DBRS Morningstar Confirms Ratings of Trillium Credit Card Trust II

DBRS Limited (DBRS Morningstar) 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 2018-2 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2018-2 at BBB (sf) (collectively, the Series 2018-2 Notes)

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

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

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2020-1 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2020-1 at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2020-1 at BBB (sf) (collectively, the Series 2020-1 Notes)

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

(1) The Notes benefit from series specific cash collateral accounts that could build up to 5.0% of the initial invested amount. For the AAA (sf)-rated and A (sf)-rated Notes, credit enhancement is also available through subordination of 8.0% and 3.0%, respectively.

(2) In addition, the Notes also benefit from series-specific excess spread. The three-month average excess spread has grown to 17.6% for the Series 2018-2 Notes, 18.0% for the Series 2019-1 Notes, 17.9% for the Series 2019-2 Notes, and 17.1% for the Series 2020-1 Notes.

(3) Since inception, the three-month average payment rate and monthly gross yield have remained strong and stand at 46.3% and 25.7%, respectively. The loss rate has averaged 3.4% 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 Morningstar).

The performance and characteristics of the Trust pool and the Notes are available and updated each month in the Monthly Canadian ABS Report. DBRS Morningstar 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, which can be found on dbrs.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

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 [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar 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 [email protected].

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