DBRS Morningstar Confirms Ratings of Glacier Credit Card Trust

DBRS Limited (DBRS Morningstar) confirmed the ratings of the outstanding notes (the Notes) issued by Glacier Credit Card Trust (the Trust). The confirmations are part of DBRS Morningstar’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 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)

-- Credit Card Asset-Backed Senior Notes, Series 2018-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2018-1 at A (sf)

-- Credit Card Asset-Backed Senior Notes, Series 2019-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2019-1 at A (sf)

DBRS Morningstar initially published its outlook on the Coronavirus Disease (COVID-19) pandemic’s impact on key economic indicators for the 2020–22 time frame in April 2020. DBRS Morningstar last updated the macroeconomic scenarios on July 22, 2020, in its “Global Macroeconomic Scenarios: July Update” at https://www.dbrsmorningstar.com/research/364318/global-macroeconomic-scenarios-july-update. For the rated Notes, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis. The rating confirmations are based on the following factors, each of which includes additional analysis and, where appropriate, additional stresses to expected performance as a result of global efforts to contain the spread of the coronavirus pandemic:

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

(2) For the R-1 (high) (sf)-rated Notes, the Enhancement Amount is generally 11.5%. For the A (sf)-rated Notes, the Enhancement Amount is generally 5.5%.

(3) Payment deferrals and partial intertest rate relief were offered to customers affected by the coronavirus pandemic. Average principal payment rates declined slightly in Q2 2020 to 23.9% from 26.0% in the 12 months up to March 2020. Gross yield remained stable, averaging 21.5% in Q2 2020.

(4) The annualized net loss rate stood at 4.7% as of June 2020 and has averaged 5.4% over the last 12 months. The three-month average of 4.8% has stabilized after decreasing gradually since the peak of 8.3% observed in 2009.

(5) The custodial pool of credit card receivables is a well-diversified and seasoned portfolio. Canadian Tire Bank is the Servicer and is currently subject to DBRS Morningstar’s Partial Commingling Conditions, as defined in DBRS Morningstar’s methodology Legal Criteria for Canadian Structured Finance.

The performance and characteristics of the Trust pool and the Notes are available and updated each month in the Monthly Canadian ABS Report available at www.dbrsmorningstar.com. 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 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.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is the Master Canadian Structured Finance Surveillance Methodology (June 28, 2019), which can be found on dbrsmorningstar.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.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:
https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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.dbrsmorningstar.com or contact us at [email protected].

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577