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24 Nov 2010
$363.77 million of asset-backed securities rated.
Toronto, November 24, 2010 -- Moody's Investors Service has assigned definitive ratings to the Class
A-1 and Class A-2 (collectively the "Class A Notes")
and Class B notes issued by CNH Capital Canada Receivables Trust 2010-1
(CCCRT 2010-1), sponsored by CNH Capital Canada Ltd.(CNH),
an affiliate of CNH Global N.V. (Ba3).
The complete rating actions are as follows:
Issuer: CNH Capital Canada Receivables Trust Series 2010-1
$ 168,790,000, 1.831% Class A-1
Notes, rated Aaa (sf)
$ 186,252,000, 2.598% Class A-2
Notes, rated Aaa (sf)
$ 8,730,000, 3.989% Class B Notes,
rated A2 (sf)
The ratings are based primarily on an analysis of the credit quality of
the collateral, the historical performance of similar collateral
originated by the sponsor, the servicing ability of CNH Capital
Canada Ltd., the back-up servicing arrangement and
the servicing ability of Systems & Services Technologies, Inc.,
and the level of credit enhancement provided by the cash spread account
and available excess spread, and in the case of the Class A-1
Notes, subordination of the Class A-2 and Class B Notes,
and in the case of the Class A-2 Notes, subordination of
the Class B Notes.
The Class A notes constitute 97.60% of the initial balance
of the notes and are enhanced by subordinate Class B notes which constitutes
2.40% of the total note issuance. The Spread Account
initially equals 2.60% of the initial balance of the notes
and is expected to build to 3.50% of the initial balance
of the notes. Amounts retained in the Spread Account are subject
to step down on specific future dates if certain delinquency and cumulative
loss based thresholds are not exceeded.
The collateral for the transaction is primarily comprised of loans originated
by CNH and secured primarily by agricultural equipment, which constitute
95.30% of the pool balance, with the remaining 4.70%
being secured by construction equipment. New equipment comprises
42.95% of the pool and the remaining 57.05%
of the pool is secured by used equipment.
Moody's median cumulative net loss expectation and Aaa volatility proxy
level for the 2010-1 transaction are 0.80% and 6.75%
respectively. Expected loss is based on an analysis of the historical
performance of static pools of CNH's quarterly originations,
stratified along certain key credit metrics and adjusted to reflect differences
between the economic conditions underlying the historical performance
and Moody's expectation of future economic conditions. The
key credit metrics considered include agricultural and construction equipment
mix and, within each, the new and used equipment mix.
The stratified historical performance helps ensure comparability between
the securitized and referenced collateral pools, allowing for more
accurate inferences. The expected loss is also informed by the
observed performance of the CNH's managed portfolio and the performance
of past securitizations sponsored by CNH. While supported by a
limited number of data points so far, the performance of deals from
the more recent vintages is especially strong and supports the reasonableness
of the expected loss for this transaction.
The principal methodology used in rating the transaction is "Moody's Approach
to Rating Securities Backed by Equipment Leases and Loans," April
2007, which can be found at www.moodys.com in the
Research & Ratings directory, in the Ratings Methodology sub-directory.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Moody's V-Score: The V Score for this transaction is Low/Medium,
which is in line with the score assigned to the Canadian Agricultural
and Construction Equipment Loan ABS sector. The V Score indicates
"Low/Medium" uncertainty about critical assumptions. Overall,
we view the credit risk for this asset class to be relatively straight-forward
and well understood given the high granularity of the collateral pools
and the revenue-producing nature of the equipment. The Low/Medium
assessment is primarily driven by the non-homogenous nature of
the assets and the varying sensitivity of the obligors to changes in economic
conditions, given that the obligors can vary from small and medium
businesses to large corporations. Agricultural equipment receivables
account for a majority (95%) of the collateral securitized in this
deal, which is a credit positive given that the construction equipment
receivables have performed significantly worse historically.
Moody's Parameter Sensitivities: If the net loss used in determining
the initial rating were changed to 2.00%, 3.25%,
or 4.00%, the initial model-indicated output
for the Class A notes might change from Aaa to Aa1, Aa3, and
A1, respectively. If the net loss used in determining the
initial rating were changed to 1.10%, 1.50%,
or 2.00%, the initial model-indicated output
for the Class B notes might change from A2 to A3, Baa2, and
Ba1, respectively. Parameter Sensitivities are not intended
to measure how the rating of the security might migrate over time,
rather they are designed to provide a quantitative calculation of how
the initial rating might change if key input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged. Parameter Sensitivities only reflect the ratings impact
of each scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could vary from
the information presented in the Parameter Sensitivity analysis.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Additional research, including a pre-sale report, is
available at www.moodys.com. A special report entitled
"V Scores and Parameter Sensitivities in the Global Credit Card ABS Sector"
is also available on moodys.com. In addition, Moody's
publishes a weekly summary of structured finance credit, ratings
and methodologies, available to all registered users of our website,
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
VP - Senior Credit Officer
Structured Finance Group
Moody's Canada Inc.
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Canada Inc.
Moody's assigns definitive ratings to CNH Capital Canada Receivables Trust Series 2010-1 Notes
70 York Street
Toronto, ON M5J 1S9
No Related Data.
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