Fitch Affirms First National Master Note Trust

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the 'AAAsf' ratings for First National Master Note Trust series 2013-2 and 2015-1. The Rating Outlook for both classes remains Stable.

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance. 60+ day delinquencies have steadily declined each month since the peak of 4.29% during the March 2010 distribution period. Currently 60+ day delinquencies are at 1.03% for the September 2015 distribution period.

The monthly payment rate (MPR), a measure of how quickly consumers have been paying off their credit card debt, has decreased marginally over the past year and is trending with the Fitch Index. Currently, MPR is at 17.60% for the September 2015 distribution period.

Gross chargeoffs have continued to decline since the last review. Currently, the 12-month average is 3.38%, down from 4.16% at the September 2014 distribution period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three- and 12-month average performances to test that under the stressed conditions, the transaction can withstand a level of losses commensurate with the risk associated to a rating level with the available credit enhancement. The variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.

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).

Increasing defaults alone have no impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in purchase rate also leads to no impact in rating migration even in the most severe scenario of a 100% reduction in purchase rate. The harshest scenario assumes that an increase in defaults and reduction in monthly payment rate occur simultaneously. In this scenario, the ratings could be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR.

DUE DILIGENCE USAGE

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

Fitch has affirmed the following ratings:

--2013-2 at 'AAAsf'; Outlook Stable;

--2015-1 at 'AAAsf'; Outlook Stable.}

Additional information is available at www.fitchratings.com.

Applicable Criteria

Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=991960

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=991960

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20151007006506/en/

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman Poon
Director
+1-212-908-0847
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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