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FORM VERSION #1 9/12/00
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-K
[X] ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934.
For the fiscal year ended December 31, 2000
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OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934.
For the transition period from to
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Commission file number 000-19452
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CARCO AUTO LOAN MASTER TRUST
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(Exact name of registrant as specified in its charter)
State of New York Not Applicable
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(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
27777 Franklin Road, Southfield, Michigan 48034
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (248) 512-3990
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Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act:
Floating Rate Auto Loan Asset Backed Certificates, Series 1996-1
Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2
Fixed Rate Auto Loan Asset Backed Certificates, Series 1997-1
Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
Floating Rate Auto Loan Asset Backed Certificates, Series 1999-2
Floating Rate Auto Loan Asset Backed Certificates, Series 1999-3
6.43% Auto Loan Asset Backed Certificates, Series 1999-4
Floating Rate Auto Loan Asset Backed Certificates, Series 2000-A
Floating Rate Auto Loan Asset Backed Certificates, Series 2000-B
Floating Rate Auto Loan Asset Backed Certificates, Series 2000-C
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days. Yes X No
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Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [X]
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PART I.
ITEM 1. BUSINESS
CARCO Auto Loan Master Trust (the "Trust") was formed pursuant to the Pooling
and Servicing Agreement dated as of May 31, 1991, as assigned by Chrysler Auto
Receivables Company ("CARCO"), to U.S. Auto Receivables Company ("USA") on
August 8, 1991, as assigned by USA to DaimlerChrysler Wholesale Receivables LLC
("DCWR") on May 31, 2000, among USA, Chrysler Credit Corporation, as Servicer
("CCC"), and Manufacturers and Traders Trust Company, a New York banking
corporation, as Trustee. The assets of the Trust include wholesale receivables
(the "Receivables") generated from time to time in a portfolio of revolving
financing arrangements (the "Accounts") with automobile dealers to finance their
automobile and light duty truck inventory. More specifically, the assets of the
Trust include (a) certain Receivables existing under the accounts at the close
of business on May 31, 1991 (the "Initial Cut-Off Date"), certain Receivables
generated under the Accounts from time to time thereafter during the term of the
Trust as well as certain Receivables generated under any Accounts added to the
Trust from time to time (but excluding Receivables generated in any Accounts
removed from the Trust from time to time after the Initial Cut-Off Date), (b)
all funds collected or to be collected in respect of such Receivables, (c) all
funds on deposit in certain accounts of the Trust, (d) any Enhancement issued
with respect to a series of certificates issued by the Trust (each such series,
a "Series") and (e) a security interest in certain motor vehicles (the
"Vehicles") and certain parts inventory, equipment, fixtures, service accounts
and, in some cases, realty and/or a personal guarantee (collectively, the
"Collateral Security") securing the Receivables. The term "Enhancement" shall
mean, with respect to any Series, any letter of credit, surety bond, cash
collateral account, spread account, guaranteed rate agreement, maturity
liquidity facility, tax protection agreement, interest rate swap agreement or
other similar arrangement for the benefit of Certificateholders of such Series.
USA entered into a Receivables Purchase Agreement, dated as of the date of the
Pooling and Servicing Agreement, between USA, as purchaser, and CCC, as seller
(the "Receivables Purchase Agreement") as assigned by USA to DCWR on May 31,
2000. Pursuant to the Receivables Purchase Agreement, CCC has (a) sold to USA
all of its right, title and interest in and to all Receivables meeting certain
eligibility criteria contained in the Receivables Purchase Agreement and the
Pooling and Servicing Agreement ("Eligible Receivables") and (b) assigned its
interests in the Vehicles and the Collateral Security to USA. USA in turn
transferred such Receivables and Collateral Security to the Trust pursuant to
the Pooling and Servicing Agreement. USA has also assigned to the Trust its
rights with respect to the Receivables under the Receivables Purchase Agreement.
All new Receivables arising under the Accounts prior to January 1, 1996, were
sold by CCC to USA and transferred by USA to the Trust. As of May 31, 2000, DCWR
replaced USA and USA was merged out of existence. All new Receivables arising
under the Accounts on or after January 1, 1996, during the term of the Trust
were sold by Chrysler Financial Corporation ("CFC"), now known as Chrysler
Financial Company LLC ("LLC") to USA and transferred by USA to the Trust.
Accordingly, the aggregate amount of Receivables in the Trust will fluctuate
from day to day as new Receivables are generated and as existing Receivables are
collected, charged off as uncollectible or otherwise adjusted.
