$220 million of asset-backed securities affected
New York, February 01, 2011 -- Moody's Investors Service has assigned definitive ratings to the
notes to be issued by CNH Wholesale Master Note Trust Series 2011-1
(CNHMT 2011-1).
The complete rating action is as follows:
$220,000,000, Class A Notes, Assigned Aaa
(sf)
$20,000,000, Class B Notes, Assigned A2
(sf)
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the underlying dealer
floorplan receivables, the strength of the structure, the
experience of CNH Capital as servicer, and the experience of Systems
& Services Technologies, Inc. as back-up servicer.
The quality of the floorplan receivables was considered based upon a number
of characteristics. A primary consideration is the strength of
the manufacturer and the equipment that the dealerships and the receivables
have exposure. Moody's also considered the size of the CNH's
dealership base, the dealer risk rating distribution based on CNH
Capital's proprietary risk rating model, the age distribution
of the receivables, equipment and dealer concentrations, and
the overall trust monthly payment rate.
The principal methodology used in rating CNHMT 2011-1 was Moody's
Approach to Rating U.S. Floorplan ABS Securities,
rating methodology published in January 2010. Other methodologies
and factors that may have been considered in the process of rating this
issuer can also be found on Moody's website.
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.
Consistent with our methodology, the analysis of CNHMT 2011-1
included Simulation Analysis and Static Scenario Analysis. Our
simulation analysis incorporated a stressed average dealer default rate
up to 40%. Our primary assumptions for recovery rates of
repossessed agricultural equipment from defaulted dealers was 80%
for new equipment and 70% for used equipment. Our primary
assumptions for recovery rates of repossessed construction equipment from
defaulted dealers was 60% for new equipment and 50% for
used equipment. Moody's Volatility Proxy Aaa Level for CNHMT 2011-1
is 22.5%.
Moody's also evaluates qualitative factors such as the quality of
provided information, servicer experience, dealership profile,
etc. Combining the qualitative and quantitative analysis,
a final rating level is determined. Other methodologies and factors
that may have been considered in the process of rating this issue can
also be found in the Credit Policy & Methodologies directory.
Loss sensitivities for the CNHMT 2011-1 transaction are affected
by changes in assumptions about key model inputs (parameters).
These inputs include assumptions regarding manufacturer and dealer default
probabilities and recovery rates on liquidated inventory. A weakening
profile for the manufacturers and the dealers could put downward pressure
on our assumptions about their ratings. Recovery assumptions could
also come under pressure. Changes to these assumptions could affect
the level of enhancement required to maintain the ratings originally assigned
to the bonds. Additionally, a weakening loss trend could
impact the ratings for this transaction. If Moody's believes
that a weakening loss trend is worsening and will be sustained throughout
the life of the transaction, the required amount of enhancement
needed to support the assigned ratings may change.
Moody's Parameter Sensitivities: Consistent with our methodology,
the analysis of CNHMT 2011-1 included Simulation Analysis and Static
Scenario Analysis. Our simulation analysis incorporated a stressed
average dealer default rate up to 40%. Our primary assumptions
for recovery rates of repossessed agricultural equipment from defaulted
dealers was 80% for new equipment and 70% for used equipment.
Our primary assumptions for recovery rates of repossessed construction
equipment from defaulted dealers was 60% for new equipment and
50% for used equipment. Our analysis reveals Class A sensitivity
down to the Baa level when dealer defaults are increased to 60%
and recovery rates are stressed an additional 10%. The Class
B rating shows sensitivity down to the B rating level with dealer defaults
up to 35% and recovery rates stressed an additional 10%.
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.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Vehicle ABS Sector" are 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, at www.moodys.com/SFQuickCheck.
REGULATORY DISCLOSURES
Information sources used to prepare the credit ratings 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. However, the credit rating action was based
on limited historical data. The historical data does not include
key variables such as payment rates, recoveries and dealer defaults
during a stressed, disorganized manufacturer bankruptcy scenario.
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.
New York
Mack Caldwell
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Keith Van Doren
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns definitive ratings to CNH Wholesale Master Note Trust, Series 2011-1
