DBRS Upgrades Two Ratings and Confirms Ten Ratings of CNH Capital Canada Receivables Trust

DBRS Limited (DBRS) upgraded the following notes issued by CNH Capital Canada Receivables Trust as part of DBRS’s continued effort to provide market participants with updates on an annual basis:

-- Class B Receivable-Backed Notes, Series 2017-1 (Series 2017-1, Class B Notes) to AA (sf) from A (sf)
-- Class B Receivable-Backed Notes, Series 2017-2 (Series 2017-2, Class B Notes) to AA (sf) from A (sf)

DBRS also confirmed the ratings of the following notes (collectively with the Series 2017-1, Class B Notes and the Series 2017-2, Class B Notes, the Notes):

-- Class A Receivable-Backed Notes, Series 2015-2 at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2015-2 at AA (sf)

-- Class A Receivable-Backed Notes, Series 2016-1 at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2016-1 at AA (sf)

-- Class A-2 Receivable-Backed Notes, Series 2017-1 (collectively with the Series 2017-1, Class B Notes, the Series 2017-1 Notes) at AAA (sf)

-- Class A Receivable-Backed Notes, Series 2017-2 at AAA (sf)

-- Class A-1 Receivable-Backed Notes, Series 2018-1 (Series 2018-1, Class A-1 Notes) at AAA (sf)
-- Class A-2 Receivable-Backed Notes, Series 2018-1 (collectively with the Series 2018-1, Class A-1 Notes, the Series 2018-1 Notes) at AAA (sf)

-- Class A Receivable-Backed Notes, Series 2018-2 at AAA (sf)
-- Class B Receivable-Backed Notes, Series 2018-2 at 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 2017-1 Notes is provided by a spread account that has increased to 5.6% as of December 31, 2018, from 3.5% of the outstanding pool balance as of December 31, 2017. Credit support to the Series 2017-1, Class A Notes is also provided by preferential access to collections arising from the subordination of the Series 2017-1, Class B Notes, equal to 5.9% of the current outstanding balance.

(b) Credit protection to the Series 2018-1 Notes is provided by a spread account of 3.2% of the outstanding balance as of December 31, 2018. Credit support to the Series 2018-1 Notes is also provided by preferential access to collections arising from the subordination of the Series 2018-1, Class B Notes, equal to 3.1% 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 the 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’s expectations.

(5) Strong experience of CNH Industrial Capital Canada Ltd. (a wholly owned subsidiary of CNH Industrial N.V., which was upgraded to BBB (low) with a Stable trend by DBRS on June 8, 2018) in origination and servicing of equipment loans and leases.

DBRS monitors the performance of the transaction to identify any deviation from DBRS’s expectations 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.

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (May 2018), which can be found on dbrs.com under Methodologies & Criteria.

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 under Related Documents or by contacting us at info@dbrs.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada