DBRS Confirms Canadian Capital Auto Receivables Asset Trust III, Series 2010-1

As part of DBRS’s continued effort to provide market participants with updates on an annual basis, DBRS has today confirmed the AAA (sf) rating on the Auto Loan Receivables-Backed Notes, Series 2010-1 (the Notes) issued by Canadian Capital Auto Receivables Asset Trust III (the Trust).

The rating is based on the following factors.

(1) High levels of credit enhancement are available to protect the Notes. Credit protection to the Notes is provided by overcollateralization and cash reserve amounts. The initial overcollateralization of 6.0% of the net investment on the closing date floored in March 2011 at $50,226,701, and represents 6.45% of the net investment as of April 2011. In addition, the cash reserve account increased as required, from 1.2% to 1.69% of the net investment on the closing date, and has been maintained at that level. Credit enhancement available as of April 2011 stands at 9.20% of the outstanding amount of the Notes.

(2) A cash reserve event will occur if the three-month average delinquency rate is greater than 1.25% or if the three-month average (annualized) loss rate is greater than 1.5%. In a cash reserve event, the required cash reserve amount will be increased by the product of the net investment on such distribution date and 0.50%.

(3) The discounting of the receivables provides for excess spread of approximately 4.2% annually (absent losses or replacement servicer fees).

(4) The delinquency and loss rates have been stable since the onset of the transaction, averaging 6 basis points (bps) and 20 bps, respectively. To date, the pool has experienced a cumulative loss within expectations, equivalent to 21 bps of the initial pool balance.

(5) The structure is pass-through with monthly principal payments, which avoids the risk of refinancing normally associated with term maturities. Matching of the fixed-rate receivables with fixed-rate notes eliminates the need for interest rate swaps in the structure.

(6) The significant experience of Ally Credit Canada Limited (ACCL) in the origination and servicing of retail auto loans and securitization transactions backed by those assets.

(7) A well-diversified pool of obligors with respect to geographic representation in Canada.

The net proceeds of the Notes were applied by the Trust to finance the purchase of a co-ownership interest in a portfolio of car and light truck secured loans (the Portfolio of Loans). The Portfolio of Loans was sold by ACCL to Canadian Securitized Holdings Auto Receivables Partnership (CSHARP) and subsequently to CSHARP and CCARAT III as tenants-in-common. As some of the loans were originated under special programs that provide for low-rate financing, the average annual percentage rate of the Portfolio of Loans was not sufficient to pay funding costs for the CCARAT III obligations. In order to provide for interest spread, the purchase price paid for the loans by the Trust was based on the net discounted book value.

As Servicer, ACCL is servicing the Portfolio in accordance with the credit and collection policies that are applied to its overall owned or managed portfolio of similar auto loans. Provided the Servicer achieves a long-term debt rating of BBB (low) or better by DBRS, the Servicer will be permitted to commingle collections with respect to the Portfolio of Loans with its own funds and make monthly deposits to the collection account. If this rating is not maintained, the Servicer will be required to make all required deposits within two business days of receipt or make such other arrangements as may be acceptable to DBRS. As the Servicer is currently rated below BBB (low), deposits are to be made within two business days of receipt. Provided the ratings test above is satisfied, if obligors with respect to certain receivables pay amounts that exceed the scheduled amounts due at the time the payment is received, the Servicer may commingle the excess payments until they become due, unless the amount of the excess payments exceeds three scheduled payments, at which time the Servicer must apply the excess payments toward Trust outstandings. The Servicer, may also, from time to time, make advances that reflect amounts that have yet to be received by the Servicer.

Ally Financial Inc. will use its reasonable best efforts to cause ACCL to comply with certain servicing obligations as set out in the program documentation.

In the event of a servicer default, the Servicer may be replaced by the indenture trustee. A replacement servicer that is not an affiliate of ACCL would be entitled to a replacement servicer fee of up to 1% per year.

If an event of default occurs and is continuing, the Notes may be declared immediately due and payable by the indenture trustee or by the holders of not less than 25% of the aggregate outstanding principal amount of the notes.

The performance and characteristics of the Portfolio of Loans and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research).

For more detailed information on the transaction structure, please refer to the rating reports of the Trust at www.dbrs.com.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is Rating Canadian Auto Loan Securitization, which is available on our website under Methodologies.