EXHIBIT 99
DaimlerChrysler Master Owner Trust Floating Rate Auto Dealer Loan Asset Backed
Notes, Series 2004-B Structural and Collateral Materials
DAIMLERCHRYSLER
$1,000,000,000
DAIMLERCHRYSLER MASTER OWNER TRUST
Issuer
Floating Rate Auto Dealer Loan Asset Backed Notes, Series 2004-B,
due August 17, 2009
DAIMLERCHRYSLER WHOLESALE RECEIVABLES LLC, Seller
DAIMLERCHRYSLER SERVICES NORTH AMERICA LLC, Servicer
Subject to Revision
Term Sheet dated August 24, 2004
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preliminary and will be superseded by the applicable prospectus supplement and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The Information contained herein will be superseded by the description of the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 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 (together, the "Offering Document") 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 Offering Document and the then current version of the
Information. The Offering Document contains data that is current as of its
publication date and after publication may no longer be complete or current. A
copy of the Offering Document may be obtained by contacting the Morgan Stanley
Syndicate Desk at (212) 761-2270.
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Summary of Series Terms
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Parties
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Party Description
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Issuer o DaimlerChrysler Master Owner Trust
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Seller o DaimlerChrysler Wholesale Receivables LLC
("DCWR"), an indirectly owned subsidiary of
DaimlerChrysler Services North America LLC
("DCS")
o DCWR's executive offices are located at
27777 Inkster Road, Farmington Hills,
Michigan 48334, and its telephone number is
(248) 427-2625
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Servicer o DCS, a wholly owned subsidiary of
DaimlerChrysler Corporation
("DaimlerChrysler")
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Indenture trustee o The Bank of New York
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Owner trustee for the issuer o Chase Manhattan Bank USA,
National Association
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CARCO receivables trust o CARCO Auto Loan Master Trust
o Owns the receivables and has issued the
collateral certificate to the issuer
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Title of Securities
Floating Rate Auto Dealer Loan Asset Backed Notes, Series 2004-B (the
"Series 2004-B notes").
2
The Issuer's Primary Asset - the Collateral Certificate
The issuer's primary asset is the collateral certificate. The collateral
certificate is an investor certificate issued by the CARCO receivables trust
and represents an allocable interest in a pool of receivables arising from
revolving floorplan financing agreements of selected motor vehicle dealers.
The issuer's primary source of funds to make payments on the Series 2004-B
notes will be the distributions received on the collateral certificate.
However, only the portion of those distributions that are allocated to Series
2004-B will be available to make payments on the Series 2004-B notes. The
Series 2004-B noteholders will not have any recourse to any other assets of
the issuer or any other person for payments on the Series 2004-B notes.
Distributions on the collateral certificate that are allocated to other series
of notes will only be available to make payments on the Series 2004-B notes
under certain limited circumstances.
Stated Principal Amount; Nominal Liquidation Amount
------------------------------------------------------------------------
Stated principal amount of
Series 2004-B notes............................ $ 1,000,000,000
------------------------------------------------------------------------
Initial nominal liquidation amount of
Series 2004-B notes............................ $ 1,000,000,000
------------------------------------------------------------------------
Initial Series 2004-B
overcollateralization amount................... $ 98,901,099
------------------------------------------------------------------------
Initial Series 2004-B
nominal liquidation amount..................... $ 1,098,901,099
------------------------------------------------------------------------
The Series 2004-B nominal liquidation amount will equal the portion of
the invested amount of the collateral certificate allocated to Series 2004-B.
The Series 2004-B notes are secured only by that portion of the collateral
certificate that corresponds to the Series 2004-B nominal liquidation amount.
The Series 2004-B nominal liquidation amount will be equal to the sum of (i)
the nominal liquidation amount of the Series 2004-B notes (initially,
$1,000,000,000) and (ii) the Series 2004-B overcollateralization amount
(initially, $98,901,099). The Series 2004-B nominal liquidation amount, the
nominal liquidation amount of the Series 2004-B notes and the Series 2004-B
overcollateralization amount will be subject to reductions and reinstatements.
Series Issuance Date
On or about August 31, 2004.
