Fitch Rates CitiFinancial Canada Issuance Trust Series 2015-1 November 2016 'Asf'

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

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

KEY RATING DRIVERS

Collateral Quality: The CCIT 2015-1 collateral pool is comprised of unsecured consumer installment loans and consumer loans secured by second liens on real estate, originated by the company to Canadian residents. Fitch's base case borrower chargeoff rates are 8.0% and 12.9% for the secured and unsecured loans, respectively.

Credit Enhancement: Credit enhancement (CE) is provided through overcollateralization (OC) and excess spread. In addition, trust performance and other triggers based on credit and servicing risks are used to provide additional protection for investors in case loan performance or certain counterparties' financial conditions deteriorate (each an Amortization Event). When a amortization event occurs, the trust will retain excess cash in order to amortize the notes.

CRITERIA VARIATIONS

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.

Under the Global Consumer ABS Rating Criteria, dated Aug. 19, 2016, Fitch looks to the results of its cash flow model in order to determine a model-implied rating. In certain cash flow scenarios in which defaults are recognized more heavily in the later stages of the life of the loans, Fitch's cash flow model implies a rating less than the recommended 'Asf' rating. Despite this, Fitch assigned an 'Asf' rating for the notes due to the fact that back loaded default timing is less likely for these amortising instalment loans, and as the amortization event on delinquencies is likely to be triggered earlier in reality than indicated by the approximation in Fitch's cashflow model.

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 1.25x and 1.5x and examining the rating implications. The 1.25x and 1.5x 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.

The 1.25x base case stress scenario corresponded to a one-notch downgrade to 'A-sf', and the 1.5x base-case stress scenario corresponded to a one-category downgrade to 'BBBsf'.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms ("RW&Es") that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction because it does not involve the use of offering documents. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.

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

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 26 Oct 2016)

https://www.fitchratings.com/site/re/888492

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)

https://www.fitchratings.com/site/re/882401

Global Consumer ABS Rating Criteria (pub. 19 Aug 2016)

https://www.fitchratings.com/site/re/886466

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1014906

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1014906

Endorsement Policy

https://www.fitchratings.com/regulatory

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Source: Fitch Ratings

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