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

DBRS has today finalized its provisional ratings of R-1 (high) on the Auto Loan Receivables-Backed Notes, Series 2010-1, Class A-1 Notes, AAA on the Auto Loan Receivables-Backed Notes, Series 2010-1, Class A-2 and Class A-3 (collectively, the Senior Notes or Series A Notes) and “A” on the Auto Loan Receivables-Backed Notes, Series 2010-1, Class B (the Subordinated Notes), all issued by Canadian Capital Auto Receivables Asset Trust II (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 Series A Notes and Subordinated Notes are structured as pass-through securities with principal and interest paid out on a monthly basis from collections on the receivables. The final ratings incorporate the following considerations:

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

(2) The high level of credit enhancement supporting the Senior and Subordinated Notes, provided by subordination of 2.25% in the form of the Class B Notes, non-amortizing overcollateralization of 1.75%, non-amortizing cash of 1.0% and an initial annual interest rate spread of 2.8%, all calculated as a percentage of the net discounted book value of the Portfolio of Secured Loans as of the February 1, 2010, cut-off date.

(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 and seasoned portfolio, with balanced geographic representation across Canada and a weighted average credit bureau score of 750.

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 Senior Notes to warrant the 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.