Series Cut-Off Date
July 31, 2004.
3
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Terms of the Series 2004-B Notes
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Interest Payment Dates
Interest will be payable on the 15th of each month, unless the 15th is
not a business day, in which case the payment will be made on the following
business day. The first payment will be on September 15, 2004.
Per Annum Interest Rate
[o]% above one-month LIBOR (calculated as described in the indenture).
Interest will be calculated on the basis of the actual number of days in the
applicable interest period divided by 360.
Interest Periods
Each period from and including a payment date to but excluding the
following payment date, except that the first interest period will be from and
including the Series 2004-B issuance date to but excluding the first payment
date.
Principal Payments
The issuer expects to pay the principal of the Series 2004-B notes (but
only to the extent of the outstanding nominal liquidation amount of the Series
2004-B notes) in full on August 15, 2007 (the "Series 2004-B expected
principal payment date"). However, under some circumstances the issuer may pay
principal earlier or later or in reduced amounts.
Legal Final
The issuer will be obligated to pay the principal amount of the Series
2004-B notes (but only to the extent of the outstanding nominal liquidation
amount of the Series 2004-B notes), to the extent not previously paid, by
August 17, 2009.
Revolving Period
During the revolving period, the issuer will not pay principal on the
Series 2004-B notes or accumulate principal for that purpose. Instead, the
issuer will use the Series 2004-B share of available principal amounts to make
principal payments on other series of notes and/or pay them to the issuer to
maintain the interest in the CARCO receivables trust evidenced by the
collateral certificate. The revolving period will begin at the close of
business on the Series 2004-B cut-off date and will end when the accumulation
period begins. The revolving period will also end if an early redemption
period begins.
4
Accumulation Period
The issuer will accumulate principal for the Series 2004-B notes during
an accumulation period of no more than five months long unless (i) an early
redemption period that is not terminated begins before the start of the
accumulation period or (ii) the issuer, acting directly or through the
administrator, elects at its option to delay the start of the accumulation
period, to a later date selected by the issuer. The issuer may elect to delay
the start of the accumulation period because it believes that (i) it will be
able to reallocate available principal amounts allocable to other series of
notes to make larger monthly deposits into the principal funding account over
a shorter period of time or (ii) the payment rate on the receivables will
permit larger monthly deposits to that account over a shorter period of time.
The latest date on which the accumulation period will commence is July 1,
2007. During the accumulation period the issuer will accumulate the Series
2004-B share of principal collections for payment on the Series 2004-B
expected principal payment date.
Early Redemption Period
If an early redemption event occurs and is not cured, you will begin to
receive payments of principal earlier than the Series 2004-B expected
principal payment date. The period after the occurrence of an early redemption
event is the early redemption period. Early redemption events are events that
might adversely affect the issuer's ability to make payments on the Series
2004-B notes as originally expected.
Early Redemption Events
The early redemption events with respect to the Series 2004-B notes will
include the following:
1. failure on the part of DCWR, the servicer or DCS (if DCS is no
longer the servicer), as applicable,
o to make any payment or deposit required by the CARCO receivables
trust pooling and servicing agreement or the receivables purchase
agreement on or before the date occurring two business days after
the date that payment or deposit is required to be made; or
o to deliver a distribution date statement on the date required
under the CARCO receivables trust pooling and servicing
agreement, or within the applicable grace period which will not
exceed five business days; or
o to comply with its covenant not to create any lien on a
receivable; or
o to observe or perform in any material respect any other covenants
or agreements set forth in the CARCO receivables trust pooling
and servicing agreement or the receivables purchase agreement,
which failure continues unremedied for a period of 45 days after
written notice of that failure;
2. any representation or warranty made by DCS, as seller, in the
receivables purchase agreement or by DCWR in the CARCO receivables
trust pooling and
5
servicing agreement or any information required to be given by DCWR
to the CARCO receivables trust trustee to identify the accounts
proves to have been incorrect in any material respect when made and
continues to be incorrect in any material respect for a period of 60
days after written notice and as a result the interests of the
