EXHIBIT 99
DaimlerChrysler Auto Trust 2003-A Structural and Collateral Materials
Computational Materials
DaimlerChrysler Auto Trust 2003-A
----------------------------------------------------
$1,269,000,000 Asset-Backed Notes
DaimlerChrysler Services North America LLC
Seller and Servicer
$450,000,000 Class A-2 [ ]% Asset-Backed Notes
$350,000,000 Class A-3 [ ]% Asset-Backed Notes
$469,000,000 Class A-4 [ ]% Asset-Backed Notes
The information contained in the attached materials is referred to as
the "Information".
The attached Term Sheet has been prepared by DaimlerChrysler Services
North America LLC. Neither J.P. Morgan Securities Inc. ("JPMorgan") 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will be superseded by the applicable prospectus supplement and by any other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The Information contained herein will be superseded by the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 JPMorgan Trading Desk at (212) 834-3720.
The information contained in the attached materials is referred to as
the "Information".
The attached Term Sheet has been prepared by DaimlerChrysler Services
North America LLC. 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.
The information contained in the attached materials is referred to as
the "Information".
The attached Term Sheet has been prepared by DaimlerChrysler Services
North America LLC. Neither Banc of America Securities LLC ("Banc of America")
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
securities' 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"). 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 Banc of America
Syndicate Desk at (312) 828-1305.
The information contained in the attached materials is referred to as
the "Information".
The attached Term Sheet has been prepared by DaimlerChrysler Services
North America LLC. 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.
The information contained in the attached materials is referred to as
the "Information".
The attached Term Sheet has been prepared by DaimlerChrysler Services
North America LLC. Neither Citigroup Global Markets Inc. ("Citigroup") 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 Citigroup 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 DaimlerChrysler Services
North America LLC. 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.
DAIMLERCHRYSLER
DAIMLERCHRYSLER AUTO TRUST 2003-A
DAIMLERCHRYSLER SERVICES NORTH AMERICA LLC, Seller and Servicer
Subject to Revision
Term Sheet dated August 12, 2003
The trust will issue $1,776,800,000.00 of securities backed by
automobile and light duty truck receivables purchased directly from
DaimlerChrysler Services North America LLC.
Total Securities Issued
Security Principal Amount Fixed Per Annum Legal Final
Interest Rate
------------------------------------------------------------------------------------------------------
A-1 Notes(1) $450,000,000 % August 2004
A-2 Notes $450,000,000 % December 2005
A-3 Notes $350,000,000 % November 2006
A-4 Notes $469,000,000 % October 2009
Certificates(1) $ 57,800,000 0% 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 $53,237,764.65 $57,800,000.00 $4,442,000.00 $115,479,764.65
Percentage
of Total
Securities 3.00% 3.25% 0.25% 6.50%
(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 $79,966,896.19.
(3) The certificates do not bear interest.
TABLE OF CONTENTS
Section Page
- ------------------------------------------------------
TRANSACTION ILLUSTRATION 3
- ------------------------------------------------------
PARTIES TO THE TRANSACTION 4
- ------------------------------------------------------
SECURITIES ISSUED 5
- ------------------------------------------------------
RECEIVABLES POOL 5
- ------------------------------------------------------
o Composition 6
- ------------------------------------------------------
o New/Used Distribution 6
- ------------------------------------------------------
o Distribution by APR 7
- ------------------------------------------------------
o Geographic Distribution 8
- ------------------------------------------------------
o Selection Criteria 9
- ------------------------------------------------------
NET CREDIT LOSS AND DELINQUENCY EXPERIENCE 9
- ------------------------------------------------------
o DCS Net Credit Loss and
Repossession Experience 10
- ------------------------------------------------------
o DCS Delinquency
Experience 11
- ------------------------------------------------------
PAYMENTS ON THE SECURITIES 11
- ------------------------------------------------------
o Payment Dates 11
- ------------------------------------------------------
o Interest Payments 11
- ------------------------------------------------------
o Principal Payments 12
- ------------------------------------------------------
o Optional Redemption 13
- ------------------------------------------------------
FLOW OF FUNDS 13
- ------------------------------------------------------
o Sources of Funds Available
for Distribution 13
- ------------------------------------------------------
o Application of Available 14
Funds
- ------------------------------------------------------
CREDIT ENHANCEMENT 15
- ------------------------------------------------------
o Overcollateralization 15
- ------------------------------------------------------
o Excess Interest Collections 16
- ------------------------------------------------------
o Reserve Fund 16
- ------------------------------------------------------
o Subordinated Certificates 16
