Computational Materials
DaimlerChrysler Auto Trust 2001-B Retail Auto ABS
---------------------------------------------------------
$1,500,000,000 Retail Auto Asset-Backed Notes
Chrysler Financial Company L.L.C.
Seller and Servicer
$615,000,000 Class A-2 [ ]% Asset-Backed Notes
$480,000,000 Class A-3 [ ]% Asset-Backed Notes
$405,000,000 Class A-4 [ ]% Asset-Backed Notes
Computational
Materials
Neither the Issuer of the Notes nor any of its affiliates make any
representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the
applicable prospectus supplement and by any other information subsequently
filed with the Securities and Exchange Commission. 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. The
attached term sheet is not intended to be a prospectus and any investment
decision with respect to the Notes should be made by you based solely upon all
of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the securities
in any jurisdiction in which such offer, solicitation or sale would be
unlawful prior to registration or qualification under the securities laws of
such jurisdiction. The securities may not be sold nor may an offer to buy be
accepted prior to the delivery of a final prospectus relating to the
securities. All information described herein is preliminary, limited in nature
and subject to completion or amendment. No representation is made that the
above referenced securities will actually perform as described in any scenario
presented. The Depositors have not prepared, reviewed or participated in the
preparation hereof, are not responsible for the accuracy hereof and have not
authorized the dissemination hereof. A final prospectus and prospectus
supplement may be obtained by contacting the Salomon Smith Barney Syndicate
Desk at (212) 723-6171.
The information contained in the attached materials is referred to as the
"Information".
The attached Term Sheet has been prepared by Chrysler Financial Company
L.L.C. ("CFC"). Neither Salomon Smith Barney Inc. ("Salomon") nor any of its
affiliates makes any representation as to the accuracy or completeness of the
Information herein. The Information contained herein is preliminary and will
be superseded by the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The Information contained herein will be superseded by the description of
the collateral pool contained in the prospectus supplement relating to the
securities.
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, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any offer or 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
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the securities discussed in this
communication for definitive Information on any matter discussed in this
communication. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement ("Offering Documents") and the then
current version of the Information. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current. A final prospectus and prospectus supplement may be
obtained by contacting the Salomon Smith Barney Syndicate Desk at
212-723-6171.
DaimlerChrysler
The information contained in the attached materials is referred to as the
"Information".
The attached Term Sheet has been prepared by Chrysler Financial Company
L.L.C. ("CFC"). Neither J.P. Morgan Securities Inc. nor any of its affiliates
makes any representation as to the accuracy or completeness of the Information
herein. The Information contained herein is preliminary and will be superseded
by the applicable prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commission.
The Information contained herein will be superseded by the description of
the collateral pool contained in the prospectus supplement relating to the
securities.
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, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any offer or 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
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the securities discussed in this
communication for definitive Information on any matter discussed in this
communication. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement ("Offering Documents") and the then
current version of the Information. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current. A final prospectus and prospectus supplement may be
obtained by contacting the J.P. Morgan Securities Inc. Trading Desk at
212-834-3720.
J.P. MORGAN SECURITIES INC.
$1,500,000,000
DaimlerChrysler Auto Trust 2001-B
CHRYSLER FINANCIAL COMPANY L.L.C.
Seller and Servicer
COMPUTATIONAL MATERIALS
The following 18 pages only may be distributed to potential purchasers
The Computational Materials form MUST accompany every Computational
Materials package.
BEAR, STEARNS & CO. INC.
The information contained in the attached materials is referred to as the
"Information".
The attached Term Sheet has been prepared by Chrysler Financial Company
L.L.C. ("CFC"). Neither Bear, Stearns & Co. Inc. ("Bear Stearns") nor any of
its affiliates makes any representation as to the accuracy or completeness of
the Information herein. The Information contained herein is preliminary and
will be superseded by the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The Information contained herein will be superseded by the description of
the collateral pool contained in the prospectus supplement relating to the
securities.
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, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any offer or 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
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the securities discussed in this
communication for definitive Information on any matter discussed in this
communication. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement ("Offering Documents") and the then
current version of the Information. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current. A final prospectus and prospectus supplement may be
obtained by contacting the Bear Stearns Trading Desk at 212-272-4955.
General Information: The data underlying the Information has been
obtained from sources that we believe are reliable, but we do not guarantee
the accuracy of the underlying data or computations based thereon. Bear
Stearns and/or individuals thereof may have positions in these securities
while the Information is circulating or during such period may engage in
transactions with the issuer or its affiliates. We act as principal in
transactions with you, and accordingly, you must determine the appropriateness
for you of such transactions and address any legal, tax or accounting
considerations applicable to you. Bear Stearns shall not be a fiduciary or
advisor unless we have agreed in writing to receive compensation specifically
to act in such capacities. If you are subject to ERISA, the Information is
being furnished on the condition that it will not form a primary basis for any
investment decision. The Information is not a solicitation of any transaction
in securities which may be made only by prospectus when required by law, in
which event you may obtain such prospectus from Bear Stearns by calling the
telephone number listed above.
