Morningstar DBRS Confirms Credit Ratings on CNH Capital Canada Receivables Trust

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the following series of notes (the Notes) issued by CNH Capital Canada Receivables Trust as part of Morningstar DBRS' continued effort to provide market participants with annual updates:

-- Class A-2 Asset-Backed Notes, Series 2021-2 at AAA (sf) (the Series 2021-2 Class A-2 Notes)
-- Class A-2 Receivable-Backed Notes, Series 2023-1 at AAA (sf) (the Series 2023-1 Class A-2 Notes)
-- Class A-2 Receivable-Backed Notes, Series 2024-1 at AAA (sf) (the Series 2024-1 Class A-2 Notes, together with the Series 2021-2 Class A-2 Notes and the Series 2023-1 Class A-2 Notes, the Notes)

The credit rating confirmations are based on the following factors as of December 2024:

(1) High levels of credit enhancement that have built up since closing are available to protect all of the Notes. Credit protection to the Series 2021-2 Class A-2 Notes and the Series 2023-1 Class A-2 Notes is provided by a cash spread account and subordination. Credit protection to the Series 2024-1 Class A-2 Notes is provided by a cash spread account and overcollateralization. Subject to the performance of the assets, the cash 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.

(A) The cash spread account for the Series 2021-2 notes grew to 5.2% of the outstanding balance as of December 2024 compared with 4.7% in December 2023. The Series 2021-2 Class A-2 Notes benefit from the subordination of the Series 2021-2 Class B Notes equal to 9.5% of the current outstanding balance.

(B) The cash spread account for the Series 2023-1 notes grew to 5.1% of the outstanding balance as of December 2024 compared with 3.0% in December 2023. The Series 2023-1 Class A-2 Notes benefit from the subordination of the Series 2023-1 Class B Notes equal to 5.8% of the current outstanding balance.

(B) The cash spread account for the Series 2024-1 notes grew to 4.4% of the outstanding balance as of December 2024 since closing. The Series 2024-1 Class A-2 Notes benefit from overcollateralization equal to 4.6% of the current outstanding note balance as of December 2024.

(2) The Notes are also protected by excess spread, which is available to cover monthly credit losses and any arising replacement servicer costs.

(3) The credit performance of the collateral for the Notes remains strong. The cumulative loss rate for all series is performing within Morningstar DBRS' expectations.

(4) CNH Industrial Capital Canada Ltd.'s (a wholly owned subsidiary of CNH Industrial N.V.) strong origination and servicing of equipment loans and leases. This experience includes a successful track record in the issuance and management of private and public securitization programs in Canada.

Morningstar DBRS monitors the performance of the transaction to identify any deviation from Morningstar DBRS' expectations at issuance and to ensure that the credit 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.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit ratings is

Master Canadian Structured Finance Surveillance Methodology (August 06, 2024) https://dbrs.morningstar.com/research/437538.

Other methodologies referenced in this transaction are listed at the end of this press release.

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@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Operational Risk Assessments for Canadian Structured Finance (August 06, 2024)
https://dbrs.morningstar.com/research/437547

Rating Canadian Equipment Finance Securitization Transactions (September 25, 2024)
https://dbrs.morningstar.com/research/439989

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

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