- ------------------------------------------------------
YIELD SUPPLEMENT OVERCOLLATERALIZATION 17
AMOUNT
- ------------------------------------------------------
SERVICING 18
- ------------------------------------------------------
o Compensation 18
- ------------------------------------------------------
2
TRANSACTION ILLUSTRATION
on or about August 21, 2003
(approximate $ thousands)
------------------------------------------------
| |
| DAIMLERCHRYSLER SERVICES NORTH AMERICA LLC |
| [Seller and Servicer] |
| |
------------------------------------------------
| | \
| | \
| | \
- -------------------------------------------- | \
| DAIMLERCHRYSLER RETAIL RECEIVABLES LLC | | \
[ [Special Purpose Entity] | | \
- -------------------------------------------- | \ $4,442
/|\ | \ reserve
| ------------------- -------------------- | \ fund
| / \ / \ | $1,910,005 \
| / \ / Yield Supplement \ | Receivables \
| / Overcollateralization \ / Overcollateralization \ | \
| \ $53,238 / \ Amount(2) / | \
| \ / \ $79,967 / | \
| \ / \ / | \
| -------------------- --------------------- | \
| | | \
| | | \/
| | | ---------------------
| \|/ \|/ | CITIBANK, N.A. |
--------------------- -------------------------------------- | [Indenture |
| Certificates(1) |/ | DAIMLERCHRYSLER AUTO TRUST 2003-A | | Trustee] |
| $57,800 |------------| [Issuer] | | |
| |\ -------------------------------------- | |
--------------------| / | \ | |
/ | \ --------------------
/ | \
/ | \
/ | \/
------------------------ \|/ --------------
| CHASE MANHATTAN | ----------------- | A-2 Notes |
| BANK USA, NATIONAL | | A-1 Notes(1) | | $450,000 |
| ASSOCIATION | | $450,000 | | |
| [Owner Trustee] | | | | A-3 Notes |
| | ----------------- | $350,000 |
----------------------- | |
| A-4 Notes |
| $469,000 |
--------------
- ---------------------------------------------------------------------------------------------------------
(1) Not being offered publicly or in this document. The certificates are
subordinated.
(2) As set forth on page 17 of this document.
3
PARTIES TO THE TRANSACTION
Entity Description
- ------------------------------------------------------------------------------------------
DaimlerChrysler Auto o Issuer of the securities
Trust 2003-A
o A Delaware statutory trust
o Principal office is in Newark, Delaware
DaimlerChrysler Services North o Seller of the receivables to the trust
America LLC ("DCS")
o Servicer of the receivables
o An indirect wholly-owned subsidiary of
DaimlerChrysler AG
o A Michigan limited liability company
o Originator of DCS receivables
Citibank, N.A.(1) o Indenture trustee
o Performs duties for the benefit of the
noteholders
Chase Manhattan o Owner trustee
Bank USA, National
Association o Performs duties on behalf of the trust and
(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 DCS
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.
4
SECURITIES ISSUED
The trust will issue $1,776,800,000.00 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) $450,000,000 % August 2004
A-2 Notes $450,000,000 % December 2005
A-3 Notes $350,000,000 % November 2006
A-4 Notes $469,000,000 % October 2009
Certificates(1) $57,800,000 0% 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 notes will be issued on or about August 21, 2003 in
book-entry form through the facilities of the Depository Trust Company,
Clearstream and the Euroclear System, and
o by August 21, 2003, three nationally recognized rating agencies will rate
the offered notes in the highest investment rating category.
RECEIVABLES POOL
On August 21, 2003, 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 August 1, 2003 (the
"Cut-off Date").
5
The receivables pool had the following characteristics:
Composition of the Receivables Pool
As of August 1, 2003
Aggregate Principal Balance $1,910,004,660.84
Number of Receivables 113,847
Average Principal Balance $16,776.94
Weighted Average APR 5.53%
Weighted Average Original Term 60.25 months
Weighted Average Remaining Term 50.81 months
The receivables pool had the following new vehicle/used vehicle
distribution:
New/Used Distribution of the Receivables Pool
As of August 1, 2003
New Used
----------------------------------------
Aggregate Principal Balance $1,563,420,479.86 $346,584,180.98
Percentage of Aggregate Principal Balance 81.85% 18.15%
Number of Receivables 86,549 27,298
Percentage of Receivables 76.02% 23.98%
6
The receivables pool had the following distribution by APR:
Distribution by APR of the Receivables Pool
As of August 1, 2003
APR Range Number of Aggregate Percent of Aggregate
Receivables Principal Balance Principal Balance(1)
- ---------------------------------------------------------------------------------------------------
0.00% to 5.00% 42,983 $ 875,031,827.91 45.8%
5.01% to 6.00% 10,592 167,268,525.98 8.7%
6.01% to 7.00% 11,924 181,131,963.79 9.5%
7.01% to 8.00% 10,441 144,905,873.58 7.6%
8.01% to 9.00% 8,758 124,817,219.16 6.5%
9.01% to 10.00% 7,475 106,792,659.87 5.6%
10.01% to 11.00% 5,164 77,030,264.22 4.0%
11.01% to 12.00% 4,298 66,186,102.55 3.5%
12.01% to 13.00% 3,606 51,572,023.42 2.7%
13.01% to 14.00% 2,029 28,538,611.60 1.5%
14.01% to 15.00% 1,602 21,712,607.87 1.1%
15.01% to 16.00% 1,071 14,766,479.20 0.8%
16.01% to 17.00% 1,021 14,532,662.97 0.8%
17.01% to 18.00% 1,236 16,354,153.41 0.9%
18.01% to 19.00% 420 5,301,407.73 0.3%
19.01% to 20.00% 1,204 13,777,266.59 0.7%
Greater than 20.00% 23 285,010.99 0.0%
Totals 113,847 $ 1,910,004,660.84 100.0%
(1) Percentages may not add to 100.0% because of rounding.
