Try the following instead of a case statement:
if [savings %] < -5 then "RED"
elseif [savings %] >= -4.99 AND [savings] <= 4.99 then "YELLOW"
elseif [savings %] > 5 then "GREEN"
If this still does not resolve the issue can you post a screenshot of what's not working or the packaged workbook (twbx)?
The case statement needs to be set up like this:
case [savings %]
when < -5 then "RED"
when > 5 then "GREEN"
Noel has it right - Case statements are evaluated in order. So it will stop processing at the first rule that evaluates "TRUE"