DBRS Finalizes Ratings of AAA (sf) and “A” (sf) on Glacier Credit Card Trust Series 2012-1

DBRS has today finalized the ratings on the Credit Card Asset-Backed Notes, Series 2012-1 issued by Glacier Credit Card Trust (the Trust) as indicated below:

– AAA (sf) for the Credit Card Asset-Backed Senior Notes, Series 2012-1 (the Senior Notes)
– “A” (sf) for the Credit Card Asset-Backed Subordinated Notes, Series 2012-1 (the Subordinated Notes; collectively with the Senior Notes, the Notes)
The Notes have an Expected Final Payment Date of May 20, 2017.
The ratings are based on the following factors:

(1) For the Senior Notes, credit enhancement is available through (i) subordination, providing preferential access to cash flows relative to the Subordinated Notes (5.5% of the initial invested amount); (ii) overcollateralization (the Enhancement Amount), consisting of entitlement to additional receivables (which is dynamic and generally 5.5% of the unadjusted invested amount); and (iii) excess spread.

(2) For the Subordinated Notes, credit enhancement is available through (i) the Enhancement Amount and (ii) excess spread.

(3) Over the past three years, three-month average payment rates remained stable at about 25%. Three-month average loss rates have decreased from a peak of 8.3% in August 2009 to 7% as of March 2012; however, they are still among the highest in Canada. This is mitigated by stabilizing late-stage delinquencies (more than 90 days delinquent). A higher yield during this period also helped mitigate the impact of the increase in loss rates.

(4) The custodial pool is a well-diversified and seasoned portfolio. The number of accounts in the selected pool exceeded 4.5 million as of March 31, 2012.

DBRS’s stress testing indicates that simultaneous declines in yield and payment rates and increases in losses would not result in a failure of the Trust to repay the Notes on a timely basis. The severity of the tests applied is commensurate with the respective ratings of the Notes.

DBRS’s partial commingling policy for revolving asset pools has been incorporated for the Trust. DBRS believes that the partial commingling provisions mitigate potential losses to the Noteholders and also provide clarification to market participants with respect to the collection process if the seller/servicer is financially weakened.

The net proceeds from the sale of the Notes is used by the Trust to finance the purchase of an undivided co-ownership interest (Series 2012-1) in the credit card receivables originated and managed by Canadian Tire Bank. Canadian Tire Bank is an indirect, wholly owned subsidiary of Canadian Tire Corporation, Limited, which is one of the largest retailers in Canada.

As the Trust participates in a co-ownership structure, all series of Notes are supported by the same pool of receivables and generally issued under the same requirements in respect of servicing, accumulation period, amortization events, priority of distributions and eligible investments. The performance and characteristics of the custodial pool and the Notes are available and updated each month in the Monthly Canadian ABS Report and in the Monthly Canadian ABCP Report prepared by DBRS. DBRS conducts a monthly stress testing of each rated class, with the severity of the tests applied commensurate with the respective ratings assigned.

In conjunction with the issuance of the Notes, DBRS has also confirmed the following outstanding notes of the Trust:

– R-1 (high) (sf) for the Asset-Backed Commercial Paper, Series 1997-1
– AAA (sf) for the Asset-Backed Senior Notes, Series 2006-2
– “A” (sf) for the Asset-Backed Subordinated Notes, Series 2006-2
– AAA (sf) for the Credit Card Asset-Backed Senior Notes, Series 2008-1
– “A” (sf) for the Credit Card Asset-Backed Subordinated Notes, Series 2008-1
– AAA (sf) for the Credit Card Asset-Backed Senior Notes, Series 2010-1
– “A” (sf) for the Credit Card Asset-Backed Subordinated Notes, Series 2010-1

The original press release and related rating report published on May 31, 2012, were subsequently revised with clarification on the Enhancement Amount and other sections to be consistent with Series 2013-1 publication.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is DBRS Criteria for Canadian Credit Card Securitization, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.