CARCO and DCWR are subsidiaries of LLC. On December 31, 1995, CCC, merged with
and into CFC, now known as LLC. CCC serviced the Receivables prior to January 1,
1996. LLC now services the Receivables.
Pursuant to an Agreement of Resignation, Appointment and Acceptance dated as of
August 23, 1996, Manufacturers and Traders Trust Company resigned as the Trustee
of the Trust and The Bank of New York became the Trustee of the Trust.
The Trust has no employees.
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ITEM 2. PROPERTIES
There is nothing to report with regard to this item.
ITEM 3. LEGAL PROCEEDINGS
There is nothing to report with regard to this item.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There is nothing to report with regard to this item.
PART II.
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY
AND RELATED STOCKHOLDER MATTERS
There is nothing to report with regard to this item.
ITEM 6. SELECTED FINANCIAL DATA
The selected financial data has been omitted since the required information is
included in the financial statements or the notes thereto.
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATION
The following Certificates were issued by the Trust evidencing undivided
interests in certain assets of the Trust:
ISSUE DATE SERIES DESCRIPTION
MATURITY DATE PRINCIPAL AMOUNT
- ------------- ----------------
October 1992 Floating Rate Auto Loan Asset Backed Certificates, Series 1992-2
October 1997 $400 million
February 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-1
February 1998 $250 million
November 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
November 1998 $388.5 million
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ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATION (CONTINUED)
ISSUE DATE SERIES DESCRIPTION
MATURITY DATE PRINCIPAL AMOUNT
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November 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
November 1997 $111.5 million
October 1994 Floating Rate Auto Loan Asset Backed Certificates, Series 1994-1
October 1999 $500 million
December 1994 7 7/8% Auto Loan Asset Backed Certificates, Series 1994-2
August 1997 $500 million
December 1994 8 1/8% Auto Loan Asset Backed Certificates, Series 1994-3
November 1997 $350 million
January 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-1
July 1998 $600 million
March 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-2
February 2000 $600 million
May 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-3
June 1998 $500 million
May 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4
May 1998 $500 million
May 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4A
July 1998 $500 million
December 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-5
January 2000 $250 million
November 1996 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-1
Outstanding $500 million
December 1996 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2
Outstanding $500 million
August 1997 6.689% Auto Loan Asset Backed Certificates, Series 1997-1
Outstanding $287.2 million
August 1997 6.689% Auto Loan Asset Backed Certificates, Series 1997-1
Matured (1) $412.8 million
July 1998 Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Outstanding $1 billion
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ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATIONS (CONTINUED)
ISSUE DATE SERIES DESCRIPTION
MATURITY DATE PRINCIPAL AMOUNT
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March 1999 Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
Outstanding 5.65% Class A-1 Certificates $400 million, and 5.78% Class A-2 Certificates
$600 million.
May 1999 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-2
Outstanding $1.35 billion
July 1999 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-3
Outstanding $1 billion
November 1999 6.43% Auto Loan Asset Backed Certificates, Series 1999-4 $500 million
Outstanding
April 2000 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-A
Outstanding $750 million
October 2000 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-B
Outstanding $501 million
December 2000 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-C
Outstanding $500 million
CFC services the Receivables included in the Trust for a fee.
Pursuant to an Agreement of Resignation, Appointment and Acceptance dated as of
August 23, 1996, Manufacturers and Traders Trust Company resigned as the Trustee
of the Trust and The Bank of New York became the Trustee of the Trust.
(1) Pursuant to the Series 1997-1 Prospectus Supplement, beginning with the
August 16, 1999 Principal Commencement Date, the Certificate Holders began
to receive principal payments monthly on each Distribution Date. These
payments were calculated in accordance with the corresponding provisions
of the Prospectus Supplement. The payments will continue until the
outstanding principal balance has been paid in full. The total principal
balance paid to Certificate Holders during 2000 was $154.7 million.
The Trust has no employees.
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ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATIONS (CONTINUED)
New Accounting Standards
In June 1998, the Financial Accounting Standards Board issued SFAS No. 133,
"Accounting for Derivative Instruments and Hedging Activities." For companies
with calendar year-ends, the effective date is January 1, 2001 with early
adoption permitted. In June 2000, the Financial Accounting Standards Board
issued SFAS No. 138, "Accounting for Certain Derivative Instruments and Certain
Hedging Activities - an Amendment of FASB Statement No. 133." For companies
which have not adopted Statement 133 before June 15, 2000, this Statement shall
be adopted concurrently with Statement 133.
