Fitch Rates CitiFinancial Canada Issuance Trust Series 2015-1 August 2016

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following rating to CitiFinancial Canada Issuance Trust's series 2015-1 August 2016 notes:

--Series 2015-1 August 2016 notes 'Asf'; Outlook Stable.

KEY RATING DRIVERSFitch's rating is based on the underlying receivables pool, available credit enhancement (CE), CitiFinancial Canada, Inc.'s underwriting and servicing capabilities, and the transaction's legal and cash flow structures.

Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated July 18, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest in are those held in the Collection Account, and the funds can only be invested for a short duration of one month given the payment frequency of the notes, Fitch does not believe this variation has a measurable impact on the ratings assigned.

RATING SENSITIVITIESUnanticipated 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 represent 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 1.97x, 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 three-category downgrade to 'Bsf'.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMSThe publication of a RW&Es appendix is not required for this transaction.

The CitiFinancial Canada Issuance Trust series 2015-1 July 2016 notes are paid in full.

Additional information is available at www.fitchratings.com.

Applicable CriteriaCounterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963Criteria 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=879815Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586Global Consumer ABS Rating Criteria (pub. 03 Dec 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874105Global Structured Finance Rating Criteria (pub. 27 Jun 2016)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Additional DisclosuresDodd-Frank Rating Information Disclosure Formhttps://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010451Solicitation Statushttps://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010451Endorsement Policyhttps://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/20160816006297/en/

Fitch Ratings
Primary Analyst
Harry Kohl
Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Melvin Zhou
Director
+1-212-908-0503
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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