CONFORMED COPY
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-K
/ X / ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the fiscal year ended December 31, 1999
-------------------
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the transition period from ___________ to _____________
Commission file number 000-19452
---------
CARCO AUTO LOAN MASTER TRUST
- -----------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
State of New York Not Applicable
- -----------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
27777 Franklin Road, Southfield, Michigan 48034
- -----------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (248) 948-3067
--------------------------
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act:
Floating Rate Auto Loan Asset Backed Certificates, Series 1995-2
Floating Rate Auto Loan Asset Backed Certificates, Series 1995-5
Floating Rate Auto Loan Asset Backed Certificates, Series 1996-1
Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2
Fixed Rate Auto Loan Asset Backed Certificates, Series 1997-1
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days. Yes _X_ No___
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to
the best of registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10-K. [X]
1
PART I.
ITEM 1. BUSINESS
CARCO Auto Loan Master Trust (the "Trust") was formed pursuant to the Pooling
and Servicing Agreement dated as of May 31, 1991, as assigned by Chrysler
Auto Receivables Company ("CARCO"), to U.S. Auto Receivables Company ("USA")
on August 8, 1991, among USA, Chrysler Credit Corporation, as Servicer
("CCC"), and Manufacturers and Traders Trust Company, a New York banking
corporation, as Trustee. The assets of the Trust include wholesale
receivables (the "Receivables") generated from time to time in a portfolio of
revolving financing arrangements (the "Accounts") with automobile dealers to
finance their automobile and light duty truck inventory. More specifically,
the assets of the Trust include (a) certain Receivables existing under the
accounts at the close of business on May 31, 1991 (the "Initial Cut-Off
Date"), certain Receivables generated under the Accounts from time to time
thereafter during the term of the Trust as well as certain Receivables
generated under any Accounts added to the Trust from time to time (but
excluding Receivables generated in any Accounts removed from the Trust from
time to time after the Initial Cut-Off Date), (b) all funds collected or to
be collected in respect of such Receivables, (c) all funds on deposit in
certain accounts of the Trust, (d) any Enhancement issued with respect to a
series of certificates issued by the Trust (each such series, a "Series") and
(e) a security interest in certain motor vehicles (the "Vehicles") and
certain parts inventory, equipment, fixtures, service accounts and, in some
cases, realty and/or a personal guarantee (collectively, the "Collateral
Security") securing the Receivables. The term "Enhancement" shall mean, with
respect to any Series, any letter of credit, surety bond, cash collateral
account, spread account, guaranteed rate agreement, maturity liquidity
facility, tax protection agreement, interest rate swap agreement or other
similar arrangement for the benefit of Certificateholders of such Series.
USA entered into a Receivables Purchase Agreement, dated as of the date of
the Pooling and Servicing Agreement, between USA, as purchaser, and CCC, as
seller (the "Receivables Purchase Agreement"). Pursuant to the Receivables
Purchase Agreement, CCC has (a) sold to USA all of its right, title and
interest in and to all Receivables meeting certain eligibility criteria
contained in the Receivables Purchase Agreement and the Pooling and Servicing
Agreement ("Eligible Receivables") and (b) assigned its interests in the
Vehicles and the Collateral Security to USA. USA in turn transferred such
Receivables and Collateral Security to the Trust pursuant to the Pooling and
Servicing Agreement. USA has also assigned to the Trust its rights with
respect to the Receivables under the Receivables Purchase Agreement.
All new Receivables arising under the Accounts prior to January 1, 1996, were
sold by CCC to USA and transferred by USA to the Trust. All new Receivables
arising under the Accounts on or after January 1, 1996, during the term of
the Trust were sold by Chrysler Financial Corporation ("CFC"), now known as
Chrysler Financial Company L.L.C. ("LLC") (see Item 8, Note 8) to USA and
transferred by USA to the Trust. Accordingly, the aggregate amount of
Receivables in the Trust will fluctuate from day to day as new Receivables
are generated and as existing Receivables are collected, charged off as
uncollectible or otherwise adjusted.
CARCO and USA are wholly-owned subsidiaries of LLC. On December 31, 1995,
CCC, merged with and into CFC, now known as LLC. CCC serviced the Receivables
prior to January 1, 1996. LLC now services the Receivables.
Pursuant to an Agreement of Resignation, Appointment and Acceptance dated as
of August 23, 1996, Manufacturers and Traders Trust Company resigned as the
Trustee of the Trust and The Bank of New York became the Trustee of the
Trust.
The Trust has no employees.
