Fitch Rates Canadian Credit Card Trust II, Series 2015-2

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings to Canadian Credit Card Trust II, Series 2015-2:

--$425,000,000 class A credit card receivables-backed floating rate notes 'AAAsf'; Outlook Stable;

--$18,428,180 class B credit card receivables-backed notes 'Asf'; Outlook Stable;

--$17,276,420 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.

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 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.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms (RW&Es) to those of typical RW&Es for the asset class is available by accessing the appendix that accompanies the presale report. Please refer to 'Canadian Credit Card Trust II, Series 2015-2 -- Appendix ', published on Sept. 25, 2015 at www.fitchratings.com.

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

Related Research

Canadian Credit Card Trust II, Series 2015-2 - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871288

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=991605

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=991605

Endorsement Policy

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

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150930006792/en/

Fitch Ratings
Primary Analyst
Jenny Ovalle, +1-212-908-0849
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman Poon, +1-212-908-0847
Director
or
Committee Chairperson
Steven Stubbs, +1-212-908-0676
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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