DBRS Confirms CCARAT II Series 2007-1, Class A-2, A-3, B, C

DBRS has today confirmed the following ratings to Canadian Capital Auto Receivables Asset Trust II (CCARAT II):

-- AAA to the Auto Loan Receivables-Backed Notes, Series 2007-1, Class A-2
-- AAA to the Auto Loan Receivables-Backed Notes, Series 2007-1, Class A-3
-- “A” to the Auto Loan Receivables-Backed Notes, Series 2007-1, Class B
-- BBB to the Auto Loan Receivables-Backed Notes, Series 2007-1, Class C

As announced by GMAC Financial Services, CCARAT II has been unable to arrange for one or more lenders to fund the repayment of the Auto Loan Receivables-Backed Notes, Series 2007-1, Class A-2 (the Class A-2 Notes). As a result CCARAT II will not fully repay the Class A-2 Notes on the Targeted Final Payment Date (April 17, 2009). This is not considered a default as the legal final payment date for all loans is October 17, 2014.

The Class A-2 Notes have become an Affected Class whereby principal collections will be distributed monthly to such an Affected Class and holders of the VPR loans, pro rata. At this time, all principal collections from the remaining pool of assets will be used to repay the remaining balance of the Series 2007-1, Class A-2 Notes, as the VPR loans have been fully repaid. As noted by GMAC Financial Services, the inability of CCARAT II to repay the Class A-2 Notes does not affect the timing of payments on any other notes issued by CCARAT II.

The confirmation of the ratings reflect the increased level of credit enhancement available in the structure including:

(1) The high level of credit enhancement provided by subordinated notes which have grown from 3.00% at closing to 5.44%; overcollateralization of 1.50% which has reached its floor and will continue to grow as a percentage of the notes outstanding; and a non-amortizing cash account of 1.06% which has grown from 0.50% when the transaction was first rated. All updated enhancement figures are as of our published report dated January 31, 2009.

(2) An increase to the principal accumulation account of approximately $60 million as of the end of March 2009, available to be repaid to the Class A-2 Noteholders. This amount represents accumulations of principal collections received subsequent to the full repayment of the VPR Loans in January 2009.

(3) Very low historical credit loss levels relative to the base loss assumptions at the inception of the transaction. Although delinquency rates and losses have escalated in the most recent six month period, the levels are well within DBRS auto loan methodology standards and are commensurate with the confirmation of the rating. It is expected that overall enhancement will continue to grow as the portfolio amortizes.

All of the notes have a legal final payment date of October 17, 2014 and are expected to be repaid with interest from the collections on the remaining portfolio of auto loans.

The notes are secured by a portfolio of retail car, sport utility vehicle (SUV), light truck and minivan loans originated by GMAC Canada Ltd. The rating levels were determined by simulating the resilience of the portfolio to very stressful conditions, including servicer fees and large increases in credit losses as outlined in our Canadian Auto Loan methodology. The outcome of the simulations indicates that the credit enhancement provides sufficient protection for the remaining notes outstanding issued by CCARAT II Series 2007-1.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is Rating Canadian Auto Loan Securitizations, which can be found on our website under Methodologies.

This is a Structured Finance rating.