ITEM 2. PROPERTIES
There is nothing to report with regard to this item.
2
ITEM 3. LEGAL PROCEEDINGS
There is nothing to report with regard to this item.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There is nothing to report with regard to this item.
PART II.
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY
AND RELATED STOCKHOLDER MATTERS
There is nothing to report with regard to this item.
ITEM 6. SELECTED FINANCIAL DATA
The selected financial data has been omitted since the required information
is included in the financial statements or the notes thereto.
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATION
The following Certificates were issued by the Trust evidencing undivided
interests in certain assets of the Trust:
Issue Date Series Description
Maturity Date Principal Amount
- ------------- ------------------
October 1992 Floating Rate Auto Loan Asset Backed Certificates, Series 1992-2
October 1997 $400 million
February 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-1
February 1998 $250 million
November 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
November 1998 $388.5 million
November 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
November 1997 $111.5 million
October 1994 Floating Rate Auto Loan Asset Backed Certificates, Series 1994-1
October 1999 $500 million
December 1994 7 7/8% Auto Loan Asset Backed Certificates, Series 1994-2
August 1997 $500 million
December 1994 8 1/8% Auto Loan Asset Backed Certificates, Series 1994-3
November 1997 $350 million
3
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATIONS (continued)
Issue Date Series Description
Maturity Date Principal Amount
- ------------- ------------------
January 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-1
July 1998 $600 million
March 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-2
Outstanding $600 million
May 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-3
June 1998 $500 million
May 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4
May 1998 $500 million
May 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4A
July 1998 $500 million
December 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-5
Outstanding $250 million
November 1996 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-1
Outstanding $500 million
December 1996 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2
Outstanding $500 million
August 1997 6.689% Auto Loan Asset Backed Certificates, Series 1997-1
Outstanding $441.9 million
August 1997 6.689% Auto Loan Asset Backed Certificates, Series 1997-1
Matured (1) $258.1 million
July 1998 Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Outstanding $1 billion
March 1999 Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
Outstanding 5.65% Class A-1 Certificates $400 million, and 5.78% Class A-2
Certificates $600 million.
May 1999 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-2
Outstanding $1.35 billion
July 1999 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-3
Outstanding $1 billion
November 1999 6.43% Auto Loan Asset Backed Certificates, Series 1999-4 $500 million
Outstanding
4
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATIONS (continued)
CCC serviced the Receivables for a fee prior to January 1, 1996. On
December 31, 1995, CCC merged with and into CFC, now LLC. CFC and LLC have
serviced the Receivables for a fee since this merger.
Pursuant to an Agreement of Resignation, Appointment and Acceptance dated as
of August 23, 1996, Manufacturers and Traders Trust Company resigned as the
Trustee of the Trust and The Bank of New York became the Trustee of the
Trust.
(1) Pursuant to the Series 1997-1 Prospectus Supplement, beginning with the
August 16, 1999 Principal Commencement Date, the Certificate Holders
began to receive principal payments monthly on each Distribution Date.
These payments were calculated in accordance with the corresponding
provisions of the Prospectus Supplement. The payments will continue
until the outstanding principal balance has been paid in full. The
total principal balance paid to Certificate Holders during 1999 was
$258.1 million.
The Trust has no employees.
Year 2000 Date Conversion
LLC will service the receivables on behalf of the Trust. The Trust relies on
LLC's computer systems. LLC did not experience any significant "Year 2000" or
"Y2K" related disruptions to its operations. LLC successfully implemented a
comprehensive Y2K compliance program that included assessment, testing,
remediation and contingency planning in the areas of critical business
computer systems and critical suppliers, end-user computing and dealer
systems. However, it is not certain that there will be no Y2K-related
disruptions in the future.
New Accounting Standards
In June 1998, the Financial Accounting Standards Board issued SFAS No. 133,
"Accounting for Derivative Instruments and Hedging Activities." For companies
with calendar year-ends, the effective date is January 1, 2001 with early
adoption permitted. This standard requires that all companies recognize all
derivatives on the balance sheet at fair value. Gains or losses resulting
from changes in the fair values of those derivatives would be accounted for
based on the use of the derivatives and to the extent they qualify for hedge
accounting. The adoption of this new accounting standard is not expected to
have a material impact on the Trust's financial statements.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
There is nothing to report with regard to this item.
