81.12 100.00 100.00 100.00 100.00
2/15/00 ....... 21.36 0.00 0.00 0.00 100.00 92.12 80.92 69.43 100.00 100.00 100.00 100.00
3/15/00 ....... 12.69 0.00 0.00 0.00 100.00 82.76 70.50 57.92 100.00 100.00 100.00 100.00
4/15/00 ....... 4.04 0.00 0.00 0.00 100.00 73.50 60.21 46.58 100.00 100.00 100.00 100.00
5/15/00 ....... 0.00 0.00 0.00 0.00 96.30 64.34 50.06 35.41 100.00 100.00 100.00 100.00
6/15/00 ....... 0.00 0.00 0.00 0.00 89.37 55.28 40.05 24.42 100.00 100.00 100.00 100.00
7/15/00 ....... 0.00 0.00 0.00 0.00 82.45 46.32 30.17 13.61 100.00 100.00 100.00 100.00
8/15/00 ....... 0.00 0.00 0.00 0.00 75.54 37.46 20.44 2.98 100.00 100.00 100.00 100.00
9/15/00 ....... 0.00 0.00 0.00 0.00 68.65 28.70 10.85 0.00 100.00 100.00 100.00 93.73
10/15/00 ...... 0.00 0.00 0.00 0.00 61.77 20.05 1.41 0.00 100.00 100.00 100.00 85.11
11/15/00 ...... 0.00 0.00 0.00 0.00 54.91 11.50 0.00 0.00 100.00 100.00 93.37 76.65
12/15/00 ...... 0.00 0.00 0.00 0.00 48.06 3.07 0.00 0.00 100.00 100.00 85.68 68.35
1/15/01 ....... 0.00 0.00 0.00 0.00 41.23 0.00 0.00 0.00 100.00 95.58 78.12 60.21
2/15/01 ....... 0.00 0.00 0.00 0.00 34.42 0.00 0.00 0.00 100.00 88.67 70.69 52.24
3/15/01 ....... 0.00 0.00 0.00 0.00 27.62 0.00 0.00 0.00 100.00 81.86 63.39 44.43
4/15/01 ....... 0.00 0.00 0.00 0.00 20.84 0.00 0.00 0.00 100.00 75.15 56.22 36.80
5/15/01 ....... 0.00 0.00 0.00 0.00 14.07 0.00 0.00 0.00 100.00 68.53 49.18 29.34
6/15/01 ....... 0.00 0.00 0.00 0.00 7.33 0.00 0.00 0.00 100.00 62.01 42.29 22.05
7/15/01 ....... 0.00 0.00 0.00 0.00 0.60 0.00 0.00 0.00 100.00 55.59 35.53 14.94
8/15/01 ....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 94.86 49.27 28.90 8.01
<CAPTION>
CLASS A NOTES
---------------------------------
DISTRIBUTION DATE CLASS A-4 NOTES CLASS B NOTES
----------------- --------------------------------- ---------------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8%
------ ------ ------ ------ ------ ------ ------ ------
<S> <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
6/15/99 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
7/15/99 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
8/15/99 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
9/15/99 ....... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
10/15/99 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
11/15/99 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00
12/15/99 ...... 100.00 100.00 100.00 100.00 100.00 100.00 100.00 97.91
1/15/00 ....... 100.00 100.00 100.00 100.00 100.00 100.00 97.47 94.40
2/15/00 ....... 100.00 100.00 100.00 100.00 100.00 97.66 94.34 90.93
3/15/00 ....... 100.00 100.00 100.00 100.00 100.00 94.88 91.24 87.51
4/15/00 ....... 100.00 100.00 100.00 100.00 100.00 92.14 88.19 84.14
5/15/00 ....... 100.00 100.00 100.00 100.00 98.90 89.42 85.18 80.83
6/15/00 ....... 100.00 100.00 100.00 100.00 96.84 86.73 82.21 77.57
7/15/00 ....... 100.00 100.00 100.00 100.00 94.79 84.07 79.28 74.36
8/15/00 ....... 100.00 100.00 100.00 100.00 92.74 81.44 76.39 71.21
9/15/00 ....... 100.00 100.00 100.00 100.00 90.70 78.84 73.54 68.11
10/15/00 ...... 100.00 100.00 100.00 100.00 88.65 76.27 70.74 65.06
11/15/00 ...... 100.00 100.00 100.00 100.00 86.62 73.74 67.98 62.08
12/15/00 ...... 100.00 100.00 100.00 100.00 84.59 71.23 65.27 59.15
1/15/01 ....... 100.00 100.00 100.00 100.00 82.56 68.76 62.60 56.27
2/15/01 ....... 100.00 100.00 100.00 100.00 80.54 66.32 59.97 53.46
3/15/01 ....... 100.00 100.00 100.00 100.00 78.52 63.92 57.40 50.70
4/15/01 ....... 100.00 100.00 100.00 100.00 76.51 61.55 54.86 48.01
5/15/01 ....... 100.00 100.00 100.00 100.00 74.50 59.21 52.38 45.37
6/15/01 ....... 100.00 100.00 100.00 100.00 72.50 56.91 49.95 42.80
7/15/01 ....... 100.00 100.00 100.00 100.00 70.50 54.64 47.56 40.29
8/15/01 ....... 100.00 100.00 100.00 100.00 68.51 52.41 45.22 37.84
</TABLE>
----------------------
-20-
<PAGE> 17
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
---------------------- ------------------------- ------------------------- ----------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8%
---- ---- ---- ---- ---- ---- ---- ---- ----- ----- ----- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
9/15/01 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 89.24 43.06 22.43 1.26
10/15/01 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 83.63 36.95 16.09 0.00
11/15/01 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 78.04 30.94 9.90 0.00
12/15/01 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 72.47 25.04 3.85 0.00
1/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 66.91 19.25 0.00 0.00
2/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 61.38 13.57 0.00 0.00
3/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 55.86 8.01 0.00 0.00
4/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 50.36 2.55 0.00 0.00
