DBRS Confirms and Upgrades Ratings on CNH Capital Canada Receivables Trust

As part of DBRS’s continued effort to provide market participants with updates on an annual basis, DBRS has today confirmed the ratings of the following notes issued by CNH Capital Canada Receivables Trust (CCRT):

-- Class A-2 Receivable-Backed Notes, Series 2010-1 (Series 2010-1, Class A-2 Notes) at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2010-1 (Series 2010-1, Class B Notes; collectively, with the Series 2010-1, Class A-2 Notes, the Series 2010-1 Notes) at AA (sf)
-- Class A-2 Receivable-Backed Notes, Series 2011-1 (Series 2011-1, Class A-2 Notes; collectively, with the Class B Receivable-Backed Notes, Series 2011-1, the Series 2011-1 Notes) at AAA (sf)
-- Class A Receivable-Backed Notes, Series 2012-1 (Series 2012-1, Class A Notes) at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2012-1 (Series 2012-1, Class B Notes; collectively, with the Series 2012-1, Class A Notes, the Series 2012-1 Notes) at A (sf)

DBRS has also upgraded the Class B Receivable-Backed Notes, Series 2011-1 (collectively, with the Series 2010-1 Notes, the Series 2011-1, Class A-2 Notes, and with the Series 2012-1 Notes, the Notes) to AA (sf) from A (sf).

The ratings are based on the following factors:

(1) High levels of credit enhancement are available to protect all of the Notes.

(a) Credit protection to the Series 2010-1 Notes is provided by a reserve account (the spread account) that has increased to 9.1% of the outstanding balance as of April 30, 2013. Credit support to the Class A-2 Notes is also provided by preferential access to collections arising from the subordination of the Class B Notes, equal to 11.5% of the current outstanding balance.

(b) Credit protection to the Series 2011-1 Notes is provided by a spread account that has increased to 5.4% of the outstanding balance as of April 30, 2013. In addition, credit support to the Class A-2 Notes is also provided by preferential access to collections arising from the subordination of the Class B Receivable-Backed Notes, equal to 5.6% of the current outstanding balance.

(2) The Notes are also protected by excess spread, which is 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 collateral for all series of notes has been performing well, with the cumulative loss rate for all series performing within DBRS expectations.

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

DBRS monitors the performance of the transaction to identify any deviation from DBRS’s expectation at issuance and to ensure the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. The performance and characteristics of the equipment finance portfolio and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research).

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

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

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.

DBRS’s rating definitions and the terms of use of such ratings are available at www.dbrs.com.