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, 2001
-----------------
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
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
State of New York Not Applicable
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(State or other jurisdiction of incorporation (I. R. S. Employer
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) 948-3124
-----
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 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
Floating Rate Auto Loan Asset Backed Certificates, Series 2001-A
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days. Yes __X_ No. ______
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S_K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [X]
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, among Chrysler Auto
Receivables Company ("CARCO"), 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 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. An Amended and
Restated Pooling and Servicing Agreement dated as of December 5, 2001 (the "P&S
Agreement"), was entered into among DaimlerChrysler Wholesale Receivables LLC
(as successor to CARCO) ("DCWR"), DaimlerChrysler Services North America LLC (as
successor to CCC) ("LLC") and the Bank of New York, as successor Trustee.
CARCO entered into a Receivables Purchase Agreement, dated as of May 31, 1991,
between itself, as purchaser, and CCC, as seller (the "Receivables Purchase
Agreement") as assigned by to U.S. Auto Receivables Company ("USA") on August 8,
1991, as further assigned by USA to DCWR on May 31, 2000. Pursuant to the
Receivables Purchase Agreement, LLC has (a) sold to DCWR 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 DCWR. DCWR in turn transferred such
Receivables and Collateral Security to the Trust pursuant to the Pooling and
Servicing Agreement. DCWR 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. CARCO and DCWR are
subsidiaries of LLC. On December 31, 1995, CCC, merged with and into Chrysler
Financial Corporation ("CFC"), on October 25, 1998 CFC merged with and into
Chrysler Financial Company L.L.C. ("CFCLLC") and on November 30, 2001 CFCLLC
merged with and into LLC. CCC serviced the Receivables prior to January 1, 1996,
CFC prior to October 25, 1998 and CFCLLC prior to November 30, 2001. LLC is
currently the Servicer of the Receivables. All new Receivables arising under the
Accounts on or after January 1, 1996, during the term of the Trust were sold by
CFC to USA and transferred by USA to the Trust. All new receivables arising
under the Accounts on or after October 25, 1998 during the term on the Trust
were sold by CFCLLC to USA and transferred by USA to the Trust. All new
receivables arising under the Accounts on or after May 31, 2000 were sold by
CFCLLC to DCWR and transferred by DCWR to the Trust. And likewise, all new
receivables arising under the Accounts on or after November 30, 2001 during the
term of the Trust were sold by LLC to DCWR and transferred by DCWR 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.
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.
2
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
November 1993 Floating Rate Auto Loan Asset Backed Certificates, Series 1993-2
November 1997 $111.5 million
October 1994 Floating Rate Auto Loan Asset Backed Certificates, Series 1994-1
October 1999 $500 million
December 1994 7 7/8% Auto Loan Asset Backed Certificates, Series 1994-2
August 1997 $500 million
December 1994 8 1/8% Auto Loan Asset Backed Certificates, Series 1994-3
November 1997 $350 million
3
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATION (continued)
ISSUE DATE SERIES DESCRIPTION
MATURITY DATE PRINCIPAL AMOUNT
- ------------- ----------------
January 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-1
July 1998 $600 million
March 1995 Floating Rate Auto Loan Asset Backed Certificates, Series 1995-2
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
December 2001 $500 million
August 1997 6.689% Auto Loan Asset Backed Certificates, Series 1997-1
September 2001 (1) $700 million
July 1998 Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Outstanding $1 billion
March 1999 Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
March 2001 5.65% Class A-1 Certificates $400 million
Outstanding 5.78% Class A-2 $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
Outstanding $500 million
April 2000 Floating Rate Auto Loan Asset Backed Certificates, Series 2000-A
Outstanding $750 million
4
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS (continued)
ISSUE DATE SERIES DESCRIPTION
MATURITY DATE PRINCIPAL AMOUNT
- ------------- ----------------
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
December 2001 Floating Rate Auto Loan Asset Backed Certificates, Series 2001-A
Outstanding $1 billion
LLC 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 Certificateholders 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. This occurred in September, 2001.
The total principal balance paid to Certificateholders during 2001 was
$287.2 million.
The Trust has no employees.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
There is nothing to report with regard to this item.
