DBRS Confirms and Upgrades Ratings on Canadian Capital Auto Receivables Asset Trust II and Canadian Capital Auto Receivables Asset Trust III

As part of DBRS’s continued effort to provide market participants with updates on an annual basis, DBRS has today confirmed the ratings on the following notes issued by Canadian Capital Auto Receivables Asset Trust II (CCARAT II):

– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2010-1, Class A-3

– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-1, Class A-1
– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-1, Class A-2
– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-1, Class A-3 (collectively, with the Class A-1 Notes and Class A-2 Notes, the Class A Notes)
– AA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-1, Class B
– A (low) (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-1, Class C (collectively, with the Class A Notes and Class B Notes, the Notes)

– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class A-1
– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class A-2
– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class A-3 (collectively, with the Class A-1 Notes and Class A-2 Notes, the Class A Notes)
– AA (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class B
– A (sf) on the Auto Loan Receivables-Backed Notes, Series 2011-2, Class C (collectively, with the Class A Notes and Class B Notes, the Notes)

– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2012-1, Class A-1
– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2012-1, Class A-2
– AAA (sf) on the Auto Loan Receivables-Backed Notes, Series 2012-1, Class A-3 (collectively, with the Class A-1 Notes and Class A-2 Notes, the Class A Notes)
– AA (sf) on the Auto Loan Receivables-Backed Notes, Series 2012-1, Class B
– A (sf) on the Auto Loan Receivables-Backed Notes, Series 2012-1, Class C (collectively, with the Class A Notes and Class B Notes, the Notes)

DBRS has also upgraded the rating to AA (sf) from A (sf) on the Auto Loan Receivables-Backed Notes, Series 2010-1, Class B.

DBRS has confirmed the rating of AAA (sf) on Auto Loan Receivables-Backed Notes, Series 2010-1, Class A-1, of Canadian Capital Auto Receivables Asset Trust III (CCARAT III).

The ratings are based on the following factors:

1. High levels of credit enhancement are available to protect all the Notes.

(a) For CCARAT II 2010-1, credit protection to the Notes is provided by a non-amortizing reserve account that was seeded at the onset of the transaction with an amount equal to $7,068,138, which is equivalent to 6.6% of the outstanding balance of the Notes as of May 2012. The Notes also benefit from overcollateralization, equivalent to 11.5% of the current outstanding note balance as of May 2012. In addition, the Class A Notes have preferential access to collections arising from the subordination of the Class B Notes, equivalent to 14.7% of the current outstanding balance of the Notes. As of May 2012, the total credit enhancement available to the Class A Notes is 32.8% and to the Class B Notes is 18%.

(b) For CCARAT II 2011-1, credit protection to the Notes is provided by a non-amortizing reserve account that was seeded at the onset of the transaction with an amount equal to $7,617,350, which is equivalent to 1.7% of the outstanding balance of the Notes as of May 2012. The Notes also benefit from overcollateralization, equivalent to 3.7% of the current outstanding note balance as of May 2012. In addition, the Class A Notes have preferential access to collections arising from the subordination of the Class B Notes and the Class C Notes, equivalent to 4.6% of the current outstanding balance of the Notes. The Class B Notes also have preferential access to collections arising from the subordination of the Class C Notes equivalent to 1.2% of the current outstanding balance of the Notes. As of May 2012, the total credit enhancement available to the Class A Notes is 10.0%, to the Class B Notes is 6.6% and to the Class C Notes, 5.4%.

(c) For CCARAT II 2011-2, credit protection to the Notes is provided by a non-amortizing reserve account that was seeded at the onset of the transaction with an amount equal to $5,504,680, which is equivalent to 1.5% of the outstanding balance of the Notes as of May 2012. The Notes also benefit from overcollateralization, equivalent to 2.7% of the current outstanding note balance as of May 2012. In addition, the Class A Notes have preferential access to collections arising from the subordination of the Class B Notes and the Class C Notes, equivalent to 4.6% of the current outstanding balance of the Notes. The Class B Notes also have preferential access to collections arising from the subordination of the Class C Notes equivalent to 1.5% of the current outstanding balance of the Notes. As of May 2012, the total credit enhancement available to the Class A Notes is 8.9%, to the Class B Notes is 5.8% and to the Class C Notes, 4.2%.