5
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
CARCO AUTO LOAN MASTER TRUST
STATEMENTS OF ASSETS, LIABILITIES AND EQUITY
ARISING FROM CASH TRANSACTIONS
(in millions of dollars)
December 31,
---------------------
1999 1998
---- ----
ASSETS
Cash and Cash Equivalents (Note 2) $ 46.7 $ 29.1
Receivables (Note 4) 10,030.2 8,783.1
--------- ---------
TOTAL ASSETS $10,076.9 $ 8,812.2
========= =========
LIABILITIES AND EQUITY
Amounts Held for Future Distribution (Note 2) $ 46.7 $ 29.1
Asset Backed Certificates (Notes 3, 4 and 5) 10,030.2 8,783.1
--------- ---------
TOTAL LIABILITIES AND EQUITY $10,076.9 $ 8,812.2
========= =========
See Notes to Financial Statements.
6
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
STATEMENTS OF CASH RECEIPTS AND DISBURSEMENTS
(in millions of dollars)
Year Ended December 31,
-------------------------------
1999 1998 1997
---- ---- ----
CASH RECEIPTS
Collections of Interest $ 840.6 $ 687.3 $ 739.2
Deposits to Subordinated Accounts 22.9 7.5 4.2
Proceeds from Sales of Investor Certificates 3,850.0 1,000.0 700.0
Collections of Principal 758.1 2,738.5 1,361.5
-------- -------- --------
TOTAL CASH RECEIPTS 5,471.6 4,433.3 2,804.9
-------- -------- --------
CASH DISBURSEMENTS
Purchases of Certificates held by USA 3,850.0 1,000.0 700.0
Distributions of Interest 785.0 691.0 695.2
Distributions of Principal 758.1 2,738.5 1,361.5
Distributions of Amounts from
Subordinated Accounts 5.3 21.5 8.2
Distributions of Service Fees 55.6 51.2 62.9
-------- -------- --------
TOTAL CASH DISBURSEMENTS 5,454.0 4,502.2 2,827.8
-------- -------- --------
CASH RECEIPTS IN EXCESS OF CASH DISBURSEMENTS
(CASH DISBURSEMENTS IN EXCESS OF CASH RECEIPTS) 17.6 (68.9) (22.9)
CASH AND CASH EQUIVALENTS AT BEGINNING OF YEAR 29.1 98.0 120.9
-------- -------- --------
CASH AND CASH EQUIVALENTS AT END OF YEAR $ 46.7 $ 29.1 $ 98.0
======== ======== ========
See Notes to Financial Statements.
7
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Accounting
The financial statements of the Trust are prepared on the basis of cash
receipts and disbursements, which is a comprehensive basis of accounting
other than generally accepted accounting principles. The primary difference
from the accrual basis to this basis is that the financial statements do not
record overcollateralized receivables, accrued interest receivable on the
Receivables, or accrued interest payable on the Certificates from the most
recent Distribution Date to the balance sheet date.
Derivative Financial Instruments
The Trust uses derivative financial instruments to manage its exposure
arising from declines in interest rates. The derivative financial instruments
used have been limited to interest rate swap agreements. The Trust does not
use derivative financial instruments for trading purposes.
Interest differentials resulting from interest rate swap agreements are
recorded on a cash basis as an adjustment to interest collections.
NOTE 2 - CASH AND CASH EQUIVALENTS
Short-term instruments with a maturity of less than 30 days when purchased
are considered to be cash equivalents. The Trust received certain cash
deposits from LLC which are held as liquidity and credit enhancement reserves
and invested in short-term instruments. Under the Sale and Servicing
Agreement, the servicer is required to convey principal and interest
collections to the Trust on a monthly basis.
NOTE 3 - RELATED PARTIES
U.S. Auto Receivables Company ("USA") is, and CCC was, a wholly-owned
subsidiary of Chrysler Financial Company L.L.C. ("LLC"), formerly known as
Chrysler Financial Corporation ("CFC"). On December 31, 1995, CCC merged with
and into CFC, now LLC. On November 12, 1998, LLC's parent, Chrysler
Corporation became a wholly-owned subsidiary of DaimlerChrysler AG
("Daimler") and on November 17, 1998, Chrysler Corporation changed its name
to DaimlerChrysler Corporation ("DaimlerChrysler").