5
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
CARCO AUTO LOAN MASTER TRUST
STATEMENTS OF ASSETS, LIABILITIES AND EQUITY
ARISING FROM CASH TRANSACTIONS
(in millions of dollars)
December 31,
-----------------------------
2001 2000
---- ----
ASSETS
Cash and Cash Equivalents (Note 2) $ 55.6 $ 52.7
Receivables (Note 4) 8,957.2 10,354.7
--------- -----------
TOTAL ASSETS $ 9,012.8 $ 10,407.4
========= ===========
LIABILITIES AND EQUITY
Amounts Held for Future Distribution (Note 2) $ 55.6 $ 52.7
Asset Backed Certificates (Notes 3, 4, and 5) 8,957.2 10,354.7
--------- -----------
TOTAL LIABILITIES AND EQUITY $ 9,012.8 $ 10,407.4
========= ===========
See Notes to Financial Statements
6
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
STATEMENTS OF CASH RECEIPTS AND DISBURSEMENTS
(in millions of dollars)
Year Ended December 31,
-----------------------
2001 2000 1999
---- ---- ----
CASH RECEIPTS
Collections of Interest $ 833.6 $1,067.4 $ 840.6
Deposits to Subordinated Accounts 7.5 13.1 22.9
Proceeds from Sales of Investor Certificates 1,000.0 1,751.0 3,850.0
Collections of Principal 1,687.2 1,004.7 758.1
-------- -------- --------
TOTAL CASH RECEIPTS 3,528.3 3,836.2 5,471.6
CASH DISBURSEMENTS
Purchases of Certificates held by DCWR and USA 1,000.0 1,751.0 3,850.0
Distributions of Principal 1,687.2 1,004.7 758.1
Distributions of Interest 349.6 452.7 327.7
Distributions of Residual Cash Flows to Servicer 411.3 544.5 457.3
Distributions of Amounts from Subordinated Accounts 5.2 7.3 5.3
Distributions of Service Fees 72.1 70.1 55.6
-------- -------- --------
TOTAL CASH DISBURSEMENTS 3,525.4 3,830.3 5.454.0
-------- -------- --------
CASH RECEIPTS IN EXCESS OF CASH DISBURSEMENTS 2.9 5.9 17.6
CASH AND CASH EQUIVALENTS AT BEGINNING OF YEAR 52.7 46.7 29.1
-------- -------- --------
CASH AND CASH EQUIVALENTS AT END OF YEAR $ 55.6 $ 52.7 $ 46.7
======== ======== ========
See Notes to Financial Statements
7
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
BASIS OF ACCOUNTING
The financial statements of the Trust are prepared on the basis of cash receipts
and disbursements, which is a comprehensive basis of accounting other than
generally accepted accounting principles. The primary difference from the
accrual basis to this basis is that the financial statements do no 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 STATEMENTS
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 Receivables Company and CFRC are both
wholly owned subsidiaries of LLC.
8
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
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 $ 500.0 (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 (1)
8/97 6.689% Auto Loan Asset Backed Certificates, Series 1997-1 $ 700.0 (1)
7/98 Floating Rate Auto Loan Asset Backed Certificates, Series 1998-1
Class A-1 Certificates $ 500.0 (1)
Class A-2 Certificates $ 500.0
9
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
NOTE 4 - SALES OF CERTIFICATES (CONTINUED)
3/99 Fixed Rate Auto Loan Asset Backed Certificates, Series 1999-1
5.65% Class A-1 Certificates $ 400.0 (1)
5.78% 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
12/01 Floating Rate Auto Loan Asset Backed Certificates, Series 2001-A $1,000.0
(1) Series matured prior to December 31, 2001. Refer to Note 5 for further
details.
Receivables in excess of total investor's certificates outstanding at December
31, 2001 and 2000 are represented by Certificates held by DCWR and USA.
10
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
CARCO AUTO LOAN MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 5 - PRINCIPAL AND INTEREST PAYMENTS
SERIES INTEREST RATE INTEREST PAYMENTS PRINCIPAL PAYMENTS (1) MATURITY 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 & 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 Matured
97-1 6.689% (4) Monthly 9/2001 (3) Matured
98-1 A-1 LIBOR + 0.04% Monthly 6/2001 Matured
98-1 A-2 LIBOR + 0.08% Monthly ----- 6/2003
99-1 A-1 5.65% Monthly 3/2001 Matured
99-1 A-2 5.78% Monthly ---- 3/2002
99-2 A-1 LIBOR + 0,07% Monthly - - - - 5/2002
99-2 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
01-A LIBOR + 0.065% Monthly - - - - 11/2004
(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 prospectus.
