DBRS Confirms CNH Capital Receivables Trust Series 2010-1 Class A-2, Upgrades Class B

As part of DBRS’s continued effort to provide market participants with updates on an annual basis, DBRS has today confirmed the Class A-2 Receivable-Backed Notes, Series 2010-1, issued by CNH Capital Canada Receivables Trust (the Trust) at AAA (sf) and has upgraded the rating of the Class B Receivable-Backed Notes, Series 2010-1 (collectively, the Notes) issued by the same Trust, from A (sf) to AA (sf).

These ratings are based on the following factors:

(1) The high level of credit enhancement available to support the Notes, provided by a reserve account that has increased to 7.9% of the outstanding balance as of March 31, 2012. In addition, credit support to the Class A-2 Receivables-Backed Notes is also provided by preferential access to collections arising from the subordination of the Class B Receivable-Backed Notes, equal to 5.4% of the current outstanding balance.

(2) The Notes are also protected by excess spread of 2.3% on an annualized basis, available to cover monthly credit losses and any arising replacement servicer costs.

(3) Subject to performance of the assets, the Spread Account will be permitted to decrease up to four times on a predetermined schedule as the transaction amortizes. The step-downs are subject to delinquency and cumulative loss triggers.

(4) The delinquency and annualized loss ratios have been low since inception, averaging 3 and 6 basis points (bps), respectively. As the majority of the receivables are secured by Agricultural Equipment, the performance of the pool has benefited from the favourable economic conditions prevailing in the Agriculture Sector over the last two years.

(5) Strong CNH Global N.V. (CNH Global) brand allegiance and support in the resale market for the related equipment, when required.

(6) A well-diversified portfolio with respect to obligor concentrations (with a highest single-obligor concentration limit of 1.0%) and a balanced geographic representation across Canada, taking the asset class into consideration.

(7) A ready Backup Servicer (Systems and Services Technologies Inc.) available to act as a replacement servicer, with an account of $500,000 funded at closing to offset the costs associated with the transition to the backup servicer.

For detailed information on the transaction structure, please refer to the rating reports of the Trust at www.dbrs.com.

The performance and characteristics of the pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research below).

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

The applicable methodologies are Rating Canadian Equipment Finance Securitization, Legal Criteria for Canadian Structured Finance and Canadian Structured Finance Surveillance, which are available on our website under Methodologies.