8
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 4 - SALES OF CERTIFICATES
The following Certificates were issued by the Trust evidencing undivided
interests in certain assets of the Trust:
Issue Principal Amount
Date Series Description (in millions)
- ----- ------------------ ----------------
8/91 7 7/8% Auto Loan Asset Backed Certificates, Series 1991-3 $750.0 (1)
10/91 Floating Rate Auto Loan Asset Backed Certificates, Series 1991-4 $500.0 (1)
12/91 Money Market Auto Loan Asset Backed Certificates, Series A $300.0 (1)
3/92 Money Market Auto Loan Asset Backed Certificates, Series B $350.0 (1)
5/92 Money Market Auto Loan Asset Backed Certificates, Series C $150.0 (1)
7/92 Floating Rate Auto Loan Asset Backed Certificates, Series 1992-1 $400.0 (1)
10/92 Floating Rate Auto Loan Asset Backed Certificates, Series 1992-2 $400.0 (1)
2/93 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-1 $250.0 (1)
11/93 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
Class A-1 Money Market Extendible Certificates $288.5 (1)
Class A-1 Money Market Extendible Certificates $111.5 (1)
Class A-2 Medium Term Certificates $100.0 (1)
10/94 Floating Rate Auto Loan Asset Backed Certificates, Series 1994-1 $500.0 (1)
12/94 7 7/8% Auto Loan Asset Backed Certificates, Series 1994-2 $500.0 (1)
12/94 8 1/8% Auto Loan Asset Backed Certificates, Series 1994-3 $350.0 (1)
1/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-1 $600.0 (1)
3/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-2 $600.0
5/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-3 $500.0 (1)
5/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4 $500.0 (1)
5/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4A $500.0 (1)
12/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-5 $250.0
11/96 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-1 $500.0
12/96 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2 $500.0
8/97 6.689% Auto Loan Asset Backed Certificates, Series 1997-1 $441.9
6.689% Auto Loan Asset Backed Certificates, Series 1997-1 $258.1 (1)
7/98 Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Class A-1 Certificates $500.0
Class A-2 Certificates $500.0
3/99 Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
5.65% Class A-1 Certificates $400.0
5.78% Class A-2 Certificates $600.0
5/99 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-2
Class A-1 Certificates $750.0
Class A-2 Certificates $600.0
7/99 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-3 $1,000.0
9
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 4 - SALES OF CERTIFICATES (CONTINUED)
Issue Principal Amount
Date Series Description (in millions)
- ----- ------------------ ----------------
11/99 6.43% Auto Loan Asset Backed Certificates, Series 1999-4 $500.0
<FN>
(1) Series matured prior to December 31, 1999. Refer to Note 5 for further
details.
Receivables in excess of total investor's certificates outstanding at
December 31, 1999 and 1998 are represented by Certificates held by USA.
10
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 5 - PRINCIPAL AND INTEREST PAYMENTS
Interest Interest Principal Maturity
Series Rate Payments Payments(1) Date(2)
- ------ -------- -------- ----------- --------
91-3 7 7/8% Semi-Annually 8/1996 Matured
92-2 LIBOR + 0.35% Monthly 10/1997 Matured
93-1 LIBOR + 0.28% Monthly 2/1998 Matured
93-2 A-1 Comm Paper + 0.075% Monthly 11/1997 Matured
93-2 A-1 Comm Paper + 0.075% Monthly 11/1998 Matured
A-2 LIBOR + 0.26% Monthly 11/1998 Matured
94-1 LIBOR + 0.18% Monthly 10/1999 Matured
94-2 7 7/8% Semi-Annually 8/1997 Matured
94-3 8 1/8% Annually 11/1997 Matured
95-1 LIBOR + 0.16% Monthly 7/1998 Matured
95-2 LIBOR + 0.13% Monthly -- 3/2000
95-3 Fed Funds + 0.25% Monthly 6/1998 Matured
95-4 Fed Funds + 0.26% Monthly 5/1998 Matured
95-4A Fed Funds + 0.26% Monthly 7/1998 Matured
95-5 Comm Paper + 0.1875% Monthly -- 2/2000
96-1 LIBOR + 0.135% Monthly -- 11/2003
96-2 LIBOR + 0.05% Monthly -- 12/2001
97-1 6.689%(4) Monthly 12/1999(3) 8/2004
98-1 A-1 LIBOR + 0.04% Monthly -- 6/2001
A-2 LIBOR + 0.08% Monthly -- 6/2003
99-1 A-1 5.65% Monthly -- 3/2001
A-2 5.78% Monthly -- 3/2002
99-2 A-1 LIBOR + 0.07% Monthly -- 5/2002
A-2 LIBOR + 0.13% Monthly -- 5/2004
99-3 LIBOR + 0.12% Monthly -- 7/2002
99-4 6.43 Monthly -- 11/2002
(1) The dates listed are the Distribution Dates on which the principal of the
Certificates were paid.
(2) The date listed is the Distribution Date on which the principal of the
Certificates is expected to be paid, however, the principal of the
Certificates may be paid earlier under certain circumstances described in
the related prospectus.
