OREANDA-NEWS. March 25, 2016. Fitch Ratings has affirmed the ratings assigned to Canadian Credit Card Trust II (CCCT II) (the Trust). The Rating Outlook remains Stable. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmations are based on continued stable trust performance. The 12-month average gross yield is 23.14% as of the December 2015 reporting period, slightly higher than the 12-month average of 23.13% as of the December 2014 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers pay off their credit card debts, has remained relatively stable over the past year. The 12-month average is 42.84% as of the December 2015 reporting period, slightly higher than the 12-month average of 41.36% the previous year.

Net charge-offs experienced a slight increase over the past year. As of the December 2015 reporting period, the 12-month average is 4.13%, compared to the 12-month average of 3.91% as of the December 2014 reporting period. Twelve-month averages for 60+ day delinquencies also increased slightly to 0.98% from 0.88% over the same period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three-, six-, and 12-month performance averages to evaluate the breakeven loss multiples at different rating levels given the available credit enhancement. The performance variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of the Trust.

The affirmations are based on the performance of the Trust, which was in line with expectations. The Stable Outlook indicates that Fitch expects the ratings will remain stable for the next one-to-two years.

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. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of sensitivity analysis, please see the new issue report related to one of the transactions listed below.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

CCCT II, Series 2015-1
--Class A asset-backed notes at 'AAAsf'; Outlook Stable;
--Class B asset-backed notes at 'Asf'; Outlook Stable;
--Class C asset-backed notes at 'BBBsf'; Outlook Stable.

CCCT II, Series 2015-2
--Class A asset-backed notes at 'AAAsf'; Outlook Stable;
--Class B asset-backed notes at 'Asf'; Outlook Stable;
--Class C asset-backed notes at 'BBBsf'; Outlook Stable.