certificateholders are materially and adversely affected. An early
redemption event, however, shall not be deemed to occur if DCWR has
repurchased the related receivables or all of the receivables, if
applicable, during that period in accordance with the provisions of
the CARCO receivables trust pooling and servicing agreement;
3. the occurrence of certain events of bankruptcy, insolvency or
receivership relating to DCS or DaimlerChrysler;
4. a failure by DCWR to convey receivables in additional accounts to
the CARCO receivables trust within five business days after the day
on which it is required to convey those receivables under the CARCO
receivables trust pooling and servicing agreement;
5. on any payment date, the primary Series 2004-B overcollateralization
amount is reduced to an amount less than the required amount on that
payment date after giving effect to the reductions, reinstatements
and distributions to be made on that payment date; provided that,
for the purpose of determining whether an early redemption event has
occurred pursuant to this clause 5, any reduction of the primary
Series 2004-B overcollateralization amount resulting from
reallocations of the Series 2004-B available principal amounts to
pay interest on the Series 2004-B notes in the event LIBOR is equal
to or greater than the prime rate upon which interest on the
receivables is calculated on the applicable LIBOR determination date
will be considered an early redemption event only if LIBOR remains
equal to or greater than such prime rate for the next 30 consecutive
days following such LIBOR determination date;
6. any service default occurs;
7. on any determination date, as of the last day of the preceding
monthly collection period, the aggregate amount of principal
receivables relating to used vehicles exceeds 20% of the pool
balance on that last day;
8. on any determination date, the average of the monthly payment rates
for the three preceding monthly collection periods, is less than
20%;
9. the outstanding dollar principal amount of the Series 2004-B notes
is not repaid by the Series 2004-B expected principal payment date;
10. the issuer becomes an investment company within the meaning of the
Investment Company Act of 1940, as amended; and
11. the occurrence of an event of default under the indenture.
6
Credit Enhancement - Series 2004-B Overcollateralization Amount
On the Series 2004-B cut-off date, the portion of the collateral
certificate allocable to Series 2004-B will equal $1,098,901,099 and will
exceed the outstanding dollar principal amount of the Series 2004-B notes by
$98,901,099. The amount of that excess is the initial Series 2004-B
overcollateralization amount. This overcollateralization amount is intended to
protect the Series 2004-B noteholders from the effect of charge-offs on
defaulted receivables in the CARCO receivables trust that are allocated to
Series 2004-B and any use of available principal amounts to pay interest on
the Series 2004-B notes.
The Series 2004-B overcollateralization amount will equal the sum of (i)
the primary Series 2004-B overcollateralization amount, which initially equals
9.89% of the initial nominal liquidation amount of the Series 2004-B notes and
(ii) the incremental overcollateralization amount, which is based on the
amount of ineligible receivables and dealer overconcentration amounts in the
CARCO receivables trust. The amount in clause (ii) may fluctuate from time to
time.
The issuer will allocate distributions on the collateral certificate to
Series 2004-B on the basis of the sum of the nominal liquidation amount of the
Series 2004-B notes and the Series 2004-B overcollateralization amount. The
Series 2004-B overcollateralization amount will be reduced by:
o reallocations of available principal amounts otherwise allocable to
the Series 2004-B overcollateralization amount to pay interest on the
Series 2004-B notes and
o charge-offs resulting from uncovered defaults on receivables in the
CARCO receivables trust allocated to Series 2004-B.
Reductions in the Series 2004-B overcollateralization amount will result
in a reduced amount of distributions on the collateral certificate that are
available to make payments on the Series 2004-B notes. If the Series 2004-B
overcollateralization amount is reduced to zero, then those reallocations and
charge-offs will instead reduce the nominal liquidation amount of the Series
2004-B notes and you may incur a loss on your Series 2004-B notes.
Excess Principal Collections
Principal collections allocable to other series of notes, to the extent
not needed to make payments in respect of the other series, will be applied to
make principal payments in respect of the Series 2004-B notes and of other
series of notes then entitled to principal payments. Any remaining principal
collections will be paid to the issuer to maintain the interest in the CARCO
receivables trust evidenced by the collateral certificate.
Optional Redemption
The servicer may cause the issuer to redeem the Series 2004-B notes on
any day on or after the day on which the nominal liquidation amount of the
Series 2004-B notes is reduced to $100,000,000 or less.