[Bear Stearns Logo]
DaimlerChrysler
The information contained in the attached materials is referred to as the
"Information".
The attached Term Sheet has been prepared by Chrysler Financial Company
L.L.C. ("CFC"). Neither Credit Suisse First Boston Corporation ("CSFB") nor
any of its affiliates makes any representation as to the accuracy or
completeness of the Information herein. The Information contained herein is
preliminary and will be superseded by the applicable prospectus supplement and
by any other information subsequently filed with the Securities and Exchange
Commission.
The Information contained herein will be superseded by the description of
the collateral pool contained in the prospectus supplement relating to the
securities.
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, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any offer or 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
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the securities discussed in this
communication for definitive Information on any matter discussed in this
communication. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement ("Offering Documents") and the then
current version of the Information. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current. A final prospectus and prospectus supplement may be
obtained by contacting the CSFB Trading Desk at 212-325-2747.
CREDIT SUISSE FIRST BOSTON
The information contained in the attached materials is referred to as the
"Information".
The attached Term Sheet has been prepared by Chrysler Financial Company
L.L.C. ("CFC"). Neither Deutsche Bank Securities Inc. ("Deutsche Bank") nor
any of its affiliates makes any representation as to the accuracy or
completeness of the Information herein. The Information contained herein is
preliminary and will be superseded by the applicable prospectus supplement and
by any other information subsequently filed with the Securities and Exchange
Commission.
The Information contained herein will be superseded by the description of
the collateral pool contained in the prospectus supplement relating to the
securities.
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, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any offer or 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
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the securities discussed in this
communication for definitive Information on any matter discussed in this
communication. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement ("Offering Documents") and the then
current version of the Information. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current. A final prospectus and prospectus supplement may be
obtained by contacting the Deutsche Bank Trading Desk at 212-469-7730.
The information contained in the attached materials is referred to as the
"Information".
The attached Term Sheet has been prepared by Chrysler Financial Company
L.L.C. ("CFC"). Neither Morgan Stanley & Co. Incorporated ("Morgan Stanley")
nor any of its affiliates makes any representation as to the accuracy or
completeness of the Information herein. The Information contained herein is
preliminary and will be superseded by the applicable prospectus supplement and
by any other information subsequently filed with the Securities and Exchange
Commission.
The Information contained herein will be superseded by the description of
the collateral pool contained in the prospectus supplement relating to the
securities.
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, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication
shall not constitute an offer to sell or the solicitation of an offer to buy
nor shall there be any offer or 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
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the securities discussed in this
communication for definitive Information on any matter discussed in this
communication. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement ("Offering Documents") and the then
current version of the Information. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current. A final prospectus and prospectus supplement may be
obtained by contacting the Morgan Stanley Syndicate Desk at 212-761-2270.
DAIMLERCHRYSLER
DAIMLERCHRYSLER AUTO TRUST 2001-B
CHRYSLER FINANCIAL COMPANY L.L.C., Seller and Servicer
Subject to Revision
Term Sheet dated May 29, 2001
The trust will issue $1,859,711,000 of securities backed by automobile
and light duty truck receivables purchased directly from Chrysler Financial
Company L.L.C.
Total Securities Issued
- ------------------------- ------------------------- -------------------------- -------------------------
Security Principal Amount Fixed Per Annum Interest Legal Final
Rate
- ------------------------- ------------------------- -------------------------- -------------------------
A-1 Notes(1) $299,271,000 % June 2002
......................... ......................... .......................... .........................
A-2 Notes $615,000,000 % February 2004
......................... ......................... .......................... .........................
A-3 Notes $480,000,000 % June 2005
......................... ......................... .......................... .........................
A-4 Notes $405,000,000 % September 2006
......................... ......................... .......................... .........................
Certificates(1) $60,440,000 0.00% n/a
......................... ......................... .......................... .........................
(1) Not being offered publicly or in this document. The certificates are
subordinated, bear no interest, and have no maturity date.
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Initial Credit Enhancement for the Notes(1)
-------------------------- ------------------ ----------------- -----------------------------
Overcollateralization(2) Certificates(3) Reserve Fund Total
(Subordinated)
-------------------------- ------------------ ----------------- -----------------------------
Amount $65,091,242.61 $60,440,000.00 $4,649,277.50 $130,180,520.11
............................ .......................... .................. ................. .............................
Percentage
of Total
Securities 3.50% 3.25% 0.25% 7.00%
............................ .......................... .................. ................. .............................
