DBRS Assigns Provisional Ratings to Canadian Capital Auto Receivables Asset Trust II Auto Loan Receivables-Backed Notes, Series 2011-2

DBRS has today assigned a provisional rating of AAA (sf) to the Auto Loan Receivables-Backed Notes, Series 2011-2, Class A-1, 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 2011-2, Class B; and a provisional rating of A (sf) to the Auto Loan Receivables-Backed Notes, Series 2011-2, Class C (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 (CCARAT II or 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 on a monthly basis from collections on the receivables. The provisional ratings incorporate the following considerations:

(1) The consistent performance of similar receivables underwritten by the Originator over the past several years.

(2) The high level of credit enhancement available to support the Notes: subordination of 3.0% in the form of the Class B and Class C Notes, non-amortizing cash equal to 1.0%, non-amortizing overcollateralization of 1.75%, and an initial annual interest spread of approximately 3.97%, excluding any potential costs for replacement servicer fees (estimated at an annualized rate of 1.0% of the outstanding pool balance), all calculated as a percentage of the Aggregate Net Discounted Book Value on the Cut-Off Date.

(3) A weighted average credit bureau score of 763, a well-diversified pool of obligors with respect to geographic representation in Canada and a more seasoned pool as compared with CCARAT II 2011-1.

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 Rating Canadian Auto Loan Securitization, which can be found on our website under Methodologies.