7
Other Series of Notes and Certificates
The issuer has previously issued four series of notes, referred to as:
o the Floating Rate Auto Dealer Loan Asset Backed Notes, Series 2002-A;
o the Floating Rate Auto Dealer Loan Asset Backed Notes, Series 2002-B;
o the Floating Rate Auto Dealer Loan Asset Backed Notes, Series 2003-A;
and
o the Floating Rate Auto Dealer Loan Asset Backed Notes, Series 2004-A.
The issuer may also issue additional series of notes. The CARCO receivables
trust has previously issued several series of investor certificates and may
issue additional series of investor certificates.
Note Ratings
The issuer will issue the Series 2004-B notes only if they are
rated at the time of issuance in the highest long-term rating category by at
least one nationally recognized rating agency.
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The Dealer Floorplan Financing Business
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The receivables sold to the CARCO receivables trust were or will be
selected from extensions of credit and advances made by DaimlerChrysler and
DCS to approximately 2,910 domestic motor vehicle dealers.
o DCS financed 60.5% of the total number of all
DaimlerChrysler-franchised dealers as of June 30, 2004.
o As of June 30, 2004, approximately 40.9% of the dealers to which DCS
had extended credit lines were DaimlerChrysler-franchised dealers that
operated only DaimlerChrysler franchises, approximately 42.8% were
DaimlerChrysler-franchised dealers that also operated
non-DaimlerChrysler franchises and approximately 16.3% were
non-DaimlerChrysler dealers.
o As of June 30, 2004, the balance of principal receivables in the U.S.
Wholesale Portfolio was approximately $14.0 billion.
o DCS currently services the U.S. Wholesale Portfolio through its home
office and through a network of eight Chrysler Financial business
centers and three Mercedes-Benz regional offices located throughout
the United States.
o As of June 30, 2004, the average credit lines per dealer in the U.S.
Wholesale Portfolio for new and used vehicles (which includes auction
vehicles as used
8
vehicles) were approximately $4.7 million and $0.6 million,
respectively, and the average balance of principal receivables per
dealer was approximately $4.8 million.
o As of June 30, 2004, the aggregate total receivables balance as a
percentage of the aggregate total credit lines was approximately
91.0%.
The following table sets forth the percentages of dealer account balances
by year of credit line origination for the U.S. Wholesale Portfolio.
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U.S. Wholesale Portfolio Percentages by Year
of Credit Line Origination
As of June 30, 2004
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Prior to
2004 2003 2002 2001 2000 1999 1998 1997 1997
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3.44% 6.31% 6.55% 11.51% 6.22% 5.89% 4.74% 3.57% 51.77%
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As of June 30, 2004, the weighted average spread over the prime rate
charged to dealers in the U.S. Wholesale Portfolio was approximately 0.63%.
Used vehicles (which excludes auction vehicles) represented approximately
2.29% of the aggregate principal amount of receivables in the U.S. Wholesale
Portfolio as of June 30, 2004. As of June 30, 2004, used vehicles represented
approximately 2.25% of the aggregate principal amount of receivables in the
CARCO receivables trust (including Excluded Receivables).
Finance Hold Experience
The following table provides the percentage of dealers in the U.S.
Wholesale Portfolio that were subject to finance hold as of the dates
indicated. Finance hold indicates those dealers whose financing arrangements
have been terminated due to certain financial difficulties.
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Finance Hold Experience
As of
June 30, As of December 31,
-------- ---------------------------------------------------------------------
2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994
-------- ---------------------------------------------------------------------
Percentage 1.2% 0.7% 1.8% 1.9% 0.8% 0.4% 0.9% 2.1% 1.1% 1.8% 1.6%
of Dealers
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9
Dealer Trouble Experience
The following table provides the number and percentage of dealers in
dealer trouble status in the U.S. Wholesale Portfolio as of the dates
indicated. Dealer trouble status indicates those dealers that have probable
principal loss potential.
