Global Credit Card ABS Rating Criteria

Structured Finance
Asset-Backed Securities / Global
Global Credit Card ABS Rating Criteria

Sector-Specific Criteria
Inside this Report Scope

Page
Key Rating Drivers 1 This global criteria report describes Fitch Ratings’ methodology for analyzing credit risk
Data Adequacy 2
Rating Approach 2 inherent in asset-backed securities (ABS) backed by credit card receivables, including
Asset Analysis 3 receivables of unsecured revolving lines of consumer credit substantially similar to credit cards.
Rating Stresses 8
Counterparty Risks 13 The criteria apply to new and existing ratings, and to international and national credit ratings.
Legal Structure 13
Liability Structure 14
Cash Flow Analysis
Performance Analytics
17
19
Key Rating Drivers
Appendices 2341
Credit Card Receivables’ Performance: Credit card ABS transactions are exposed to
performance variations within the underlying receivables pool. Key performance parameters
This report replaces Global Credit Card
ABS Rating Criteria, dated June 2015. are charge-off rates, yield rates, monthly payment rates, and purchase rates. In addition,
This updated criteria report did not
substantially change that would alter or
delinquency rates and excess spread rates are important performance indicators. As the key
affect any credit ratings. The changes part of Fitch’s rating approach, the asset analysis addresses the risk of performance variations
added further clarity.
and expects that these risks will be mitigated by available credit enhancement (CE).
Analysts Account Originator and Servicer Quality: Credit cards provide revolving credit lines to
North America
Herman C. Poon obligors; therefore, relative to amortizing receivables, the asset performance exhibits a closer
+1 212 908-0847 relationship to the ongoing performance of the originator.
[email protected]
Harry Kohl While Fitch’s asset analysis stresses performance parameters, performance may be affected
+1 212 908-0837
[email protected]
by originator actions or events, including a deterioration of the originator’s financial profile. Fitch
monitors all originators and may adjust its rating assumptions or stresses for specific
Europe
Selena Greaney transactions in response to actual or potential changes in the position or strategy of an
+44 20 3530-1135 originator. Fitch also reviews the operational processes of the originator and servicer.
[email protected]
Structural and Legal Risks: Securitization structures are intended to isolate the assets
Contacts backing the issued notes from the credit quality of the originator. This is typically achieved by a
Europe
Markus Papenroth
true sale or pledge of the assets from the originator to a bankruptcy-remote special-purpose
+44 20 3530-1707 vehicle (SPV).
[email protected]
Interest Rate and Basis Risk: The vast majority of credit card ABS trusts carry a degree of
North America interest rate mismatch, since the asset yield and note interest are usually linked to different
Andreas Wilgen
+1-212-908-0778
indices. In instances where both the assets and liabilities are indexed to separate floating
[email protected] interest rates, basis risk can stem from the rapidly rising investor coupon and lagging floating-
Asia Pacific rate or low fixed-rate credit card pricing. Such risks are also expected to be mitigated by
Keum Hee Oh available CE.
+85 2 3278 8373
[email protected]
Counterparty Risk: Counterparty risks arise in all situations where the transaction places
David Carroll
+61 2 8256 8333
either operational reliance or dependency on payment obligations from counterparties or other
[email protected] supporting parties. These parties can include the originator, servicer, guarantee provider, and
account bank, as well as an interest rate swap or currency swap provider. Fitch’s ratings of
credit card ABS transactions are dependent on the financial strength of certain counterparties,
while being directly linked to the performance of the securitized pool.
Macroeconomic Risk: The economic environment can have a material impact on credit card
ABS ratings. As such, Fitch takes into consideration the strength of the economy, as well as
future expectations, by assessing key macroeconomic indicators, such as unemployment.
www.fitchratings.com July 21, 2016

Structured Finance
Data Adequacy
Portfolio Data
Fitch relies on originators and servicers to provide accurate historical information in order to
perform steady state and credit analyses. Fitch expects to receive originator-specific historical
performance data relevant to the securitized asset pool for the longer of five years or a period
covering all phases of at least one economic cycle.
Appendix 8 on page 42 lists data items Fitch typically receives to analyze and rate a
transaction. In the absence of certain data items, Fitch will assess the materiality and relevance
of such data in accordance with its “Criteria for Rating Caps and Limitations in Global
Structured Finance Transactions, dated June 2016, available on Fitch’s website at
www.fitchratings.com. Depending on the outcome of such assessment, Fitch will either adjust
its approach, cap the rating(s), or decline to rate the transaction. Where these alternative
adjustments are applied, such approach and corresponding criteria will be highlighted in Fitch’s
transaction rating reports.
The availability of highly relevant and comparable market performance data may serve as a
proxy for originator-specific data in the scenario where the available originator-specific data do
not cover all phases of at least one economic cycle. In addition, adjustments may be made to
the steady state assumptions if historical data provided do not cover an entire economic cycle
or lack consistency. In some instances, structural considerations, such as early amortization
triggers, will also be considered in setting steady states.
Historical Performance Data

In analyzing the appropriateness of the rating stresses set out in this criteria report, Fitch has
reviewed historical credit card performance data. With respect to the U.S., Fitch has 20 years
of market performance data on credit card collateral. Fitch’s U.K. credit card indices track
collateral of U.K. credit card ABS transactions since January 2002. In Asia Pacific, Fitch has
more than nine years of market and transaction performance data in South Korea and more
than seven years of transaction performance data in Australia and New Zealand.
The stresses were developed by studying the historical observations of U.S. credit card
performance from 1989‒2006 and were further validated by an analysis of performance during
the 2007–2009 recession. Fitch’s study examined aggregate performance as well as
performance for the prime, subprime, and retail categories. Fitch will continue to perform
periodic validation studies and update stresses as necessary. Appendix 3 on page 27 details
the most current validation study as well as information on the Northeast study, which is the
Related Criteria
source of the original dataset from which Fitch’s stresses are derived.
Global Structured Finance Rating
Criteria (June 2016)
Criteria for Interest Rate Stresses in
Structured Finance Transactions and
Rating Approach
Covered Bonds (May 2016)
Fitch’s rating process begins with an initial review of detailed collateral stratification data and
Counterparty Criteria for Structured
Finance and Covered Bonds performance history of the portfolio of receivables being securitized.
(July 2016)
Criteria for Servicing Continuity Risk The originator/servicer review is an integral part of Fitch’s initial rating process, which focuses
in Structured Finance
(December 2015) on understanding the originator’s corporate risk profile, underwriting standards, asset growth
Criteria for Rating Caps and strategy, credit risk management policies, and servicing capabilities. The ramifications of
Limitations in Global Structured
Finance Transactions (June 2016)
regulatory developments faced by the originator will also be covered. Since the originator and
Global Credit Card ABS Rating Criteria 2

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Structured Finance
servicer are often the same entity, the review encompasses both components in conjunction
with each other.
Following the initial review, Fitch derives steady state assumptions for three key performance
variables — charge-offs, yield, and monthly payment rate (MPR) — by analyzing historical
performance and volatility for each one. In addition to its quantitative analysis, Fitch will also
make qualitative adjustments in its approach as outlined in this report and any adjustments will
be disclosed in its transaction rating report.
Transaction documentation is reviewed to understand the rights and obligations of each party
to the documents and to consider how the structure will operate, particularly under certain
circumstances (e.g. servicer replacement). Legal opinions are also reviewed to determine
whether the transaction conforms to the legal assumptions that Fitch has relied on in its credit
analysis.
Fitch will utilize its proprietary credit card ABS cash flow model in evaluating the CE across all
rating categories. The steady state assumptions are input into the cash flow model and
applicable stresses are modeled at each rating level to calculate the shortfall that would be
required to be fulfilled by the available CE for the notes. Other inputs for the cash flow model
are adjusted to reflect the basis risk, fee expenses, and structural features for the trust, as set
out in the transaction’s legal documents. Rating modifiers, if assigned, are derived through the
linear interpolation of model outputs between rating category.
When assigning expected and final ratings, Fitch will publish transaction-specific presale and
new issue reports, respectively. The reports will highlight key features and risks of the
transaction in the context of the rating criteria.
After the transaction has closed, analysts monitor the transaction’s performance using Fitch’s
monthly surveillance process to ensure the assigned ratings remain appropriate.
Asset Analysis
Fitch’s asset analysis typically begins with a review of the originator and servicer as described
below and in Appendix 1 on page 23. Fitch will analyze pool data to understand the specific
collateral characteristics. Fitch will also analyze dynamic historical data with respect to annual
yield, monthly payment, and annual charge-off rates. In reviewing the historical data, Fitch will
consider the impact of any changes to the receivables balance and any debt management
programs operated by the servicer. The objective of this part of the analysis is to assign steady
state assumptions to annual yield, monthly payment, annual charge-off rate, and purchase rate
as elaborated below.
Originator/Servicer Operational Analysis

Due to the revolving nature of credit card trusts, the collateral performance of a credit card
portfolio relies on continuous origination of new receivables and active management by the
servicer; therefore, the evaluation of a credit card originator and servicer is a key component of
Fitch’s rating process. Fitch will typically apply higher purchase rate stresses to transactions if
the financial strength of originators appears weak.
Fitch’s originator/servicer review process determines the quality and effectiveness of an

organization’s origination and servicing operations as well as its compliance with stated
guidelines, operational stability, and soundness of internal control procedures. The review
focuses on three principal factors: corporate performance; originations; and servicing using

July 21, 2016
Structured Finance
standard industry benchmarks and qualitative measures. If Fitch determines that the risk
associated with a particular servicer is significant, the rating may be capped or the issuer may
elect to mitigate the risk by including a back-up servicer in the transaction.
For more details on Fitch’s approach in analyzing originator and servicer operations, see
Appendix 1: Originator/Servicer Operational Evaluation on page 23. In addition, Appendix 2 on
page 26 provides a sample of the discussion guide used during our originator/servicer review.
Collateral Characteristics
Fitch analyzes characteristics of the underlying collateral to better understand the overall asset
performance. This analysis supplements Fitch’s analysis of the originator’s historical data and
Fitch’s originator review findings when determining steady state performance assumptions.
Major collateral characteristics that Fitch considers include the following:
 Credit score.
 Geographic concentration.
 Seasoning.
 Annual percentage rates (APRs).
 Credit limit.
 Product and segment mix.
Credit scores can be good predictors of credit card defaults. Many card issuers use
sophisticated credit-scoring models to determine the cardholder’s probability of default.
Generally, portfolios are defined as prime or subprime based on their credit score distributions.
Fitch applies higher purchase rate stresses to portfolios with a higher concentration of
subprime receivables.
A pool of credit card receivables that exhibits geographic diversification minimizes potential
exposure to regional economic downturns and natural disasters. Most prime issuers have well-
diversified portfolios resulting from a national issuance strategy. Fitch may apply adjustments in
stresses if significant regional concentrations are present.
Account seasoning is also important as unseasoned portfolios tend to have higher charge-offs
and volatile performance. Fitch may apply adjustments to steady state assumptions in
evaluating less seasoned portfolios.
The issuers use the credit quality of each cardholder to set the credit limit and APR; these are
usually assigned based on the cardholder’s ability to meet debt payments (i.e. the higher the
risk, the lower the credit limit and the higher the APR). The steady state for portfolio yield is
largely dependent on the APR level and its distribution.
Product mix may also impact collateral performance. Reward credit cards typically have higher
payment rates and lower loss rates than non-reward products. Small business cards can
exhibit different performance from those of general consumer credit cards. When a portfolio is
composed of different product types with different risk profiles, to mitigate the risk of portfolio
shift, the transaction documentation often sets the maximum product ratio as a percentage of
the total receivable pool at closing and on an ongoing basis.
Setting Steady State Assumptions

