Press Release

Morningstar DBRS Confirms Credit Ratings of Trillium Credit Card Trust II

Consumer Loans & Credit Cards
July 26, 2024

DBRS Limited (Morningstar DBRS) confirmed the credit ratings of the outstanding notes (the Notes) issued by Trillium Credit Card Trust II (the Trust). The confirmation is part of Morningstar DBRS's continued effort to provide timely credit rating opinions and increased transparency to market participants.

-- Credit Card Receivables-Backed Class A Notes, Series 2021-1 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2021-1 at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2021-1 at BBB (sf)

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2023-1 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2023-1 at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2023-1 at BBB (sf)

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2023-2 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2023-2 at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2023-2 at BBB (sf)

-- Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2023-3 at AAA (sf)
-- Credit Card Receivables-Backed Class B Notes, Series 2023-3 at A (sf)
-- Credit Card Receivables-Backed Class C Notes, Series 2023-3 at BBB (sf)

The credit rating confirmations are based on the following factors as of May 2024:

(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)-credit rated and A (sf)-credit rated Notes, credit enhancement is also available through subordination of 8.0% and 3.0%, respectively. The Notes benefit from excess spread. The three-month average has been in the range of 14.8% to 21.2% over the last 12 months.

(2) The three-month average payment rate has declined from a peak of 70.8% reported in December 2022, to 60.7% but remains above pre-pandemic levels. The monthly gross yield stood at 26.7%. The net loss rate has averaged 2.1% over the last 12 months.

(3) The receivables pool is a large, well-diversified portfolio 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 Morningstar DBRS as of April 2024).

The performance and characteristics of the Trust pool and the Notes are available and updated each month in Morningstar DBRS's Monthly Canadian ABS Report. Morningstar DBRS conducts monthly stress testing of each credit 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 credit ratings of the Notes.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024) https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in Canadian Dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Master Canadian Structured Finance Surveillance Methodology (07 June 2023) https://dbrs.morningstar.com/research/415503.

Other methodologies referenced in this transaction are listed at the end of this press release.

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@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

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

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Derivatives Criteria for Canadian Structured Finance (16 June 2023)
https://dbrs.morningstar.com/research/415974
Legal Criteria for Canadian Structured Finance (20 June 2023)
https://dbrs.morningstar.com/research/416101
Operational Risk Assessments for Canadian Structured Finance (05 April 2024)
https://dbrs.morningstar.com/research/430834
Rating Canadian Credit Card and Personal Line of Credit Securitizations (28 June 2024)
https://dbrs.morningstar.com/research/435269

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

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

Ratings

  • Date IssuedDebt RatedRatingTrendActionAttributesi
    26-Jul-24Credit Card Receivables-Backed Class A Notes, Series 2021-1AAA (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2023-1AAA (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2023-2AAA (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Floating Rate Class A Notes, Series 2023-3AAA (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class B Notes, Series 2021-1A (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class B Notes, Series 2023-1A (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class B Notes, Series 2023-2A (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class B Notes, Series 2023-3A (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class C Notes, Series 2021-1BBB (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class C Notes, Series 2023-1BBB (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class C Notes, Series 2023-2BBB (sf)--Confirmed
    CA
    26-Jul-24Credit Card Receivables-Backed Class C Notes, Series 2023-3BBB (sf)--Confirmed
    CA
    More
    Less
Trillium Credit Card Trust II
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • Date Issued:Jul 26, 2024
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:CA
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.