Fitch Affirms Chase Issuance Trust Ratings

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the ratings assigned to the Chase Issuance Trust (CHAIT). A full list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The measure of 60+ day delinquencies has steadily declined each month since the peak of 3.81% during the January 2010 distribution period. Currently 60+ day delinquencies are at 0.80% for the July 2016 distribution period.

One-month excess spread is at a near-historic level of 13.58% for the July 2016 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has improved over the past year and is trending with the Fitch index. Currently Fitch's Index Monthly Payment Rate is at 31.12% for the July 2016 distribution period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three- and 12-month averages 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 Trust 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 MPR.

Increasing defaults alone has the least 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 is slightly more pronounced with a moderate stress of a 75% reduction, leading to a possible downgrade on the class A notes. The harshest scenario assumes both stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR. 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 above.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to these rating actions.

Fitch has affirmed the following ratings and revised Outlooks as indicated:

--2007-2A at 'AAAsf'; Outlook Stable;

--2007-3A at 'AAAsf'; Outlook Stable;

--2007-1B at 'Asf', Outlook to Stable from Positive;

--2007-1C at 'BBBsf', Outlook to Stable from Positive;

--2007-5A at 'AAAsf'; Outlook Stable;

--2007-12A at 'AAAsf'; Outlook Stable;

--2012-2A at 'AAAsf'; Outlook Stable;

--2012-4A at 'AAAsf'; Outlook Stable;

--2012-7A at 'AAAsf'; Outlook Stable;

--2012-10A at 'AAAsf'; Outlook Stable;

--2013-1A at 'AAAsf'; Outlook Stable;

--2013-3A at 'AAAsf'; Outlook Stable;

--2013-6A at 'AAAsf'; Outlook Stable;

--2013-7A at 'AAAsf'; Outlook Stable;

--2013-8A at 'AAAsf'; Outlook Stable;

--2013-9A at 'AAAsf'; Outlook Stable;

--2014-1A at 'AAAsf'; Outlook Stable;

--2014-2A at 'AAAsf'; Outlook Stable;

--2014-5A at 'AAAsf'; Outlook Stable;

--2014-6A at 'AAAsf'; Outlook Stable;

--2014-7A at 'AAAsf'; Outlook Stable;

--2014-8A at 'AAAsf'; Outlook Stable;

--2015-1A at 'AAAsf'; Outlook Stable;

--2015-2A at 'AAAsf'; Outlook Stable;

--2015-3A at 'AAAsf'; Outlook Stable;

--2015-4A at 'AAAsf'; Outlook Stable;

--2015-5A at 'AAAsf'; Outlook Stable;

--2015-6A at 'AAAsf'; Outlook Stable;

--2015-7A at 'AAAsf'; Outlook Stable;

--2016-1A at 'AAAsf'; Outlook Stable;

--2016-2A at 'AAAsf'; Outlook Stable;

--2016-3A at 'AAAsf'; Outlook Stable.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

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. 27 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1009118

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1009118

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/20160719006155/en/

Fitch Ratings, Inc.
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Stephanie Lobaccaro
Analyst
+1-212-908-0769
or
Committee Chairperson
Herman Poon
Senior Director
+1-212-908-0847
or
Media Relations
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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