DBRS Finalizes Provisional Ratings of Canadian Capital Auto Receivables Asset Trust II Auto Loan Receivables-Backed Notes, Series 2012-1

DBRS has today finalized the provisional ratings assigned to the Auto Loan Receivables-Backed Notes, Series 2012-1 issued by Canadian Capital Auto Receivables Asset Trust II (the Trust) as follows:

– AAA (sf) to Class A-1, Class A-2 and Class A-3 (collectively, the Class A Notes).
– AA (sf) to Class B (the Class B Notes)
– “A” (sf) to Class C (the Class C Notes; collectively, with the Class A Notes and the Class B Notes, the Notes).

The Trust has 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 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 2.75%, a 1.0% non-amortizing cash reserve and non-amortizing overcollateralization of 2.25%, as well as an initial annual excess interest rate spread of approximately 3.70% (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 756 (763 in CCARAT 2011-2) and a well-diversified pool of obligors with respect to geographic representation in Canada.

Stress tests that used assumptions such as 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.

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

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.