DBRS Confirms Ratings of Trillium Credit Card Trust II

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

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2016-1 (the Class A Notes) at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2016-1 (the Class B Notes) at BBB (sf)

The rating confirmation is based on the following factors:

(1) For the Class A Notes, credit enhancement is available through subordination of 8.00%, excess spread and series-specific cash collateral accounts that could build up to 5.0% of the initial invested amount.

(2) For the Class B Notes, credit enhancement is available through excess spread and series-specific cash collateral accounts.

(3) Since inception, the payment rates and loss ratio have both been exhibiting a buoyant trend and stand at 42.2% and 4.4%, respectively, as of March 2017. Average gross yield, however, has remained strong over the same period, averaging 24.0%.

(4) The portfolio is composed of certain credit cards originated, managed and designated by the Bank of Nova Scotia (rated AA and R-1 (high) by DBRS).

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 below). DBRS conducts monthly stress testing of each rated class of the Notes and the results indicate that simultaneous declines in yield and payment rates, as well as 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.

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

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 principal methodologies are Rating Canadian Credit Card and Personal Line of Credit Securitizations, Legal Criteria for Canadian Structured Finance and Master Canadian Structured Finance Surveillance Methodology, which are available on our website under Methodologies.