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Dealer Trouble Experience
As of
June 30, As of December 31,
-------- ------------------------------------------------------------------------
2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994
-------- ------------------------------------------------------------------------
Number of 11 13 7 24 27 27 21 24 20 6 12
Dealers
Percentage
of Dealers 0.4% 0.4% 0.2% 0.7% 0.8% 0.9% 0.7% 0.7% 0.6% 0.2% 0.3%
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10
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The Accounts
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As of June 30, 2004, with respect to the dealer accounts in the CARCO
receivables trust:
o there were approximately 2,460 accounts and the aggregate principal
receivables balance was approximately $11.4 billion;
o the average credit lines per dealer for new and used vehicles (which
include auction vehicles) were approximately $4.3 million and $0.6
million, respectively, and the average balance of principal
receivables per dealer was approximately $4.6 million; and
o the aggregate total receivables balance as a percentage of the
aggregate total credit line was approximately 94.1%.
Unless otherwise indicated, the statistics included in the preceding
paragraph, in the table below and under "DCS's Performance History --
Geographic Distribution" with respect to the accounts and the receivables in
the CARCO receivables trust give effect to approximately $5.4 million of
principal receivables with respect to dealers (the "Excluded Receivables" and
the "Excluded Dealers," respectively) that are in voluntary or involuntary
bankruptcy proceedings or voluntary or involuntary liquidation or that,
subject to limitations, are being voluntarily removed by the seller from the
CARCO receivables trust. A portion of those principal receivables was created
after those dealers entered into that status or were designated by the seller
for removal from the CARCO receivables trust and, as a result, are owned by
DCS. Principal receivables balances created prior to those dealers entering
into that status or being designated for removal from the CARCO receivables
trust are included in determining the principal receivables balance of the
receivables held by the CARCO receivables trust.
The following table sets forth the percentages of dealer account balances
by year of credit line origination for the accounts in the CARCO receivables
trust.
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Account Portfolio Percentages by Year
of Credit Line Origination
As of June 30, 2004
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2004 2003 2002 2001 2000 1999 1998 1997 Prior to 1997
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0.05% 0.00% 1.38% 13.02% 6.55% 7.19% 5.67% 4.01% 62.13%
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As of June 30, 2004, the weighted average spread over the prime rate
charged to dealers was approximately 0.65%.
11
START HERE
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DCS's Performance History
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Loss Experience
The following tables set forth the average principal receivables balance
and loss experience for each of the periods shown on the U.S. Wholesale
Portfolio. Because the eligible accounts in the CARCO receivables trust will
be only a portion of the entire U.S. Wholesale Portfolio, actual loss
experience with respect to the eligible accounts in the CARCO receivables
trust may be different.
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Loss Experience for the U.S. Wholesale Portfolio
($ in Millions)
Six Months
Ended June 30, Year Ended December 31,
----------------------------- --------------------------------------------------------------------------
2004 2003 2003 2002 2001 2000 1999
----------------------------- --------------------------------------------------------------------------
Average Principal
Receivables Balance (1)... $12,220 $10,906 $10,781 $9,813 $9,689 $11,336 $9,947
Net Losses / (Net
Recoveries) (2)........... $ 0 $ 1 $ 3 $ 10 $ 2 $ 1 $ (0)
Net Losses / (Net
Recoveries) as a
Percent of Liquidations... 0.001% 0.001% 0.005% 0.016% 0.004% 0.001% (0.001)%
Net Losses / (Net
Recoveries) as a
Percent of Average
Principal Receivables
Balance (3)............... 0.003% 0.008% 0.04% 0.11% 0.02% 0.01% (0.00)%
Year Ended December 31,
----------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994 1993 1992
----------------------------------------------------------------------------------------------------
Average Principal
Receivables Balance (1).... $9,236 $8,877 $8,825 $8,256 $6,754 $6,271 $5,344
Net Losses / (Net
Recoveries) (2)............ $ 11 $ 4 $ (0) $ (1) $ (1) $ 12 $ 26
Net Losses / (Net
Recoveries) as a
Percent of Liquidations.... 0.020% 0.008% (0.000)% (0.002)% (0.003)% 0.035% 0.098%
Net Losses / (Net
Recoveries) as a
Percent of Average
Principal Receivables
Balance (3)................ 0.12% 0.04% (0.00)% (0.01)% (0.01)% 0.19% 0.49%
(1) Average Principal Receivables Balance is the average of the month-end
principal balances for the thirteen months ending on the last day of the
period, except for the six months ended June 30, 2004 and 2003, which are
based on a seven month average.