(3) As of January 1, 2001 the remaining balance on the $700.0 million in
principal was $287.2. As of September 2001, the Series 1997-1 was paid in
full to the Certificateholders.
(4) In connection with this Series, the Trust entered into an interest rate
swap agreement with the 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%.
11
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
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.
Certificateholders 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, 2001 December 31, 2000
----------------- -----------------
Carrying Fair Carrying Fair
Amounts Value Amounts Value
------- ----- ------- -----
Cash and Cash Equivalents $ 55.6 $ 55.6 $ 52.7 $ 52.7
Receivables $ 8,957.2 $ 8,957.2 $ 10,354.7 $ 10,354.7
Amounts Held for Future Distribution $ 55.6 $ 34.5 $ 52.7 $ 55.1
Asset Backed Certificates $ 8,957.2 $ 8,978.3 $ 10,354.7 $ 10,352.3
Assumptions and Methodologies
The carrying value of Cash and Cash Equivalents 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 Amounts Held for Future Distribution was estimated at
carrying value for amounts with short-term maturities and at net realizable
value for the remaining amount due DCWR.
The fair value of Asset Backed Certificates was estimated using quoted market
prices for investors' certificates and net realizable value for excess
receivables.
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% at December 31, 2000. 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.
12
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA (CONTINUED)
NOTE 7 - FAIR VALUE OF FINANCIAL INSTRUMENTS - CONTINUED
The table below summarizes the Trust's position in interest rate swap agreements
(in millions of dollars):
December 31, 2001 December 31, 2000
Contract Contract
Or Unrealized Or Unrealized
Notional Gains Notional Gains
Amount or Losses Amount or Losses
----------------------- ------------------------
Pay variable interest
rate swaps $ 0.0 $ 0.0 $ 287.2 $ (.5)
The fair value of the Trust's interest rate swap agreements were based on market
quotes from dealers.
13
[KPMG LLP LETTERHEAD]
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Member
DaimlerChrysler Services North America LLC:
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, 2001 and 2000, and the related statements of cash receipts
and disbursements for each of the years in the three-year period ended December
31, 2001. These financial statements are the responsibility of the management of
DaimlerChrysler Services North America LLC, 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, 2001 and
2000, and its cash receipts and disbursements for each of the years in the
three-year period ended December 31, 2001 on the basis of accounting described
in Note 1.
/s/ KPMG LLP
Detroit, Michigan
March 27, 2002
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:
Statements of Assets, Liabilities and Equity - December 31, 2001 and 2000
(page 6 of this report)
Statements of Cash Receipts and Disbursements for the three years ended
December 31, 2001, 2000 & 1999 (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
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 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 the Pooling
and Servicing Agreement dated as of May 31, 1991, as assigned by
Chrysler Auto Receivables Company to U.S. Auto Receivables Company
("USA") on August 8, 1991, among USA, as Seller, Chrysler Credit
Corporation, as Servicer, and Manufacturers and Traders Trust
Company, as Trustee. Filed as Exhibit 4.3 to Registration Statement
No. 333-50780, and incorporated herein by reference.
4 - D Third Amendment dated as of November 1, 1999, to the 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 the 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
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 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 - I 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" Report on Form 8-K dated August 30, 1999
and incorporated herein by reference.
4 - J 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 - K Series 1999-3 Supplement dated as of July 3, 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 - L 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 Trust's Annual Report on Form 10-K for the year
ended December 31, 1999, and incorporated herein by reference.
4 - M Series 2000-A Supplement dated as of April 4, 2000, 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-P to the Trust's Quarterly Report on Form 10-Q for the
period ended June 30, 2001, and incorporated herein by reference.
4 - N Series 2000-B Supplement dated as of October 23, 2000, among
DaimlerChrysler Wholesale Receivables LLC, 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 June 30, 2001, and incorporated
herein by reference.