(1) The expected excess cash flows generated from the difference between the interest collections on all the
receivables (including principal collections allocable to the yield supplement overcollateralization amount)
and the sum of the servicing fee, the interest payments on the outstanding securities and required reserve
fund deposits could also provide credit enhancement.
(2) The overcollateralization amount does not include the yield supplement overcollateralization amount which is
initially $52,201,098.43
(3) The certificates do not bear interest.
- --------------------------------------------------------------------------------------------------------------------------
TABLE OF CONTENTS
Section Page
------------------------------------------------------
O TRANSACTION ILLUSTRATION 3
- ------------------------------------------------------
O PARTIES TO THE TRANSACTION 4
- ------------------------------------------------------
O SECURITIES ISSUED 5
- ------------------------------------------------------
O RECEIVABLES POOL 5
- ------------------------------------------------------
-Composition of the
Receivables Pool 6
- ------------------------------------------------------
-New/Used Distribution 6
- ------------------------------------------------------
-Distribution by APR 7
- ------------------------------------------------------
-Geographic Distribution 8
- ------------------------------------------------------
- - Selection Criteria 9
- ------------------------------------------------------
O NET CREDIT LOSS AND DELINQUENCY
EXPERIENCE 9
- ------------------------------------------------------
-CFC Net Credit Loss and
Repossession Experience 10
- ------------------------------------------------------
-CFC Delinquency Experience 11
- ------------------------------------------------------
O PAYMENTS ON THE SECURITIES 11
- ------------------------------------------------------
-Payment Dates 11
- ------------------------------------------------------
-Interest Payments 11
- ------------------------------------------------------
-Principal Payments 12
- ------------------------------------------------------
-Optional Redemption 13
- ------------------------------------------------------
O FLOW OF FUNDS 13
- ------------------------------------------------------
-Sources of Funds Available for
Distribution 13
- ------------------------------------------------------
-Application of Available Funds 14
- ------------------------------------------------------
O CREDIT ENHANCEMENT 15
- ------------------------------------------------------
-Overcollateralization 15
- ------------------------------------------------------
-Excess Interest Collections 16
- ------------------------------------------------------
-Reserve Fund 16
- ------------------------------------------------------
-Subordinated Certificates 16
- ------------------------------------------------------
O YIELD SUPPLEMENT
OVERCOLLATERALIZATION AMOUNT 17
- ------------------------------------------------------
O SERVICING 18
- ------------------------------------------------------
-Compensation 18
- ------------------------------------------------------
TRANSACTION ILLUSTRATION
on or about June 7, 2001
(approximate $ thousands)
[GRAPHIC OMITTED]
- -------------------------------------------------------------------------------
(1) Not being offered publicly or in this document.
The certificates are subordinated.
(2) As set forth on page 17 of this document.
- -------------------------------------------------------------------------------
PARTIES TO THE TRANSACTION
Entity Description
--------------------------------- -----------------------------------------------------------
DaimlerChrysler Auto o Issuer of the securities
Trust 2001-B o A Delaware business trust
o Principal office is in Wilmington, Delaware
--------------------------------- -----------------------------------------------------------
Chrysler Financial Company o Seller of the receivables to the trust
L.L.C. ("CFC") o Servicer of the receivables
o An indirect wholly-owned subsidiary of
DaimlerChrysler AG
o A Michigan limited liability company
o Originator of CFC receivables
--------------------------------- -----------------------------------------------------------
Bank One, N.A.(1) o Indenture trustee
o Performs duties for the benefit of the
noteholders
--------------------------------- -----------------------------------------------------------
Chase Manhattan o Owner trustee
Bank USA, National o Performs duties on behalf of the trust and
Association.(1) certificateholders
--------------------------------- -----------------------------------------------------------
DaimlerChrysler Retail o A special-purpose financing entity
Receivables LLC o A Michigan limited liability company, formerly
named Premier Receivables L.L.C.
o An indirect wholly-owned subsidiary of CFC
o Initial holder of the subordinated certificates
o Initial owner of rights to overcollateralization
distributions and residual cash flows
--------------------------------- -----------------------------------------------------------
(1) The seller and its affiliates may maintain normal commercial banking relations with the indenture trustee, the
owner trustee and their affiliates.
- ------------------------------------------------------------------------------------------------------
SECURITIES ISSUED
The trust will issue $1,859,711,000 of securities, comprised of both
notes and certificates.
Total Securities Issued
---------------------- ---------------------- --------------------- ----------------------
Security Principal Amount Fixed Per Annum Legal Final
Interest Rate
---------------------- ---------------------- --------------------- ----------------------
A-1 Notes(1) $299,271,000 % June 2002
---------------------- ---------------------- --------------------- ----------------------
A-2 Notes $615,000,000 % February 2004
---------------------- ---------------------- --------------------- ----------------------
A-3 Notes $480,000,000 % June 2005
---------------------- ---------------------- --------------------- ----------------------
A-4 Notes $405,000,000 % September 2006
---------------------- ---------------------- --------------------- ----------------------
Certificates(1) $60,440,000 0.00% n/a
---------------------- ---------------------- --------------------- ----------------------
(1) Not being offered publicly or in this document. The certificates are subordinated, bear no
interest, and have no maturity date.
