Fitch Rates Capital Auto Receivables Asset Trust 2001-2 `AAA/A+'

    NEW YORK--June 26, 2001--Fitch rates the Capital Auto Receivables Asset Trust 2001-2 $680 million floating-rate class A-2, $385 million 4.60% class A-3, and $150.643 million 5% class A-4 asset-backed notes `AAA'. In addition, $64.567 million floating-rate asset-backed certificates are rated `A+'.
    The ratings are based upon the available credit enhancement, terms of the interest rate swaps, financial strength of the swap counterparty (Citibank, N.A.), the transaction's sound legal structure, and the high quality of the retail auto receivables originated and serviced by General Motors Acceptance Corp. (GMAC). This transaction marks GMAC's fifth retail auto loan transaction using a soft bullet payment feature for the class A notes.
    The transaction consists of four class A soft bullet sequential pay tranches with various targeted final distribution dates, one class of variable pay revolving notes (VPRN, unrated by Fitch), and one class of certificates. Interest will be distributed on the fifteenth of each month beginning July 16, 2001.
    Principal will be distributed to the VPRN monthly while principal on the class A notes is expected to be paid in a bullet payment on each class' targeted final distribution date. On each class A note's targeted final distribution date, the trust will request incremental advances under the VPRN, the proceeds from which, combined with any principal allocations received that month and any principal collected in the accumulation account, will be used to pay down the balance of the class A note due to be paid.
    The seller will grant a GMAC sponsored conduit the right to purchase a 100% interest in the VPRN. The VPRN will amortize in conjunction with the collateral.
    To the extent that the trust cannot obtain adequate advances from the VPRN on a targeted final distribution date sufficient to pay out the class of notes scheduled to mature in full, the class A notes will begin to amortize sequentially.
    The structure may return to drawing on the VPRN on the next succeeding targeted distribution date, provided all classes of notes due to be paid on previous targeted distribution dates are retired.
    Since the retail auto installment sales contracts earn interest at a fixed rate and the class A-1 asset-backed notes, class A-2 asset-backed notes, asset-backed certificates and VPRN accrue interest at a floating rate, the trust entered into four swaps with Citibank N.A. Under the terms of the swaps, the trust will pay a fixed rate on the outstanding amount of the class A-1, class A-2, certificates and VPRN.
    The swap counterparty will pay a floating rate based on LIBOR on the same notional amounts. In the event that the VPRN swap is terminated and a suitable replacement is not obtained, the outstanding VPRN will convert to a fixed rate instrument. No additional draws on the VPRN can occur if the swaps are terminated.
    Additionally, the trust may not obtain advances under the VPRN at a rate higher than one month LIBOR + 2%. If the class A-1, class A-2, or certificates swap terminate, the class A-1, class A-2 and certificates will remain floating-rate instruments.
    Substantially all of the receivables securitized in the 2001-2 transaction were originated under special incentive rate financing programs designed to encourage purchases of new General Motors (GM) vehicles. As such, the weighted average APR of the collateral is 4.76%. To compensate for the low APRs in the pool, a bond value calculation is used to discount the collateral and provide `synthetic' excess spread.
    In the bond value calculation, the aggregate collateral of $2,300,024,643.38 is amortized with zero defaults and zero prepayments. The resulting monthly payments are then discounted back to a net present value, or bond value, at an 8.5% discount rate. This net present value of $2,152,209,572.92 (the aggregate discounted principal balance) is used to calculate bond sizes and the initial reserve account balance.
    As a percent of the aggregate discounted principal balance, initial credit enhancement for the class A notes is 6% and consists of 3% subordination from the asset-backed certificates and the 3% initial deposit to the reserve account. Credit enhancement for the certificates is 3% provided by the reserve account.
    All the receivables in the 2001-2 transaction represent financing for new vehicles. The pool is well diversified geographically with only Texas (13.44%), California (11.36%), Michigan (7.30%), Illinois (6.31%) and Florida (5.37%) constituting more than 5% of the pool. As of the cutoff date, the receivables had a weighted average remaining maturity of approximately 44.61 months and a weighted average seasoning of 8.62 months.
    Based on the loss statistics of GMAC's prior securitizations, as well as GMAC's U.S. retail portfolio performance, Fitch expects excellent performance from the pool of receivables in the 2001-2 transaction.
    For the three months ending March 31, 2001, GMAC's net retail portfolio of approximately 3.48 million contracts had 60+ day delinquencies as a percentage of contracts outstanding of 0.19%, and annualized net losses as a percentage of the average receivables were 0.68%.