4 - O Series 2000-C Supplement dated as of December 6, 2000, among
DaimlerChrysler Wholesale Receivables LLC, 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 Trust's Quarterly Report on
form 10-Q for the period ended June 30, 2001, and incorporated
herein by reference.
17
ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
(CONTINUED)
4 - P Series 2001-A Supplement dated as of December 7, 2001, among
DaimlerChrysler Wholesale Receivables LLC, as Seller,
DaimlerChrysler Services North America LLC, as Servicer, and The
Bank of New York, as Trustee. Filed as Exhibit 4.2 to the Trust's
Current Report on Form 8-K dated December 7, 2001, and incorporated
herein by reference.
4 - Q Amended and Restated Pooling and Servicing Agreement dated as
of December 5, 2001 among DaimlerChrysler Wholesale Receivables
LLC, as Seller, DaimlerChrysler Services North America LLC, as
Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4.1 to the Trust's Current Report on Form 8-K dated December 7,
2001, 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
-------------- ---------- -------- --------------------
December 7, 2001 December 19, 2001 5 None
18
CARCO AUTO LOAN MASTER TRUST
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
CARCO Auto Loan Master Trust ( Registrant )
By: DaimlerChrysler Services
North America LLC, as Servicer
---------------------------------------------
Date: March 25, 2002 By: /s/ Norbert Meder
---------------------------------------------
Norbert Meder, Vice President and Controller
Principal Accounting Officer
19
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
Exhibit
Number Description of Exhibit
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 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 the
Pooling and Servicing Agreement dated as of May 31, 1991, as
assigned by Chrysler Auto Receivables Company to U.S. Auto
Receivables Company ("USA") on August 8, 1991, among USA, as
Seller, Chrysler Credit Corporation, as Servicer, and
Manufacturers and Traders Trust Company, as Trustee. Filed as
Exhibit 4.3 to Registration Statement No. 333-50780, and
incorporated herein by reference.
4 - D Third Amendment dated as of November 1, 1999, to the Pooling and
Servicing Agreement dated as of May 31, 1991, 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 4.4 to Registration Statement No. 333-37882, and
incorporated herein by reference.
4 - E Fourth Amendment dated as of May 31, 2000, to the Pooling and
Servicing Agreement dated as of May 31, 1991, 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 4.5 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" Quarterly Report on Form 10-Q for the period ended
September 30, 1996, and incorporated herein by reference.
20
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
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 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 - I 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" Report on Form 8-K dated August 30, 1999,
and incorporated herein by reference.
4 - J 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 - K Series 1999-3 Supplement dated as of July 3, 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 - L 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 Trust's Annual Report of Form 10-K for the year
ended December 31, 1999, and incorporated herein by reference.
4 - M Series 2000-A Supplement dated as of April 4, 2000, 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-P to the Trust's Quarterly Report on form 10-Q for the
period ended June 30, 2001, and incorporated herein by reference.
4 - N Series 2000-B Supplement dated as of October 17, 2000, among
DaimlerChrysler Wholesale Receivables LLC, 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 June 30, 2001, and incorporated
herein by reference.
4 - O Series 2000-C Supplement dated as of December 6, 2000, among
DaimlerChrysler Wholesale Receivables LLC, 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 Trust's Quarterly Report on
form 10-Q for the period ended June 30, 2001, and incorporated
herein by reference.
21
CARCO AUTO LOAN MASTER TRUST
EXHIBIT INDEX
4 - P Series 2001-A Supplement dated as of December 7, 2001, among
DaimlerChrysler Wholesale Receivables LLC, as Seller,
DaimlerChrysler Services North America LLC, as Servicer, and The
Bank of New York, as Trustee. Filed as Exhibit 4.2 to the Trust's
Current Report on Form 8-K dated December 7, 2001, and incorporated
herein by reference.
4 - Q Amended and Restated Polling and Servicing Agreement dated as
of December 5, 2001 among DaimlerChrysler Wholesale Receivables
LLC, as Seller, DaimlerChrysler Services North America LLC, as
Servicer, and The Bank of New York, as Trustee. Filed as Exhibit
4.1 to the Trust's Current Report on Form 8-K dated December 7,
2001, and incorporated herein by reference.
23 Consent of KPMG LLP.
99 Annual Servicer's Certificate and Annual Accountants' Letter
22