The steady state concept is Fitch’s forward-looking determination of how a given variable will
perform over time, taking into consideration recent performance trends, competitive landscape,
regulatory changes, and Fitch’s forecast of the macroeconomic environment. Fitch’s process
for setting steady states seeks to further the goal that ratings generally should not change due

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Structured Finance
to normal movements in the economic cycle, a concept known as rating “through the cycle.”
Steady states are determined as forward-looking performance expectations that, at any point,
would be reasonably reflected in the current rating. Rating changes would only be expected
when performance trends outside these expectations.
Fitch derives steady states by analyzing the historical performance and volatility of key
variables, including vintage data analysis. The term “vintage” refers to a group of accounts
originated at approximately the same time, the performance of which is tracked as a group over
time. Pools of accounts exhibit distinct performance patterns as they season. Charge-offs, yield,
and MPR tend to flatten out over time and achieve a steady state level approximately 1836
months after origination. This allows time for teaser rates, balance transfers, attrition, and early
delinquencies to work their way through the pool.
If changes in macroeconomic conditions, business practices, credit policy, or legislative

landscape lead Fitch to believe future performance may deviate from past performance, further
adjustments will be applied to the steady states.
For unseasoned portfolios (less than 36 months), vintage data are key tools in setting steady
states, in addition to historical performance and peer comparisons. Vintage data help remove
the effects of portfolio growth by tracking a campaign of originations throughout its life. This
enables Fitch to identify changes in underwriting guidelines and cardholder behavior.
For highly seasoned pools, Fitch relies on a combination of vintage data and historical
performance to derive steady states. Fitch also evaluates historical performance volatility for
each variable to create a more accurate steady state assumption.
If there are several distinct sub-products within a portfolio, and each carries significant weight
(greater than 10%), steady states may be established for each sub-product, and the steady
states of the portfolio would be the weighted average of the aggregate according to the
collateral weight for each sub-pool.
Fitch will evaluate a stressed replenishment mix for the portfolio, based on: (i) portfolio
covenants, concentration limits and stability of the characteristics of newly originated assets; (ii)
potential account turnover during the revolving period; and (iii) asset selection practices and
stressed origination mix. Since portfolio composition can change with the addition of new, as
well as existing, cardholders’ credit line management practices, Fitch will assess the potential
shift to a more adverse pool composition both on a receivables balance and a number of
accounts basis.
Portfolio Yield Rate

Portfolio yield is made up of periodic APR charges, annual fees, late payment fees, over-limit
fees, and, in most cases, recoveries on charged-off accounts and interchange. Interchange is
income from the card associations (Visa, MasterCard, American Express, Discover, and Novus,
among others) that is paid to the issuing bank as compensation for taking credit risk and
funding receivables, the amount of which varies from 1%–5% of charge volume. Most of these
components are relatively stable and represent a small percentage of the yield. Interest income,
as derived from an account’s APR, on the other hand, often accounts for a large majority of the
yield and is the most volatile. Since issuing entities price accounts for their individual level of
risk, those catering to the subprime market or specializing in private label cards generally have
higher yields than those in the prime market.

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In assigning steady state of portfolio yield, Fitch considers the expected impact on the yield
components from regulatory changes and competitive environment. As such, Fitch typically
gives full credit to the core components of yield, such as interest income, and applies a haircut
to fee income and interchange.
Haircuts are typically applied to fee income and interchange in order to account for possible
changes in the regulatory or competitive landscape facing issuers. Regulatory changes can
affect the level and amount of fees charged on cardholders while competitive pressure may
affect card usage and thus interchange income. Where regulatory interventions introduce tight
limits on interchange charges, Fitch may assume further action to be more muted and may
therefore no longer apply a haircut to interchange going forward to derive the steady state yield.
Since credit card debt has historically shown only very low recovery rates in the major U.S. and
U.K. markets, Fitch generally does not give credit to recoveries in its determination of steady
states. However, Fitch acknowledges that in some jurisdictions the legal framework and the
credit culture can give rise to substantial recoveries on credit card charge-offs. When an
originator is able to demonstrate a substantial, consistent and stable recovery history, some
credit may be given to it when determining the steady state portfolio yield. In applying haircuts
to recoveries in stress scenarios, Fitch will follow the same principles as for consumer credit
receivables, which are outlined in its Global Consumer ABS Rating Criteria.
Payment Rate
The MPR includes monthly collections of principal, finance charges, and fees paid by the
cardholder; it is stated as a percentage of the outstanding balance as of the beginning of the
month. It is an important variable, as it determines how quickly principal is likely to be repaid to
bondholders if an early amortization event were to occur. Cardholders generally do not have
level payments but instead have minimum payment requirements. Minimum payment
requirements are determined by card issuers but are subject to regulations. They vary by
country, ranging from 2%3% in the U.S. to 10% in some Asian countries. In some jurisdictions,
certain credit card products work with variants of installment repayments.
Many credit cardholders elect to pay higher than minimum payment requirements each month,
and some cardholders – often called transactors – elect to pay off the total balance each month.
Customer profile (subprime versus prime) and product type (reward versus non-reward) can
have a significant impact on MPR. Reductions in MPR may come from a decrease in the
number of cardholders who pay off their entire bill every month and/or from an increase in the
number of cardholders making smaller monthly payments.
Fitch assigns a steady state assumption for the monthly payment rate based on total payment
and taking into account contractual or regulatory minimum payments. When receivables repay
in installments, Fitch may derive a vector of monthly payment rates to capture expected
contractual repayments. In Fitch’s model, principal payment rate is derived by subtracting the
interest component from the total monthly payment.
Charge-offs
Charge-offs are receivables written off as uncollectible by the issuing entity. Charge-offs occur
either through contractual delinquency or bankruptcy of the cardholder. In most countries, card
issuers follow guidelines requiring issuing entities to charge off accounts at 180 days of
delinquency and 60 days after notification of the bankruptcy of an obligor. Typically, in the U.S.,
20%–50% of charge-offs for an issuing entity can be attributed to bankruptcy. The variation
depends on economic factors and the quality of the underlying receivables; for example,

July 21, 2016
Structured Finance
subprime borrowers have demonstrated high overall charge-offs with lower bankruptcies
relative to contractual charge-offs.
The charge-off steady state is typically based on gross defaults. If net charge-off is reported, it
will be grossed up with an assessment of a recovery rate. Credit cards are unsecured debts
and as such, Fitch has historically not given credit to recoveries in its analysis despite a typical
10%–25% recovery rate observed in the industry. However, as mentioned above, some credit
may be given in certain jurisdictions when an originator is able to demonstrate a consistent and
stable recovery history.
In assigning a steady state for charge-offs, Fitch considers any recent credit policy changes,
delinquency trends, and macroeconomic forecasts in addition to historical performance.
Purchase Rate and Receivables Balance

In a base scenario, Fitch typically assumes a purchase rate of 100%, i.e. new purchases are
set equal to principal collections. As a result of this assumption, the receivables balance will be
constant in a base scenario. The purchase rate will be stressed in higher rating scenarios. Fitch
will apply a purchase rate assumption of below 100% for transactions with portfolios not open
to new account additions, even in a base scenario, to account for observed account attrition.
The stability of the receivables balance directly impacts other performance variables, as most
variables are calculated using the receivables balance as denominator. A rapidly growing or
shrinking portfolio can distort the coincidental charge-off rate, as the change of receivables
outpaces the change of credit loss. Vintage analysis and lagged analysis are necessary when
receivable balances are volatile. Lagged analysis helps reduce the effects of portfolio change
as charge-offs are compared to the receivables balance six months earlier when the
delinquencies started to occur.
Debt Management Programs

Credit card receivables are normally defined as delinquent if the cardholder fails to make the
minimum contractual payment in a given month and defined as defaulted if the duration of
delinquency reaches a predefined threshold (e.g. 180 days). However, Fitch has observed over
time a trend for servicers, particularly during recessionary periods, to amend the repayment
terms for certain financially distressed borrowers, under programs referred to as debt
management programs. Typically under such programs, receivables will be classified as
delinquent and subsequently defaulted only if the cardholder fails to make the reduced
repayment amount.
Fitch analyzes the extent of debt management programs by looking at data showing the
percentage of total trust receivables that are subject to such programs. To analyze the severity
of debt management programs, Fitch will consider: the qualification criteria applied by the
servicer; payment terms of the program relative to the original contractual minimum payment
amount; the actual repayment performance of the cardholders; the degree of monitoring
applied to debt management accounts; and the method and timeliness with which debt
management accounts are resolved.
Fitch acknowledges that carefully targeted debt management programs from experienced
servicers can ultimately maximize cardholder payments, but it considers the following as
negative factors: broad or vague qualification criteria; very low minimum payment
requirements; minimal monitoring of the borrowers’ financial positions or performance; and long
durations in which a high proportion of cardholders ultimately default.

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Fitch will consider the extent and severity of any debt management programs when setting
steady state assumptions, as the operation of the programs may have distorted historical data.
The implementation of a high degree of debt management programs may delay the recognition
of defaults and lead to a negative migration in credit quality. When Fitch is of the opinion that
the severity and extent of the originator’s debt management program may materially distort the
reported transaction performance, it may decline to rate a transaction.
Asset Migration Risk

In many structures, future receivables on designated accounts (created by future purchases by
obligors) are automatically transferred to the trust. Card issuers can also elect to add
receivables/accounts to the trust to offset attrition or build up collateral for future transactions.
The purchase price of the new receivables is satisfied either by payment from available
principal collections (typical when notes are revolving) or by an increase in the seller’s share of
trust receivables (typical when notes are amortizing).
As additional receivables/accounts are added, there is a risk that the new receivables could
reduce the credit quality of the pool. Such risk is low if the originator has a long track record of
consistent underwritings. The risk can be mitigated by eligibility and portfolio criteria (such as
concentration limits) for additions, which are usually stipulated in transaction documents at day
one for new receivables or new accounts. Strict eligibility criteria facilitate maintenance of
minimum collateral quality, so that a transaction is insulated from unexpected adverse
underwriting changes over time. Fitch assumes that originators will comply with such
documented provisions, and as such, the credit analysis does not address the risk of ineligible
assets being sold into the pool. Fitch may assume the portfolio to migrate to the worst-case
scenario under concentration limits in setting steady states.
Fitch has seen many South Korean transactions that set a product composition limit in the
securitization portfolio to prevent negative migration and significant deterioration in pool
performance. Based on the limits, Fitch usually assumes a composition that derives the highest
expected loss rate of the pool and validates the transaction-available CE by contemplating the
worst model loss rate.
Accounts and receivables can also be removed from trusts in certain circumstances. Like
additions, removals can lead to negative asset selection risk if issuers selectively remove
assets. It is common that transaction documents specify conditions that need to be met for any
removal as most removals are selected randomly. Fitch monitors additions and removals to
measure collateral quality over time.
Rating Stresses
Fitch’s rating analysis incorporates performance stresses to address the risk that actual asset
performance will deteriorate from steady state assumptions. Fitch applies stresses to the yield,
monthly payment, charge-off, and purchase rates.
Fitch develops custom stress scenarios at every rating level for each ABS issuing entity and
financial structure by evaluating the collateral composition and performance variables. Stresses
applied will be from within the ranges specified in the tables below, except where alternative
stresses are used, either because the transaction meets atypical circumstances outlined in this
report, or because Fitch applies a criteria variation due to the presence of other analytical
considerations.