7
The following table lists the eleven 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 3.0% of the aggregate principal balance of the
receivables pool as of August 1, 2003.
Geographic Distribution of the Receivables Pool
As of August 1, 2003
State Percentage of Aggregate
Principal Balance (1)
---------------------------------------------------------
Texas 9.6%
California 7.5%
Pennsylvania 5.8%
Illinois 5.7%
Florida 5.6%
New York 4.8%
Michigan 4.3%
New Jersey 3.8%
Maryland 3.8%
Georgia 3.2%
Virginia 3.0%
All Other 42.9%
Total 100.0%
(1) Percentages may not add to 100.0% because of rounding.
8
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 August 1, 2003:
- 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
$1,000.00; and
- each receivable had a scheduled maturity before August 1, 2009.
The seller believes its selection procedures are not adverse to
securityholders.
NET CREDIT LOSS AND DELINQUENCY EXPERIENCE
Net credit loss experience is dependent upon general economic
conditions, the number of repossessions, the amount of principal and accrued
interest outstanding on the receivable at the time of repossession, and the
resale values of the repossessed vehicles.
The following tables detail the net credit loss, repossession and
delinquency experience of DCS's United States portfolio of new and used
automobile and light duty truck retail receivables. The information includes:
o an immaterial amount of retail receivables secured by vehicles other than
automobiles and light duty trucks, and
o previously sold contracts which DCS continues to service.
Unless otherwise indicated, all amounts and percentages are based on
estimated gross collections, including principal and interest.
We cannot assure you that the delinquency, repossession and net credit
loss experience on the receivables sold to the trust will be comparable to the
following historical experience.
9
DCS Net Credit Loss and Repossession Experience
Six Months Ended Year Ended December 31,
June 30,
------------------------------------ -----------------------------------------------
2003 2002 2002 2001 2000 1999 1998
--------------------------------------------------------------------------------------
Average Portfolio Outstanding During
the Period ($ Millions) $39,104 $37,924 $38,872 $36,609 $30,590 $26,191 $23,581
Average Number of Contracts
Outstanding During the Period 2,489,819 2,374,477 2,420,968 2,254,297 2,004,982 1,835,534 1,747,846
Repossessions as a Percentage of
Average Number of Contracts
Outstanding (3) 2.08% 1.81% 1.97% 1.84% 1.82% 2.16% 2.77%
Net Credit Losses as a Percentage of
Liquidations (1) (2) 2.15% 1.54% 1.94% 1.83% 1.77% 1.91% 2.77%
Net Credit Losses as a Percentage of
Average Portfolio Outstanding (1) (3) 1.07% 0.84% 1.00% 0.81% 0.78% 0.98% 1.39%
(1) Net credit losses are equal to the aggregate of the balances of all
receivables which are determined to be uncollectible in the period, less
any amounts realized from the sale of repossessed vehicles and any
recoveries on receivables charged off in the current or prior periods,
net of any disposition expenses and any dealer commissions which DCS
failed to recover on receivables that were prepaid or charged off.
(2) Liquidations represent monthly cash payments and charge-offs which reduce
the outstanding balance of a receivable.
(3) Percentages have been annualized for the six months ended June 30, 2003
and 2002, and are not necessarily indicative of the experience for the
entire year.
