DBRS Assigns Provisional Ratings to Canadian Capital Auto Receivables Asset Trust II Auto Loan Receivables-Backed Notes, Series 2011-1

DBRS has today assigned a provisional rating of AAA (sf) to the Auto Loan Receivables-Backed Notes, Series 2011-1, Class A-1 Notes, Class A-2 and Class A-3 (collectively, the Senior Notes or Series A Notes), a provisional rating of AA (sf) to the Auto Loan Receivables-Backed Notes, Series 2011-1, Class B Notes, and a provisional rating of A (low) (sf) to the Auto Loan Receivables-Backed Notes, Series 2011-1, Class C Notes (the Class B and Class C are also referred to as the Subordinated Notes), all to be issued by Canadian Capital Auto Receivables Asset Trust II (the Trust).

On closing, the Trust will acquire a co-ownership interest in a portfolio of secured retail auto loans originated by Ally Credit Canada, Limited (Ally Credit) and its affiliates 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 provisional ratings incorporate the following considerations:

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

(2) The high level of credit enhancement supporting the Senior and Subordinated Notes, provided by anticipated subordination of 2.75% in the form of the Subordinated Notes, non-amortizing overcollateralization of 2.25%, non-amortizing cash of 1.0% and an initial annual interest rate spread of approximately 3.35%.

(3) The significant experience of Ally Credit 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 767.

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 provisional ratings assigned.

Finalization of ratings is contingent upon receipt of final documents conforming to information already received by DBRS.

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