Ally Credit Canada issued its first public retail loan issuance in 2011, a $745 million auto ABS transaction.
Canadian Capital Auto Receivables Asset Trust II Series 2011-1 (CCARAT II) will offer three fixed rate 'Aaasf' Moody's Investor Service-rated tranches. The structure also includes a fixed-rate 'Aaasf' tranche, an 'Aa3sf' fixed-rate portion and an 'A2sf' fixed-rate tranche.
According to Moody's, 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 triple-A rated notes are further enhanced by the subordinate notes that comprise 2.00% and 0.75%, respectively, of the net discounted pool balance of receivables.
Moody's noted that the most significant difference between the CCARAT II 2011-1 and the previous deals under the CCARAT II series is the higher percentage of contracts with original terms of more than 60 months (37% compared with 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," Moody's said in a presale report on the offering. "Nonetheless, a weighted average FICO score of 767 for the securitized pool is indicative of a prime quality obligor base. In addition, 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."
