DBRS Confirms Ratings of Canadian Credit Card Trust II

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

-- Credit Card Receivables-Backed Class A Notes, Series 2015-1 (the Class A Notes, Series 2015-1) at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2015-1 (the Class B Notes, Series 2015-1) at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2015-1 (the Class C Notes, Series 2015-1) at BBB (sf)
-- Credit Card Receivables-Backed Class A Notes, Series 2018-1 (the Class A Notes, Series 2018-1) at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2018-1 (the Class B Notes, Series 2018-1) at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2018-1 (the Class C Notes, Series 2018-1) at BBB (sf)

The rating confirmations are based on the following factors:

(1) For the Class A Notes, Series 2015-1 and Class A Notes, Series 2018-1, credit enhancement is available through subordination of 5.75%; series-specific excess spread of 20.1% and 18.1%, respectively; and series-specific cash collateral accounts, which could build up to 5.0% of the initial invested amount.

(2) For the Class B Notes, Series 2015-1 and Class B Notes, Series 2018-1, credit enhancement is available through subordination of 2.75%, excess spread and series-specific cash collateral accounts.

(3) For the Class C Notes, Series 2015-1 and Class C Notes, Series 2018-1, credit enhancement is available through excess spread and series-specific cash collateral accounts.

(4) The three-month average payment rate increased to 47.1% as at February 2019 from 45.7% as at February 2018. The three-month average annual gross yield remained strong at 26.4%, while three-month average net losses have remained stable at 3.6% as at February 2019.

(5) The portfolio is composed of certain credit cards originated, managed and designated by the National Bank of Canada (rated AA (low) and R-1 (middle) with Stable trends by DBRS).

The performance and characteristics of the trust pool and the Notes are available and updated each month in DBRS’s “Monthly Canadian ABS Report.” 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 principal methodology is the Master Canadian Structured Finance Surveillance Methodology (May 2018), which can be found on dbrs.com under Methodologies & Criteria.

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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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

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