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Fitch Exps To Rate Capital Auto Receivables Asset Tr 2000-2 `AAA'/`A+'

30 November 2000

Fitch Exps To Rate Capital Auto Receivables Asset Tr 2000-2 `AAA'/`A+'

    NEW YORK--Nov. 30, 2000--Fitch expects to rate the Capital Auto Receivables Asset Trust 2000-2 $362 million 6.51% class A-2, $267 million 6.46% class A-3, and $351.284 million 6.46% class A-4 asset-backed notes `AAA'. In addition, $61.865 million 6.45% 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 insurer financial strength of the swap counterparty (Deutsche Bank AG, New York Branch), the transaction's sound legal structure, and the high quality of the retail auto receivables originated and serviced by General Motors Acceptance Corporation (GMAC). This transaction marks GMAC's third retail auto loan transaction using a soft bullet payment feature for the class A notes.
    The transaction will consist of four class A fixed rate, sequential pay tranches with various targeted final distribution dates, one class of variable pay revolving notes (VPRN) (not rated by Fitch), and one class of certificates. Interest will be distributed on the fifteenth of each month beginning Jan. 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 the previous targeted distribution dates are retired.
    Since the retail auto installment sales contracts earn interest at a fixed rate and the VPRN accrues interest at a floating rate, the trust will enter into a swap with Deutsche Bank AG, New York Branch. Under the terms of the swap, the trust will pay a fixed rate on the outstanding notional amount of the VPRN. The swap counterparty will pay a floating rate based on LIBOR on the same notional amount. In the event that the 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 swap is terminated. Additionally, the trust may not obtain advances under the VPRN at a rate higher than one month LIBOR + 2.50%.
    Substantially all of the receivables securitized in the 2000-2 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 4.44%. 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 $2,260,019,462.31 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 a 10% discount rate. This net present value of $2,062,149,214.52 (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 6.00% and consists of 3.00% subordination from the asset-backed certificates and the 3.00% initial deposit to the reserve account. Credit enhancement for the certificates is 3.00% provided by the reserve account. Additional credit enhancement for the class A notes is provided by the transaction's sequential pay structure.
    All the receivables in the 2000-2 transaction represent financing for new vehicles. The pool is well diversified geographically with only California (12.81%), Illinois (9.76%), Texas (8.38%), Michigan (7.31%), and New York (6.38%) constituting more than 6% of the pool. As of the cutoff date, the receivables had a weighted average remaining maturity of approximately 41 months and a weighted average seasoning of 13 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 2000-2 transaction. For the nine months ending Sept. 30, 2000, GMAC's net retail portfolio of approximately 3.3 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 0.54%.