- ----------------------------------------------------------------------------------------------------
Other points to consider include:
o the outstanding principal of each class of notes is due by its
maturity date (each a "Legal Final"),
o the offered securities will be issued on or about June 7, 2001 in
book-entry form through the facilities of the Depository Trust
Company, Clearstream and the Euroclear System, and
o by June 7, 2001, three nationally recognized rating agencies will
rate the offered securities in the highest investment rating
category.
RECEIVABLES POOL
On June 7, 2001, the trust will use the proceeds from the issuance of the
securities to purchase a pool of automobile and light duty truck receivables
from the seller. Collections on this pool of receivables will be the trust's
principal source of funds for making payments on the securities. The following
information about the receivables is as of May 23, 2001 (the "Cut-off Date").
The receivables pool had the following characteristics:
Composition of the Receivables Pool
As of May 23, 2001
Aggregate Principal Balance $1,977,003,341.04
--------------------------------------------- --------------------
Number of Receivables 97,122
--------------------------------------------- --------------------
Average Principal Balance $20,355.88
--------------------------------------------- --------------------
Weighted Average APR 6.56%
--------------------------------------------- --------------------
Weighted Average Original Term 58.61 months
--------------------------------------------- --------------------
Weighted Average Remaining Term 56.54 months
--------------------------------------------- --------------------
As a Percentage of the Aggregate
Principal Balance:
--------------------------------------------- --------------------
Receivables with Recourse to Dealers 0.95%
--------------------------------------------- --------------------
The receivables pool had the following new vehicle/used vehicle
distribution:
New/Used Distribution of the Receivables Pool
As of May 23, 2001
--------------------- --------------------
New Used
--------------------- --------------------
Aggregate Principal Balance $1,671,855,370.18 $305,147,970.86
- --------------------------------------------- --------------------- --------------------
Percentage of Aggregate Principal Balance 84.57% 15.43%
- --------------------------------------------- --------------------- --------------------
Number of Receivables 76,092 21,030
- --------------------------------------------- --------------------- --------------------
Percentage of Receivables 78.35% 21.65%
- --------------------------------------------- --------------------- --------------------
The receivables pool had the following distribution by APR:
Distribution by APR of the Receivables Pool
As of May 23, 2001
---------------------- ------------------- -------------------------- -----------------------------
APR Range Number of Aggregate Percent of Aggregate
Receivables Principal Balance Principal Balance(1)
---------------------- ------------------- -------------------------- -----------------------------
0.00% to 5.00% 39,173 $936,209,030.50 47.4%
---------------------- ------------------- -------------------------- -----------------------------
5.01% to 6.00% 2,804 60,443,643.96 3.1%
---------------------- ------------------- -------------------------- -----------------------------
6.01% to 7.00% 2,524 51,661,979.62 2.6%
---------------------- ------------------- -------------------------- -----------------------------
7.01% to 8.00% 7,122 126,131,696.62 6.4%
---------------------- ------------------- -------------------------- -----------------------------
8.01% to 9.00% 9,236 165,565,074.23 8.4%
---------------------- ------------------- -------------------------- -----------------------------
9.01% to 10.00% 8,908 165,891,831.63 8.4%
---------------------- ------------------- -------------------------- -----------------------------
10.01% to 11.00% 7,608 143,340,290.66 7.3%
---------------------- ------------------- -------------------------- -----------------------------
11.01% to 12.00% 6,368 116,567,245.48 5.9%
---------------------- ------------------- -------------------------- -----------------------------
12.01% to 13.00% 4,580 78,900,295.96 4.0%
---------------------- ------------------- -------------------------- -----------------------------
13.01% to 14.00% 2,583 40,944,401.82 2.1%
---------------------- ------------------- -------------------------- -----------------------------
14.01% to 15.00% 1,780 27,200,715.44 1.4%
---------------------- ------------------- -------------------------- -----------------------------
15.01% to 16.00% 1,081 16,098,862.82 0.8%
---------------------- ------------------- -------------------------- -----------------------------
16.01% to 17.00% 824 12,848,165.67 0.6%
---------------------- ------------------- -------------------------- -----------------------------
17.01% to 18.00% 1,034 15,619,863.71 0.8%
---------------------- ------------------- -------------------------- -----------------------------
18.01% to 19.00% 395 5,470,000.83 0.3%
---------------------- ------------------- -------------------------- -----------------------------
19.01% to 20.00% 1,088 13,928,265.13 0.7%
---------------------- ------------------- -------------------------- -----------------------------
Greater than 20.00% 14 181,976.96 0.0%
---------------------- ------------------- -------------------------- -----------------------------
Totals 97,122 $1,977,003,341.04 100.0%
---------------------- ------------------- -------------------------- -----------------------------
(1) Percentages may not add to 100.0% because of rounding.
