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

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

--Series 2015-1 May 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 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 1.99x, 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 three-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.

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

Additional information is available at www.fitchratings.com.

Applicable Criteria

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 Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

Exposure Draft: Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 Apr 2016)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878412

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

Additional Disclosures

Dodd-Frank Rating Information Disclosure Formhttps://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1004555

Solicitation Statushttps://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1004555

Endorsement 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/20160516006342/en/

Fitch Ratings
Primary Analyst:
Harry Kohl, +1-212-908-0837
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst:
Victoria Ohorodnyk, +1-212-908-0866
Associate Director
or
Committee Chairperson:
Tracy Wan, +1-212-908-9171
Senior Director
or
Media Relations:
Hannah James, +1-646-582-4947
New York
[email protected]

Source: Fitch Ratings

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