10
DCS Delinquency Experience
At June 30, At December 31,
---------------------- ----------------------------------------------------
2003 2002 2002 2001 2000 1999 1998
-------------------------------------------------------------------------------
Portfolio ($ Millions) $39,261 $37,777 $39,650 $39,068 $33,776 $27,255 $24,854
Delinquencies as a
Percentage of the Portfolio
31 - 60 Days 1.67% 1.59% 2.56% 2.04% 1.53% 1.78% 2.27%
61 Days or More 0.23% 0.30% 0.50% 0.31% 0.17% 0.17% 0.20%
Total 1.90% 1.89% 3.06% 2.35% 1.70% 1.95% 2.47%
PAYMENTS ON THE SECURITIES
Payment Dates
o Interest and principal will be payable on the 8th of each month. If the
8th is not a business day, then interest and principal will be payable on
the next business day.
o The first payment will be on September 8, 2003.
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:
11
Days in Initial Days in Subsequent Day Count Convention
Interest Accrual Period Interest Accrual Periods
-------------------------------------------------------------------------------
From To
(including) (excluding)
18 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 Convention
Interest Accrual Period Accrual Periods
-----------------------------------------------------------------------------
17 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.
12
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 $191,000,466.08 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.
13
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 |
---------------------------------------------
14
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 $53,237,764.65 is
equal to the initial receivables balance of $1,910,004,660.84 minus the
initial yield supplement overcollateralization amount of $79,966,896.19 minus
the initial principal amount of the securities of $1,776,800,000.00. 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 3.75% 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 $4,442,000.00. 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 96.25%)] or (b) D minus the A-1
notes balance immediately prior to the current payment date
Where:
Total funds available [ accrued ]
D = for distribution [ servicing interest ]
(except minus [ fee + on the + reserve ]
for the reserve fund) [ 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".
15
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 $4,442,000.00.
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 August 21, 2003, the seller will provide funds from the proceeds of
its sale of receivables to establish a $4,442,000.00 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.
16
YIELD SUPPLEMENT OVERCOLLATERALIZATION AMOUNT
For a portion of the Receivables, the weighted average APR less the
servicing fee rate will be less than the weighted average interest rate of the
notes. The yield supplement overcollateralization amount is intended to
mitigate 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................. $79,966,896.19 August 2006................... $ 8,383,896.12
September 2003............... 76,870,945.81 September 2006................ 7,484,232.44
October 2003................. 73,838,407.08 October 2006.................. 6,638,340.39
November 2003................ 70,869,627.47 November 2006................. 5,846,282.27
December 2003................ 67,964,928.54 December 2006................. 5,108,178.69
January 2004................. 65,124,634.33 January 2007.................. 4,423,917.63
February 2004................ 62,349,034.91 February 2007................. 3,793,340.82
March 2004................... 59,638,430.65 March 2007.................... 3,216,446.97
April 2004................... 56,993,117.11 April 2007.................... 2,693,314.32
May 2004..................... 54,413,380.55 May 2007...................... 2,224,075.07
June 2004.................... 51,899,353.80 June 2007..................... 1,808,818.31
July 2004.................... 49,451,226.93 July 2007..................... 1,447,487.87
August 2004.................. 47,069,197.61 August 2007................... 1,139,927.86
September 2004............... 44,753,461.82 September 2007................ 885,953.90
October 2004................. 42,504,243.19 October 2007.................. 681,758.49
November 2004................ 40,321,794.59 November 2007................. 519,068.88
December 2004................ 38,206,293.70 December 2007................. 386,789.53
January 2005................. 36,156,324.68 January 2008.................. 279,982.15
February 2005................ 34,169,177.96 February 2008................. 195,077.43
March 2005................... 32,242,517.25 March 2008.................... 128,420.79
April 2005................... 30,375,045.64 April 2008.................... 77,742.52
May 2005..................... 28,566,632.07 May 2008...................... 41,819.38
June 2005.................... 26,817,304.74 June 2008..................... 18,943.16
July 2005........................ 25,127,033.11 July 2008..................... 6,838.76
August 2005...................... 23,495,810.11 August 2008................... 2,167.22
September 2005................... 21,923,623.12 September 2008................ 1,182.57
October 2005..................... 20,409,919.27 October 2008.................. 733.12
November 2005.................... 18,954,158.49 November 2008................. 402.59
December 2005.................... 17,555,984.61 December 2008................. 181.09
January 2006..................... 16,214,691.74 January 2009.................. 53.63
February 2006.................... 14,929,741.49 February 2009................. 3.23
March 2006....................... 13,700,624.33 March 2009.................... 0.00
April 2006....................... 12,527,012.33 April 2009.................... 0.00
May 2006......................... 11,408,855.21 May 2009...................... 0.00
June 2006........................ 10,345,857.46 June 2009..................... 0.00
July 2006........................ $ 9,337,661.70 July 2009..................... $ 0.00
17
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 6.0%.
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 August 1, 2003 to and including August 31, 2003 on a 30/360
basis, or 30 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.