- ------------------------------------------------------------------------------------------------------------
The following table lists the ten states with the largest percentage
concentration of the aggregate principal balance of the receivables pool based
on the physical address of the dealer originating the receivable. No other
state accounts for more than 3.2% of the aggregate principal balance of the
receivables pool as of May 23, 2001.
Geographic Distribution of the Receivables Pool
As of May 23, 2001
- --------------------------------------- --------------------------------------
State Percentage of Aggregate
Principal Balance (1)
- --------------------------------------- --------------------------------------
Texas 7.4%
- --------------------------------------- --------------------------------------
California 6.7%
- --------------------------------------- --------------------------------------
Illinois 6.4%
- --------------------------------------- --------------------------------------
Pennsylvania 6.0%
- --------------------------------------- --------------------------------------
New York 5.2%
- --------------------------------------- --------------------------------------
Florida 4.8%
- --------------------------------------- --------------------------------------
Michigan 4.1%
- --------------------------------------- --------------------------------------
New Jersey 3.7%
- --------------------------------------- --------------------------------------
Maryland 3.4%
- --------------------------------------- --------------------------------------
Georgia 3.2%
- --------------------------------------- --------------------------------------
All Other 49.1%
- --------------------------------------- --------------------------------------
Total 100.0%
- --------------------------------------- --------------------------------------
(1) Percentages may not add to 100.0% because of rounding.
- ------------------------------------------------------------------------------
Selection Criteria
We used the following criteria to select the receivables pool:
o Each receivable was originally purchased by the seller from dealers in
the ordinary course of its business.
o Interest on each receivable is computed using the simple interest method.
o As of May 23, 2001:
- no receivable was more than 30 days past due (an account is not
considered past due if the amount past due is less than 10% of
the scheduled monthly payment);
- no receivable was the subject of a bankruptcy proceeding;
- each receivable had a remaining principal balance of at least
$1,000.00; and
- each receivable had a scheduled maturity before May 31, 2007.
The seller believes its selection procedures are not adverse to
securityholders.
NET CREDIT LOSS AND DELINQUENCY EXPERIENCE
Net credit loss experience is dependent upon general economic conditions,
the number of repossessions, the amount of principal and accrued interest
outstanding on the receivable at the time of repossession, and the resale
values of the repossessed vehicles.
The following tables detail the net credit loss, repossession and
delinquency experience of CFC's United States portfolio of new and used
automobile and light duty truck retail receivables. The information includes:
o an immaterial amount of retail receivables secured by vehicles other than
automobiles and light duty trucks, and
o previously sold contracts which CFC continues to service.
Unless otherwise indicated, all amounts and percentages are based on
estimated gross collections, including principal and interest.
We cannot assure you that the delinquency, repossession and net credit
loss experience on the receivables sold to the trust will be comparable to the
following historical experience.
CFC Net Credit Loss and Repossession Experience
-----------------------------------------------------------------------------------
Three Months Ended March 31, Year Ended December 31,
2001 2000 2000 1999 1998 1997
----------------------------------------------------------------------------------
Average Portfolio Outstanding During the $34,341 $28,256 $30,590 $26,191 $23,581 $21,485
Period ($ Millions)
--------------------------------------------------------------------------------------------------------------------------------
Average Number of Contracts Outstanding 2,162,985 1,918,039 2,004,982 1,835,534 1,747,846 1,688,525
During the Period
--------------------------------------------------------------------------------------------------------------------------------
Repossessions as a Percentage of Average 1.85% 2.02% 1.82% 2.16% 2.77% 3.40%
Number of Contracts Outstanding(3)
--------------------------------------------------------------------------------------------------------------------------------
Net Credit Losses as a Percentage of 1.89% 2.18% 1.77% 1.91% 2.77% 3.36%
Liquidations (1) (2)
--------------------------------------------------------------------------------------------------------------------------------
Net Credit Losses as a Percentage of 0.81% 0.89% 0.78% 0.98% 1.39% 1.80%
Average Portfolio Outstanding (1) (3)
--------------------------------------------------------------------------------------------------------------------------------
(1) Net credit losses are equal to the aggregate of the balances of all
receivables which are determined to be uncollectible in the period, less
any amounts realized from the sale of repossessed vehicles and any
recoveries on receivables charged off in the current or prior periods,
net of any disposition expenses and any dealer commissions which CFC
failed to recover on receivables that were prepaid or charged off.
(2) Liquidations represent monthly cash payments and charge-offs which reduce
the outstanding balance of a receivable.