5/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 44.87 0.00 0.00 0.00
6/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 39.41 0.00 0.00 0.00
7/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 33.97 0.00 0.00 0.00
8/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 28.54 0.00 0.00 0.00
9/15/02 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23.14 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 17.76 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 12.40 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 7.06 0.00 0.00 0.00
1/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.75 0.00 0.00 0.00
2/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
6/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
7/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
8/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
9/15/03 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10/15/03 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
11/15/03 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
12/15/03 ............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
6/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
7/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
8/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
9/15/04 .............. 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) ... 0.47 0.33 0.29 0.26 1.56 1.13 1.00 0.89 2.92 2.25 2.00 1.78
*Weighted Average
Life to Optional
Clean Up Call
(years) (1) ........
*Optional Clean Up
Call Date (mo/yr) ..
<CAPTION>
CLASS A NOTES
------------------------------------
DISTRIBUTION DATE CLASS A-4 NOTES CLASS B NOTES
---------------------- ------------------------------------ --------------------------------
0.5% 1.2% 1.5% 1.8% 0.5% 1.2% 1.5% 1.8%
------ ------ ------ ------ ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/15/01 .............. 100.00 100.00 100.00 100.00 66.52 50.22 42.93 35.46
10/15/01 ............. 100.00 100.00 100.00 94.65 64.54 48.06 40.70 33.14
11/15/01 ............. 100.00 100.00 100.00 88.21 62.57 45.94 38.51 30.89
12/15/01 ............. 100.00 100.00 100.00 81.97 60.60 43.86 36.38 28.70
1/15/02 .............. 100.00 100.00 97.94 75.92 58.64 41.81 34.30 26.58
2/15/02 .............. 100.00 100.00 92.15 70.06 56.69 39.81 32.27 24.53
3/15/02 .............. 100.00 100.00 86.52 64.40 54.74 37.84 30.29 22.55
4/15/02 .............. 100.00 100.00 81.03 58.94 52.79 35.92 28.38 20.64
5/15/02 .............. 100.00 97.19 75.71 53.68 50.86 34.03 26.51 18.80
6/15/02 .............. 100.00 91.92 70.55 48.63 48.93 32.19 24.70 17.03
7/15/02 .............. 100.00 86.77 65.55 43.79 47.01 30.38 22.95 15.33
8/15/02 .............. 100.00 81.74 60.72 39.15 45.09 28.62 21.26 13.71
9/15/02 .............. 100.00 76.83 56.05 34.73* 43.19 26.90 19.63 12.16*
10/15/02 ............. 100.00 72.04 51.55 30.53 41.29 25.23 18.05 10.69
11/15/02 ............. 100.00 67.38 47.22 26.54 39.39 23.59 16.53 9.29
12/15/02 ............. 100.00 62.85 43.07 22.77 37.51 22.01 15.08 7.97
1/15/03 .............. 100.00 58.44 39.09 19.23 35.63 20.46 13.69 6.73
2/15/03 .............. 96.42 54.17 35.28* 15.91 33.76 18.97 12.36* 5.57
3/15/03 .............. 91.11 50.02 31.66 12.83 31.90 17.52 11.09 4.49
4/15/03 .............. 85.82 46.01 28.22 9.98 30.05 16.11 9.88 3.49
5/15/03 .............. 80.55 42.13 24.97 7.36 28.21 14.75 8.74 2.58
6/15/03 .............. 75.31 38.39 21.90 4.98 26.37 13.44 7.67 1.74
7/15/03 .............. 70.10 34.79* 19.02 2.84 24.55 12.18* 6.66 0.99
8/15/03 .............. 64.91 31.33 16.33 0.95 22.73 10.97 5.72 0.33
9/15/03 .............. 59.74 28.02 13.84 0.00 20.92 9.81 4.85 0.00
10/15/03 ............. 54.61 24.84 11.55 0.00 19.12 8.70 4.04 0.00
11/15/03 ............. 49.50 21.82 9.45 0.00 17.33 7.64 3.31 0.00
12/15/03 ............. 44.41 18.94 7.55 0.00 15.55 6.63 2.64 0.00
1/15/04 .............. 39.36 16.21 5.86 0.00 13.78 5.67 2.05 0.00
2/15/04 .............. 34.33* 13.63 4.38 0.00 12.02* 4.77 1.53 0.00
3/15/04 .............. 29.34 11.20 3.10 0.00 10.27 3.92 1.09 0.00
4/15/04 .............. 24.37 8.94 2.04 0.00 8.53 3.13 0.71 0.00
5/15/04 .............. 19.43 6.83 1.19 0.00 6.80 2.39 0.42 0.00
6/15/04 .............. 14.53 4.87 0.56 0.00 5.09 1.71 0.20 0.00
7/15/04 .............. 9.65 3.08 0.15 0.00 3.38 1.08 0.05 0.00
8/15/04 .............. 4.81 1.46 0.00 0.00 1.68 0.51 0.00 0.00
9/15/04 .............. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Weighted Average
Life (years) (1) ... 4.49 3.91 3.54 3.13 3.07 2.50 2.24 1.99
*Weighted Average
Life to Optional
Clean Up Call
(years) (1) ........ 4.38 3.72 3.34 2.97 3.03 2.43 2.17 1.93
*Optional Clean Up
Call Date (mo/yr) .. 2/04 7/03 2/03 9/02 2/04 7/03 2/03 9/02
</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.
