Fitch Expects to Rate CNH Equipment Trust 2015-A; Presale Issued
--\$158,000,000 class A-1 'F1+sf';
--\$268,000,000 class A-2 'AAAsf'; Outlook Stable;
--\$244,000,000 class A-3 'AAAsf'; Outlook Stable;
--\$112,000,000 class A-4 'AAAsf'; Outlook Stable;
--\$18,000,000 class B 'A+sf'; Outlook Stable
Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'CNH Equipment Trust 2015-A', dated Feb. 19, 2015, which is available on Fitch's web site. The presale report details how Fitch addresses the key rating drivers summarized below.
Key Rating Drivers
High AG Concentration: The 2015-A collateral pool consists of 91% agricultural (AG) and 9% construction (CO) equipment. While the concentration is consistent with CNH Industrial Capital securitizations going back to 2009, the AG concentrations in all these transactions are significantly higher relative to CNH Industrial Capital transactions issued prior to 2009.
Consistent Collateral Concentrations: The pool contains 51% used equipment, higher than 2014-C (46%), but remains inside historical ranges.
Sufficient Credit Enhancement: Credit enhancement (CE) for the 2015-A transaction is consistent with the prior nine transactions. Class A CE remains at 4.50% and class B remains at 2.25%. These levels are sufficient for the ratings under a 1.15% CNL proxy.
Quality Origination, Underwriting, and Servicing: CNH Industrial 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 up to two rating categories under Fitch's severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further described in the presale report dated Jan. 30, 2015. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'CNH Equipment Trust 2015-A - 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 above link.