DBRS Confirms and Upgrades Ratings on CNH Capital Canada Receivables Trust

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

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

-- Class A Receivable-Backed Notes, Series 2013-1 (Series 2013-1, Class A Notes) at AAA (sf)

-- Class A-2 Receivable-Backed Notes, Series 2013-2 (Series 2013-2, Class A Notes) at AAA (sf)

-- Class A-1 Receivable-Backed Notes, Series 2014-1 (Series 2014-1, Class A-1 Notes) at AAA (sf)
-- Class A-2 Receivable-Backed Notes, Series 2014-1 (Series 2014-1, Class A-2 Notes, collectively with the Series 2014-1, Class A-1 Notes, the Class A Notes) at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2014-1 (Series 2014-1, Class B Notes, collectively, with the Series 2014-1, Class A Notes, the Series 2014-1 Notes) at A (sf)

-- Class A-1 Receivable-Backed Notes, Series 2015-1 (Series 2015-1, Class A-1 Notes) at AAA (sf)
-- Class A-2 Receivable-Backed Notes, Series 2015-1 (Series 2015-1, Class A-2 Notes, collectively with the Series 2015-1, Class A-1 Notes, the Class A Notes) at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2015-1 (Series 2015-1, Class B Notes, collectively, with the Series 2015-1, Class A Notes, the Series 2015-1 Notes) at A (sf)

DBRS has also upgraded the following notes:
-- Class B Receivable-Backed Notes, Series 2013-1 (Series 2013-1, Class B Notes; collectively, with the Series 2013-1 Class A Notes, the Series 2013-1 Notes) to AA (sf) from A (sf)

-- Class B Receivable-Backed Notes, Series 2013-2 (Series 2013-2, Class B Notes; collectively, with the Series 2013-2, Class A Notes, the Series 2013-2 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 2011-1 Notes is provided by a spread account that has increased to 10.8% of the outstanding balance as of March 31, 2015. In addition, credit support to the Series 2011-1, Class A Notes is also provided by preferential access to collections arising from the subordination of the Series 2011-1, Class B Notes, which have increased to 21.7% of the current outstanding balance.

(b) Credit protection to the Series 2013-2 Notes is provided by a spread that has increased to 4.2% of the outstanding balance as of March 31, 2015. Credit support to the Series 2013-2, Class A Notes is also provided by preferential access to collections arising from the subordination of the Series 2013-2, Class B Notes, equal to 4.1% of the current outstanding balance.

(c) Credit protection to the Series 2014-1 Notes is provided by a spread that has increased to 3.4% of the outstanding balance as of March 31, 2015. Credit support to the Series 2014-1, Class A Notes is also provided by preferential access to collections arising from the subordination of the Series 2014-1, Class B Notes, equal to 3.3% of the current outstanding balance.

(d) Credit protection to the Series 2015-1 Notes is provided by a spread that has increased to 2.3% of the outstanding balance as of March 31, 2015. Credit support to the Series 2015-1, Class A Notes is also provided by preferential access to collections arising from the subordination of the Series 2015-1, Class B Notes, equal to 2.2% 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 is permitted to decrease up to four times on a predetermined schedule as the transaction amortizes. The step-downs are subject to both delinquency and cumulative loss tests.

(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 experience of CNH Capital (a wholly owned subsidiary of CNH Industrial N.V.) in origination and servicing of equipment loans and leases.

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 below).

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 Canadian Structured Finance Surveillance Methodology, Rating Canadian Equipment Finance Securitization Transactions and Legal Criteria for Canadian Structured Finance, 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.