(3) Percentages have been annualized for the three months ended March 31,
2001 and 2000, and are not necessarily indicative of the experience for
the entire year.
CFC Delinquency Experience
---------------------------------------------------------------------------------
At March 31, At December 31,
2001 2000 2000 1999 1998 1997
------------------------------- -----------------------------------------------
Portfolio ($ Millions) $35,155 $29,576 $33,776 $27,255 $24,854 $21,879
--------------------------------------------------------------------------------------------------------------
Delinquencies as a
Percentage of the Portfolio
--------------------------------------------------------------------------------------------------------------
31 - 60 Days 0.95% 1.10% 1.53% 1.78% 2.27% 3.24%
--------------------------------------------------------------------------------------------------------------
61 Days or More 0.11% 0.11% 0.17% 0.17% 0.20% 0.46%
--------------------------------------------------------------------------------------------------------------
Total 1.06% 1.21% 1.70% 1.95% 2.47% 3.70%
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- ----------------------------------------------------------------------------------------------------------------------
PAYMENTS ON THE SECURITIES
Payment Dates
o Interest and principal will be payable on the 6th of each month. If the
6th is not a business day, then interest and principal will be payable on
the next business day.
o The first payment will be on July 6, 2001.
o Payments will be payable to securityholders of record on the business day
before the payment date.
Interest Payments
o The first interest payment will be calculated on the original principal
amount of each class of notes at the applicable per annum interest rate.
o Subsequent interest payments will be calculated on the outstanding
principal balance of each note class as of the prior payment date (after
giving effect to any payment of principal on that date) at the applicable
per annum interest rate.
o To calculate interest due on the A-1 notes on a payment date, the per
annum interest rates will be converted from an annual rate as follows:
Days in Initial Days in Subsequent Day Count Convention
Interest Accrual Period Interest Accrual Periods
- ------------------------ ---------------------------- ----------------------
From To
(including) (excluding)
- ------------------------- -------------- -------------- -----------------------
29 days Prior Current actual/360
payment date payment date
- ------------------------- -------------- -------------- -----------------------
- ------------------------- -------------- -------------- -----------------------
o To calculate the interest due on the A-2, A-3 and A-4 notes on a payment
date, the per annum interest rates will be converted from an annual rate
as follows:
Days in Initial For Subsequent Interest Day Count
Interest Accrual Period Accrual Periods Convention
------------------------- ---------------------------- ----------------------
29 days 1/12th of per annum 30/360
interest rate
- -------------------------------------------------------------------------------
o Interest payments on all classes of notes will have the same priority. If
the available amount for interest payments, including the balance in the
reserve fund, is less than the amount due, each class of notes will
receive their pro rata share.
Refer to the "Flow of Funds" section for information on how the amount
available for interest payments is determined. Also refer to the "Credit
Enhancement - Reserve Fund" section for information on how the reserve fund
may be used to make interest payments.
Principal Payments
o The amount of principal payments on the securities on each payment date
will generally equal the amount of principal that was collected on the
receivables during the prior calendar month plus Excess Interest
Collections minus the overcollateralization distribution amount.
o Principal of each class of notes will generally be repaid over a span of
several consecutive months.
o The trust will pay principal sequentially to the earliest maturing class
of notes then outstanding until such class is paid in full.
o The certificates will not receive any principal payments until all notes
are paid in full.
o The trust is required to pay the outstanding principal of each class of
notes by the applicable Legal Final.
o The final principal payment on any class of notes could occur
significantly earlier than its Legal Final.
o The rate of principal payment on the notes will increase to the extent
Excess Interest Collections are applied to pay note principal.
Refer to the "Flow of Funds" section for information on how the amount
available for principal payments is determined. Refer to the "Credit
Enhancement" section for information on Excess Interest Collections.
Optional Redemption
The servicer will have the option to purchase all of the remaining
receivables from the trust when their aggregate principal balance declines to
an amount that is less than or equal to 10% of the initial aggregate principal
balance of the receivables, or $197,700,334 or less. If the servicer decides
to exercise this option, then the outstanding principal amounts of the A-4
notes and the certificates, together with any accrued and unpaid interest,
will be repaid in a lump sum payment. The lump sum payment under this optional
redemption will shorten the maturity of the A-4 notes and certificates.
FLOW OF FUNDS
Sources of Funds Available for Distribution
Funds from the following sources may be available to make payments on the
securities on each payment date:
o collections received on the receivables during the prior calendar month,
o net recoveries received during the prior calendar month on receivables
that were charged off as losses in prior months,
o investment earnings on the reserve fund received during the prior
calendar month,
o administrative and/or warranty repurchases, and
o the reserve fund.