(3) As of December 31, 1999, $258.1 million of the original $700.0 million of
principal on Series 1997-1 was paid to Certificateholders
(4) In connection with this Series, the Trust entered into an interest rate
swap agreement with AIG Financial Products Corporation ("AIG"), the
notional amount of which is equal to the principal amount of the related
Certificates. Under this agreement, AIG paid the Trust interest at the
Certificate Rate, and the Trust paid interest to AIG based on a floating
rate of LIBOR plus 0.017%.
11
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 6 - FEDERAL INCOME TAXES
The Certificates, in the opinion of outside legal counsel, will not be
characterized as debt of the Trust for federal income tax purposes.
Certificate holders will be subject to income tax on interest earned with
respect to the Certificates.
NOTE 7 - FAIR VALUE OF FINANCIAL INSTRUMENTS
Financial Instruments
The estimated fair value of financial instruments have been determined using
available market information and valuation methodologies as described below.
However, considerable judgment is required in interpreting market data to
develop the estimates of fair value. Accordingly, the estimates presented
herein are not necessarily indicative of the amounts that could be realized
in a current market exchange. The use of different market assumptions or
valuation methodologies may have a material effect on the estimated fair
value amounts.
The carrying amounts and estimated fair values of the Trust's financial
instruments were as follows (in millions of dollars):
December 31, 1999 December 31, 1998
--------------------- --------------------
Carrying Fair Carrying Fair
Amounts Value Amounts Value
-------- ----- -------- -----
Cash $ 46.7 $ 46.7 $ 29.1 $ 29.1
Receivables $10,030.2 $10,030.2 $8,783.1 $8,783.1
Amounts Held for Future
Distribution $ 46.7 $ 53.0 $ 29.1 $ 29.1
Asset Backed Certificates $10,030.2 $10.023.9 $8,783.1 $8,783.1
Assumptions and Methodologies
The carrying value of cash and cash equivalents and amounts held for future
distribution approximate market value due to the short maturity of these
instruments.
The carrying value of variable rate receivables was assumed to approximate
fair value since they are priced at current market rates.
The fair value of Asset Backed Certificates was estimated using quoted market
prices for investors' certificates and net realizable value for excess
receivables.
12
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 7 - FAIR VALUE OF FINANCIAL INSTRUMENTS - continued
Derivative Financial Instruments
The Trust is exposed to the risk of declining interest rates as a result of
financing the acquisition of receivables bearing floating rates with fixed
rate certificates. As described in Note 5, the Trust has entered into
interest rate swap agreements to reduce its exposure to decreases in interest
rates. The interest rate swaps are matched to specific Series of Certificates
issued by the Trust. Under the terms of the agreements the Trust receives
fixed rate interest payments in return for interest payments based on a
variable rate. The weighted average fixed rate received by the Trust was
6.689% and 6.689% at December 31, 1999 and 1998, respectively. The weighted
average floating rate paid was 6.480% and 5.552% at December 31, 1999 and
1998, respectively. The Trust does not enter into derivative financial
instruments for trading purposes.
Interest rate swap differentials are deposited in, or paid from, the
collection account. Funds remaining in the collection account after
distribution to Certificateholders are returned to USA.
The table below summarizes the Trust's position in interest rate swap
agreements (in millions of dollars):
December 31, 1999 December 31, 1998
---------------------- -----------------------
Contract Contract
or Unrealized or Unrealized
Notional Gains Notional Gains
Amount (Losses) Amount (Losses)
---------- ---------- -------- ----------
Pay variable interest
rate swaps $ 441.9 $ (7.6) $ 700.0 $ (9.3)
The fair value of the Trust's interest rate swap agreements were based on
market quotes from dealers.
13
KPMG LLP
- -----------------
Independent Auditors' Report
The Board of Directors
Chrysler Financial Company L.L.C.:
We have audited the accompanying statements of assets, liabilities and equity
arising from cash transactions of the CARCO Auto Loan Master Trust (the
"Trust") as of December 31, 1999 and 1998, and the related statements of cash
receipts and disbursements for each of the years in the three-year period
ended December 31, 1999. These financial statements are the responsibility of
the management of Chrysler Financial Company L.L.C., servicer of the Trust.
Our responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements.
An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
As described in Note 1, these financial statements were prepared on the basis
of cash receipts and disbursements, which is a comprehensive basis of
accounting other than generally accepted accounting principles.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the assets, liabilities and equity arising from cash
transactions of the CARCO Auto Loan Master Trust as of December 31, 1999 and
1998, and its cash receipts and disbursements for each of the years in the
three-year period ended December 31, 1999 on the basis of accounting
described in Note 1.
