Fitch Rates CitiFinancial Canada Issuance Trust Series 2015-1 September 2015

NEW YORK--()--Fitch Ratings has assigned the following rating to CitiFinancial Canada Issuance Trust series 2015-1 September 2015 notes:

--Series 2015-1 September 2015 Notes '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.

RATING SENSITIVITIES

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.

Fitch also takes the following rating action:

CitiFinancial Canada Issuance Trust series 2015-1:
--Series 2015-1 July 2015 Notes 'PIF'.

Additional information is available at www.fitchratings.com.

Applicable Criteria
EMEA Consumer ABS Rating Criteria (pub. 24 Jun 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750766
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=990898
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=990898
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Melvin Zhou
Director
+1-212-908-0503
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Melvin Zhou
Director
+1-212-908-0503
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com