These standards require that all companies recognize all derivatives on the
balance sheet at fair value. Gains or losses resulting from changes in the fair
values of those derivatives would be accounted for based on the use of the
derivatives and to the extent they qualify for the hedge accounting. The
adoption of these new accounting standards is not expected to have a material
impact on the Trust's financial statements.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
There is nothing to report with regard to this item.
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
CARCO AUTO LOAN MASTER TRUST
STATEMENTS OF ASSETS, LIABILITIES AND EQUITY
ARISING FROM CASH TRANSACTIONS
(in millions of dollars)
December 31,
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2000 1999
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ASSETS
Cash and Cash Equivalents (Note 2) $ 52.7 $ 46.7
Receivables (Note 4) 10,354.7 10,030.2
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TOTAL ASSETS $10,407.4 $10,076.9
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LIABILITIES AND EQUITY
Amounts Held for Future Distribution (Note 2) $ 52.7 $ 46.7
Asset Backed Certificates (Notes 3, 4 and 5) 10,354.7 10,030.2
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TOTAL LIABILITIES AND EQUITY $10,407.4 $10,076.9
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See Notes to Financial Statements.
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
STATEMENTS OF CASH RECEIPTS AND DISBURSEMENTS
(in millions of dollars)
Year Ended December 31,
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2000 1999 1998
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CASH RECEIPTS
Collections of Interest $ 1,067.4 $ 840.6 $ 687.3
Deposits to Subordinated Accounts 13.1 22.9 7.5
Proceeds from Sales of Investor Certificates 1,751.0 3,850.0 1,000.0
Collections of Principal 1,004.7 758.1 2,738.5
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TOTAL CASH RECEIPTS 3,836.2 5,471.6 4,433.3
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CASH DISBURSEMENTS
Purchases of Certificates held by DCWR and USA 1,751.0 3,850.0 1,000.0
Distributions of Principal 1,004.7 758.1 2,738.5
Distributions of Interest 452.7 327.7 297.0
Distributions of Residual Cash Flows to Servicer 544.5 457.3 394.0
Distributions of Amounts from
Subordinated Accounts 7.3 5.3 21.5
Distributions of Service Fees 70.1 55.6 51.2
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TOTAL CASH DISBURSEMENTS 3,830.3 5,454.0 4,502.2
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CASH RECEIPTS IN EXCESS OF CASH DISBURSEMENTS
(CASH DISBURSEMENTS IN EXCESS OF CASH RECEIPTS) 5.9 17.6 (68.9)
CASH AND CASH EQUIVALENTS AT BEGINNING OF YEAR 46.7 29.1 98.0
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CASH AND CASH EQUIVALENTS AT END OF YEAR $ 52.7 $ 46.7 $ 29.1
========== ========== ==========
See Notes to Financial Statements.
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
BASIS OF ACCOUNTING
The financial statements of the Trust are prepared on the basis of cash receipts
and disbursements, which is a comprehensive basis of accounting other than
generally accepted accounting principles. The primary difference from the
accrual basis to this basis is that the financial statements do not record
overcollateralized receivables, accrued interest receivable on the Receivables,
or accrued interest payable on the Certificates from the most recent
Distribution Date to the balance sheet date.
DERIVATIVE FINANCIAL INSTRUMENTS
The Trust uses derivative financial instruments to manage its exposure arising
from declines in interest rates. The derivative financial instruments used have
been limited to interest rate swap agreements. The Trust does not use derivative
financial instruments for trading purposes.
Interest differentials resulting from interest rate swap agreements are recorded
on a cash basis as an adjustment to interest collections.
NOTE 2 - CASH AND CASH EQUIVALENTS
Short-term instruments with a maturity of less than 30 days when purchased are
considered to be cash equivalents. The Trust received certain cash deposits from
LLC which are held as liquidity and credit enhancement reserves and invested in
short-term instruments. Under the Sale and Servicing Agreement, the servicer is
required to convey principal and interest collections to the Trust on a monthly
basis except when commingling conditions cease to be met under the Sale and
Servicing Agreement.