/s/ KPMG LLP
Detroit, Michigan
March 29, 2000
14
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS
ON ACCOUNTING AND FINANCIAL DISCLOSURE
There is nothing to report with regard to this item.
PART III.
ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
There is nothing to report with regard to this item.
ITEM 11. EXECUTIVE COMPENSATION
There is nothing to report with regard to this item.
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
There is nothing to report with regard to this item.
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
There is nothing to report with regard to this item.
PART IV.
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K
(a) The following documents are filed as a part of this report:
1. Financial Statements
Financial statements for CARCO Auto Loan Master Trust as follows:
Statement of Assets, Liabilities and Equity - December 31, 1999 and 1998
(page 6 of this report)
Statement of Cash Receipts and Disbursements for the three years ended
December 31, 1999, 1998 & 1997 (page 7 of this report)
Notes to financial statements (pages 8-13 of this report)
Independent Auditor's Report (page 14 of this report)
2. Financial Statement Schedules
All financial statement schedules have been omitted because the
information to be provided therein is included in the financial
statements or the notes thereto.
15
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K - continued
3. Exhibits
(a) The following exhibits are filed as a part of this report:
Exhibit No.
- -----------
3-A Certificate of Incorporation of U.S. Auto Receivables Company.
Filed as Exhibit 3.1 to Registration Statement No. 33-41177 and
incorporated herein by reference.
3-B By-laws of U.S. Auto Receivables Company. Filed as Exhibit 3-B
to the Trust's Annual Report on Form 10-K for the year ended
December 31, 1991, and incorporated herein by reference.
4-A Pooling and Servicing Agreement, dated as of May 31, 1991,
among Chrysler Auto Receivables Company, as Seller, Chrysler
Credit Corporation, as Servicer, and Manufacturers and Traders
Trust Company, as Trustee. Filed as Exhibit 2 to the Trust's
Registration Statement on Form 8-A dated July 31, 1991, and
incorporated herein by reference.
4-B Series A Supplement, dated as of November 30, 1991, among U.S.
Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 4-F to the Trust's Annual
Report on Form 10-K for the year ended December 31, 1991, and
incorporated herein by reference.
4-C Series B Supplement, dated as of March 1, 1992, among U.S. Auto
Receivables Company, as Seller, Chrysler Credit Corporation, as
Servicer, and Manufacturers and Traders Trust Company, as
Trustee. Filed as Exhibit 4-I to the Trust's Quarterly Report
on Form 10-Q for the period ended March 31, 1992, and
incorporated herein by reference.
4-D Series C Supplement, dated as of May 1, 1992, among U.S. Auto
Receivables Company, as Seller, Chrysler Credit Corporation, as
Servicer, and Manufacturers and Traders Trust Company, as
Trustee. Filed as Exhibit 4-J to the Trust's Quarterly Report
on Form 10-Q for the period ended June 30, 1992, and
incorporated herein by reference.
4-E First Amendment dated as of August 6, 1992 to the Pooling and
Servicing Agreement dated as of May 31, 1991, as assigned by
Chrysler Auto Receivables Company to U.S. Auto Receivables
Company ("USA") on August 8, 1991, among USA, as Seller,
Chrysler Credit Corporation, as Servicer and Manufacturers and
Traders Trust Company, as Trustee. Filed as Exhibit 2.2 to the
Trust's Registration Statement on Form 8-A dated September 14,
1992, and incorporated herein by reference.
4-F Second Amendment dated as of September 21, 1993, to Pooling and
Servicing Agreement dated as of May 31, 1991, as assigned by
Chrysler Auto Receivables Company to U.S. Auto Receivables
Company ("USA") on August 8, 1991, among USA, as Seller,
Chrysler Credit Corporation, as Servicer, and Manufacturers and
Traders Trust Company, as Trustee. Filed as Exhibit 4.3 to
USA's Registration Statement on Form S-1 (File No. 33-70144)
and incorporated herein by reference.
16
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K - continued
4-G Series 1994-1 Supplement dated as of September 30, 1994, among
U.S. Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 3 to the Trust's
Registration Statement on Form 8-A dated November 23, 1994, and
incorporated herein by reference.
4-H Series 1995-2 Supplement dated as of February 28, 1995, among
U.S. Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 3 to the Trust's
Registration Statement on Form 8-A dated March 27, 1995, and
incorporated herein by reference.