-21-
<PAGE> 18
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>
THREE MONTHS ENDED MARCH 31,
---------------------------------------
1999 1998
------------------- -------------------
NUMBER NUMBER
OF LOANS AMOUNT OF LOANS AMOUNT
-------- ---------- -------- ----------
<S> <C> <C> <C> <C>
Portfolio of Period
End.................. 326,740 $3,872,070 253,527 $2,709,969
Delinquency(1).......
30-59 days....... 4,278 $ 46,686 3,139 $ 33,096
69-89 days....... 1,485 $ 16,840 789 $ 8,543
90 Day or More... 776 $ 8,481 470 $ 5,336
Total Delinquencies as 6,539 $ 72,007 4,398 $ 46,974
Percentage of the
Portfolio.......... 2.00% 1.86% 1.73% 1.73%
</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.
<TABLE>
<CAPTION>
AS OF DECEMBER 31,
--------------------------------------------------------------------------------
1998 1997 1996 1995
------------------- ------------------- -------------------- -------------------
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>
Portfolio of Period
End................. 303,595 $3,495,181 242,396 $2,557,565 200,922 $1,979,782 193,634 $1,824,411
Delinquency(1)...... 5,002 $ 53,150 3,557 $ 35,995 3,380 $ 31,646 2,867 $ 24,914
30-59 days...... 1,726 $ 18,839 765 $ 8,035 1,209 $ 11,330 557 $ 5,358
69-89 days...... 792 $ 8,891 444 $ 4,694 600 $ 5,947 255 $ 2,462
90 Day or More.. 7,520 $ 80,880 4,766 $ 48,724 5,189 $ 48,923 3,679 $ 32,734
Total Delinquencies
Percentage of the
Portfolio......... 2.48% 2.31% 1.97% 1.91% 2.58% 2.47% 1.90% 1.79%
</TABLE>
CREDIT LOSS/REPOSSESSION EXPERIENCE
<TABLE>
<CAPTION>
THREE MONTHS ENDED
MARCH 31, YEAR ENDED DECEMBER 31,
---------------------- ----------------------------------------------------------
1999 1998 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ---------- ----------
(DOLLARS IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C> <C>
Portfolio Balance at Period End.................. $3,872,070 $2,709,969 $3,495,181 $2,557,565 $1,979,782 $1,824,411 $1,885,491
Average Portfolio Balance during Period.......... $3,713,832 $2,659,611 $3,020,363 $2,270,731 $1,883,171 $1,850,693 $1,670,756
Average Number of Loans Outstanding during the
Period......................................... 317,204 249,840 273,261 222,092 195,759 195,834 180,660
Number of Repossessions during the Period........ 2,068 1,462 6,207 4,967 4,198 4,153 3,528
Number of Repossessions as percentage of Average
Number of Loans Outstanding.................... 2.61% 2.34% 2.27% 2.24% 2.14% 2.12% 1.95%
Gross Charge-offs(1)............................. $19,574 $9,852 $53,485 $39,184 $29,488 $25,644 $17,352
Recoveries on Loans Previously Charged Off(2).... $8,851 $4,140 $19,882 $16,901 $11,849 $11,321 $8,370
Net Charge-offs(3)............................... $10,723 $5,713 $33,604 $22,283 $17,639 $14,323 $8,985
Net Charge-offs as a Percentage of Portfolio
Balance at Period End(4)....................... 1.11% 0.85% 0.96% 0.87% 0.89% 0.79% 0.48%
Net Charge-offs as a Percentage of Average
Balance During Period(4)....................... 1.15% 0.87% 1.11% 0.98% 0.94% 0.77% 0.54%
</TABLE>
----------------
(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.
(4) Annualized.
-22-