(d) For CCARAT II 2012-1, credit protection to the Notes is provided by a non-amortizing reserve account that was seeded at the onset of the transaction with an amount equal to $5,327,759, which is equivalent to 1.2% of the outstanding balance of the Notes as of May 2012. The Notes also benefit from overcollateralization, equivalent to 2.7% of the current outstanding note balance as of May 2012. In addition, the Class A Notes have preferential access to collections arising from the subordination of the Class B Notes and the Class C Notes, equivalent to 3.3% of the current outstanding balance of the Notes. The Class B Notes also have preferential access to collections arising from the subordination of the Class C Notes equivalent to 0.9% of the current outstanding balance of the Notes. As of May 2012, the total credit enhancement available to the Class A Notes is 7.3%, to the Class B Notes is 4.9% and to the Class C Notes, 3.9%.

(e) For CCARAT III 2010-1, credit protection to the Notes is provided by a non-amortizing reserve account that was seeded at the onset of the transaction with an amount equal to $21,344,700, which is equivalent to 5.3% of the outstanding balance of the Notes as of May 2012. The Notes also benefit from overcollateralization, equivalent to 12.5% of the current outstanding note balance as of May 2012. As of May 2012, the total credit enhancement available to the Class A-1 Notes is 17.8%.

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 0.5% and the then outstanding balance.

3. Discounting of receivables sold to the trust has generated additional enhancement in the form of excess spread. Excess spread over the past three months, absent losses or replacement servicer fees, has exhibited the following:

(a) For CCARAT II 2010-1, excess spread has averaged 3.1%.

(b) For CCARAT II 2011-1, excess spread has averaged 3.5%.

(c) For CCARAT II 2011-2, excess spread has averaged 4.1%.

(d) For CCARAT II 2012-1, excess spread has averaged 4.0%.

(e) For CCARAT III 2010-1, excess spread has averaged 5.3%.

4. Delinquency and loss rates have remained stable for all series of notes:

(a) For CCARAT II 2010-1, the pool has experienced a cumulative loss within the expected range, equivalent to 31 basis points (bps) of the initial pool balance. To date, the delinquency (+60 days due) and loss rates have averaged 8 bps and 45 bps, respectively, over the past three months

(b) For CCARAT II 2011-1, the pool has experienced a cumulative loss within the expected range, equivalent to 17 bps of the initial pool balance. To date, the delinquency (+60 days due) and loss rates have averaged 6 bps and 25 bps, respectively, over the past three months.

(c) For CCARAT II 2011-2, the pool has experienced a cumulative loss within the expected range, equivalent to 10 bps of the initial pool balance. To date, the delinquency (+60 days due) and loss rates have averaged 4 bps and 10 bps, respectively, over the past three months.

(d) For CCARAT II 2012-1, the pool has experienced a cumulative loss within the expected range, equivalent to 8 bps of the initial pool balance. To date, the delinquency (+60 days due) and loss rates have averaged 3 bps and 15 bps, respectively, over the past three months.

(e) For CCARAT III 2010-1, the pool has experienced a cumulative loss within the expected range, equivalent to 30 bps of the initial pool balance. The delinquency (+60 days due) and loss rates have averaged 5 bps and 17 bps, respectively, over the past three months.

5. The CCARAT II and CCARAT III structures are 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. However, as commented by DBRS in its May 16, 2012, press release, Ally Financial Inc. plans to divest its international operations, including ACCL. DBRS continues to monitor developments and assess the potential impact on affected ratings.

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

The performance and characteristics of the pool 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:
The applicable methodology is Rating Canadian Auto Loan Securitization, which is available on our website under Methodologies.