Fitch IBCA Expects To Rate Capital Auto Rcvbls Asset Trust 1999-2
30 August 1999
Fitch IBCA Expects To Rate Capital Auto Rcvbls Asset Trust 1999-2
NEW YORK--Aug. 27, 1999--Fitch IBCA expects to rate Capital Auto Receivables Asset Trust 1999-2's $370 million 6.06% class A- 2; $306.5 million 6.25% class A-3; $400 million 6.30% class A-4; $76.779 million 6.45% class A-5 asset-backed notes `AAA'.In addition, $63.751 million 6.70% asset-backed certificates are expected to be rated `A'. The expected ratings are based upon the available credit enhancement, terms of the interest rate swap and financial strength of the swap counterparty, 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 second retail auto loan transaction in 1999.
The transaction will consist of five class A fixed rate, sequential pay tranches with various targeted final distribution dates, one class of variable payment term notes (unrated by Fitch IBCA), and one class of certificates. Principal on the class A notes will be paid in a bullet payment on each class' targeted distribution date.
On each note's targeted distribution date, the trust will issue notes called `variable payment term notes' (VPTN). The issuance proceeds from the sale of these VPTN, 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 of notes due to be paid on such targeted distribution date. The seller will grant a GMAC conduit the right to purchase a 100% interest in the VPTN. The VPTN will amortize in conjunction with the collateral.
To the extent that the trust cannot issue VPTN on a targeted distribution date sufficient to pay out the class of notes in full, the notes will begin to amortize sequentially. The structure may return to issuing VPTN on the next succeeding targeted distribution date, provided the class of notes due to be paid on the last targeted distribution date is retired. Principal will be distributed pro rata between the VPTN and the class A notes and pro rata between the notes (VPTN and class A notes together) and certificates.
Since the retail auto installment sales contracts earn interest at a fixed rate and the VPTN notes accrue interest at a floating rate, the trust will enter into a swap with General Re Financial Products. Under the terms of the swap, the trust will pay a fixed rate on the outstanding notional amount of the VPTN. The swap counterparty will pay a floating rate based on LIBOR on the same notional amount.
In the event that the swap is terminated, the trust will pay a fixed rate on the outstanding VPTN. No additional VPTN can be issued if the swap is terminated. Additionally, the trust may not issue any additional VPTN at a rate higher than one month LIBOR + 2.50%.
Interest and principal are expected to be distributed on the 15th of each month beginning Oct. 15, 1999. Principal will be distributed to each class of notes on its respective targeted distribution date.
Initial credit enhancement for the class A notes is 5.50% and consists of 3.00% subordination from the asset backed certificates and the 2.50% initial deposit to the reserve account. Initial credit enhancement for the certificates is 2.50% provided by the reserve account. Credit enhancement for the notes and the certificates will grow as the reserve account is funded to its specified percentage -- 3.50% of the outstanding collateral balance.
Approximately 58% of the receivables in the 1999-2 transaction represent financing for new vehicles. The pool is well diversified geographically with only Texas (19.64%) and California (10.73%) constituting more than 10% of the pool. Other major states with concentrations over 5% include Florida (5.98%) and Michigan (5.04%). As of the cutoff date, the receivables had a weighted average remaining maturity of approximately 51.74 months and a weighted average seasoning of 3.96 months.
Based on the loss statistics of GMAC's prior securitizations, as well as GMAC's U.S. retail portfolio performance, Fitch IBCA Inc. expects excellent performance from the pool of receivables in the 1999-2 transaction. For the six months ending June 30, 1999, GMAC's net retail portfolio of approximately 3 million contracts had 60+ day delinquencies as a percentage of contracts outstanding of 0.15%, and annualized net losses as a percentage of the average gross outstanding principal balance were 0.60%.