DBRS Confirms Ratings of Trillium Credit Card Trust II

DBRS Limited (DBRS) confirmed the ratings of all outstanding notes (the Notes) issued by Trillium Credit Card Trust II (the Trust) as follows:

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

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2018-2 (the Class A Notes) at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2018-2 (the Series 2018-2 Class B Notes) at BBB (sf)

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2019-1 (the Class A Notes) at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2019-1 (the Series 2019-1 Class B Notes) at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2019-1 (the Series 2019-1 Class C Notes) at BBB (sf)

-- Credit Card Receivables-Backed Class A Notes, Series 2019-2 (the Class A Notes) at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2019-2 (the Series 2019-1 Class B Notes) at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2019-2 (the Series 2019-1 Class C Notes) at BBB (sf)

The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants and is based on the following factors:

(1) For the Class A Notes, credit enhancement is available through subordination of 8.0%, excess spread ranging between 15.8% and 16.5% net of a 2.0% replacement servicer fee and series-specific cash collateral accounts that could build up to 5.0% of the initial invested amount.

(2) For the Series 2018-1 Class B Notes and the Series 2018-2 Class B Notes, credit enhancement is available through excess spread and series-specific cash collateral accounts. Additional credit enhancement of 3.0% is available through subordination for the Series 2019-1 Class B Notes and the Series 2019-2 Class B Notes.

(3) For the Series 2019-1 Class C Notes and the Series 2019-2 Class C Notes, credit enhancement is available through excess spread and series-specific cash collateral accounts.

(4) Since inception, the three-month average payment rate and monthly gross yield have remained strong and stand at 40.4% and 24.0%, respectively, as of February 2019. The loss rate increased in 2016 due to weaker performance in Alberta and spiked to a high of 6.5% in February 2017 due to a one-time cleanup of a backlog in charging off bankrupt accounts. The loss rate has continued to improve since then, averaging 3.2% over the last 12 months.

(5) The portfolio is composed of certain credit cards originated, managed and designated by the Bank of Nova Scotia (rated AA and R-1 (high) with Stable trends by DBRS as of July 5, 2018).

The performance and characteristics of the Trust pool and the Notes are available and updated each month in the Monthly Canadian ABS Report. DBRS conducts monthly stress testing of each rated class of 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 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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