DBRS Assigns Provisional Ratings to CNH Capital Canada Receivables Trust Series 2010-1 Class A and Class B Notes

DBRS has today assigned a provisional rating of AAA (sf) to the Class A-1 Receivable-Backed Notes, Series 2010-1 and the Class A-2 Receivable-Backed Notes, Series 2010-1 (collectively, the Class A Notes) and “A” (sf) to the Class B Receivable-Backed Notes, Series 2010-1 (the Class B Notes; collectively, with the Class A Notes, the Notes) to be issued by CNH Capital Canada Receivables Trust (the Trust).

On closing, the Trust will acquire title and interest in a pool of receivables originated by CNH Capital Canada Ltd. (CNH Capital). The Notes are pass-through securities and amortize monthly in line with portfolio collections. The provisional ratings incorporate the following considerations:

(1) Historically low and consistent annual credit loss levels as a percentage of average net portfolio outstanding, ranging from a low of 0.44% to a high of 0.67% since 2006. Portfolio performance statistics and initial portfolio characteristics are provided in Appendix 2 of the accompanying provisional rating report.

(2) The high level of initial credit enhancement (which increases as the amortizing Notes are repaid) provided by the subordinated Class B Notes at 2.5% of the Class A Notes to be issued, an initial spread account of 2.6% (building to 3.5%) of the total Note issuance and an initial estimated excess interest rate spread of at least 2.5%.

(3) Strong CNH Global N.V. (CNH Global) brand allegiance and support in the resale market for the related equipment, resulting in improved recovery values, if required.

(4) A well-diversified portfolio with respect to obligor concentrations (largest single-obligor concentration limit of 1.0%); a weighted-average remaining term of 50.2 months, representing approximately seven months of seasoning; and, taking into consideration the asset class, a balanced geographic representation across Canada.

(5) A ready backup servicer available to act as a replacement servicer, with $500,000 in an account funded at closing to offset any costs associated with the transition to the backup servicer.

Stress tests using assumptions, including replacement servicer fees and large increases in delinquency and credit losses, indicate that credit enhancement provides sufficient protection to the Notes to warrant the ratings assigned.

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

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

The applicable methodology is Rating Canadian Equipment Finance Securitization, which can be found on our website under Methodologies.