NOTE 3 - RELATED PARTIES
On May 31, 2000, DCWR replaced USA as seller under the Trust. Chrysler Auto
Receivables Company became a member of DCWR with a 1% membership interest in
DCWR, and USA merged in to Chrysler Financial Receivables Corporation ("CFRC")
with CFRC being the surviving corporation resulting in CFRC having a 99%
membership interest in DCWR. Chrysler Auto Receivable Company and CFRC are both
wholly owned subsidiaries of LLC.
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 4 - SALES OF CERTIFICATES
The following Certificates were issued by the Trust evidencing undivided
interests in certain assets of the Trust:
ISSUE PRINCIPAL AMOUNT
DATE SERIES DESCRIPTION (IN MILLIONS)
- ---- ------------------ -------------
8/91 7 7/8% Auto Loan Asset Backed Certificates, Series 1991-3 $750.0 (1)
10/91 Floating Rate Auto Loan Asset Backed Certificates, Series 1991-4 $500.0 (1)
12/91 Money Market Auto Loan Asset Backed Certificates, Series A $300.0 (1)
3/92 Money Market Auto Loan Asset Backed Certificates, Series B $350.0 (1)
5/92 Money Market Auto Loan Asset Backed Certificates, Series C $150.0 (1)
7/92 Floating Rate Auto Loan Asset Backed Certificates, Series 1992-1 $400.0 (1)
10/92 Floating Rate Auto Loan Asset Backed Certificates, Series 1992-2 $400.0 (1)
2/93 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-1 $250.0 (1)
11/93 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
Class A-1 Money Market Extendible Certificates $288.5 (1)
Class A-1 Money Market Extendible Certificates $111.5 (1)
Class A-2 Medium Term Certificates $100.0 (1)
10/94 Floating Rate Auto Loan Asset Backed Certificates, Series 1994-1 $500.0 (1)
12/94 7 7/8% Auto Loan Asset Backed Certificates, Series 1994-2 $500.0 (1)
12/94 8 1/8% Auto Loan Asset Backed Certificates, Series 1994-3 $350.0 (1)
1/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-1 $600.0 (1)
3/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-2 $600.0 (1)
5/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-3 $500.0 (1)
5/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4 $500.0 (1)
5/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-4A $500.0 (1)
12/95 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-5 $250.0 (1)
11/96 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-1 $500.0
12/96 Floating Rate Auto Loan Asset Backed Certificates, Series 1996-2 $500.0
8/97 6.689% Auto Loan Asset Backed Certificates, Series 1997-1 $287.2
6.689% Auto Loan Asset Backed Certificates, Series 1997-1 $412.8 (1)
7/98 Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Class A-1 Certificates $500.0
Class A-2 Certificates $500.0
3/99 Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
5.65% Class A-1 Certificates $400.0
5.78% Class A-2 Certificates $600.0
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 4 - SALES OF CERTIFICATES (CONTINUED)
ISSUE PRINCIPAL AMOUNT
DATE SERIES DESCRIPTION (IN MILLIONS)
- ---- ------------------ -------------
5/99 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-2
Class A-1 Certificates $750.0
Class A-2 Certificates $600.0
7/99 Floating Rate Auto Loan Asset Backed Certificates, Series 1999-3 $1,000.0
11/99 6.43% Auto Loan Asset Backed Certificates, Series 1999-4 $500.0
4/00 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-A $750.0
10/00 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-B $501.0
12/00 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-C $500.0
(1) Series matured prior to December 31, 2000. Refer to Note 5 for further
details.
Receivables in excess of total investor's certificates outstanding at December
31, 2000 and 1999 are represented by Certificates held by DCWR and USA.