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Yield Stresses
When determining yield stresses, Fitch considers the potential for yield compression, as well as
interaction between the interest rate charged to cardholders and market interest rates.
Fitch applies yield compression through haircuts to the steady state yield assumptions as
shown in the table at right. Such yield reduction could be caused by competitive pressure,
since a highly priced portfolio will be under pressure to reduce rates to maintain market share.
Regulatory and legislative risk is another factor in Fitch’s stresses, as a change in either can
have a significant impact on the way card revenue can be generated. For example, some
business practices such as double cycle billing, universal default, and certain over-limit fees
have already been discontinued in the U.S. due to the introduction of the Credit Card
Accountability Responsibility and Disclosure Act in 2009 (the CARD Act).
In determining the yield stress, Fitch will also consider the interaction between the yield stress
and the purchase rate stress. In scenarios where no new receivables are assumed to be
generated, the impact on the interchange component and fees that are based on further use by
cardholders will be more severe than on finance charges, annual or late payment fees.
For prime portfolios originated by large regulated financial institutions, Fitch stresses will be
close to the lower levels stated above. For the ‘AAAsf’ rating category example on page 18,
Fitch applies an overnight stress of 35.00% to the yield steady state of 17.00%, which creates
a stressed yield of 11.05%.
In addition, when testing cash flows in increasing interest rate scenarios, Fitch also considers
the ability of the originator to re-price rates if necessary in response to increasing market rates.
Many card portfolios are dominated by floating rate APR and therefore maintain a minimum,
albeit compressed, margin between yield, and market interest rates after factoring in basis
spread. Where card portfolios carry fixed APR, but leave the originator with the ability to re-
price, a similar minimum margin may be achieved.
Fitch will determine the application of these stresses within and among jurisdictions based on
the originators’ flexibility in changing rates with the regulatory, legislative, and market
environment. In the UK for example, due to the adjustable rate nature of most credit card APRs
Fitch deems the re-pricing power of originators to be generally robust enough to assume a
minimum margin of 4% over Libor. In such case, the higher of stressed yield and the yield
incorporating re-pricing flexibility will be used for Asset Modeling on page 18.
In APAC, the originators’ flexibility in re-pricing rates is limited due to the fact that card products
are typically fixed rate in nature. Competition has also constrained the re-pricing power of the
originators. Fitch generally will apply
the stressed yield for Asset
Yield Stresses
Modeling on page 18. (%, Haircut to Steady States)
Rating level Lower Higher
And in the U.S. where an originator’s AAAsf 35.0 45.0
ability to re-price rates is more AAsf 30.0 35.0
Asf 25.0 30.0
constrained due to the CARD Act, BBBsf 20.0 25.0
Fitch generally will apply the lower of BBsf 15.0 20.0
Bsf 10.0 15.0
the stressed yield and the yield
incorporating re-pricing flexibility for
Asset Modeling on page 18.
Due to the specific factors determining the assumptions Fitch will disclose the assumption on
re-pricing for specific portfolios and jurisdictions in the agencies presale and new issue reports.

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Payment Rate Stresses

When consumers are experiencing economic hardship, missed or insufficient payments will
result in escalating delinquency statuses that, if uncured, will result in higher charge-off rates.
Portfolio-level MPR would also be compressed by cardholders who make lower monthly
payments while still staying current and in the case where transactors exit the pool. Fitch will
consider the following factors to determine how far observed payment rates would be expected
to fall in a stressed period:
 The level of repayment among remaining cardholders is an essential consideration in times

of stress should they elect to lower their monthly payments, including former transactors who
can no longer afford to clear their monthly balances in full. The impact will be more
pronounced for portfolios exhibiting high repayment levels in normal times than for portfolios
with very low levels to begin with.
 Payment rates will depend on the likelihood of a revocation of card charging privileges in a
stressed scenario. Fitch views the credit quality of the seller as one key driver.
 Product types and borrower characteristics are important factors of payment rates. High
payment rates often indicate a large proportion of transactors that would likely depart in
many high stress scenarios, adversely affecting overall pool composition.
For the above reasons and all else being equal, Fitch will apply a higher MPR stress to
portfolios with a high steady state MPR level.
For standard portfolios, Fitch stresses will be close to the median levels stated above. For the
‘AAAsf’ rating category example on page 18, Fitch applies an overnight stress of 45% to the
MPR steady state of 12%, which creates a model input of 6.60%.
The range of stresses is applicable to a large majority of Fitch-rated transactions globally.

Portfolios with receivables paying in installments or with very low voluntary prepayments may
justify assigning stresses below the
“Lower” end of the range, since
Payment Rate Stresses
otherwise the stressed MPR may fall (%, Haircuts to Steady States)
below the contractual minimum, Rating level Lower Median Higher
indicating delinquency at a total pool AAAsf 35 45 80
AAsf 30 40 75
level. Based on the details of the Asf 25 35 70
repayment schedules, Fitch may BBBsf 20 30 60
BBsf 10 20 50
therefore elect to floor the stressed Bsf 5 10 20
MPR at the contractual minimum Source: Fitch
repayment level for the pool, thereby
compressing the MPR stress to below the “Lower” end of the range.

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Charge-off Stresses
Fitch applies multiples to the steady state assumption for charge-offs via a linear increase over
a six-month period, holding the stressed level in place until bonds are repaid. At the ‘AAAsf’
rating level, Fitch generally applies multiples ranging from 3.50x to 5.50x. To derive the charge-
off stress, Fitch will consider:
 The level of steady state defaults. Pools with low default rates may be subject to higher
performance volatility under stress, which will likely be reflected in the higher stress multiple
as detailed above. Conversely, the scope for an already elevated charge-off steady state to
fluctuate in relative terms tends to be more limited, likely justifying a multiple towards the
lower end of the range.
 Collateral concentrations. Regional
or demographic concentrations,
Charge-off Stresses
specific exposures to certain credit (x, Multiples to Steady States)
card companies or card program Rating level Lower Median Higher
AAAsf 3.5 4.5 5.5
partners may, for instance, subject AAsf 3.0 3.75 4. 5
the portfolio to localized economic Asf 2.25 3.0 3.5
BBBsf 1.75 2.25 2.75
shocks and more volatile behavior BBsf 1.5 1.75 2.25
as a result. Bsf 1.1 1.25 1.5
 Quality and volatility of historical

data. Limited data history and
volatile performance give rise to concerns regarding the consistency of the origination and
servicing process. Fitch may apply higher stresses to such portfolios, in rare cases above
the higher end of the listed range. Conversely, if historical data are consistent and include a
period of economic downturn, lower stresses within the range would likely be warranted.
 Originator/key third-party assessment. Originators and servicers have a key role in the
ongoing performance of credit card portfolios. All being equal, a demonstrable stable track
record may cause Fitch to assign stress levels at the lower end of the range. Strong
competitive pressure or weak governance and procedures may be reasons for Fitch to assign
stresses towards the higher end.
 Collateral type and cardholder characteristics strongly determine how portfolio performance
will deteriorate in a stressed scenario, i.e. behavioral shift from transactor to revolver, degree of
financial distress among remaining customers, and a changed card value proposition.
Securities rated ‘AAAsf’ generally

withstand scenarios in which one in Charge-off Stresses
(x, Multiples to Steady States)
three or four cardholders is defaulting. Rating level Lower Median Higher
For the ‘AAAsf’ rating category AAAsf 3.5 4.5 5.5
AAsf 3.0 3.75 4. 5
example on page 18, a multiple of Asf 2.25 3.0 3.5
4.50x is applied to the 7% charge-off BBBsf 1.75 2.25 2.75
BBsf 1.5 1.75 2.25
assumption, which creates a model
Bsf 1.1 1.25 1.5
input of 31.50%.

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Structured Finance
Purchase Rate Stress

The purchase rate is defined as the value of aggregate new purchases divided by the value of
aggregate principal repayments in a given month, expressed as a percentage. A portfolio with
a 100% purchase rate will have a constant principal receivables balance during the note
amortization period. In contrast, a 0% purchase rate is commensurate with a purely amortizing
portfolio and receivables, and the note will amortize in parallel. In a ‘Bsf’ scenario, Fitch
typically assumes a 100% purchase rate; however, stresses are applied in higher rating
scenarios to reflect the risk of a reduced level of purchases.
When considering an appropriate level of stress to apply in each rating scenario, Fitch will have
consideration for the following factors in particular:
Portfolio Composition
The future purchase rate will be exposed to the willingness of the originator to allow ongoing
charging privileges on the credit card accounts. A decision by the originator — whether it is the
original company, the third-party purchaser, or a receiver such as the Federal Deposit
Insurance Corp. in the U.S. — to restrict charging abilities of obligors will have a negative
impact on the purchase rate. Fitch expects that such originator decisions will be driven by
considerations of portfolio risk. In addition, the portfolio credit risk will likely be an important
consideration for any potential acquirers of the credit card accounts in an originator insolvency
event.
Portfolio Transferability
Credit card accounts utilizing universal acquiring networks such as Visa or MasterCard and industry
standard operating systems will be subject to lower purchase rate stresses relative to cards that can
only be used in a limited number of outlets, such as outlet-specific store cards and/or those that
operate on bespoke software systems. While a 100% purchase rate stress, which assumes no
future purchases are permitted, may be applied for store cards, in the case of a universal card it may
be presumed that the cardholders would continue to see benefit in using the card and that portions
of such portfolios could feasibly be transferred to alternative originators. A diversified, high quality
portfolio is more likely to be acquired and maintain ongoing charging abilities than a risky and
less diversified portfolio.
Strength of Originator
The ability of the originator to fund the acquisition of new purchases within the trust while
principal collections for existing receivables are being used to redeem investor notes is a factor
in the originator’s financial strength and diversity in sources of funding. Fitch will apply higher
purchase rate stresses, which create lower effective purchase rates, to lower rated originators.
Portfolios from originators with a broad retail bank franchise and diverse sources of funding will
be assumed to have a greater ability to finance new purchases; therefore, they will be subject
to lower purchase rate stress assumptions.
The purchase rate stress has significant implications from a cash flow modeling perspective.
Assuming all else is equal, a transaction with a full purchase rate stress (i.e. no new purchases
being allocated to the trust) needs more CE to cover shortfalls during a stressed, early amortization
environment. This is because the generation of additional receivables by the trust leads to greater
monthly principal collections in absolute terms, relative to a fully amortizing scenario. Furthermore, in

