DBRS Assigns Provisional Ratings of AAA (sf), A (sf), BBB (sf) to Eagle Credit Card Trust, Series 2015-1

DBRS Limited (DBRS) has today assigned provisional ratings to the Credit Card Receivables-Backed Notes, Series 2015-1 to be issued by Eagle Credit Card Trust (the Trust) as follows:

-- AAA (sf) to the Credit Card Receivables-Backed Class A Notes, Series 2015-1 (the Class A Notes)
-- A (sf) to the Credit Card Receivables-Backed Class B Notes, Series 2015-1 (the Class B Notes)
-- BBB (sf) to the Credit Card Receivables-Backed Class C Notes, Series 2015-1 (the Class C Notes; collectively with the Class A Notes and Class B Notes, the Notes).

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

The ratings are based on the following factors:

(1) For the Class A Notes, credit enhancement will be available through subordination of 7.0%, providing preferential access to cash flows relative to the Class B Notes and Class C Notes, excess spread and the Reserve Account, which could build up to 5% of the Invested Amount.

(2) For the Class B Notes, credit enhancement will be available through subordination of 3.5%, providing preferential access to cash flows relative to the Class C Notes, excess spread and the Reserve Account.

(3) For the Class C Notes, credit enhancement will be available through excess spread and the Reserve Account.

(4) Payment rates and gross yield are among the highest in Canada. Payment rates have averaged above 50% over the past three years, while three-month average gross yield reached 23.9% as of July 31, 2015. While the three-month average loss rate increased to a peak of 7.0% in May 2009, it has since declined to 3.6% as of July 31, 2015, and delinquencies have also stabilized.

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

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

DBRS notes that the transaction documents do not require the remittance of collections into a Trust account within two business days when the Performance Guarantor is no longer rated investment grade as expected in DBRS’s “Legal Criteria for Canadian Structured Finance.” Should the Performance Guarantor be downgraded below investment grade, DBRS will assess the impact of partial commingling at that time and take appropriate rating action. If the Performance Guarantor is downgraded below BB, all collections allocable to the Noteholders will be remitted to a Trust account within two business days.

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

The applicable methodologies are Rating Canadian Credit Card and Personal Line of Credit Securitizations (November 2014) and Legal Criteria for Canadian Structured Finance (August 2015), which are available on our website under Methodologies.

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 full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.