Fitch Affirms Ratings on Chase Issuance Trust

NEW YORK--()--Fitch Ratings has affirmed the ratings assigned to the Chase Issuance Trust (CHAIT) as follows:

--2006-2A at 'AAAsf'; Outlook Stable;

--2007-2A at 'AAAsf'; Outlook Stable;

--2007-3A at 'AAAsf'; Outlook Stable;

--2007-1B at 'Asf', Outlook Positive;

--2007-1C at 'BBBsf', Outlook Positive;

--2007-5A at 'AAAsf'; Outlook Stable;

--2007-12A at 'AAAsf'; Outlook Stable;

--2012-A2 at 'AAAsf'; Outlook Stable;

--2012-A4 at 'AAAsf'; Outlook Stable;

--2012-A5 at 'AAAsf'; Outlook Stable;

--2012-A6 at 'AAAsf'; Outlook Stable;

--2012-A7 at 'AAAsf'; Outlook Stable;

--2012-A8 at 'AAAsf'; Outlook Stable;

--2012-A9 at 'AAAsf'; Outlook Stable;

--2012-A10 at 'AAAsf'; Outlook Stable;

--2013-A1 at 'AAAsf'; Outlook Stable;

--2013-A3 at 'AAAsf'; Outlook Stable;

--2013-A6 at 'AAAsf'; Outlook Stable;

--2013-A7 at 'AAAsf'; Outlook Stable;

--2013-A8 at 'AAAsf'; Outlook Stable;

--2013-A9 at 'AAAsf'; Outlook Stable;

--2014-A1 at 'AAAsf'; Outlook Stable;

--2014-A2 at 'AAAsf'; Outlook Stable;

--2014-A3 at 'AAAsf'; Outlook Stable;

--2014-A4 at 'AAAsf'; Outlook Stable;

--2014-5A at 'AAAsf'; Outlook Stable;

--2014-6A at 'AAAsf'; Outlook Stable;

--2014-7A at 'AAAsf'; Outlook Stable;

--2014-8A at 'AAAsf'; Outlook Stable;

--2015-1A at 'AAAsf'; Outlook Stable;

--2015-2A at 'AAAsf'; Outlook Stable;

--2015-3A at 'AAAsf'; Outlook Stable;

--2015-4A at 'AAAsf'; Outlook Stable;

--2015-5A at 'AAAsf'; Outlook Stable;

--2015-6A at 'AAAsf'; Outlook Stable;

--2015-7A at 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

60+ Day delinquencies have steadily declined each month since the peak of 3.81% during the January 2010 distribution period. Currently 60+ day delinquencies are at 0.79% for the July 2015 distribution period.

One-month excess spread is at a near historic level for the July 2015 reporting period, at 13.54%.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debt, has improved over the past year and is trending with the Fitch index. Currently, the Fitch Index Monthly Payment Rate is at 29.91% for the July 2015 distribution period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three- and 12-month averages performances to test that under the stressed conditions, the transaction can withstand a level of losses commensurate with the risk associated with a rating level with the available credit enhancement. The variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance Trust updates published on a monthly basis.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.

RATING SENSITIVITIES

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 MPR.

Increasing defaults alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in purchase rate is slightly more pronounced with a moderate stress of a 75% reduction, leading to a possible downgrade on the class A notes. The harshest scenario assumes both stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of sensitivity analysis, please see the new issue report related to one of the transactions listed above.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to these rating actions.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482

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=989048

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=989048

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall St
New York, NY 10004
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall St
New York, NY 10004
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com