Fitch Rates Capital Auto Receivables Asset Trust 2002-2 'AAA'
 |
--$386,161,000 2.89% class A-2 asset-backed notes 'AAA';
--$525,000,000 3.82% class A-3 asset-backed notes 'AAA';
--$344,000,000 4.50% class A-4 asset-backed notes 'AAA';
--$53,448,686 4.18% asset-backed certificates 'AA-'.
The certificates are being offered publicly for the first time since CARAT 2000-1. As in previous deals, the class A-1 notes are privately placed. The ratings are based upon the available credit enhancement, terms of the interest rate swaps, financial strength of the swap counterparty, Merrill Lynch Capital Services, Inc., the transaction's sound legal structure, and the high quality of the retail auto receivables originated and serviced by General Motors Acceptance Corporation (GMAC).
Receivables securitized in the 2002-2 transaction were all 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 2.84%. 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 $1,950,019,246 is amortized with zero defaults and zero prepayments and resulting monthly payments are discounted back to a net present value using a 7.75% discount rate (results in an effective APR on the collateral of 7.75%). The net present value of $1,781,609,686 (the aggregate discounted principal balance) is used to calculate bond sizes and the initial reserve account balance.
As a percent of the initial aggregate discounted principal balance, initial credit enhancement for the class A notes is 5.25% and consists of 3% subordination from the Certificates and the 2.25% initial deposit to the reserve account. certificates, as a percent of the initial aggregate discounted principal balance, have 2.25% enhancement provided by the reserve account.
Interest and principal are expected to be distributed on the fifteenth of each month beginning May 15, 2002. Class A-1 notes receive all principal payments until paid in full. After this point, the remaining class A notes and certificates receive a pro-rata share of principal collections with the A-2 through A-4 notes paying down sequentially. The reserve fund is available for both class A note and certificate interest or principal shortfalls (in the previous transaction the reserve fund only provided protection for the class A notes).
All of the receivables in the 2002-2 transaction represent financing for new vehicles. The pool is well diversified geographically with Texas (11.56%) California (10.70%), Illinois (7.28%), Michigan (7.08%), and New York (5.20%) having the highest state concentrations. As of the cutoff date, the receivables had a weighted average remaining maturity of approximately 45.36 months and weighted average seasoning of 6.54 months.
Based on the loss statistics of GMAC's prior securitizations, as well as GMAC's U.S. retail portfolio performance, Fitch Ratings expects excellent performance from the pool of receivables in the 2002-2 transaction. For the year ending Dec. 31, 2001, GMAC's net retail portfolio of approximately 3.18 million contracts had 60+ day delinquencies as a percentage of contracts outstanding of 0.21%, and net losses as a percentage of the average receivables were 0.71%.