Nov 12 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following ratings to the CNH Equipment Trust 2013-D notes:
--$175,000,000 class A-1 ‘F1+sf’;
--$244,000,000 class A-2 ‘AAAsf’; Outlook Stable;
--$270,000,000 class A-3 ‘AAAsf’; Outlook Stable;
--$117,100,000 class A-4 ‘AAAsf’; Outlook Stable;
--$18,600,000 class B ‘Asf’; Outlook Stable
Fitch’s stress and rating sensitivity analysis are discussed in the presale report titled ‘CNH Equipment Trust 2013-d’, dated Nov. 12, 2013, which is available on Fitch’s web site. The presale report details how Fitch addresses the key rating drivers summarized below.
High AG Concentration: The 2013-D collateral pool consists of 93.36% AG and 6.64% CO. While the 2013-D AG concentration is consistent with CNH Capital securitizations going back to 2009, the AG concentrations in all these transactions are significantly higher relative to CNH Capital transactions issued prior to 2009, which consisted of approximately 18% - 32% CO.
Consistent Collateral Concentrations: The pool contains 49.94% used equipment and is, thus, comparable to the prior transactions, which typically had concentrations ranging from 46% - 50%. Furthermore, the pool consists of 74.43% annual-pay contracts, which historically have experienced a lower level of losses versus other payment types.
Sufficient Credit Enhancement: Hard credit enhancement (CE) for the 2013-D transaction is unchanged from the prior five transactions. Class A hard CE remains at 4.50%. Expected excess spread of 1.70% (per annum ) is down from 2013-C’s 1.96%.
Quality Origination, Underwriting and Servicing Platform: CNH Capital has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized trusts and the managed portfolio.
Integrity of Legal Structure: The legal structure of the transaction should provide that a bankruptcy of the trust would not impair the timeliness of payments on the securities.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings to increased losses over the life of the transaction.
Fitch’s analysis found that the notes display limited sensitivity to increased defaults and losses, showing limited impact on the rating of the notes under Fitch’s moderate (1.5x base case loss) scenario. The notes could experience downgrades of at least two rating category under Fitch’s severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further described in the presale report dated Nov. 12, 2013. Fitch’s analysis of the Representations and Warranties (R&W) of this transaction can be found in ‘CNH Equipment Trust 2013-D - Appendix’. These R&Ws are compared to those of typical R&W for the asset class as detailed in the special report ‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ dated April 17, 2012.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, available at ‘www.fitchratings.com’ or by clicking on the below link.
Link to Fitch Ratings’ Report: CNH Equipment Trust 2013-D (US ABS)