NEW YORK--(BUSINESS WIRE)--Fitch Ratings assigns the following ratings to all outstanding series of Canadian Credit Card Trust:
Canadian Credit Card Trust, Series 2010-1
--$550,000,000 class A credit card receivables-backed notes 'AAAsf'; Outlook Stable;
--$20,534,000 class B credit card receivables-backed notes 'Asf'; Outlook Stable;
--$16,134,000 class C credit card receivables-backed notes 'BBBsf'; Outlook Stable.
Canadian Credit Card Trust, Series 2012-1
--$330,000,000 class A credit card receivables-backed notes 'AAAsf'; Outlook Stable;
--$12,320,000 class B credit card receivables-backed notes 'Asf'; Outlook Stable;
--$9,680,000 class C credit card receivables-backed notes 'BBBsf'; Outlook Stable.
Canadian Credit Card Trust, Series 2013-1
--$400,000,000 class A credit card receivables-backed notes 'AAAsf'; Outlook Stable;
--$14,933,334 class B credit card receivables-backed notes 'Asf'; Outlook Stable;
--$11,733,334 class C credit card receivables-backed notes 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS:
Fitch's ratings are based on the underlying receivables pool, available credit enhancement, National Bank of Canada's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early amortization triggers.
Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower monthly payment rate (MPR).
The harshest stress scenario of a combined 75% increase to defaults and a 35% reduction of MPR could lead to the most drastic downgrades to all classes. Under a moderate stress of a 50% increase in defaults and 25% reduction in MPR, rating migration could be less impacted. However, increasing defaults by 75% and reducing purchase rate by 100% alone in comparison will have the least impact on rating migration.
For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction, please see the related appendices.
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Applicable Criteria and Related Research:
--'Global Credit Card ABS Rating Criteria' (May 2014);
--'Global Structured Finance Rating Criteria' (August 2014);
--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' (October 2014).
Applicable Criteria and Related Research: Canadian Credit Card Trust, Series 2010-1, 2012-1 and 2013-1 -- Appendix
Global Credit Card ABS Rating Criteria
Global Structured Finance Rating Criteria
Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions