DBRS Confirms Ratings of Glacier Credit Card Trust

DBRS has today confirmed the ratings of all the outstanding notes (the Notes) issued by Glacier Credit Card Trust (the Trust). The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants.

-- R-1 (high) (sf) for Asset-Backed Commercial Paper, Series 1997-1

-- AAA (sf) for Credit Card Asset-Backed Senior Notes, Series 2010-1
-- A (sf) for Credit Card Asset-Backed Subordinated Notes, Series 2010-1

-- AAA (sf) for Credit Card Asset-Backed Senior Notes, Series 2012-1
-- A (sf) for Credit Card Asset-Backed Subordinated Notes, Series 2012-1

-- AAA (sf) for Credit Card Asset-Backed Senior Notes, Series 2012-2
-- A (sf) for Credit Card Asset-Backed Subordinated Notes, Series 2012-2

-- AAA (sf) for Credit Card Asset-Backed Senior Notes, Series 2013-1
-- A (sf) for Credit Card Asset-Backed Subordinated Notes, Series 2013-1

-- AAA (sf) for Credit Card Asset-Backed Senior Notes, Series 2014-1
-- A (sf) for Credit Card Asset-Backed Subordinated Notes, Series 2014-1

The rating confirmation is based on the following factors:

(1) For the AAA (sf)-rated notes, credit protection is provided by subordination (5.5% of the initial invested amount), overcollateralization (the Enhancement Amount), which is dynamic and generally 5.5% of the unadjusted invested amount, and excess spread generated from the receivables.

(2) For R-1 (high) (sf)-rated notes, credit protection is provided by the Enhancement Amount, which is dynamic and generally 11.5% of the unadjusted invested amount, and excess spread generated from the receivables.

(3) For the A (sf)-rated notes, credit protection is provided by the Enhancement Amount, which is dynamic and generally 5.5% of the unadjusted invested amount, and excess spread generated from the receivables.

(4) The three-month average annualized net loss rate has stabilized after decreasing gradually since the peak observed in 2009 and is currently at 5.7% as of August 31, 2014. Gross yield and payment rate have remained relatively stable, averaging 20.7% and 22.7%, respectively, in the last 12 months.

(5) The custodial pool is a well-diversified and seasoned portfolio.

The performance and characteristics of the Trust pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research on the right of the screen). DBRS conducts monthly stress testing of each rated class of the Notes, and the results indicate 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.

For more detailed information on the transaction structure, please refer to the rating reports of the Trust at www.dbrs.com.

Notes:
The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are 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.

The applicable methodologies are Canadian Structured Finance Surveillance Methodology, DBRS Criteria for Canadian Credit Card Securitization and Legal Criteria for Canadian Structured Finance, which are available on our website under Methodologies.