Fitch Rates CitiFinancial Canada Issuance Trust Series 2015-1 February 2016
OREANDA-NEWS. Fitch Ratings has assigned the following rating to CitiFinancial Canada Issuance Trust series 2015-1 February 2016 notes:
--Series 2015-1 February 2016 notes 'Asf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's rating is based on the underlying receivables pool, available credit enhancement (CE), liquidity support, CitiFinancial Canada, Inc.'s underwriting and servicing capabilities, and the transaction's legal and cash flow structures.
Unanticipated increases in the frequency of defaults or charge-offs on the loans in the pool could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analysis by stressing a transaction's initial base case charge-off assumption by 1.5x and 2.5x and examining the rating implications. The 1.5x and 2.5x increase of the base case account charge-offs represents moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance.
During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of the notes under higher than the initial base case charge-off assumptions. Fitch models cash flows with the revised charge-off estimates while holding constant all other modelling assumptions.
Under the 1.5x base case stress scenario, the minimum breakeven multiple decreases to approximately 1.99x, corresponding to a one-category downgrade to 'BBBsf'. Under the 2.5x base case stress scenario, the minimum breakeven multiple decreases to approximately 1.23x, corresponding to a two-category downgrade to 'Bsf'.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
The publication of a RW&Es appendix is not required for this transaction.
Fitch also takes the following rating action:
CitiFinancial Canada Issuance Trust series 2015-1:
--Series 2015-1 January 2016 notes 'PIF'.