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Structured Finance
most trusts, principal collections are allocated between the seller and investor interests on a fixed
basis during the early amortization period.
The fixed percentage is established at the onset of the early amortization period and held constant
until the investor interest is paid in full. This is an important structural attribute, as investors benefit
from a larger allocation of principal collections throughout the payout period if receivables are
replenished than they would in a fully amortizing or liquidating pool scenario. Consequently,
continued receivable purchases by a trust facilitate a quicker repayment of the investor note in such
structures.
Counterparty Risks
Fitch’s ratings of credit card ABS transactions include an element of reliance on the financial
strength of certain counterparties, either in the form of operational reliance or through credit
dependency in the form of payment obligations. These parties can include the collection
account bank, servicer, and interest rate swap provider.
To address the issue of counterparty risk, transaction documents typically include structural
mechanics that aim to reduce the reliance on specific counterparties. Counterparty risk is
evaluated based on the type of exposure as well as the counterparty ratings. Fitch applies the
criteria described in its report titled “Counterparty Criteria for Structured Finance and Covered
Bonds,” dated May 2014, available on Fitch’s website at www.fitchratings.com (the
counterparty criteria).
Commingling and Payment Interruption Risk

In credit card ABS transactions, collections from cardholders are typically remitted to the
servicer’s account bank before being transferred to the accounts of the trust. The commingling
period refers to the number of days that collections are held by the servicer or its account bank
before being transferred to the trust accounts.
In an insolvency or bankruptcy event related to the servicer or its account bank, there is a risk
that cardholder collections can be commingled with the funds of the insolvent servicer or
account bank if not fully isolated (commingling risk). In addition, payments to the trust accounts
are likely to be interrupted while alternative payment arrangements are established (payment
interruption risk). Fitch will view a deep servicing market and the use of industry-standard
origination and servicing platforms as positives when determining the timeframe for payment
interruption.
In instances where the servicer and/or its account banks do not meet the minimum rating
thresholds outlined in the counterparty criteria, liquidity support is generally provided to mitigate
the risk of interruptions to the payment of interest for any of the rated notes. For more details,
see Fitch’s counterparty criteria.
Legal Structure and Opinions

As with other ABS transactions, credit card securitizations are structured to isolate the
receivables from the bankruptcy or insolvency risks of the other entities involved in the
transaction. This is typically accomplished by the seller/originator transferring the receivables
(either directly or indirectly, depending on the chosen structure and the type of entity making
the transfer) by means of a true sale or series of true sales to one or more bankruptcy-remote
entities, one of which will ultimately issue the ABS to the investors. For more detail on

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Structured Finance
considerations related to the analysis of SPVs, see Fitch Research on “Global Structured
Finance Rating Criteria,” dated March 2015, available on Fitch’s website at
www.fitchratings.com.
Fitch expects to receive legal opinions confirming that the cash flow derived from the assets (or
any other relevant transaction party such as a swap counterparty) will not be impaired or
diminished. Depending on the legal structure of the transaction, Fitch expects to see opinions
addressing, among other things, (i) the isolation of the assets from the bankruptcy/insolvency
risk of the originator, (ii) the grant of a first priority perfected security interest for the benefit of
the noteholders, and (iii) the tax status of the SPV issuer, either as a tax neutral entity, or if the
SPV issuer is taxable, the nature and amount of such taxes. Opinions provided may vary for
different jurisdictions, and material differences will be noted in the transaction rating report. In
jurisdictions outside the U.S., assignment of security interest may follow different laws as
dictated by local security laws.
Liability Structure
Fitch reviews the liability structure of transactions that are presented by originators and their
arrangers. Fitch identifies risks under different rating scenarios and forms a view on the ability
of given structures to mitigate such risks. The following section outlines standard features of
typical credit card ABS transactions and Fitch’s analytical approach; however, it should be
noted that Fitch does not recommend or approve any particular structural features. Further
details of typical credit card ABS structural features are presented in Appendix 4 on page 30.
Credit Enhancement
The first layer of CE is provided by excess spread. Under certain structures, this may be
accumulated into a spread account to protect one or more tranches of notes. Mezzanine and
senior notes typically benefit from hard CE in the form of subordination or overcollateralization.
CE is often also provided in the form of a cash reserve. Certain structures provide an option to
the originator to apply a discount rate and therefore increase levels of yield and excess spread;
this may support trust performance, but Fitch normally does not assume that such options are
exercised. Master trust structures also feature a minimum seller share; however, this typically
does not provide CE. Fitch will review the relevant CE structure of each transaction and include
it within the agency’s cash flow model.
Excess Spread
The yield on credit cards, which is high relative to other types of consumer receivables, is
usually sufficient to cover investor interest and servicing fees and still make a contribution
towards reimbursing charged-off receivables. Excess spread is mostly reported on a net basis,
after the reimbursement of charge-offs.
In periods of benign performance, excess spread after charge-offs will typically be positive, and
this surplus is either paid to the seller or retained within the trust in a spread account. Negative
excess spread rates after covering charge-offs indicate that the trust is in a state of stress and
that the notes will only be fully paid if they have sufficient hard CE.
Spread Account
Under credit card ABS structures, excess spread may be retained on a monthly basis for the
benefit of the junior note according to predefined performance triggers. However, excess

July 21, 2016
Structured Finance
spread may decline rapidly and may not be able to accumulate sufficient amounts to cover
losses. Therefore, Fitch does not typically give credit to spread account trapping in rating
scenarios above ‘BBB+’.
In evaluating the available CE that a spread account can provide, Fitch assesses the
transaction’s ability to generate excess spread to fund the spread account over a given stress
scenario. The focus is on the rate of change in a stress environment corresponding to the
rating categories of the junior notes.
Funding of the spread account will be established by analyzing historical excess spread
volatility and trigger structure. The amount represents the level of credit enhancement that
Fitch believes can be derived from the spread account. If historical excess spread levels are
low or too volatile, little or no credit will be given to the ability to fund the spread account.
Therefore transactions with the same trigger structures may not have the same CE because of
varying historical excess spread performance.
While historical performance is an important consideration, Fitch is aware the future

performance of excess spread can deviate from history in terms of any factors that can
significantly affect portfolio yield or charge-offs. Therefore, Fitch takes into consideration other
qualitative variables when evaluating spread accounts, such as regulatory changes,
competitive landscape, and economic environment.
In addition, Fitch considers the structural nuances for each individual spread account and
makes qualitative adjustments to the cash flow scenario. For example, additional credit may be
given when the structure is designed with a slow release mechanism in the event of short-term
performance improvements.
During the life of a transaction, a spread account can be funded or unfunded in different
periods. Fitch gives full credit to upfront deposits that are funded regardless of excess spread
levels, but only gives partial credit to a fully funded spread account if the structure allows
immediate cash release on performance improvement, unless the release is to facilitate
commencement of early amortization or acceleration of note payment.
Overcollateralization and Subordination

Receivables in excess of the amount of any given class of notes protect the rated notes against
the risk of defaulted receivables. Typically, losses will be allocated first to lower rated notes.
The allocation of losses and the amortization profile of the senior and junior notes impact the
degree of protection provided.
Cash Collateral Account

A cash collateral account (CCA) is simply an account funded at the outset of the transaction
that can be drawn on to cover certain shortfalls. The availability of a CCA provides liquidity in
the event of servicing disruptions. If cash in the CCAs is invested in short-term securities, Fitch
will assess the counterparty risk associated with this CE.
Discount Option
Certain credit card ABS trusts may elect to use a discount option, which effectively reclassifies
principal receivables collections as finance charge collections as a way to increase portfolio
yield and excess spread.

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Structured Finance
There are two principal methods through which the discount option is typically implemented:
one in which the discount option is applied to all existing principal receivables and another in
which the discount option is applied to new principal receivables that are added or purchased
after a particular date. In either case, Fitch does not give any credit to the discount option if it
does not extend until the full life of the longest dated bond in the issuance trust or the final
maturity date of a series in the master trust.
Seller or Transferor Interest

Credit card trusts typically require the transferor to maintain an ownership interest (referred to
as the transferor’s participation or seller’s interest) in the trust, often in the range of 4%‒7%.
The seller’s share of the trust generally ranks pari passu with the noteholder share; therefore,
this is not available to protect against general asset performance deterioration such as charge-
offs.
However, the seller is typically obligated to reimburse the trust for any losses from fraudulent
transactions, dilutions, or setoff. If the seller needs to reimburse the trust and is unable to use
other sources of funds, then the seller share can be used to cover this. Therefore, Fitch
analyzes the size of these risks relative to the documented minimum level for the seller share.
Note Amortization
Credit card notes often feature a scheduled amortization date and a legal final maturity date. In
the case of transactions with a bullet maturity, the scheduled amortization date may be
preceded by a controlled accumulation period. Fitch’s ratings address the repayment of the
note principal by the legal final maturity date.
Fitch reviews transaction documentation and servicing reports to identify when notes begin to
amortize. Typically amortization commences upon the earlier of a breach of an amortization
trigger or at a predefined date, for example the scheduled amortization date.
Fitch will review transaction-specific documents to identify the extent to which there are triggers
to mitigate the identified risks.
Performance Triggers
Given that the rated notes are exposed to the performance of the underlying assets, most
structures typically include a range of performance-based triggers. Typical performance-based
triggers may include the following:
 Three-month average excess spread falling below zero.
 Three-month average monthly payment falling below a stated level.
 Three-month average delinquency ratio exceeding a stated level.
 Failure to pay principal in full on the scheduled maturity date.
 Seller’s participation falling below a stated level.
 Portfolio principal balance falling below the invested amount.
In Fitch’s opinion, excess spread is the key performance indicator, as it incorporates the
combined impact of yield rates, expense rates, and charge-off rates. A negative development
in either parameter, without a positive offset, will lead to a reduction in excess spread levels.
Negative excess spread occurs when net yield is insufficient to fully reimburse charge-offs,
exposing the trust to a depleting asset base. Therefore, Fitch expects that such an event would
trigger an early amortization of the notes.

