DBRS Upgrades CARAT Deals and Downgrades HELIOS Transaction

DBRS has today upgraded four tranches from three retail Capital Auto Receivables Asset Trust (CARAT) deals and downgraded three tranches of the HELIOS Finance Limited Partnership 2007-S1 transaction (HELIOS). The HELIOS ratings were removed from Under Review with Negative Implications, where they were placed on July 16, 2008.

The CARAT upgrades reflect the fact that these are prime auto loans with credit enhancement that has increased, resulting in higher loss coverage multiples for each respective tranche. Additionally, the overall delinquency and loss performance has been better than expected.

DBRS also downgraded three tranches of HELIOS, a synthetic auto transaction that was issued in 2007. Thus far, it has been paying the senior retained noteholders any cash that has run through the transaction, and the rated subordinate Class B notes have yet to receive any principal distributions. Credit loss levels have been above DBRS's stressed case assumptions used in modeling the transaction credit enhancement and since placing the Class B-3, B-4 and B-5 Under Review with Negative Implications on July 16, 2008, no improvement in the loss levels has occurred.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is DBRS Rating Criteria for U.S. Auto Loan-Backed Transactions, which can be found on our website under Methodologies.

This is a Structured Finance rating.