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 5 - PRINCIPAL AND INTEREST PAYMENTS
INTEREST INTEREST PRINCIPAL MATURITY
SERIES RATE PAYMENTS PAYMENTS(1) DATE(2)
- ------ ---- -------- ----------- -------
91-3 7 7/8% Semi-Annually 8/1996 Matured
92-2 LIBOR + 0.35% Monthly 10/1997 Matured
93-1 LIBOR + 0.28% Monthly 2/1998 Matured
93-2 A-1 Comm Paper + 0.075% Monthly 11/1997 Matured
93-2 A-1 Comm Paper + 0.075% Monthly 11/1998 Matured
A-2 LIBOR + 0.26% Monthly 11/1998 Matured
94-1 LIBOR + 0.18% Monthly 10/1999 Matured
94-2 7 7/8% Semi-Annually 8/1997 Matured
94-3 8 1/8% Annually 11/1997 Matured
95-1 LIBOR + 0.16% Monthly 7/1998 Matured
95-2 LIBOR + 0.13% Monthly 3/2000 Matured
95-3 Fed Funds + 0.25% Monthly 6/1998 Matured
95-4 Fed Funds + 0.26% Monthly 5/1998 Matured
95-4A Fed Funds + 0.26% Monthly 7/1998 Matured
95-5 Comm Paper + 0.1875% Monthly 2/2000 Matured
96-1 LIBOR + 0.135% Monthly -- 11/2003
96-2 LIBOR + 0.05% Monthly -- 12/2001
97-1 6.689% (4) Monthly 12/2000(3) 8/2004
98-1 A-1 LIBOR + 0.04% Monthly -- 6/2001
A-2 LIBOR + 0.08% Monthly -- 6/2003
99-1 A-1 5.65% Monthly -- 3/2001
A-2 5.78% Monthly -- 3/2002
99-2 A-1 LIBOR + 0.07% Monthly -- 5/2002
A-2 LIBOR + 0.13% Monthly -- 5/2004
99-3 LIBOR + 0.12% Monthly -- 7/2002
99-4 6.43 Monthly -- 11/2002
00-A LIBOR + 0.10% Monthly -- 3/2003
00-B LIBOR + 0.08% Monthly -- 10/2003
00-C LIBOR + 0.07% Monthly -- 11/2003
(1) The dates listed are the Distribution Dates on which the principal of the
Certificates were paid.
(2) The date listed is the Distribution Date on which the principal of the
Certificates is expected to be paid, however, the principal of the
Certificates may be paid earlier under certain circumstances described in
the related prospectus.
(3) As of December 31, 2000, $412.8 million of the original $700.0 million of
principal on Series 1997-1 was paid to Certificateholders
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
(4) In connection with this Series, the Trust entered into an interest rate
swap agreement with AIG Financial Products Corporation ("AIG"), the
notional amount of which is equal to the remaining principal amount of
the related Certificates. Under this agreement, AIG paid the Trust
interest at the Certificate Rate, and the Trust paid interest to AIG
based on a floating rate of LIBOR plus 0.017%.
NOTE 6 - FEDERAL INCOME TAXES
The Certificates, in the opinion of outside legal counsel, will not be
characterized as debt of the Trust for federal income tax purposes. Certificate
holders will be subject to income tax on interest earned with respect to the
Certificates.
NOTE 7 - FAIR VALUE OF FINANCIAL INSTRUMENTS
Financial Instruments
The estimated fair value of financial instruments have been determined using
available market information and valuation methodologies as described below.
However, considerable judgment is required in interpreting market data to
develop the estimates of fair value. Accordingly, the estimates presented herein
are not necessarily indicative of the amounts that could be realized in a
current market exchange. The use of different market assumptions or valuation
methodologies may have a material effect on the estimated fair value amounts.
The carrying amounts and estimated fair values of the Trust's financial
instruments were as follows (in millions of dollars):
DECEMBER 31, 2000 December 31, 1999
---------------------------- ----------------------------
CARRYING FAIR Carrying Fair
AMOUNTS VALUE Amounts Value
------------- ------------ ------------- ------------
Cash $ 52.7 $ 52.7 $ 46.7 $ 46.7
Receivables $ 10,354.7 $ 10,354.7 $ 10,030.2 $ 10,030.2
Amounts Held for Future Distribution $ 52.7 $ 55.1 $ 46.7 $ 53.0
Asset Backed Certificates $ 10,354.7 $ 10,352.3 $ 10,030.2 $ 10,023.9
Assumptions and Methodologies
The carrying value of cash and cash equivalents and amounts held for future
distribution approximate market value due to the short maturity of these
instruments.
The carrying value of variable rate receivables was assumed to approximate fair
value since they are priced at current market rates.
The fair value of Asset Backed Certificates was estimated using quoted market
prices for investors certificates and net realizable value for excess
receivables.
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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 7 - FAIR VALUE OF FINANCIAL INSTRUMENTS - continued
Derivative Financial Instruments
The Trust is exposed to the risk of declining interest rates as a result of
financing the acquisition of receivables bearing floating rates with fixed rate
certificates. As described in Note 5, the Trust has entered into interest rate
swap agreements to reduce its exposure to decreases in interest rates. The
interest rate swaps are matched to specific Series of Certificates issued by the
Trust. Under the terms of the agreements the Trust receives fixed rate interest
payments in return for interest payments based on a variable rate. The weighted
average fixed rate received by the Trust was 6.689% and 6.689% at December 31,
2000 and 1999, respectively. The weighted average floating rate paid was 6.727%
and 6.480% at December 31, 2000 and 1999, respectively. The Trust does not enter
into derivative financial instruments for trading purposes.
