DBRS Finalizes Provisional Rating on Canadian Capital Auto Receivables Asset Trust III Auto Loan Receivables-Backed Notes, Series 2010-1

DBRS has today finalized its provisional rating of AAA on the Auto Loan Receivables-Backed Notes, Series 2010-1 (the Notes) to be issued by Canadian Capital Auto Receivables Asset Trust III (the Trust).

On closing, the Trust acquired a co-ownership interest in a portfolio of secured retail auto loans originated by General Motors Acceptance Corporation of Canada, Limited (GMAC Canada) through a two-step sale. The Notes are structured as pass-through securities with principal and interest paid on a monthly basis from collections on the receivables. The finalized rating incorporates the following considerations:

(1) The very consistent loss and delinquency performance of GMAC Canada’s owned and managed retail loan portfolio.

(2) The high level of credit enhancement supporting the Notes, provided by initial overcollateralization of 6.0%, non-amortizing cash of 1.2% building to 1.5% and initial annual interest spread of more than 4.0%, assuming no losses or requirement to pay any replacement servicer fees.

(3) The significant experience of GMAC Canada in the origination and servicing of retail auto loans and securitization transactions backed by those assets.

(4) A well-diversified portfolio, with balanced geographic representation across Canada and a weighted average credit bureau score of 776.

Stress tests that used assumptions including servicer fees and large increases in delinquency and credit losses indicate that the credit enhancement provides sufficient protection to the Notes to warrant the finalized AAA rating.

Notes:
The applicable methodology is Canadian Auto Loan Securitization Methodology, which can be found on our website under Methodologies.

This is a Structured Finance rating.