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Structured Finance
Structures that feature additional performance-based triggers offer higher protection to the
bonds  for example, triggers on individual performance parameters such as yield, charge-offs,
or the monthly payment rate. The relevance of such triggers would be increased in the scenario
where parameters for certain originators had shown an unstable history or where Fitch has
specific concerns about future performance.
Seller and Servicer Triggers

Given that notes are also exposed to the performance of certain counterparty obligations, early
amortization triggers will often be based on the ongoing performance of such obligations.
Typical triggers are stated below:
 Failure or inability to make required deposits or payments as per the legal documents.
 Failure or inability to transfer receivables to the trust when necessary.
 False representations or warranties that remain unremedied, typically for 60 days.
 Certain events of default, bankruptcy, insolvency, or receivership of the seller or servicer.
Cash Flow Analysis

Fitch’s proprietary cash flow model is used globally to analyze the relevant projected asset and
liability cash flows for the structure. The objective of the analysis is to test the ability of the trust
to use cash collections from a stressed asset pool to make timely interest payments and full
principal repayment in advance of the legal final maturity date for the given notes. The table on
page 18 provides an example of the CE necessary to cover accumulated shortfalls during the
early amortization period for the different rating categories using both fixed- and floating-rate
coupons.
Fitch will model the amortizing phase of the transaction, commencing at the point of scheduled
amortization. In practice, amortization may commence earlier as the result of a breach of a
trigger; however, such a scenario would be less stressful since the maximum permitted
amortization period would be lengthened.
Fitch will customize its cash flow model to incorporate relevant cash flow features, and the use
of a customization will be disclosed in the associated rating report.
The cash flow model is an important consideration in the ratings process. A rating committee
decision to assign a final rating that differs to that indicated by the model may also be based on
structural considerations to limit ratings of subordinate tranches. Most credit card programs are
set up as continuous funding programs based on pre-defined parameters, which typically
include the requirement that any new issuance does not affect the rating of existing tranches.
Sponsors typically set documented enhancement levels to maintain a constant rating level per
class of issued notes and often provide more than the minimum enhancement necessary to
retain issuance flexibility. In such cases, Fitch may decide not to assign or maintain ratings
above the current outstanding ratings in anticipation of future issuances. For avoidance of
doubt, this would not apply where the credit enhancement is insufficient to support the ratings
of the notes.

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Structured Finance
Asset Modeling
The asset structure is intended to represent the receivables cash flows of the trust. Stressed
assumptions for the payment rate, yield and charge-offs are each applied to the beginning-of-
month receivables balance.
The stressed monthly payment rate generates total monthly collections. For receivables with
installment repayments, the monthly payment rate, as a percentage of the beginning-of-month
balance, will increase over time.
The interest element of total collections is calculated by applying the derived stressed yield and
the principal element of total collections is calculated by deducting the interest element from
the total amount of collections.
New purchases are calculated by applying the stressed purchase rate to the amount of
principal collections for the month. The receivables balance for the end of the month is
calculated by taking the beginning-of-month balance, deducting the principal collections and
defaults, and adding new purchases.
Fitch Steady State Stress Scenarios — Example

(%)
Steady State Fitch Stress Scenarios
Variable Assumption ‘AAAsf’ ‘Asf’ ‘BBBsf’ Timing
Yield 17 35 25 20 Down – Overnight
Monthly Payment Rate 12 45 35 30 Down – Overnight
Charge-offs 7 4.5 3 2.25 Six-Month Ramp
Purchase Rate 100 30 20 15 —
Model Inputs
Yield — 11.05 12.75 13.6
Monthly Payment Rate — 6.6 7.8 8.4
Charge-offs — 31.5 21 15.75
Purchase Rate — 70 80 85
Enhancement (Fixed Rate) — 17.5 8.5 5 —

Enhancement (Floating Rate) — 20.5 10.5 6 —
With 100% Purchase Rate Stress

Purchase Rate 100 100 100 100 —
Model Inputs
Yield — 11.05 12.75 13.6
Charge-offs — 31.5 21 15.75
Enhancement (Fixed Rate) — 35.5 24.5 19.5 —

Enhancement (Floating Rate) — 39.5 27.5 21.5 —
The stresses will be applied overnight to yield, payment rate, and purchase rate. The stressed
charge-off rate used to generate monthly charge-off amounts will ramp up to the stressed level
over a six-month period.
Liability Modeling
The liability structure is intended to represent the notes that are the subject of Fitch’s analysis.
Fitch allocates monthly principal collections, interest collections, and charge-offs to the notes

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Structured Finance
based on the relevant fixed- or floating-share allocations. Principal collections are allocated to
redeem the note balance. Interest collections are reduced by servicing fees, note interest
expenses, and charge-offs; during a stressed period, the result can become negative on a
monthly basis. The sum of monthly shortfalls over the amortization period plus unpaid note
balance by the legal final maturity date is compared to the available CE amounts to determine
whether the note is able to withstand the given rating stresses.
Principal collections during an early amortization period are generally allocated on a fixed basis as a
percentage of the invested amount to the receivable balance at the onset of early amortization.
However, finance charge collections can be allocated either on a fixed or floating basis. Fitch
generally gives full credit to the fixed allocation of finance charge collections in cash flow modeling.
For further details see Appendix 4: Trust Types and Master Trust Features on page 30. A fixed
allocation of finance charge collections is favorable to the transaction to the extent new receivables
are being added during the early amortization period. This feature does not provide any benefit if
Fitch determines that new receivables will not flow into the trust, as is the case, for example, for
store cards from small retailers that are likely to file for bankruptcy protection, where the principal
balance of the trust declines in lock step with the amortization of the securitization.
The model allows for the incorporation of a regulated amortization mode, during which the
principal amount allocated to redeem the notes is capped at every payment date for a specified
period. This mode applies to regulated banking institutions in the U.K. If, in Fitch’s opinion, a
regulated entity will not be subject to an orderly wind-down in a stressed scenario, the
1
regulated amortization period may be deemed not to apply .
In case a transaction’s structural features more closely resemble a standard ABS term
transaction, as for example, in certain French credit card transactions, Fitch may utilize a
liability modelling approach, consistent with its Global Consumer ABS Ratings Criteria.
Sensitivity Analysis
In addition to testing whether a note can withstand given rating stresses, Fitch will also use its
proprietary cash flow model to perform sensitivity analysis on a note. The sensitivity analysis
will provide insight into the ability of the note to withstand alternative scenarios with respect to
steady state assumptions. For more details, see Appendix 5 on page 36. Rating sensitivity
results should only be considered as one potential outcome given that the transaction is
exposed to multiple dynamic risk factors. Rating sensitivity should not be used as an indicator
of future rating performance.
Servicing Fees
Fitch models servicing fees in a senior position in its stress scenario. This approach is based
on Fitch’s expectation that a replacement or backup servicer will always command a senior
position during distressed situations. From a ratings perspective, assumptions regarding the
size and priority of servicing fees are important considerations as they influence available cash
flow and ultimate loss coverage. In situations when Fitch believes the stated servicing fee does
1
For a regulated entity in an affected jurisdiction, a purchase rate stress of 100% would de-select
regulated amortisation in the model, since both correspond to the assumption of a disorderly wind-
down of such entity.

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Structured Finance
not adequately cover actual costs, a higher fee is modeled throughout the stressed
environment.
Fitch evaluates the presence of any alternative servicing agreement as per the legal
documents. In some trusts, a third party typically consents to service the portfolio for a
predetermined fee if the original seller/servicer is no longer able to do so or if certain conditions
are breached. Credit for the predetermined fee is based on a review of the backup servicing
agreement, the types and level of servicing to be provided, the transferability of servicing
operations and platforms, and the financial and operational strength of the parties involved.
Depending on the terms of the agreement, any ongoing backup servicing fees would be
modeled out of the trust cash flows.
Interest Rate Risk and Basis Risk

When modeling the interest expense on notes, Fitch takes into account the interest structure of
the notes and models the interest rate environments that will be the most stressful to the rated
notes.
Floating-Rate Notes
Transactions with floating-rate notes are exposed to the risk of increasing market interest rates
as the interest expense burden on the notes is increased. Fitch tests the cash flows in an
increasing interest rate scenario in accordance with the “Criteria for Interest Rate Stresses in
Structured Finance Transactions and Covered Bonds,” dated May 2016, available on Fitch’s
website at www.fitchratings.com.
As credit card transactions are more exposed during the early part of the amortization period,
when note balances are the greatest, Fitch will typically apply the short-term stress, described
in the interest rate criteria, at the beginning of the amortization period.
In such scenarios, the interaction of asset yield rates and market interest rates is a key
consideration. Where yield rates are not directly linked to market interest rates but do contain
flexibility, Fitch considers the ability to re-price the asset yield as described in the Yield
Stresses section. However, the net impact of increasing market interest rates is invariably
stressful to a transaction with floating-rate notes as the asset yield is compressed while the
note expenses are increased. For further details, see the Rating Stresses section on page 8 of
this report.
Fixed-Rate or Swapped Notes

When notes feature fixed interest rates or are swapped by interest rate derivatives, Fitch will
model the contractual rates. Fitch will model a scenario of stable or decreasing market interest
rates to determine whether falling market interest rates are stressful for the transaction, by
lowering asset yield income.
Performance Analytics
The methodology for surveillance is consistent with Fitch’s initial rating approach. Fitch
maintains timely ratings for every Fitch-rated credit card ABS transaction, with the ongoing
surveillance of credit card receivables based on both the current performance of the underlying pool
and an in-depth cash flow analysis of the receivables.

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Structured Finance
Fitch reviews key performance data and pertinent information provided from servicer reports on
each monthly reporting date that detail the trust’s note paydown, asset performance, and
portfolio characteristics. The data are then compared with initial expectations, peer
performance, and trends. Transactions performing within expectations are subject to a full
review at least annually. Deviations from expected levels are researched and if necessary, a
full review will be conducted earlier than the one-year mark.
Due to the nature of the receivables, the impact of external factors on the performance of the
trusts can be pronounced and as such any rating action will incorporate Fitch’s view on the
impact of, among other things, unemployment levels, credit card borrowing, consumer
indebtedness, and insolvency levels on the performance of the securitized assets.
For the purpose of ongoing surveillance, Fitch’s “through-the-cycle” rating approach allows for
highly rated notes in the ‘AAA’ to ‘AA’ categories to experience some amount of multiple
compression during stressful economic periods, to absorb potential performance changes
before warranting a downgrade. This approach reflects the intention that most highly rated
notes remain stable over time and do not generally respond to the evolution of a typical
economic cycle.
Collateral Changes
In accordance with transaction documentation, credit card accounts may be added or removed
from trusts by the originator, subject to any documented conditions. Each addition of accounts
can either positively or negatively affect the composition of the portfolio. Fitch expects to
receive notification and stratification tables of any planned account additions or removals. Fitch
analyzes stratification tables to determine the expected impact on the overall performance of
the asset pool.
When account additions are deemed to be significant in size or comprised of materially

different receivables, for example a different brand or sub-product, Fitch will undertake an
extensive analytical process as per the steps outlined in the Asset Analysis section on page 3
of this report.
Criteria Limitations
This global criteria report describes Fitch Ratings’ methodology for analyzing securitizations of
credit card receivables and may be applied to both international and national credit ratings.
Selectively, it may also apply more broadly to transactions securitizing unsecured revolving
consumer loan receivables, whether they originate from the use of a credit card or not, as long
as they share the key features outlined in this report. These criteria have been designed to
address the risks and characteristics of transactions observed to date. Transactions that fail to
satisfy all elements described in this criteria report may still be ratable if sufficient structural or
other mitigants are in place to address credit risk. Conversely, transactions may include asset-
level, legal, or structural risks that are not addressed by these criteria. In such cases, Fitch may
consider alternative rating approaches, utilize rating caps, or decline to rate a transaction
entirely. Ratings, including Rating Watches and Outlooks, assigned by Fitch are subject to the
limitations specified in Fitch’s Ratings Definitions and available at
https://www.fitchratings.com/site/definitions.