Application of Available Funds
On each monthly payment date the total funds available (except for the
reserve fund) will be distributed in the following order of priority:
Monthly Flow of Funds
----------------------------------------------------
pay servicing fee
----------------------------------------------------
pay accrued interest on the notes
----------------------------------------------------
replenish reserve fund,
if necessary, up to the initial amount
----------------------------------------------------
pay up to the outstanding principal
amount of the A-1 notes
----------------------------------------------------
pay the overcollateralization
distribution amount, if any, to
DaimlerChrysler Retail Receivables LLC
----------------------------------------------------
pay up to the outstanding principal
amount of the A-2 notes
----------------------------------------------------
pay up to the outstanding principal
amount of the A-3 notes
----------------------------------------------------
pay up to the outstanding principal
amount of the A-4 notes
----------------------------------------------------
pay up to the outstanding principal
amount of the certificates
----------------------------------------------------
distribute remaining balance, if any, to
DaimlerChrysler Retail Receivables LLC
----------------------------------------------------
CREDIT ENHANCEMENT
The following forms of credit enhancement are intended to enhance the
likelihood of full payment of principal and interest due to the noteholders
and to decrease the likelihood that the noteholders will experience losses of
principal or interest on their notes.
Overcollateralization
Overcollateralization is represented by the amount by which (i) the
principal balance of receivables minus the yield supplement
overcollateralization amount exceeds (ii) the principal balance of the
securities. The initial overcollateralization amount of $65,091,242.61 is
equal to the initial receivables balance of $1,977,003,341.04 minus the
initial yield supplement overcollateralization amount of $52,201,098.43 minus
the initial principal amount of the securities of $1,859,711,000.00. This
excess collateral is intended to protect noteholders from losses on the
receivables.
The Trust will attempt to maintain an overcollateralization amount (i.e.,
the amount by which (i) the principal balance of the receivables minus the
yield supplement overcollateralization amount exceeds (ii) the principal
balance of the securities) at least equal to 4.00% of the amount equal to (x)
the principal balance of the receivables as of the prior calendar month end
minus (y) the yield supplement overcollateralization amount for that payment
date. Once the Class A-1 Notes are paid in full, total funds available (except
funds in the reserve fund) after paying the servicing fee, accrued and unpaid
interest on the notes and any reserve fund deposit will be applied (i) to the
payment of principal of the securities and (ii) to pay the
overcollateralization distribution amount to DaimlerChrysler Retail
Receivables LLC. As illustrated in the "Application of Available Funds"
section, the trust may begin making payments of the overcollateralization
distribution amount to DaimlerChrysler Retail Receivables LLC on the same
payment date on which the A-1 notes are paid in full. No overcollateralization
distribution will be made in any month in which the balance of the reserve
fund is below $4,649,277.50. The overcollateralization distribution amount to
be distributed on each payment date will be the greater of:
(i) $0.00
Or
(ii) the lesser of (a) D - [S - (P x 96.00%)] or (b) D minus the A-1
notes balance immediately prior to the current payment date
Where:
Total funds available
D = for distribution accrued
(except minus servicing + interest on + reserve
for the reserve fund) fee the notes fund deposit
S = The outstanding principal amount of the securities as of
the prior payment date, after giving effect to payments made
on that date
P = The outstanding principal balance of the receivables as of
the prior calendar month end minus the YSOA for that payment
date.
YSOA = For each payment date, the amount set forth in the table
under "Yield Supplement Overcollateralization Amount".
Excess Interest Collections
"Excess Interest Collections" are generally equal to (A) the sum of (i)
interest collections received on the receivables during the prior calendar
month, (ii) principal collections attributable to the reduction in the yield
supplement overcollateralization amount from the prior payment date and (iii)
investment earnings on the reserve fund received during the prior calendar
month minus (B) the sum of (i) the servicing fee for the prior calendar month,
(ii) accrued interest on the notes, and (iii) the amount, if any, required to
replenish the reserve fund to $4,649,277.50
Excess Interest Collections provide an additional form of credit
enhancement since they will be applied to the payment of principal of the
securities to the extent described above under the "Flow of Funds -
Application of Available Funds" section.
If credit losses on receivables and delinquent receivables decrease the
amount of interest collections received on the receivables in a month, Excess
Interest Collections will be reduced or eliminated for such month.
Reserve Fund
o On June 7, 2001, the seller will provide funds from the proceeds of its
sale of receivables to establish a $4,649,277.50 reserve fund.
o The indenture trustee will hold the reserve fund for the benefit of the
noteholders.
o The reserve fund will be invested in high quality, short term investments
which mature on or prior to each monthly payment date.
o If the total funds available for distribution minus the servicing fee is
less than accrued interest on the notes, the reserve fund will be
available to make interest payments.
o If a class of notes has not been paid in full on its Legal Final, the
reserve fund will be applied to the payment of principal for that class
of notes.
o If the aggregate outstanding principal amount of the notes exceeds the
outstanding principal balance of the receivables as of the prior calendar
month end, the reserve fund will be applied to the payment of principal
of the notes.
o As illustrated in the "Flow of Funds" section above, on each payment date
the reserve fund will be reinstated up to the initial balance to the
extent funds are available.
o After full payment of all accrued interest on the notes and the
outstanding principal balance of the securities, the reserve fund will be
distributed to DaimlerChrysler Retail Receivables LLC.
