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

DBRS has today finalized its provisional ratings of AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class A-1 Notes, Class A-2 Notes and Class A-3 Notes (collectively, the Senior Notes), AA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class B Notes and A (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class C Notes (collectively, 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 Ally Credit Canada, Limited (Ally Credit) and its affiliates 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 final 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 relative to historical portfolio performance, provided by subordination of 3.0%, a 1.0% non-amortizing cash reserve and non-amortizing overcollateralization of 1.75%, as well as an initial annual interest rate spread of approximately 4.05% (all as a percentage of the Aggregate Net Discounted Book Value on the Cut-Off Date).

(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 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 ratings assigned.

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