DBRS Assigns Provisional Ratings of AAA (sf) and A (sf) to Glacier Credit Card Trust Series 2012-2

DBRS has today assigned provisional ratings to the Credit Card Asset-Backed Notes, Series 2012-2 to be issued by Glacier Credit Card Trust (the Trust) as indicated below:

– AAA (sf) to the Credit Card Asset-Backed Senior Notes, Series 2012-2 (the Senior Notes)
– A (sf) to the Credit Card Asset-Backed Subordinated Notes, Series 2012-2 (the Subordinated Notes; collectively with the Senior Notes, the Notes)

Finalization of the ratings is contingent upon receipt of final documents conforming to information already received by DBRS.

The ratings are based on the following factors:

(1) For the Senior Notes, credit enhancement will be 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 will be 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 6.5% as of August 2012; however, they are still among the highest in Canada. This is mitigated by improving late-stage delinquencies (more than 90 days delinquent) and appropriately sized credit enhancement levels. 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 August 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 will be used by the Trust to finance the purchase of an undivided co-ownership interest (Series 2012-2) 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.

The original press release and related presale report published on October 17, 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.