4-I Series 1995-5 Supplement dated as of November 30, 1995, among
U.S. Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee, and joined in by Societe Generale, Chicago
Branch, as Agent. Filed as Exhibit 4-CC to the Trust's Annual
Report on Form 10-K for the year ended December 31, 1995, and
incorporated herein by reference.
4-J Agreement of Resignation, Appointment and Acceptance dated as
of August 23, 1996, by and among U.S. Auto Receivables Company,
Chrysler Financial Corporation, Manufacturers and Traders Trust
Company, and The Bank of New York. Filed as Exhibit 4-DD to the
Trust's Quarterly Report on Form 10-Q for the period ended
September 30, 1996, and incorporated herein by reference.
4-K Series 1996-1 Supplement dated as of September 30, 1996, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-EE to the Trust's Annual Report on Form 10-K
for the year ended December 31, 1996, and incorporated herein
by reference.
4-L Series 1996-2 Supplement dated as of November 30, 1996, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-FF to the Trust's Annual Report on Form 10-K
for the year ended December 31, 1996, and incorporated herein
by reference.
4-M Series 1997-1 Supplement dated as of July 24, 1997, among U.S.
Auto Receivables Company as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-GG to the Trust's Quarterly Report on Form
10-Q for the period ended September 30, 1997, and incorporated
herein by reference.
4-N Series 1998-1 Supplement dated as of June 16, 1998, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-HH to the Trust's Quarterly Report on Form
10-Q for the period ended June 30, 1998 and incorporated herein
by reference.
4-O Series 1999-1 Supplement dated as of March 10, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Company, LLC., as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4.1 to the Trust's Report on Form 8-K
dated August 30, 1999 and incorporated herein by reference.
17
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K - continued
4-P Series 1999-2 Supplement dated as of May 20, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Company, LLC, as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4.2 to the Trust's Report on Form 8-K
dated August 30, 1999 and incorporated herein by reference.
4-Q Series 1999-3 Supplement dated as of July 22, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Company, LLC, as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4-Q to the Trust's Quarterly Report
on Form 10-Q for the period ended September 30, 1999 and
incorporated herein by reference.
4-R Series 1999-4 Supplement dated as of November 12, 1999, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Company, LLC, as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4-R to the Trusts Annual Report of
Form 10-K for the year ended December 31, 1999 and filed
herewith.
23 Consent of KPMG LLP.
27 Financial Data Schedule.
(b) The registrant did not file any reports on Form 8-K during the
quarter ended December 31, 1999.
18
CARCO AUTO LOAN MASTER TRUST
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed
on its behalf by the undersigned, thereunto duly authorized.
CARCO Auto Loan Master Trust (Registrant)
By: Chrysler Financial Company L.L.C., as Servicer
----------------------------------------------
Date: March 6, 2000 By: /s/ David H. Olsen
----------------------------------------------
David H. Olsen, Vice President and Controller
Principal Accounting Officer
19
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------- ----------------------
3-A Certificate of Incorporation of U.S. Auto Receivables Company.
Filed as Exhibit 3.1 to Registration Statement No. 33-41177 and
incorporated herein by reference.
3-B By-laws of U.S. Auto Receivables Company. Filed as Exhibit
3-B to the Trust's Annual Report on Form 10-K for the year
ended December 31, 1991, and incorporated herein by
reference.
4-A Pooling and Servicing Agreement, dated as of May 31,
1991, among Chrysler Auto Receivables Company, as Seller,
Chrysler Credit Corporation, as Servicer, and Manufacturers
and Traders Trust Company, as Trustee. Filed as Exhibit 2
to the Trust's Registration Statement on Form 8-A dated
July 31, 1991, and incorporated herein by reference.
4-B Series A Supplement, dated as of November 30, 1991,
among U.S. Auto Receivables Company, as Seller, Chrysler
Credit Corporation, as Servicer, and Manufacturers and
Traders Trust Company, as Trustee. Filed as Exhibit 4-F to
the Trust's Annual Report on Form 10-K for the year ended
December 31, 1991, and incorporated herein by reference.
4-C Series B Supplement, dated as of March 1, 1992 among
U.S. Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders
Trust Company, as Trustee. Filed as Exhibit 4-I to the
Trust's Quarterly Report on Form 10-Q for the period ended
March 31, 1992, and incorporated herein by reference.
4-D Series C Supplement, dated as of May 1, 1992, among
U.S. Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders
Trust Company, as Trustee. Filed as Exhibit 4-J to the
Trust's Quarterly Report on Form 10-Q for the period ended
June 30, 1992, and incorporated herein by reference.