(2) Net Losses in any period are gross losses less recoveries for such
period.
(3) Percentages for the six months ended June 30, 2004 and 2003 are expressed
on an annualized basis and are not necessarily indicative of the
experience for the whole year.
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12
Aging Experience
The following table provides the age distribution of vehicle inventory
for all dealers in the U.S. Wholesale Portfolio, as a percentage of total
principal outstanding at the date indicated. Because the eligible accounts in
the CARCO receivables trust will only be a portion of the entire U.S.
Wholesale Portfolio, actual age distribution with respect to the eligible
accounts in the CARCO receivables trust may be different. The percentages may
not add up to 100.0% because of rounding.
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Age Distribution for the U.S. Wholesale Portfolio
As of
June 30, As of December 31,
------------ ------------------------------------------------------------------------------------
Aging (Days) 2004 2003 2002 2001 2000 1999 1998 1997
------------ ------------------------------------------------------------------------------------
<31.......................... 33.2% 29.2% 28.3% 33.5% 23.0% 36.7% 32.2% 32.5%
31-60........................ 16.4% 19.2% 18.9% 23.0% 19.8% 21.9% 21.5% 21.9%
61-90........................ 12.7% 14.2% 16.3% 14.3% 18.3% 16.6% 15.3% 14.7%
91-120....................... 12.3% 14.6% 14.4% 10.6% 16.6% 11.6% 12.6% 11.0%
121-150...................... 7.5% 9.4% 10.6% 7.7% 10.0% 4.4% 8.0% 7.4%
151-180...................... 3.5% 3.0% 4.3% 3.5% 2.9% 2.5% 2.9% 3.3%
181-210...................... 3.3% 3.4% 1.9% 1.9% 2.8% 1.5% 1.9% 1.9%
211-240...................... 2.9% 1.9% 1.3% 1.4% 1.6% 1.3% 1.3% 1.3%
241-270...................... 2.2% 1.2% 0.8% 0.9% 1.2% 0.9% 0.9% 1.0%
271-300...................... 2.2% 1.3% 0.7% 0.8% 1.1% 0.7% 0.7% 0.9%
301-330...................... 1.5% 0.6% 0.6% 0.5% 0.8% 0.4% 0.6% 0.8%
331-360...................... 0.6% 0.5% 0.3% 0.3% 0.6% 0.3% 0.4% 0.6%
>360......................... 1.7% 1.5% 1.6% 1.6% 1.3% 1.2% 1.7% 2.7%
Total..................... 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
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13
Geographic Distribution
The following table provides the geographic distribution of the vehicle
inventory for all dealers in the CARCO receivables trust on the basis of
receivables outstanding and the number of dealers generating the portfolio.
The percentages may not add up to 100.00% because of rounding.
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Geographic Distribution of Accounts in the CARCO Receivables Trust
As of June 30, 2004
Percentage of Total Percentage of
Receivables Receivables Number of Number of
Outstanding (2) Outstanding (2) Dealers (3) Dealers (3)
------------------------- --------------------- ----------------- ------------------
Texas............................. $ 882,127,607.56 7.75% 143 5.81%
California........................ $ 879,930,688.34 7.73% 141 5.73%
Florida........................... $ 790,609,815.67 6.94% 113 4.59%
New York.......................... $ 737,218,604.97 6.47% 148 6.01%
Michigan.......................... $ 671,412,238.91 5.90% 125 5.08%
New Jersey........................ $ 601,958,804.16 5.29% 117 4.76%
Other (1)......................... $ 6,822,807,948.39 59.92% 1,674 68.02%
------------------------- --------------------- ----------------- ------------------
Total ............................ $ 11,386,065,708.00 100.00% 2,461 100.00%
========================= ===================== ================= ==================
(1) No other state includes more than 5% of the outstanding receivables.
(2) Includes Excluded Receivables.
(3) Includes Excluded Dealers.