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Structured Finance
Variations from Criteria

Fitch’s criteria are designed to be used in conjunction with experienced analytical
judgment, exercised through a committee process. The combination of transparent criteria,
analytical judgment applied on a transaction-by-transaction or issuer-by-issuer basis, and full
disclosure via rating commentary strengthens Fitch’s rating process while assisting market
participants in understanding the analysis behind our ratings.
A rating committee may adjust the application of these criteria to reflect the risks of a
specific transaction or entity; such adjustments are called variations. All variations will be
disclosed in the respective rating action commentaries, including their impact on the rating
where appropriate.
A variation can be approved by a ratings committee where the risk, feature, or other
factor relevant to the assignment of a rating and the methodology applied to it are
both included within the scope of the criteria, but where the analysis described in the
criteria requires modification to address factors specific to the particular transaction or entity.

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Appendix 1: Originator/Servicer Operation Evaluation

Fitch’s originator/servicer review process analyzes the quality and effectiveness of an
organization’s origination and servicing operations as well as its compliance with stated
guidelines, operational stability, and soundness of internal control procedures. The review
focuses on three principal factors: corporate performance; originations; and servicing using
standard industry benchmarks and qualitative measures.
Fitch conducts an originator/servicer to assign and maintain ratings for credit card issuers. As
part of its surveillance process, Fitch will update the originator/servicer review within 18 months
through on-site reviews, written questionnaires or updates calls.
Corporate Performance
Fitch’s review incorporates an examination of the servicer’s corporate structure (its operating
history, characteristics, stability, and financial condition) to determine the company’s viability
during the length of the transaction. As part of this evaluation, Fitch reviews merger/acquisition
activity, expansion plans, or intentions to exit or scale back specific businesses that could
influence operating performance. Aggressive growth objectives involving portfolio acquisitions
require greater scrutiny of the servicer’s volume capacity and resources as well as integration
planning and execution.
Fitch looks at the experience and tenure of the underwriting and servicing employees on three
levels: senior management; middle management; and core staff. Employee hiring, turnover,
and retention are important issues that are reviewed as is the stability and depth of the
management team. Training and incentive programs are included in the evaluation of an
originator/servicer.
Fitch also reviews an issuer’s corporate risk management infrastructure, considering whether
the system of internal controls in place is consistent with the organization’s size and scope of
operations. Fitch reviews how operational risk is monitored, regulatory risk is managed, and
audit functions (both internal and external audits) are controlled. This includes monitoring of
employee work quality and fraud prevention techniques.
Fitch reviews the origination, underwriting, and loan servicing systems, including the primary
functionality of all systems that are critical to the core origination and servicing functions, such
as solicitation, underwriting, account maintenance, collections, and loss mitigation. Important
factors include integration, automation, and system maintenance. The disaster recovery and
business resumption plans, including data backup routines and maintenance of uninterrupted
power sources, are important considerations.
Origination and Underwriting Operations

Fitch’s originator/servicer review includes an assessment of the account origination process
and strategies. The focus of the originations review is on the ability of the originator/servicer to
devise and execute an approach to originations that is complementary to the company’s core
competencies and strategic objectives. Fitch evaluates the deployment of sophisticated
prospect contact management and methods of soliciting new account holders, including the
use of multichannel methods (such as direct mail, telemarketing, or e-mail) and conversion of
cross-sell opportunities. Important to new account origination is the effectiveness of an

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originator’s customer scoring for campaign targets and the use of internally derived and
externally available credit scores.
Fitch reviews the underwriting operations to determine credit scoring, line assignment, and
pricing methods being used, whether they are customized, and if they are employed effectively
and validated regularly. The ability to incorporate prior program results and vintage data as part
of an iterative process is also evaluated. The credit decision and approval process is a
component of the review.
Fitch reviews the range of credit cards offered by the originator. Fitch analyzes specific aspects
of a particular credit card product that may have performance implications for the pool of
securitized receivables, for example reward programs, low rate offers, and different origination
channels. The findings of this part of the review are incorporated into Fitch’s asset analysis.
Servicing Operations
The credit card ABS servicing functions reviewed by Fitch include account management,
payment processing, customer service, collections, loss mitigation, and recovery operations.
An important aspect of credit card receivables servicing is the controls management has in
place in order to ensure the quality of various servicing functions. In addition, Fitch reviews the
management oversight and review process for each area. If the servicer outsources certain
functions, specifically customer service and collections, Fitch reviews the servicer’s ability to
perform these functions in house and evaluates the quality of outsourcer oversight and controls
in place.
Account Maintenance
Fitch reviews the account management function by looking at several operational areas,
including the following:
 Customer account scoring and scorecard validation.
 Product life cycle management, including account activation, retention, and price/yield
management.
 Authorization effectiveness.
 Credit line management.
Payment Processing
One of Fitch’s main concerns in this area is the efficiency and integrity with which the servicer
handles and posts payments to a borrower’s account. Fitch reviews billing and payment
processing functions by looking at several operational areas, including the following:
 Billing practices and timeliness.
 Payment processing timeliness and controls.
 Lockbox controls and capture rates.
 Exception/manual payment processing.
Customer Service
Since customer service representatives have day-to-day interaction with customers, Fitch places
great importance on the customer service function and reviews the extent to which best practices,
such as conducting borrower surveys and implementing complaint escalation procedures, are
employed. Quality controls and customer service representative monitoring are also important
considerations. Fitch reviews the customer service function by looking at the following:

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 Customer call management.

 Customer correspondence/email management.
 Complaint management.
 Metrics, including average speed of answer and abandonment rate.
Collections, Loss Mitigation, and Recovery

The effectiveness of a servicer’s collection and default management operations is one of the
key determinants of the performance of any ABS portfolio. Fitch reviews the collections, loss
mitigation, and recovery functions by looking at several operational areas, including the
following:
 Contact management strategy and collection techniques, including skip trace efforts.
 Treatment, hardship programs, and loss mitigation efforts, including recidivism.
 Metrics, including delinquent accounts per collector, right-party contact rate, and auto-dialer
penetration rate. Delinquency roll rates and trends are also considered.
 Charge-off and recovery rates.
Fitch recognizes the effectiveness of risk and behavioral scoring techniques to determine
collection strategy and contact methodology — for example, the strategic use of an auto-dialer
and call prioritization through account risk segmentation and assigning quality, tenured
collectors to higher-risk accounts.

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Appendix 2: Credit Card On-Site Review – Sample Discussion Guide

Company and Management Overview
 Company history and organizational structure.
 Credit card division overview and history.
 Company/corporate strategic business plan.
 Historical, current, and projected volumes originated and serviced.
 Outsourced functions and monitoring procedures.
 Internal, external, and regulatory audits.
 Regulatory risk management/compliance/policies and procedures.
Account Origination
 Origination strategy/goals/growth prospects.
 Marketing strategy/goals.
 Application processing, underwriting, approval, line assignment, and pricing.
 Exception underwriting, fraud prevention, and quality control.
 Score card development and application.
Account Maintenance and Servicing

 Credit line management, authorizations, account retention, over limit strategy.
 Cash management process (billing, remittance channels, and exceptions).
 Customer service (calls, internet, correspondence, and dispute handling).
 Customer dispute management.
 Credit bureau reporting.
Collections and Default Management

 Staff development and training; incentives and quality control.
 Outline of collections operations, process, and timeline.
 Collections strategy and evaluation (including use of outsource partners).
 Contact management, including use of auto-dialer and skip tracing.
 Treatment programs and payment plans for loss mitigation.
 Bankruptcy handling and settlement process.
 Charge-off and recovery efforts/rate.
Back up Servicing Expertise

 Servicing portfolio and past experience.
 Capacity.
 Transition plan and servicing agreement structure.
Investor Reporting
 Timeliness and accuracy of reporting.
 Quality of data provided.
Technology
 Technology overview and systems in use.
 System initiatives, operating capacity, and business continuity plan.
Tour of the Facilities/Call Monitoring

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Appendix 3: Credit Card Stress Validation Study: Detailed Findings

and the Fitch Northeast Study
Fitch periodically validates stress scenarios used in its cash flow model. The stresses were
developed by studying the historical observations of credit card performance from 1989‒2006,
which was further validated by an analysis of performance during the 2007–2009 recession.
Fitch’s Northeast Study

In 2006 Fitch conducted a volatility study of credit card performance that considered extreme
movements in yield, MPR, charge-off levels, delinquency levels, and excess spread based on
historical observations from 1989‒2006. The objective was to benchmark and recalibrate
Fitch’s credit card collateral stresses to historical observations. This study examined aggregate
performance as well as performance for the prime, subprime, and retail categories. The dataset
compiled for the validation study contained more than 38,000 observations per variable (i.e.
yield, charge-offs, and MPR) from 123 trusts, including discrete trusts from the early 1990s as
well as more than 800 series issued from various master trusts. The study includes recession
and vintage studies that enable Fitch to formulate stresses to apply to higher investment-grade
ratings despite the lack of actual observations.
This observation window included two national recessions: the 1990 and 2001 national
recessions. Although the 2001 recession was equal in duration to the 1990 recession (eight
months, according to analysis by the National Bureau of Economic Research), it was not as
severe, and the economy did not take as long to recover. Data from the Bureau of Economic
Analysis indicate the U.S. economy took four quarters to exceed its prior peak in the
1990‒1991 business cycle, while it took just one quarter to recover from the 2001 recession.
There was also extensive consolidation among issuers during this period.
To validate the stresses, periods of volatility were analyzed by reviewing time series data for
yield, MPR, charge-offs, and delinquencies. The observations were standardized and rank
ordered, then percentiles were developed and matched up with relevant stress benchmarks for
different rating categories. The highest ranking observations were examined to determine how
far they deviated from descriptive statistics compiled within the trust as well as from the overall
industry. The percentage change of the observations by percentile was compared with current
stresses, which led to a determination that the stresses were both adequate and reasonable.
Portfolio Comparison
(% Change from 1990–1992)
National Northeast
Charge-offs Increased to 5.21% from 3.60% (45.00%) Increased to 6.80% from 3.75% (75.00%)
Monthly Payment Rates Increased to 14.07% from 13.56% (3.75%) Decreased to 12.00% from 13.59% (Negative
11.60%)
Yields Remained Stable at 20.25%–20.75% Remained Stable at 20.00%
Unemployment Increased to 6.76% from 5.16% (31.00%) Increased to 8.25% from 3.25% (250.00%)
Personal Bankruptcy Filings Increased 51.00% Increased 334.00%
Note: For purposes of this comparison, the Northeast includes the following states: Maine, New Hampshire, Vermont,
Massachusetts, Rhode Island, New York, New Jersey, and Connecticut.
Given the low incidence of performance and rating volatility on credit card ABS, potential
default scenarios cannot be constructed using historical performance alone. To create stress
benchmarks, volatility in charge-off rates between the 1990 recession and the 2001 recession
was compared.

