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Fitch IBCA Expects to Rate Capital Auto Receivables Asset Trust 1999

1 March 1999

Fitch IBCA Expects to Rate Capital Auto Receivables Asset Trust 1999-1 AAA - Fitch IBCA -

    NEW YORK, March 1 -- Fitch IBCA expects to rate the Capital
Auto Receivables Asset Trust 1999-1 $735 million 5.58% class A-2 and $403
million 5.68% class A-3 asset-backed notes `AAA'. The class A-1 notes will be
privately placed. The expected ratings on the class A notes are based on
subordination levels and the non-declining reserve account, and reflect 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 return to the public asset-backed market after
sitting out all of 1998.
    Substantially all of the receivables securitized in the 1999-1 transaction
were originated under special incentive rate financing programs designed to
encourage purchases of new General Motors (GM) vehicles. As such, the weighted
average annual percentage rate (APR) of the collateral is 4.25%. 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 $2,809,779,024.75 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% discount
rate. This net present value of $2,628,181,417.23 (the aggregate discounted
principal balance) is used to calculate bond sizes and the initial reserve
account balance, resulting in initial overcollateralization of 6.46%.
    As a percentage of the initial aggregate discounted principal balance,
initial credit enhancement for the class A notes is 6.00% and consists of
5.25% subordination from the asset-backed certificates (unrated and retained
by seller) and the 0.75% initial deposit to the reserve account. Additional
credit enhancement for the class A notes is provided by the transaction's
sequential pay structure.
    Interest and principal are expected to be distributed on the fifteenth of
each month beginning April 15, 1999. Classes A-1 through A-3 are sequential
pay note classes. In addition, no principal will be distributed to the
certificates until the class A notes have been paid in full. The principal
distributable amount on any distribution date will equal the difference
between the aggregate discounted principal balance as of the last day of
the second month preceding the current distribution date minus the aggregate
discounted principal balance as of the last day of the month immediately
preceding the current distribution date. As a result, principal collections on
the collateral will be less than the principal distributable amount. This
excess principal will be available to supplement collateral interest
collections to cover trust interest payments and collateral losses.
    All of the receivables in the 1999-1 transaction represent financing for
new vehicles. The pool is well diversified geographically, with only Texas
(16.1%) and Michigan (12.4%) constituting more than 10% of the pool. Other
major states with concentrations over 5% include Florida (7.7%), Missouri
(5.7%), Indiana (5.3%), and Wisconsin (5.3%). As of the cutoff date, the
receivables had a weighted average remaining maturity of approximately 44.1
months and a weighted average seasoning of 9.9 months.
    Based on the loss statistics of GMAC's prior securitizations, as well as
GMAC's U.S. retail portfolio performance, Fitch IBCA expects excellent
performance from the pool of receivables in the 1999-1 transaction. For the
nine months ending Sept. 30, 1998, GMAC's net retail portfolio of
approximately three million contracts had 60+ day delinquencies as a
percentage of contracts outstanding of 0.20%, and annualized net losses as a
percentage of the average gross outstanding principal balance were 0.90%.