DBRS Confirms Ratings of Glacier Credit Card Trust

DBRS Limited (DBRS) confirmed the ratings of the outstanding notes (the Notes) issued by Glacier Credit Card Trust (the Trust). The confirmations are part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants. The Notes were confirmed as follows:

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

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

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

-- Credit Card Asset-Backed Senior Notes, Series 2015-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2015-1 at A (sf)

-- Credit Card Asset-Backed Senior Notes, Series 2017-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2017-1 at A (sf)

Note: The Credit Card Asset-Backed Senior Notes, Series 2018-1 (rated AAA (sf)) and Credit Card Asset-Backed Subordinated Notes, Series 2018-1 (rated A (sf)) were recently issued on September 13, 2018, and thus are excluded from this rating action.

The rating confirmations are based on the following factors:

(1) For the Notes rated AAA (sf), credit protection is provided by subordination; overcollateralization (the Enhancement Amount), which is dynamic; and excess spread generated from the receivables. The combined credit protection provided by subordination and the Enhancement Amount represents generally 12.0% to 12.5%.

(2) For the Notes rated R-1 (high) (sf), credit protection is provided by the Enhancement Amount, which is dynamic and generally the maximum of 11.5% of the unadjusted invested amount and $33,512,564, which represents 11.5% of the unadjusted invested amount as of July 2018, with excess spread generated from the receivables.

(3) For the Notes rated A (high) (sf), credit protection is provided by the Enhancement Amount, which is dynamic and generally 7.0% of the unadjusted invested amount and excess spread generated from the receivables.

(4) For the Notes rated A (sf), 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.

(5) The three-month average annualized net loss rate has stabilized after decreasing gradually since the peak of 8.3% observed in 2009, and is currently at 5.2% as of July 31, 2018.

(6) The three-month average gross yield has been relatively stable, while the payment rate has been on the rise, averaging 21.0% and 27.7%, respectively, compared with 21.0% and 27.0%, respectively, in July 2017.

(7) Canadian Tire Bank is the Servicer and is currently subject to DBRS’s Partial Commingling Conditions, as defined in DBRS’s “Legal Criteria for Canadian Structured Finance” methodology.

(8) The custodial pool of credit card receivables 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 Documents for more information). 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.

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

The principal methodologies are Master Canadian Structure Finance Surveillance Methodology, Derivatives Criteria for Canadian Structured Finance, Rating Canadian Credit Card and Personal Line of Credit Securitizations and Legal Criteria for Canadian Structure Finance, which can be found on dbrs.com 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 under Related Documents or by contacting us at info@dbrs.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.