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Rating Action:

Moody's assigns provisional ratings to CNH Capital Canada Receivables Trust 2010-1

12 Nov 2010

$363.77 million of asset-backed securities rated.

Toronto, November 12, 2010 -- Moody's Investors Service has assigned provisional ratings to the notes to be 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).

RATINGS RATIONALE

The complete rating actions are as follows:

Issuer: CNH Capital Canada Receivables Trust 2010-1

$ 168,790,000 Class A-1 Notes, rated (P)Aaa (sf)

$ 186,252,000 Class A-2 Notes, rated (P)Aaa (sf)

$ 8,730,000 Class B Notes, rated (P)A2 (sf)

The collateral for the transaction is primarily comprised of high-quality 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. 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 available under the proposed capital structure.

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.

PRINCIPAL METHODOLOGY

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.

V-SCORE AND PARAMETER SENSITIVITY

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.

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not 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

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. Equipment Lease and Loan 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.

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.

Toronto
Michael Buzanis
Vice President - Senior Analyst
Structured Finance Group
Moody's Canada Inc.
(416) 214-1635

New York
Michael McDermitt
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada

Moody's assigns provisional ratings to CNH Capital Canada Receivables Trust 2010-1
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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