DBRS Confirms NIF-T Class A-2 Senior MTNs, Series 2010-1 at AAA (sf)

DBRS has today confirmed the AAA (sf) rating of the Class A-2 Senior Medium-Term Notes, Series 2010-1 (the Notes) issued by NIF-T (the Trust).

This rating confirmation is based on an analysis of the performance of the portfolio to date. The Trust has performed well since inception and credit enhancement, consisting of subordination, overcollateralization and a non-amortizing cash account has increased from 20.3% initially to 24.4% as of April 2011, in addition to excess spread. The cumulative credit losses and cumulative residual value losses are below the expected values.

The Class A-2 Notes pay fixed rates of interest with monthly repayment of interest and principal based on cash flows from the Portfolio of Leases. Principal on the Offered Notes will be repaid sequentially, with the Class A-1 Notes being paid prior to repayment of any principal on the Class A-2 Notes. To the extent that funds are not sufficient to repay interest and principal, amounts in the Support Account will be applied to repay the Notes. Based on sequential repayment of the Senior Notes, the Class A-2 Notes are subordinated to the Class A-1 Notes. The Class A-1 Notes pay a floating rate of interest and as such require an interest rate swap to mitigate the interest rate mismatch between the floating rate notes and fixed rate Portfolio of Leases. The interest rate swap has been structured to meet DBRS’s Swap Criteria for Canadian Structured Finance Transactions as published at www.dbrs.com. Priority of Swap payments are outlined in the priority of distributions section of the rating report.

The structure of cash collections includes a mechanism to limit the commingling risk of the Servicer that, broadly, requires a monthly deposit of estimated collections in advance. Each month, the Servicer is required to deposit all amounts invoiced in the following month (net of taxes) to obligors of the Portfolio (Obligors), plus an approximation of prepayments for that month into a Collections Account. Defaults and variances between prepayment approximations and prepayments received will be settled on the following month’s Settlement Date. If an Event of Termination occurs, the Partnership must remit collections received to the Collections Account on a daily basis. In addition, a Termination Event results in an immediate release of cash in the Support Account to be applied to repayment of principal, first to the Class A-1 Notes, next to the Class A-2 Notes and finally to the Subordinated Notes, if any remains.

DBRS is committed to reviewing the ratings of publicly rated asset-backed securities (ABS) transactions on an annual basis as part of the continuing effort to provide market participants with timely and transparent updates. The ratings of other publicly rated ABS notes will be reviewed throughout the year.

Note:
The applicable methodology is Rating Canadian Auto Lease Transactions, which is available on our website under Methodologies.