Subordinated Certificates
As additional credit enhancement, the certificates do not bear interest
and will not receive any principal payments until the notes are paid in full.
The payments on the certificates are subordinated to payments on the notes to
decrease the likelihood that the trust will default in making payments due on
the notes.
YIELD SUPPLEMENT OVERCOLLATERALIZATION AMOUNT
The sum of the servicing fee rate and the weighted average interest rate
of the notes will exceed, on the date of issuance of the notes, and is
expected to continue to exceed the weighted average APR of the Receivables.
The yield supplement overcollateralization amount is intended to compensate
for such negative differential.
"Yield Supplement Overcollateralization Amount" means, with respect
to any payment date, the amount specified below with respect to such payment
date:
Closing Date........ $52,201,098.43 June 2004.......... 6,167,597.20
July 2001........... 49,707,622.36 July 2004.......... 5,607,750.78
August 2001......... 47,807,969.44 August 2004........ 5,075,660.80
September 2001...... 45,944,953.02 September 2004..... 4,571,488.11
October 2001........ 44,118,798.68 October 2004....... 4,095,394.05
November 2001....... 42,329,733.06 November 2004...... 3,647,537.07
December 2001....... 40,577,983.97 December 2004...... 3,228,062.17
January 2002........ 38,863,780.31 January 2005....... 2,837,110.28
February 2002....... 37,187,352.11 February 2005...... 2,474,804.49
March 2002.......... 35,548,930.55 March 2005......... 2,141,185.75
April 2002.......... 33,948,747.95 April 2005......... 1,835,771.01
May 2002............ 32,387,027.63 May 2005........... 1,557,378.83
June 2002........... 30,863,999.70 June 2005.......... 1,303,793.01
July 2002........... 29,379,891.89 July 2005.......... 1,073,403.42
August 2002......... 27,934,940.99 August 2005........ 865,498.78
September 2002...... 26,529,384.96 September 2005..... 680,188.23
October 2002........ 25,163,462.96 October 2005....... 517,570.99
November 2002....... 23,837,415.27 November 2005...... 377,719.96
December 2002....... 22,551,483.39 December 2005...... 260,694.51
January 2003........ 21,305,910.01 January 2006....... 166,402.97
February 2003....... 20,100,921.94 February 2006...... 94,579.77
March 2003.......... 18,936,708.63 March 2006......... 44,823.59
April 2003.......... 17,813,219.60 April 2006......... 15,569.48
May 2003............ 16,730,024.45 May 2006........... 3,290.95
June 2003........... 15,686,085.41 June 2006.......... 46.84
July 2003........... 14,680,820.74 July 2006.......... 10.82
August 2003......... 13,714,017.37 August 2006........ 8.10
September 2003...... 12,785,896.52 September 2006..... 6.19
October 2003........ 11,896,600.69 October 2006....... 4.75
November 2003....... 11,046,232.15 November 2006...... 3.57
December 2003....... 10,234,836.36 December 2006...... 2.56
January 2004........ 9,462,459.01 January 2007....... 1.74
February 2004....... 8,729,076.24 February 2007...... 1.07
March 2004.......... 8,034,440.40 March 2007......... 0.57
April 2004.......... 7,377,552.18 April 2007......... 0.24
May 2004............ 6,756,589.95 May 2007........... 0.08
The yield supplement overcollateralization amount has been calculated for
each payment date as the sum of the amount for each Receivable equal to the
excess, if any, of
o the scheduled payment due on such Receivable for each future collection
period discounted to present value as of the end of the preceding
collection period at the APR of such Receivable, over
o the scheduled payments due on the Receivable for each future collection
period discounted to present value as of the end of the preceding
collection period at 5.25%.
For purposes of such calculation, future scheduled payments on the
Receivables are assumed to be made on their scheduled due dates without any
delays, defaults or prepayments.
SERVICING
Compensation
o The servicer will be compensated on a monthly basis.
o The first servicing fee will be calculated on the original principal
amount of the receivables at 1/12th of 1% per month.
o For the first servicing fee calculation, the per annum servicing fee rate
will be converted from an annual rate using the number of days from May
23, 2001 to, and including, June 30, 2001 on a 30/360 basis, or 38 days.
o Subsequent servicing fees will be calculated on the principal balance of
the receivables as of the first day of the prior calendar month at 1/12th
of 1%.
o As illustrated in the "Flow of Funds" section above, the servicing fee
will be paid out of the total funds available for distribution each
month.