Interest rate swap differentials are deposited in, or paid from, the collection
account. Funds remaining in the collection account after distribution to
Certificateholders are returned to DCWR.
The table below summarizes the Trust's position in interest rate swap agreements
(in millions of dollars):
DECEMBER 31, 2000 December 31, 1999
---------------------------- ----------------------------
CONTRACT Contract
OR UNREALIZED or Unrealized
NOTIONAL GAINS Notional Gains
AMOUNT (LOSSES) Amount (Losses)
------------- ------------ ------------- ------------
Pay variable interest
rate swaps $ 287.2 $ (.5) $ 441.9 $ (7.6)
The fair value of the Trust's interest rate swap agreements were based on market
quotes from dealers.
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INDEPENDENT AUDITORS' REPORT
The Board of Directors and Member
Chrysler Financial Company L.L.C.:
We have audited the accompanying statements of assets, liabilities and equity
arising from cash transactions of the CARCO Auto Loan Master Trust (the "Trust")
as of December 31, 2000 and 1999, and the related statements of cash receipts
and disbursements for each of the years in the three-year period ended December
31, 2000. These financial statements are the responsibility of the management of
Chrysler Financial Company L.L.C., servicer of the Trust. Our responsibility is
to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
As described in Note 1, these financial statements were prepared on the basis of
cash receipts and disbursements, which is a comprehensive basis of accounting
other than accounting principles generally accepted in the United States of
America.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the assets, liabilities and equity arising from cash
transactions of the CARCO Auto Loan Master Trust as of December 31, 2000 and
1999, and its cash receipts and disbursements for each of the years in the
three-year period ended December 31, 2000 on the basis of accounting described
in Note 1.
/s/ KPMG LLP
Detroit, Michigan
March 26, 2001
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ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS
ON ACCOUNTING AND FINANCIAL DISCLOSURE
There is nothing to report with regard to this item.
PART III.
ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
There is nothing to report with regard to this item.
ITEM 11. EXECUTIVE COMPENSATION
There is nothing to report with regard to this item.
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
There is nothing to report with regard to this item.
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
There is nothing to report with regard to this item.
PART IV.
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K
(a) The following documents are filed as a part of this report:
1. Financial Statements
Financial statements for CARCO Auto Loan Master Trust as follows:
Statement of Assets, Liabilities and Equity - December 31, 2000 and
1999 (page 6 of this report)
Statement of Cash Receipts and Disbursements for the three years ended
December 31, 2000, 1999 & 1998 (page 7 of this report)
Notes to financial statements (pages 8-13 of this report)
Independent Auditors' Report (page 14 of this report)
2. Financial Statement Schedules
All financial statement schedules have been omitted because the
information to be provided therein is included in the financial
statements or the notes thereto.
15
17
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K - CONTINUED
3. Exhibits
(a) The following exhibits are filed as a part of this report:
Exhibit No.
3-A Certificate of Formation of DaimlerChrysler Wholesale Receivables
LLC. Filed as Exhibit 3.1 to Registration Statement No. 333-38873
and incorporated herein by reference.
3-B Amended and Restated Limited Liability Company agreement of DCWR
filed as Exhibit 3-B to Registration Statement No. 333-50780, and
incorporated herein by reference.
4-A Pooling and Servicing Agreement, dated as of May 31, 1991, among
Chrysler Auto Receivables Company, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 4.1 to the Registration
Statement No. 333-50780, and incorporated herein by reference.
4-B First Amendment dated as of August 6, 1992 to the Pooling and
Servicing Agreement dated as of May 31, 1991, as assigned by
Chrysler Auto Receivable Company to U.S. Auto Receivables Company
("USA") on August 8, 1991, among USA, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 4.2 to the Registration
Statement No. 333-50780, and incorporated herein by reference.
4-C Second Amendment dated as of September 21, 1993, to Pooling and
Servicing Agreement dated as of May 31, 1991, as assigned by
Chrysler Auto Receivables Company to U.S. Auto Receivables
Company ("USA") on August 8, 1991, among USA, as Seller, Chrysler
Credit Corporation, as Servicer, and Manufacturers and Traders
Trust Company, as Trustee. Filed as Exhibit 4.3 to Registration
Statement No. 333-50780, and incorporated herein by reference.