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Due to intense competition, underwriting standards were loosened just as the economy began
to slow in 2001. Vintage data show the 2001 vintage is a universally poor performer throughout
the industry. Vintage data from the two recessionary periods were compared, then these data
were compared with those of nonrecessionary periods to simulate the effect that underwriting
changes have as a portfolio withstands difficult economic climates.
Using data supplied by various industry sources, including several national credit card-issuing
entities, Fitch isolated performance statistics for specific regions. Fitch then compared charge-
offs, MPR, and yields specific to these regions during the 1990 recession. These realistic
scenarios are used as a basis for applying lower investment-grade ratings and are scaled up
significantly for higher investment-grade ratings.
Using 1989 as a base year (pre-recession), Fitch determined that the Northeast  defined as
Maine, New Hampshire, Vermont, Massachusetts, Rhode Island, and Connecticut  was the
worst-performing region in the U.S. The information for the comparison was compiled using a
composite credit card portfolio during the 1990 recession.
The dramatic increase in charge-off rates reflected higher personal bankruptcy and
unemployment levels in certain portions of the Northeast. Bankruptcy rates are considered a
significant driver of credit card charge-offs, representing up to 50% of credit card losses.
The national increase in charge-offs was less severe than that in the Northeast due to the fact
that the U.S. as a whole rarely experiences the same level of economic changes as individual
regions concurrently. It is much more typical for the U.S. to experience rolling recessions in
which different areas experience downturns sequentially.
While the study uncovered clear findings in charge-offs and bankruptcies, portfolio yield and
MPR results were not as conclusive. Fitch determined that these variables were affected by
several other factors, specifically competition in the credit card market, increased use of
balance transfers, and the introduction of co-branded cards. As a result, the true effects of
recessionary conditions as they related to MPR and portfolio yield were difficult to isolate.
During this period, several Northeast

regional banks with low investment- Bank of New England Collapse
grade ratings, such as Bank of New Fitch’s Rating Downgrade
Date From To
England, deteriorated into insolvency.
August 1989 Asf BBB+sf
Due to the severity of the recession December 1989 BBB+sf BB+sf
and the corresponding behavior of January 1990 BB+sf CCCsf
January 1991 CCCsf Dsf
credit card charge-offs, Fitch used the
observations of the conditions in the
Northeast and the ensuing credit
issues to develop its ‘BBBsf’ rating category stress scenarios based on historical data.
Performance Testing Since 2007

The table on page 29 illustrates the U.S. prime performance change from peak to trough from
early 2007 to March 2010. During this period, the unemployment rate, which has been highly
correlated with credit card loss rates historically, jumped to 10.0% from 4.6%, and personal
bankruptcy filings increased 82%. Credit card charge-offs increased 2.65x to 11.52% from the
low base of 4.31% in early 2007, while payment rates held steady during the entire period.
Gross yield, excluding the effect of discount receivables, dropped by approximately 10%, which
was mostly driven by the decline of the index prime rate. However, the drop was partially offset
by the card issuers’ re-pricing efforts.

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Portfolio Comparison  US Prime Cards Index

(% Change from 2007–2010)
National
Charge-offsa Increased to 11.52% from 4.31% (2.65x)
Monthly Payment Rates Remained stable at 19.00%
b
Yields Decreased to 16.00% from 18.28% (10.18%)
Unemployment Increased to 10.1% (peak) from 4.6% (2.20x)
a
Personal Bankruptcy Filing Increased 82.50%
a
The bankruptcy filing and charge-offs were artificially low at the beginning of 2007, due to the bankruptcy spike that
b
occurred at the end of 2005. The effect of the discount option is removed from calculation of gross yield. Most of the
yield decrease is driven by the decline of the collateral index prime rate, partially offset by the re-pricing efforts by card
issuers.
The results of these analyses demonstrated that Fitch’s stresses are conservative but not
punitive. The studies validated that stress scenarios, when compared with a confidence interval
derived from historical observations, were comparable with risks addressed by the associated
rating. The scenarios used for yield and MPR were more conservative than actual observed
performance, taking into consideration that more strict regulations will further constrain the card
issuers’ ability to re-price the portfolio, and macroeconomic conditions have the potential to be
more severe than those observed in the course of this analysis.

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Appendix 4: Trust Types and Master Trust Features

Fitch reviews the liability structure of transactions that are presented by originators and their
arrangers. Fitch identifies risks under different rating scenarios and forms a view on the ability
of given structures to mitigate such risks. The following section outlines typical structural
features of credit card ABS; however, it should be noted that Fitch does not recommend or
approve any particular structural features.
Master Trust — Linked Structure

The master trust structure allows issuing entities to sell multiple securities from the same trust,
all backed by the same collateral pool of receivables. The receivables are not segregated in
any way to indicate
which series of Master Trust
securities they support.
Instead, the Credit Card Master Trust
receivables are pooled
such that all the
receivables support all
the securities issued by
Series Series Series
the trust.
To ensure that the Class A Class A Class A

certificate holders’ or
Class B Class B Class B
noteholders’ invested
amount is always fully CIA CIA CIA
invested in credit card
receivables, the size of Source: Fitch. Transaction document.
the seller’s participation CIA - Collateralized invested amount.
must remain at or above a minimum percentage of the trust receivables balance. The seller’s
participation does not provide CE for investors, as it is allocated a pro rata share of collections
and losses and is not available to cover principal shortfalls. Furthermore, it is only allocated
excess finance charge cash flows from the receivables pool after payment of the investor
coupon, the collateral pool servicing fee, charge-offs, and other trust expenses. For trusts that
do not require a minimum seller or transferor interest, additional CE is built into the transactions
to cover fraud and dilution risk.
The seller is obligated to add credit card accounts to the trust if the amount of its participation
falls below the required minimum. If the seller cannot provide additional accounts, early
amortization will occur. Before a material account addition (generally defined as a single
increase of more than 20% or a series of increases exceeding 15% over three months) is made,
Fitch reviews the collateral composition of the pool and compares it to the composition at the
time CE levels were established. Furthermore, most master trusts permit the random removal
of accounts and their associated receivables from the trust, subject to rating agency review.

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Owner Note Trusts

The owner trust for the class C notes was developed for placement of what is commonly the
most subordinated class of debt in credit card ABS, the collateral invested amount (CIA). This
structure
transfers cash Issuance Trust
flows allocated
to the CIA to an
Credit Card Master Trust
owner trust,
which
subsequently
issues notes
Series Series Series
supported by its
interest in these
Class A Class A
cash flows.
Collateral
Class B Class B
Further Certificate
enhancements
CIA CIA
to the owner
trust structure
Credit Card
enabled issuers Notes
Owner Trust
to create class A,
B, and C notes. Collateral Class Class Class
Certificate A-1 A-2 A-3
A collateral
certificate was Spread Class Class
Account B-1 B-2
issued by the
master trust to
Class Class Class
an owner trust, C-1 C-2 C-3
and the
underlying cash Spread Account
flows were
Source: Fitch. Transaction document.
allocated to CIA - Collateralized invested amount.
different
tranches. This structure was later refined by establishing a new master owner note trust to
issue notes directly without the need for the two-step transfer.
Issuance Trusts (De-Linked)

An issuance trust is a de-linked master trust structure, meaning that each class can be sold
independently and can have different terms, maturities, and coupons.
Most structures enable issuance of both traditional, match-funded A, B, and C notes and
independently issued senior and subordinate notes with unmatched maturities. By employing
the latter multiple issuance series paradigm, issuing entities can manage financing
opportunities more effectively by strategically tapping pockets of investor demand across
ratings.
One of the unique features embedded in the multiple issuance series technology is that all the
subclasses of subordinated notes support the senior classes of that series (i.e. a multiple
issuance series uses cross-collateralization). Although notes can be offered on any date,

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senior notes may only be offered if the required subordinate amount, as outlined in the
transaction’s legal documents, is available at issuance, without regard to the expected maturity
of the subordinated notes. Therefore, subordinate notes, which support the senior notes, could
have an expected principal payment date prior to the expected principal payment date for
senior notes. In such instances, replacement subordinate notes need to be issued before
repaying the maturing subordinate notes.
If replacement notes are not issued prior to the subordinated notes’ expected payment date,
the allocated principal collections will be deposited into a principal funding account designated
for the senior notes they support until the senior notes become fully funded. This ensures
protection remains in place for senior noteholders and may result in the subordinate notes
being repaid later than expected. Timing of repayment of the subordinate notes under this
scenario depends on the principal payment rate at that time. Fitch is comfortable with this
mechanism, as it enables timely payment of interest and principal by each note’s legal final
payment date under a stressed environment commensurate with the highest ratings assigned.
Master Trust Features

Credit card ABS master trusts generally are described as either socialist or nonsocialist,
depending on cash flow allocation mechanics. Generally, socialist trusts allocate collections
and shortfalls across the trusts based on the combined needs of all series. Nonsocialist trusts
allocate based on each series’ pro rata share. Either type of master trust may be set up with
one or several reallocation groups. Most trusts have only one group, in which all series are
included. Depending on the structure of the trust, series within the same group may share
principal and/or excess spread, have the ability to discount, or fix allocations of finance charges.
Principal Sharing
For all series in the same group, the trust allows distribution of excess principal collections to
any series in its accumulation or amortization period. Since a series in its revolving period has
no principal payment requirements, principal collections allocated to that series are available
for reallocation. In addition, principal collections in excess of a series’ controlled amount are
available for reallocation. The principal reallocation feature provides investors with more
assurance of timely principal repayment, with no additional risk to other series.
Excess Spread Sharing

There are several ways excess spread is shared within a series of a group. Some groups may
be set up as socialized groups, whereby finance charge collections are allocated to each series
based on need. The interest expense for all series in the group will be the weighted average
expense for each series. Thus, the highest coupon series will receive the largest allocation,
and the lowest coupon will receive the smallest allocation. The excess spread for each series
will be the same, since each has the same coupon expense. In effect, socialized groups or
trusts share excess spread at the top of the cash flow waterfall. Citibank Credit Card Master
Trust, Citibank Issuance Trust, and Chase Issuance Trust (formerly known as Bank One
Issuance Trust) are examples of socialized trusts.
Other trusts allocate finance charge collections, on a pro rata basis, based on size. Thus, each
series will receive the same proportionate amount of finance charges, and the series with the
lowest coupon expense will have the largest amount of excess spread. This amount will be
available for reallocation to other series, particularly high coupon series, if its excess spread is
reduced to zero.

