DBRS Assigns Provisional Ratings to Canadian SWIFT Master Auto Receivables Trust Floating Rate Floorplan Receivables-Backed Notes, Series 2010-1

DBRS has today assigned a provisional rating of AAA to the Floating Rate Floorplan Receivables-Backed Notes, Series 2010-1 (the Notes) to be issued by Canadian SWIFT Master Auto Receivables Trust (the Trust).

On closing, the Trust will acquire a co-ownership interest in a portfolio of floorplan receivables originated by General Motors Acceptance Corporation of Canada, Limited (GMAC Canada). The floorplan receivables are backed by a security interest in an underlying pool of new and used vehicles. The Notes offered will pay interest on a monthly basis based on the Canadian Deposit Overnight Rate (CDOR) plus a fixed spread of 1.50%. The expected repayment date for the Notes is March 18, 2013. Interest and principal is expected to be paid from collections on the receivables. The provisional rating incorporates the following considerations:

(1) The historic low net loss levels exhibited by the portfolio.

(2) The consistent level of monthly payment rates.

(3) The high level of credit enhancement available to support the obligations: 50.7% of overcollateralization; a cash reserve initially equal to 1.0% of the Notes; excess interest rate spread of approximately 1.10% after deducting anticipated cost of funds including a 1.0% reserve for replacement servicer fees; and an accumulation period reserve account of 0.50% to protect the structure from negative carry on the portfolio arising from the buildup of cash during the accumulation period.

(4) Structural features to protect the noteholders, including the following:

• A Performance Guarantee from the seller’s parent, GMAC Inc. (GMAC).
• Payment rate triggers that step up the required cash reserve in the event that the performance of the portfolio begins to deteriorate from current levels.
• Daily remittance of cash collections.
• Daily interest collections held in the Collections Account by the custodian to ensure monthly interest payments are met prior to releasing excess collections to the seller.
• Rating-based trigger requiring installation of a backup servicer within 120 days of GMAC’s DBRS rating falling to B (low).
• A replacement servicer reserve of $250,000 funded at closing.

(5) The overcollateralization amount of 50.7% is also expected to absorb negative impacts on the portfolio arising from dilutions.

(6) All accounts and their associated receivables that are transferred to the Trust after the close of the transaction must meet the same eligibility criteria as the accounts and receivables that were sold to the Trust as part of the initial transfer. Eligibility criteria include the following: (a) all receivables are supported by a perfected first-priority security interest in the underlying vehicle that is being financed; (b) all receivables are created in compliance with the underlying GMAC Canada floorplan financing requirements and cannot be rated in the Programmed or No Credit rating categories established by GMAC Canada; and (c) none of the receivables is charged off as uncollectible.

Stress tests that applied assumptions including a rapid and significant decline in dealer payment rates and in the recovery value of the underlying vehicles combined with a rapid and large increase in dealer defaults indicate that the credit enhancement provides sufficient protection to the notes to warrant the provisional AAA rating.

Finalization of ratings is contingent upon receipt of final documents conforming to information already received by DBRS.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is Canadian Wholesale Floorplan Methodology, which can be found on our website under Methodologies.

This is a Structured Finance rating.