4-D Third Amendment dated as of November 1, 1999, to Pooling and
Servicing Agreement dated as of May 31, 1991, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company LLC,
as Servicer, and The Bank of New York, as Trustee. Filed as
Exhibit 4.4 to Registration Statement No. 333-37882, and
incorporated herein by reference.
4-E Fourth Amendment dated as of May 31, 2000, to Pooling and
Servicing Agreement dated as of May 31, 1991, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company LLC,
as Servicer, and The Bank of New York, as Trustee. Filed as
Exhibit 4.5 to Registration Statement No. 333-37882, and
incorporated herein by reference.
4-F Agreement of Resignation, Appointment and Acceptance dated as of
August 23, 1996, by and among U.S. Auto Receivables Company,
Chrysler Financial Corporation, Manufacturers and Traders Trust
Company, and The Bank of New York. Filed as Exhibit 4-DD to the
Trust's Quarterly Report on Form 10-Q for the period ended
September 30, 1996, and incorporated herein by reference.
16
18
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K - CONTINUED
4-G Series 1996-1 Supplement dated as of September 30, 1996, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-EE to the Trust's Annual Report on Form 10-K
for the year ended December 31, 1996, and incorporated herein by
reference.
4-H Series 1996-2 Supplement dated as of November 30, 1996, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-FF to the Trust's Annual Report on Form 10-K
for the year ended December 31, 1996, and incorporated herein by
reference.
4-I Series 1997-1 Supplement dated as of July 24, 1997, among U.S.
Auto Receivables Company as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-GG to the Trust's Quarterly Report on Form
10-Q for the period ended September 30, 1997, and incorporated
herein by reference.
4-J Series 1998-1 Supplement dated as of June 16, 1998, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial
Corporation, as Servicer, and The Bank of New York, as Trustee.
Filed as Exhibit 4-HH to the Trust's Quarterly Report on Form
10-Q for the period ended June 30, 1998 and incorporated herein
by reference.
4-K Series 1999-1 Supplement dated as of March 10, 1999, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company, L.L.C.,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4.1 to the Trust's Report on Form 8-K dated August 30, 1999 and
incorporated herein by reference.
4-L Series 1999-2 Supplement dated as of May 20, 1999, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company, L.L.C.,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4.2 to the Trust's Report on Form 8-K dated August 30, 1999 and
incorporated herein by reference.
4-M Series 1999-3 Supplement dated as of July 22, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Company,
L.L.C., as Servicer, and The Bank of New York, as Trustee. Filed
as Exhibit 4-Q to the Trust's Quarterly Report on Form 10-Q for
the period ended September 30, 1999 and incorporated herein by
reference.
4-N Series 1999-4 Supplement dated as of November 12, 1999, among
U.S. Auto Receivables Company, as Seller, Chrysler Financial
Company, L.L.C., as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4-R to the Trusts Annual Report of Form
10-K for the year ended December 31, 1999 and filed herewith.
4-O Series 2000-A Supplement dated as of March 24, 2000, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Company,
L.L.C., as Servicer, and the Bank of New York, as Trustee. Filed
as Exhibit 4-S to the Trusts Current Report of Form 8-K dated
April 4, 2000 and incorporated herein by reference.
17
19
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES,
AND REPORTS ON FORM 8-K - CONTINUED
4-P Series 2000-B Supplement dated as of October 17, 2000, among
DaimlerChrysler Wholesale Receivables L.L.C., as Seller, Chrysler
Financial Company, L.L.C., as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4-T to the Trusts Current Report of Form
8-K dated October 17, 2000 and incorporated herein by reference.
4-Q Series 2000-C Supplement dated as of December 6, 2000, among
DaimlerChrysler Wholesale Receivables L.L.C., as Seller, Chrysler
Financial Company, L.L.C., as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4-U to the Trusts Current Report of Form
8-K dated December 6, 2000 and incorporated herein by reference.
23 Consent of KPMG LLP.
99 Annual Servicer's Certificate and Annual Accountants' Letter
(b) The registrant filed the following reports on Form 8-K during the
quarter ended December 31, 2000.
DATE OF REPORT DATE FILED ITEM NO. FINANCIAL STATEMENTS
-------------- ---------- ------- --------------------
October 17, 2000 October 18, 2000 5 No
December 6, 2000 December 3, 2000 5 No
18
20
CARCO AUTO LOAN MASTER TRUST
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange
Act of 1934, the registrant has duly caused this report to be signed on its
behalf by the undersigned, thereunto duly authorized.
