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I AGREE
24 Feb 2011
Approximately $745 million of asset-backed notes rated
Toronto, February 24, 2011 -- Moody's Investors Service has assigned definitive ratings to the notes
to be issued by Canadian Capital Auto Receivables Asset Trust II (CCARAT
II), Series 2011-1. CCARAT II is administered by Ally
Credit Canada Limited (B1), who is also the originator and servicer
of the auto loan collateral pool which supports the Series 2011-1
notes. Ally Credit Canada Limited is the Canadian subsidiary of
Ally Financial Inc. (B1)
The complete rating actions are as follows:
Issuer: Canadian Capital Auto Receivables Asset Trust II,
Series 2011-1
$300,000,000 1.845% Class A-1
Auto Loan Receivables-Backed Notes, rated Aaa (sf)
$208,000,000 2.632% Class A-2
Auto Loan Receivables-Backed Notes, rated Aaa (sf)
$215,646,000 3.321% Class A-3
Auto Loan Receivables-Backed Notes, rated Aaa (sf)
$15,235,000 4.146% Class B Auto Loan
Receivables-Backed Notes, rated Aa3 (sf)
$5,714,000 4.686% Class C Auto Loan Receivables-Backed
Notes, rated A2 (sf)
RATINGS RATIONALE
Moody's median cumulative net loss expectation for the CCARAT II 2011-1
pool is 1.25% and the Volatility Proxy Aaa Level is 7.50%.
Moody's net loss expectation and Volatility Proxy Aaa Level for the CCARAT
II 2011-1 transaction are derived from an analysis of the credit
quality of the underlying pool of fixed rate retail installment sales
contracts, the collateral's historical performance, the servicing
ability of Ally Credit Canada Limited, the performance guarantee
provided by parent company Ally Financial Inc., and expectations
for future economic conditions.
All classes of notes are enhanced by 2.25% overcollateralization,
a 1.0% cash reserve account and the minimum 2.0%
in excess spread. The Class A Notes are further enhanced by subordinate
Class B and Class C Notes which constitute 2.00% and 0.75%
respectively of the net discounted pool balance of receivables.
Ally Credit Canada Limited (formerly GMAC of Canada Limited) has issued
9 previous publicly registered retail loan transactions and has securitization
experience that dates back to 1993 in Canada. This transaction
is Ally Credit Canada's first public retail loan issuance of the
year. The most notable difference between the CCARAT 2011-1
and the previous CCARAT II series is the higher percentage of contracts
with original terms greater than 60 months (37% compared to 22%
for CCARAT II 2010-1). A higher percentage of contracts
with original terms greater than 60 months typically has a negative impact
on pool performance. Nonetheless, a weighted average FICO
score of 767 for the securitized pool is indicative of a prime quality
obligor base. In addition, the historical performance of
Ally Credit Canada's retail loan securitizations have been favorable
and an important consideration along with conducting a deal-by-deal
comparison of collateral.
PRINCIPAL METHODOLOGY
The principal methodology used in rating the CCARAT II, Series 2011-1
notes was Moody's Approach to Rating U.S. Auto Loan-Backed
Securities, rating methodology published in June 2007.
PARAMETER SENSITIVITY
If the net loss used in determining the initial rating were changed from
1.25% to 2.75% the initial model-indicated
output might change from Aaa to Aa1 for the Class A notes, from
Aa3 to Baa3 for the Class B notes, and from A2 to Ba2 for the Class
C notes. If the net loss were changed to 3.75% the
initial model-indicated output might change to Aa2 for the Class
A notes, to B1 for the Class B notes, and to B3 for the Class
C notes. If the net loss were changed to 5.25% the
initial model-indicated output might change to A2 for the Class
A notes and below B3 for the Class B and Class C notes.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time, rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
ADDITIONAL RESEARCH
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
REGULATORY DISCLOSURE
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investor Service's information.
Moody's Investors Service considers the quality of information available
on the issuer satisfactory for the purposes of assigning a credit rating.
However, the credit rating action was based on limited historical
data.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Mack Caldwell
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Toronto
Karandeep Bains
Asst Vice President - Analyst
Structured Finance Group
Moody's Canada Inc.
(416) 214-1635
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
(416) 214-1635
Moody's assigns definitive ratings to Canadian Capital Auto Receivables Asset Trust II, Series 2011-1 Auto Loan Receivables-Backed Notes
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved. CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE. MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.
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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.” Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. It would be reckless and inappropriate for retail investors to use MOODY’S credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser. Additional terms for Japan only: Moody's Japan K.K. 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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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