(The following statement was released by the rating agency)
NEW YORK, December 16 (Fitch) Fitch Ratings has assigned the following rating to
CitiFinancial Canada Issuance Trust series 2015-1 December 2015 notes:
--Series 2015-1 December 2015 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. Thus, 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 November 2015 notes 'PIF'.
Contact:
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
Secondary Analyst
Melvin Zhou
Director
+1-212-908-0503
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
Media Relations: Hannah James, New York, Tel: + 1 646 582 4947, Email:
hannah.james@fitchratings.com.
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
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr
_id=996877
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=996877
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&det
ail=31
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