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14
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Maturity and Principal Payment Considerations
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You will begin receiving principal on your notes if an early redemption
period that is not terminated has commenced. Full payment of the Series 2004-B
notes by the Series 2004-B expected principal payment date depends on, among
other things, repayment by dealers of the receivables and may not occur if
dealer payments are insufficient. Because the receivables are paid upon retail
sale of the underlying vehicle, the timing of the payments is uncertain. There
is no assurance that DCS will generate additional receivables under the
accounts or that any particular pattern of dealer payments will occur. Also,
the shorter the accumulation period length, the greater the likelihood that
payment of the Series 2004-B notes in full by the Series 2004-B expected
principal payment date will be dependent on the reallocation of available
principal amounts which are initially allocated to other outstanding series of
notes. If one or more other series of notes from which available principal
amounts are expected to be available to be reallocated to the payment of the
Series 2004-B notes enters into an early redemption period before the Series
2004-B expected principal payment date, available principal amounts allocated
to those series of notes will not be available to be reallocated to make
payments of principal of the Series 2004-B notes and you may receive your
final payment of principal later than the Series 2004-B expected principal
payment date.
Because an early redemption event with respect to the Series 2004-B notes
may occur and would initiate an early redemption period, you may receive the
final payment of principal on your Series 2004-B notes prior to the scheduled
termination of the revolving period or prior to the Series 2004-B expected
principal payment date.
The amount of new receivables generated in any month and monthly payment
rates on the receivables may vary because of seasonal variations in vehicle
sales and inventory levels, retail incentive programs provided by vehicle
manufacturers and various economic factors affecting vehicle sales generally.
The following table sets forth the highest and lowest monthly payment rates
for the U.S. Wholesale Portfolio during any month in the periods shown and the
average of the monthly payment rates for all months during the periods shown.
The monthly payment rate is the percentage equivalent of a fraction, the
numerator of which is the aggregate of all collections of principal during the
period and the denominator of which is the average aggregate principal balance
of receivables in the U.S. Wholesale Portfolio for the period. These monthly
payment rates include principal credit adjustments. Because eligible accounts
in the CARCO receivables trust will be only a portion of the entire U.S.
Wholesale Portfolio, historical monthly payment rates with respect to the
eligible accounts in the CARCO receivables trust may be different than those
shown below.
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Monthly Payment Rates for the U.S. Wholesale Portfolio
Six Months Ended
June 30, Year Ended December 31,
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2004 2003 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994
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Highest Month 51.3% 52.8% 55.6% 65.4% 64.4% 52.8% 60.5% 60.8% 57.7% 58.3% 59.1% 59.7%
Lowest Month 42.4% 42.2% 37.2% 44.9% 42.4% 36.3% 44.7% 42.5% 41.1% 43.2% 36.5% 34.2%
Average of the
Months in the
Period 46.1% 46.5% 46.7% 55.7% 52.6% 45.6% 52.0% 50.0% 48.2% 49.0% 45.6% 50.3%
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The Collateral Certificate - Required Participation Percentage
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The seller will be required to add to the CARCO receivables trust the
receivables of additional accounts if the pool balance at the end of a monthly
collection period is less than the required participation amount for the
following payment date. The calculation of the required participation amount
is a function of the required participation percentage.
The required participation percentage for the collateral certificate is
103%. However, if either (a) the aggregate amount of principal receivables due
from either AutoNation, Inc. and its affiliates or United Auto Group, Inc. and
its affiliates on the close of business on the last day of any monthly
collection period is greater than 4% of the pool balance on that day or (b)
the aggregate amount of principal receivables due from any other dealer at
such time is greater than 1.5% of the pool balance on that day, then the
required participation percentage, as of that last day and with respect to
that monthly collection period and the immediately following monthly
collection period only, will be 104%. Furthermore, the seller may, upon ten
days' prior notice to the CARCO receivables trust trustee and the rating
agencies, reduce the required participation percentage to not less than 100%,
so long as the rating agencies shall not have notified the seller or the
servicer that any reduction will result in a reduction or withdrawal of the
rating of the Series 2004-B notes or any other outstanding series or class of
notes.
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