OREANDA-NEWS. Fitch Ratings has affirmed Swiss Credit Card Issuance's notes, as follows:

Swiss Credit Card Issuance No. 1 Ltd
EUR351.1m Class A notes: affirmed at 'AAAsf'; Stable Outlook
EUR11.5m Class B notes: affirmed at 'Asf'; Stable Outlook
EUR7.4m Class C notes: affirmed at 'BBBsf'; Stable Outlook

Swiss Credit Card Issuance No. 2 Ltd

EUR189.8m Class A notes: affirmed at 'AAAsf'; Stable Outlook
EUR6.2m Class B notes: affirmed at 'Asf'; Stable Outlook
EUR4m Class C notes: affirmed at 'BBBsf'; Stable Outlook

Swiss Credit Card Issuance is a programme created in June 2012 to issue note series collateralised by Swiss consumer credit card receivables originated by Credit Suisse AG (CS, A/Stable/F1) and Swisscard AECS GmbH. Both series were issued within the programme's linked note issuance structure.

KEY RATING DRIVERS
Since its creation the programme has shown stable performance that is in line with or better than Fitch's expectations. Sixty-180 days delinquency rates were 1% as of end-February 2015, compared with the average of UK credit card transactions of 1.1%, according to Fitch's Credit Card Index - UK.

A favourable economic environment has supported programme performance, leading to fairly low charge-off rates since closing, with a current annualised figure of 1.6%, based on the latest investor report in February 2015. Average monthly payment rates (MPR) in the programme since closing have been above 65%, in line with historically high rates in the originator's books as a large portion of customers pay off the credit card balance every month. Portfolio gross yields have been above Fitch's expectations as well.

Fitch's Outlook for the Swiss economy is Stable with unemployment expected to remain around 3%, which is the lowest among European peer countries. We do not expect the recent appreciation of the Swiss franc, following the Swiss National Bank's decision to cease supporting the floor of 1.20 on the EUR/CHF exchange rate, to have a negative impact on the performance of the programme as unemployment is the driving factor for consumer credit card receivables' performance.

For more information on Fitch's view on the effects of the Swiss franc appreciation, see 'Fitch: Franc Rise Felt Most in Auto ABS among Swiss SF Sectors', dated 23 January 2015 and available on www.fitchratings.com.

As CS is one of the largest commercial banks in Switzerland, numerous credit card customers hold deposits with the bank. This gives rise to potential deposit set-off claims by customers in case of an insolvency of CS. Furthermore, the high MPR exposes the series to elevated commingling risk. Nevertheless, these risks are, in Fitch's view, sufficiently mitigated by structural features and a comparably high variable seller share.

The series have benefited from significant excess spread since closing, providing the notes with a first layer of protection against losses from charge-offs. Further, the class A notes benefit from overcollateralisation (OC) created by the subordination of class B and C notes, overall providing them with 5.1% credit enhancement (CE). OC from the subordination of the class C notes provides CE of 2% for the class B notes. If excess spread decreases below certain threshold levels, excess spread will be trapped in a spread account to provide credit enhancement for the class C notes.

The notes pay a fixed-rate coupon on annual basis. Scheduled maturity for Swiss Credit Card Issuance No.1 Ltd is in June 2015, while Swiss Credit Card Issuance No.2 Ltd's scheduled maturity is in June 2016.

Fitch has been notified that a transfer of CS's credit card business to Swisscard will occur on or around 30 June 2015 as contemplated from the outset of the transaction. The agency has reviewed draft documentation and legal opinions supporting the transfer, which are due to be executed by June 2015 and has concluded that the process is not expected to impact the rating of the outstanding notes.

RATING SENSITIVITIES
Fitch has maintained its base case assumptions set at the respective transactions' closing dates.

The notes' ratings are most sensitive to changes in the MPR as well as the charge-off rate.

Expected impact upon the note ratings of increased charge-offs (No.1 - class A/ B/ C; No.2 - class A/ B/ C):
Current ratings: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'
Increase base case charge-offs by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Increase base case charge-offs by 25%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Increase base case charge-offs by 50%: 'AAsf'/'Asf'/'BBB-sf'/'AAsf'/'Asf'/'BBB-sf'

Expected impact upon the note ratings of reduced MPR (No.1 - class A/ B/ C; No.2 - class A/ B/ C):
Current ratings: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'
Reduce base case MPR by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Reduce base case MPR by 25%: 'AAsf'/'Asf'/'BBBsf'/'AAsf'/'Asf'/'BBBsf'
Reduce base case MPR by 50%: 'BBB+sf'/'BBBsf'/'BBBsf'/'BBB+sf'/'BBBsf'/'BBBsf'

Expected impact upon the note ratings of increased charge-offs and reduced MPR (No.1 - class A/ B/ C; No.2 - class A/ B/ C):
Current ratings: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'
Increase base case charge-offs by 10% and reduce base case MPR by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Increase base case charge-offs by 25% and reduce base case MPR by 25%: 'AA-sf'/'Asf'/'BBBsf'/'AA-sf'/'Asf'/'BBB-sf'
Increase base case charge-offs by 50% and reduce base case MPR by 50%: 'BBBsf'/'BBB-sf'/'BBsf'/'BBBsf'/'BBB-sf'/'BBsf'