E-1
CARCO AUTO LOAN MATER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------- ----------------------
4-E First Amendment dated as of August 6, 1992 to the
Pooling and Servicing Agreement dated as of May 31, 1991,
as assigned by Chrysler Auto Receivables Company to U.S.
Auto Receivables Company ("USA") on August 8, 1991, among
USA, as Seller, Chrysler Credit Corporation, as Servicer
and Manufacturers and Traders Trust Company, as Trustee.
Filed as Exhibit 2.2 to the Trust's Registration Statement
on Form 8-A dated September 14, 1992, and incorporated
herein by reference.
4-F Second Amendment dated as of September 21, 1993, to
Pooling and Servicing Agreement dated as of May 31, 1991,
as assigned by Chrysler Auto Receivables Company to U.S.
Auto Receivables Company ("USA") on August 8, 1991, among
USA, as Seller, Chrysler Credit Corporation, as Servicer,
and Manufacturers and Traders Trust Company, as Trustee.
Filed as Exhibit 4.3 to USA's Registration Statement on
Form S-1 (File No. 33-70144) and incorporated herein by
reference.
4-G Series 1994-1 Supplement dated as of September 30, 1994, among
U.S. Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 3 to the Trust's
Registration Statement on Form 8-A dated November 23, 1994, and
incorporated herein by reference.
4-H Series 1995-2 Supplement dated as of February 28, 1995, among U.S.
Auto Receivables Company, as Seller, Chrysler Credit Corporation,
as Servicer, and Manufacturers and Traders Trust Company, as
Trustee. Filed as Exhibit 3 to the Trust's Registration Statement
on Form 8-A dated March 27, 1995, and incorporated herein by
reference.
4-I Series 1995-5 Supplement dated as of November 30, 1995, among U.S.
Auto Receivables Company, as Seller, Chrysler Credit Corporation,
as Servicer, and Manufacturers and Traders Trust Company, as
Trustee, and joined in by Societe Generale, Chicago Branch, as
Agent. Filed as Exhibit 4-CC to the Trust's Annual Report on Form
10-K for the year ended December 31, 1995, and incorporated herein
by reference.
E-2
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------- ----------------------
4-J Agreement of Resignation, Appointment and Acceptance dated as of
August 23, 1996, by and among U.S. Auto Receivables Company,
Chrysler Financial Corporation, Manufacturers and Traders Trust
Company, and The Bank of New York. Filed as Exhibit 4-DD to the
Trust's Quarterly Report on Form 10-Q for the period ended
September 30, 1996, and incorporated herein by reference.
4-K Series 1996-1 Supplement dated as of September 30, 1996, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-EE to the Trust's Annual Report on Form 10-K
for the year ended December 31, 1996, and incorporated herein by
reference.
4-L Series 1996-2 Supplement dated as of November 30, 1996, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-FF to the Trust's Annual Report on Form 10-K
for the year ended December 31, 1996, and incorporated herein by
reference.
4-M Series 1997-1 Supplement dated as of July 31, 1997, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-GG to the Trust's Quarterly Report on Form 10-Q
for the period ended September 31, 1997, and incorporated herein
by reference.
4-N Series 1998-1 Supplement dated as of June 16, 1998, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-HH to the Trust's Quarterly Report on Form 10-Q
for the period ended June 30, 1998 and incorporated herein by
reference.
4-O Series 1999-1 Supplement dated as of March 10, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Company,
L.L.C., as Servicer, and The Bank of New York, as Trustee. Filed
as Exhibit 4.1 to the Trust's Current Report on Form 8-K dated
August 30,1999 and incorporated herein by reference.
4-P Series 1999-2 Supplement dated as of May 20, 1999, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company,
L.L.C., as Servicer, and The Bank of New York, as Trustee. Filed
as Exhibit 4.2 to the Trust's Current Report on Form 8-K dated
August 30, 1999 and incorporated herein by reference.
E-3
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------- ----------------------
4-Q Series 1999-3 Supplement dated as of July 22, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-Q to the Trust's Quarterly Report on Form 10-Q
for the period ended September 30, 1999 and incorporated herein by
reference.
4-R Series 1999-4 Supplement dated as of November 12, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Company,
LLC, as Servicer, and The Bank of New York, as Trustee. Filed as
Exhibit 4-R to the Trusts Annual Report of Form 10-K for the year
ended December 31, 1999 and filed herewith
23 Consent of KPMG LLP.
27 Financial Data Schedule.
E-4