CARCO Auto Loan Master Trust (Registrant)
By: Chrysler Financial Company L.L.C., as Servicer
-----------------------------------------------
Date: March 26, 2001 By: /s/ NORBERT MEDER
----------------------------------------------
Norbert Meder, Vice President and Controller
Principal Accounting Officer
19
21
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------ ----------------------
4-E Fourth Amendment dated as of May 31, 2000, to Pooling and Servicing
Agreement dated as of May 31, 1991, among U.S. Auto Receivables
Company, as Seller, Chrysler Financial Company LLC, as Servicer, and
the Bank of New York, as Trustee. Filed as Exhibit 4.5 to
Registration Statement No. 333-37882, and incorporated herein by
reference.
4-F Agreement of Resignation, Appointment and Acceptance dated as of
August 23, 1996, by and among U.S. Auto Receivables Company,
Chrysler Financial Corporation, Manufacturers and Traders Trust
Company, and The Bank of New York. Filed as Exhibit 4-DD to the
Trust's Quarterly Report on Form 10-Q for the period ended September
30, 1996, and incorporated herein by reference.
4-G Series 1996-1 Supplement dated as of September 30, 1996, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Corporation,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4-EE to the Trust's Annual Report on Form 10-K for the year ended
December 31, 1996, and incorporated herein by reference.
4-H Series 1996-2 Supplement dated as of November 30, 1996, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Corporation,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4-FF to the Trust's Annual Report on Form 10-K for the year ended
December 31, 1996, and incorporated herein by reference.
4-I Series 1997-1 Supplement dated as of July 31, 1997, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Corporation, as
Servicer, and The Bank of New York, as Trustee. Filed as Exhibit 4-G
G to the Trust's Quarterly Report on Form 10-Q for the period ended
September 30, 1997, and incorporated herein by reference.
E-2
22
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------ ----------------------
4-J Series 1998-1 Supplement dated as of June 16, 1998, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Corporation, as
Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4-HH to the Trust's Quarterly Report on Form 10-Q for the period
ended June 30, 1998 and incorporated herein by reference.
4-K Series 1999-1 Supplement dated as of March 10, 1999, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company, L.L.C.,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4.1 to the Trust's Report on Form 8-K dated August 30,1999 and
incorporated herein by reference.
4-L Series 1999-2 Supplement dated as of May 20, 1999, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company,
L.L.C.,as Servicer, and The Bank of New York, as Trustee. Filed as
Exhibit 4.2 to the Trust's Report on Form 8-K dated August 30, 1999
and incorporated herein by reference.
4-M Series 1999-3 Supplement dated as of July 22, 1999, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company, L.L.C.,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4-Q to the Trust's Quarterly Report on Form 10-Q for the period
ended September 30, 1999 and incorporated herein by reference.
4-N Series 1999-4 Supplement dated as of November 12, 1999, among U.S.
Auto Receivables Company, as Seller, Chrysler Financial Company,
L.L.C., as Servicer, and The Bank of New York, as Trustee. Filed as
Exhibit 4-R to the Trusts Annual Report of Form 10-K for the year
ended December 31, 1999 and incorporated herein by reference.
4-O Series 2000-A Supplement dated as of March 24, 2000, among U.S. Auto
Receivables Company, as Seller, Chrysler Financial Company, L.L.C.,
as Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4- to the Trusts Report of Form 8-K dated April 4,2000 and
incorporated herein by reference.
E-3
23
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
- ------ ----------------------
4-P Series 2000-B Supplement dated as of October 17, 2000, among
DaimlerChrysler Wholesale Receivables L.L.C., as Seller, Chrysler
Financial Company, L.L.C., as Servicer, and The Bank of New York, as
Trustee. Filed as Exhibit 4- to the Trusts Report of Form 8-K dated
October 17, 2000 and incorporated herein by reference.
4-Q Series 2000-C Supplement dated as of December 6, 2000, among
DaimlerChrysler Wholesale Receivables L.L.C., as Seller, Chrysler
Financial Company, L.L.C., as Servicer, The Bank of New York, as
Trustee. Filed as Exhibit 4- to the Trusts Report of Form 8-K dated
December 6, 2000 and incorporated herein by reference.
23 Consent of KPMG LLP.
99 Annual Servicer's Certificate and Annual Accountants' Letter.