Agricultural and construction equipment will secure about $817 million in asset-backed notes. The collateral pool is consistent with previous transactions, in terms of both the range of the amount of assets up for securitization amount, and its high ratings expectations.
CNH Industrial, parent company to CNH Industrial Capital America, appears to be the deal sponsor, while the latter is listed as the loan seller and originator, according to a pre-sale report from Fitch Ratings. CNH Industrial's managed pool and the term ABS transactions associated with them continue to have cumulative net loss levels below peak historic levels, Fitch said. Further, performance in the managed pool also showed improvement, generally. Defaults and recovery rates for both agricultural and construction assets weakened from 2015 through 2017, the rating agency said.
Fitch has a base-case proxy of 1.2%, accounting for stress in the agricultural sector, which includes higher default levels from the 2006-2009 and 2015-2017 vintages.
The current deal also resembles previous transactions dating back to the CNH Equipment Trust 2015-C in the sense that agricultural equipment comprises the vast majority of the collateral pool, at 84.2%, while construction equipment accounts for just 15.7%, according to Fitch.
Citigroup Global Markets is the underwriter on the deal, according to Fitch.
Collectively the collateral underpinning CNH Equipment Trust, 2023-A, has an in initial statistical contract value of $900.5 million on some 11,405 contracts, Fitch said. On average, the contracts have a balance of $78,965 with an annual percentage rate of 4.91%, with a weighted average (WA) remaining term of 54.9 months, Fitch said.
The pool's geographic diversity seems to enhance the deal's credit strength, as the top five states by percentage of the pool balance account for 31.54% of the pool, according to the rating agency. Illinois leads off the top states, with 8.75% of the pool, followed by Texas (6.54%), Iowa (5.92%), Minnesota (5.29%) and Indiana (5.04%).
Fitch intends to assign ratings of 'F1' to the $190 million, A-1 class; and 'AAA' to the $305 million, A-2 class; the $275 million A-3 class; and $47 million, A-4 class. The notes have maturities ranging from May 15, 2024 through Oct. 15, 2030.
