Fitch Rates Canadian Credit Card Trust II, Series 2015-2
--\\$425,000,000 class A credit card receivables-backed floating rate notes 'AAAsf'; Outlook Stable;
--\\$18,428,180 class B credit card receivables-backed notes 'Asf'; Outlook Stable;
--\\$17,276,420 class C credit card receivables-backed notes 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's ratings are based on the underlying receivables pool, available credit enhancement, National Bank of Canada's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early amortization triggers.
RATING SENSITIVITIES
Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower monthly payment rate (MPR).
The harshest stress scenario of a combined 75% increase to defaults and a 35% reduction of MPR could lead to the most drastic downgrades to all classes. Under a moderate stress of a 50% increase in defaults and 25% reduction in MPR, rating migration could be less impacted. However, increasing defaults by 75% and reducing purchase rate by 100% alone in comparison will have the least impact on rating migration.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.
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