DBRS Finalizes Provisional Ratings to CNH Capital Canada Wholesale Trust Series CW2009-1 Class A and Class B Notes

DBRS has today finalized its provisional rating of AAA on the Series CW 2009-1, Class A Notes and “A” on the Series CW 2009-1, Class B Notes (collectively, the Notes) issued by CNH Capital Canada Wholesale Trust (the Trust).

On closing, the Trust acquired an ownership interest in a portfolio of dealer floorplan receivables originated by CNH Capital Canada Ltd. (CNH Capital) and secured by a first-perfected security interest in the underlying equipment. During the revolving period, the Trust will acquire additional secured dealer floorplan receivables that meet certain established criteria at closing. The Notes provide for structured bullet payments via the collection of principal payments captured during an accumulation period. The ratings incorporate the following considerations:

(1) The strong and consistent net loss levels and historically short repayment period of the receivables originated by CNH Capital. Losses have been as low as 0.00% and the monthly repayment time frame on the receivables has averaged 20.85% since 2001.

(2) The high level of credit enhancement supporting the Notes, provided by minimum overcollateralization of 17.00%, cash of 3.50%, initial annual interest support of 2.00% and additional seller’s interest of 7.0% for dilution. In addition, the Class B Notes provide additional support of 7.69% of the initial note issuance.

(3) The funding of the portfolio with floating-rate notes matches the underlying interest cost base for the floating-rate-based receivables, eliminating the need for any interest rate mismatch hedging.

(4) Strong CNH Global N.V. (CNH) brand allegiance and support for the dealer network, evidenced by a strong history in Canada of a dealer network with minimal turnover.

(5) A well-diversified portfolio, with balanced geographic representation across Canada.

Stress tests that used assumptions including servicer fees and large increases in delinquency and credit losses indicate that the credit enhancement provides sufficient protection to the Class A Notes and Class B Notes to warrant the AAA and “A” ratings, respectively.

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

This is a Structured Finance rating.