SWIFT V $750 Million Float Rate Asset-Backed Term Notes Expect AAA
10 May 1999
SWIFT V $750 Million Float Rate Asset-Backed Term Notes Expect AAA: Fitch IBCA - Fitch IBCA -
NEW YORK, May 7 -- The $750,000,000 floating-rate
asset-backed term notes, series 1999-A (the notes) issued by Superior
Wholesale Inventory Financing Trust V are expected to be rated `AAA' by Fitch
IBCA. The notes are backed by a pool of loans made by General Motors
Acceptance Corp. (GMAC) to retail automotive dealers franchised by General
Motors (GM) to finance their inventory of new and used automobiles. The
expected rating is based upon the high quality of the receivables pool,
available credit enhancement, GMAC's underwriting and servicing expertise, and
sound legal and cash flow structures. Credit enhancement for the notes totals
9.0% and consists of 8.5% subordination provided by the floating-rate asset-
backed certificates, class 1999-A and the 0.5% reserve fund.
Noteholders will receive interest payments on the 15th of each month,
beginning June 15, 1999, at a rate of one-month LIBOR plus 12.5 basis points.
Following the revolving period and a variable accumulation period of no more
than four months, note principal is expected to be paid in full on the May
2004 distribution date (the targeted final payment date). If the notes are not
paid in full on the targeted final payment date, collections will be applied
to the repayment of principal on the notes on subsequent distribution dates.
The stated final payment date of the notes is the distribution date in May
2006.
Early amortization events are designed to protect investors from a
seller/servicer insolvency or a deterioration in the quality of the
receivables. Breaching certain early amortization triggers will cause the
commencement of the cash accumulation period during which the notes will be
allotted their allocation percentage of principal collections. Such amount
will be deposited in the cash accumulation account and will be used to pay
principal on the targeted final payment date. If any principal on the notes
remains unpaid on or after the targeted final payment date, the principal
payment amount will be accelerated to investors. In limited instances, the
revolving period may recommence if certain conditions are satisfied.
If a rapid amortization event occurs, all monies on deposit in the cash
accumulation account and principal allocable to the notes from receivable
collections will be paid to the notes. On subsequent distribution dates,
principal collections will continue to be passed through to noteholders. Rapid
amortization events include the insolvency of GM, GMAC, the seller or the
servicer, failure to repay the full principal amount of the notes by the
stated final payment date, the trust or the seller being required to register
as an investment company, or the balance in the cash accumulation reserve fund
declining below the specified floor.
The trust assets yield a floating rate based upon the Prime Rate and the
notes pay interest at a floating rate based on one-month LIBOR resulting in
basis risk. To address this mismatch, the trust has entered into a swap
agreement (the term note basis swap) with GMAC whereby the trust pays the
Prime Rate and receives one month LIBOR plus 2.68%. Furthermore, in order to
ensure full interest payments on the notes during the cash accumulation period
a cash accumulation reserve fund has been established. The cash accumulation
reserve fund has been sized to cover the maximum negative carry that may
result due to amounts on deposit in such fund earning interest at a lower rate
than the coupon expense on the notes.
The loss experience for GMAC's U.S. wholesale portfolio has been
excellent. In both 1996 and 1997, recoveries exceeded losses. For 1997, 1998,
and the first three months of 1999, losses amounted to (0.058%), 0.070%, and
0.008%, respectively. For the three months ended March 31, 1999, the weighted
average spread over the Prime Rate was approximately 0.4% for the portfolio.
Used vehicles represent approximately 9% of the principal amount of
receivables in the portfolio. The receivables in the pool are geographically
diverse with 9.7% in Illinois, 9.0% in Texas, 6.3% in Florida, 6.1% in
Michigan, 6.1% in New York, and 5.5% in Georgia. No other state represents
more than 5% of the receivables in the trust.