DBRS Morningstar Confirms Ratings of Canadian Credit Card Trust II

DBRS Limited (DBRS Morningstar) confirmed the ratings of the outstanding notes (the Notes) issued by Canadian Credit Card Trust II as follows as part of DBRS Morningstar’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 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2015-1 at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2015-1 at BBB (sf) (collectively, the Series 2015-1 Notes)

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

The rating confirmations are based on the following factors as of January 2020:

(1) The Notes benefit from series-specific cash collateral accounts, which could build up to 5.0% of the initial invested amount. For AAA (sf)-rated and A (sf)-rated notes, credit enhancement is also available through subordination of 5.75% and 2.75%, respectively. The Series 2015-1 and Series 2018-1 Notes benefit from excess spread of 20.9% and 19.2%, respectively.

(2) The three-month average payment rate has continued to grow since issuance and was reported at 52.9% compared with 49.6% as at January 2019. The three-month average annual gross yield remained strong at 26.4%, while three-month average net losses have remained stable at 3.8%.

(3) 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 Positive trends by DBRS Morningstar).

The performance and characteristics of the trust pool and the Notes are available and updated each month in DBRS Morningstar’s “Monthly Canadian ABS Report.” DBRS Morningstar 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, 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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