NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following rating to CitiFinancial Canada Issuance Trust series 2015-1 notes:
--Series 2015-1 Notes July 2015 'Asf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's rating is based on the underlying receivables pool, available credit enhancement (CE), CitiFinancial Canada, Inc.'s underwriting and servicing capabilities, and the transaction's legal and cash flow structures.
Unanticipated increases in the frequency of defaults or chargeoffs on the loans in the pool could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base case charge-off assumption by 1.5x and 2.5x and examining the rating implications. The 1.5x and 2.5x increase of the base case account chargeoffs represents moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance.
During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of the notes under higher than the initial base case chargeoff assumptions. Fitch models cash flows with the revised chargeoff estimates while holding constant all other modelling assumptions.
Under the 1.5x base case stress scenario, the minimum breakeven multiple decreases to approximately 1.96x, corresponding to a one category downgrade to 'BBBsf'. Under the 2.5x base case stress scenario, the minimum breakeven multiple decreases to approximately 1.10x, corresponding to a two category downgrade to 'Bsf'.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
The publication of a RW&Es appendix is not required for this transaction.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)
EMEA Consumer ABS Rating Criteria (pub. 24 Jun 2014)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Dodd-Frank Rating Information Disclosure Form