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

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

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

KEY RATING DRIVERS

Fitch'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.

RATING SENSITIVITIES

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 2.02x, corresponding to a one-category downgrade to 'BBBsf'. Under the 2.5x base case stress scenario, the minimum breakeven multiple decreases to approximately 1.25x, 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 December 2015 notes 'PIF'.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

Global Consumer ABS Rating Criteria (pub. 03 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874105

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

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

Related Research

AT&T Receivables Funding, LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=806048

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998069

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998069

Endorsement Policy

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

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View source version on businesswire.com: http://www.businesswire.com/news/home/20160119006744/en/

Fitch Ratings
Harry Kohl
Associate 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
Kevin Corrigan
Senior Director
+1-212-908-0156
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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