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Variable Funding Notes

Some credit card trusts have the ability to enter into variable funding notes (VFNs) with large
banks and/or asset-backed commercial paper conduits. VFNs derive their name from the
variable nature of their balances, which may fluctuate depending upon the borrowing needs of
the issuer (the credit card trust). VFNs typically have a stated maximum commitment amount
that caps the amount that an investor could be called upon to advance to the issuer. Fitch’s
approach to analyzing a VFN is consistent with that of a term transaction. Rather than gauging
credit enhancement on the fluctuating balance, Fitch looks to the maximum commitment
amount when evaluating the sufficiency of available credit enhancement.
Allocations of Cash Flows

Regardless of whether the trust is a standalone or master trust, the same general payout
structures are used for credit card securitizations.
The typical transaction structure has three different cash flow periods — revolving, controlled
accumulation or amortization, and early amortization. Each period performs a distinct function
and allocates cash flows differently. This payment structure is designed to mimic a traditional
corporate bond in which interest payments are made every month and principal is paid in a
single bullet payment on the maturity date. In the revolving period, interest is paid while
principal payments are used to purchase new receivables. In the controlled accumulation or
controlled amortization period, interest is paid, and a defined amount of principal collections are
directed to a designated account or paid directly to the investor each month for the duration of
the period. In the early amortization period, interest and principal are paid typically in a turbo
scenario with principal being distributed sequentially.
Collections on the receivables are categorized as either finance charges or principal collections.
In each of the three periods, finance charges are typically allocated on a floating basis as a
percentage of the current invested amount to the receivables balance. Monthly finance charge
collections are used to pay the investor coupon and servicing fees as well as to cover any
receivables that have been charged off in the month. Any income remaining after paying these
expenses is commonly referred to as excess spread and released to the seller. However,
principal collections are allocated differently during each of the periods.

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Revolving Period
During the revolving period, finance charge collections are used to cover trust expenses
(charge-offs, bond coupons, and servicing fees), and principal collections are used to purchase
new receivables generated in the designated accounts or a portion of the seller’s or transferor’s
participation, if there are no new receivables. If the available amount of new receivables is
insufficient to maintain the necessary balance, early amortization would be triggered, as the
seller’s or transferor’s participation would have fallen below the required minimum amount. In
some cases, excess principal collections would be deposited in an excess funding account and
held until the seller or transferor can generate more credit card receivables. The risk of early
amortization induces the seller/transferor to maintain its participation at a level above the
minimum. The revolving period continues for a predetermined length of time, which has
typically ranged from twofive years.
Controlled Amortization or Controlled Accumulation

At the end of the revolving period, the controlled amortization or controlled accumulation period
begins. In the case of controlled amortization, which typically runs for 12 months, principal
collections in an amount equal to one-twelfth of the invested amount are no longer reinvested
each month but are paid to investors on a predetermined schedule. Some series may have
longer or shorter controlled periods and, thus, may have smaller or larger controlled
amortization payments. Any principal collected in excess of the controlled amount will be
reinvested in new receivables, as in the revolving period. Interest will be paid only on the
outstanding amount of securities as of the beginning of the monthly period.
Controlled accumulation follows a similar procedure, except that the controlled payments are
deposited into a trust account, or principal funding account (PFA), every month and held until
the expected maturity date. This feature is referred to as a soft bullet payout. At the end of the
accumulation period, the full invested amount will have been deposited into the PFA, and
investors will be repaid their principal in a single payment on the expected maturity date. Funds
deposited into the PFA will be invested in short-term, highly rated investments.
Because the interest earned on these investments is likely to be less than the note coupon (i.e.
negative carry), reserve accounts are typically funded prior to the start of the accumulation
period. If funds in the PFA lag behind the controlled accumulation schedule and are insufficient
to repay investors on the expected payment date, principal will continue to be passed through
to investors until the legal final maturity date, at which time the trust would sell the remaining
receivables to pay investors, if necessary.
The length of the controlled accumulation period varies and can usually be reduced to one
month if it passes a predefined payment rate test which, using recent performance, determines
whether enough principal will be collected in the month to make full payment to the investors.
Fitch also considers what additional obligations may become due during that period to ensure
cash flow is adequate to meet demand. Interest payments will be made each month on the
total invested amount. With this structure, investors will continue to receive only interest
payments throughout the accumulation period.
Early or Rapid Amortization

Early amortization is a common structural feature in credit card ABS. Typically, if predefined
early amortization or payout events are breached, the transaction automatically enters an early
or rapid amortization period and begins to repay investors immediately before the expected

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Structured Finance
payment date. Common early amortization triggers include breaches of representations and
warranties by the seller/servicer, failure of the seller/servicer to transfer receivables to the trust
when necessary, and certain events of default, bankruptcy, or insolvency of the seller or
servicer.
Early amortization also may be caused by collateral performance events tied to excess spread,
credit losses, or MPR. The most common of these is an excess spread or base rate trigger,
whereby a transaction enters rapid amortization if the three-month average excess spread falls
below zero. While excess spread generally is defined as series portfolio yield minus expenses
(i.e. finance charge and fee collections minus interest expenses, allocated charge-offs,
servicing and administration fees, and net derivative payments), it may differ slightly across
trusts due to the ability to incorporate shared excess spread in this calculation.
Severe asset deterioration, problems with the seller/transferor or servicer, or certain legal
troubles can trigger early amortization at any point during the transaction’s life, whether it is
revolving, amortizing, or accumulating. In such cases, the transaction automatically enters the
early amortization period and begins to repay investors immediately, although earlier than
expected, or in limited circumstances later than expected. All principal collections and any
amounts in the PFA are to be distributed to investors, with senior certificates or notes being
paid off first. Principal distributions are to be made to subordinate note investors only after
senior note investors are fully repaid. Principal collections during an early or rapid amortization
period are allocated on a fixed basis as a percentage of the invested amount to the receivables
balance at the onset of early amortization. This original fixed percentage is held throughout
early amortization until all classes have been repaid.
Regulated Amortization
Specific to certain U.K. credit card trusts, the length of the amortization period may be subject
to a regulatory minimum, as specified in the relevant trust documentation. A resulting
amortizing period typically follows the breach of a performance-based early amortization trigger
and has the impact that the amortization is extended over a minimum period of time, for
example 12 or 18 months, regardless of the ability of cash flows to support a quicker
amortization. The purpose of the structural feature is to reduce any potential liquidity stress on
an originator in the event a master trust is subject to early amortization.
Fixed Allocation of Finance Charges

This feature permits a larger percentage of finance charge collections to be allocated to
investors after an amortization event, when cash is needed most. After an event is triggered, a
portion of the seller’s share of finance charge collections will be made available to cover
shortfalls in interest or servicing expense (or charge-offs) in the investors’ share. For example,
if the seller’s interest totaled 10% when early amortization was triggered, 90% of finance
charge collections would be allocated to the investor interest until it was repaid in full. In
transactions without this feature, investors receive their pro rata share of finance charge
collections throughout the payout period. Cash flow simulations show that this overallocation of
finance charges provides a significant amount of support even under stressful scenarios, thus
reducing overall CE needs.

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Structured Finance
Appendix 5: Rating Sensitivity

This section of the report is intended to provide greater insight into the model-implied
sensitivities of the ratings given a set of stressed risk factors. These sensitivities only describe
the model-implied impact of a change in the input variables. Fitch will analyze the rating
sensitivity of the notes, to collateral performance outside of initial expected levels, for every
credit card ABS transaction as prescribed in this criteria report. The approach considers
multiple stress scenarios, each resulting in declines of loss coverage levels available to the
notes. As a result, certain note ratings may be susceptible to potential negative rating actions,
depending on the extent of the decline in coverage.
A rating action on an existing transaction depends on the degree of charge-offs, compression in the
level of loss coverage relative to expected losses (multiple compression), and consideration of other
qualitative and quantitative factors at the time of the analysis. In conducting the sensitivity analysis,
Fitch examines the magnitude of multiple compression by modeling expected cash flows against the
available CE for each class of notes using inputs that are stressed relative to the initial steady state
assumptions. Rating sensitivity results should only be considered as one potential outcome given
that the transaction is exposed to multiple dynamic risk factors. Rating sensitivity should not be used
as an indicator of future rating performance.
Fitch Steady State Stress Scenarios  Example

(%)
Steady State Fitch Stress Scenarios
Variable Assumption ‘AAAsf’ ‘Asf’ ‘BBBsf’ Timing
Purchase Rate 100 30 20 15 —
Model Inputs
Yield — 11.05 12.75 13.6
Charge-offs — 31.5 21 15.75
Enhancement (Fixed Rate) — 17.5 8.5 5 —

Enhancement (Floating Rate) — 20.5 10.5 6 —
Rating Sensitivity to Shifts in One Factor
Rating Sensitivity to Shifts in Multiple Factors

Fitch’s sensitivity analysis consists of
Rating Sensitivity to Increased
stressing a transaction’s initial steady
Default
state assumption and examining the Steady State Class A Class B Class C
rating implications on all classes of Original Rating AAAsf Asf BBBsf
Increase Steady State by AAAsf Asf BBBsf
issued notes. As an example, in the 25%
tables on the right, on this page and Increase Steady State by AAAsf/AAsf Asf/BBBsf BBsf
50%
the next, 25%, 50%, and 75% Increase Steady State by AAsf BBBsf BBsf
increases of steady state charge-offs 75%
represent mild, moderate, and severe
stresses, respectively. As illustrated in the Rating Sensitivity to Increased Default table, when
there is a 75% increase of steady state charge-offs, the credit enhancement available to the
class A note is able to support a charge-off stress commensurate with an ‘AAsf’ rating level,

July 21, 2016
Structured Finance
rather than an ‘AAAsf’ rating level. (In Rating Sensitivity to Reduced

cases when the loss coverage multiple
Purchase Rate
is on the cusp of two rating categories, Steady State Class A Class B Class C
Fitch will display both in the rating Original Rating AAAsf Asf BBBsf
Reduce Purchase Rate by AAsf Asf/BBBsf BBBsf/BBsf
sensitivity table.) 50%
Reduce Purchase Rate by Asf BBBsf BBsf
Alternatively, the rating sensitivity 75%
Reduce Purchase Rate by BBBsf Bsf Csf
analysis also consists of stressing a 100%
single variable to a degree to which the
rating would be reduced: by one full
category; to non-investment-grade; and Rating Sensitivity to Increased
to ‘CCC’. To achieve the rating result, Default and Reduced MPR
Fitch models cash flows by first Steady State Class A Class B Class C
Original Rating AAAsf Asf BBBsf
stressing the steady state charge-offs Increase Defaults Steady State AAsf Asf/BBBsf BBBsf/BBsf
while holding all other modeling by 25% and Reduce MPR Steady
State by 15%
assumptions constant such as yield, Increase Defaults Steady State Asf BBBsf BBsf
MPR, and purchase rate, to a level by 50% and Reduce MPR Steady
State by 25%
where a rating action is likely to be Increase Defaults Steady State BBBsf BBsf Bsf
by 75% and Reduce MPR Steady
taken. Secondly, to reduce the rating of
State by 35%
a note that is rated ‘AAAsf’ by one
category to ‘AAsf’, the yield, MPR, and
purchase rate stresses commensurate
Rating Sensitivity to Increased
with the ‘AAsf’ rating are applied,
Default
suggesting an increase in the steady Steady State Class A Class B Class C
state default rate of up to 2.0x, or Original rating AAAsf Asf BBBsf
Increase in Steady State Default 2.0x 2.1x 1.9x
100%. Such an increase in the steady to Reduce the Rating by One
state default will likely result in the Category
class A notes being considered for a to Reduce the Rating to Non-
potential downgrade to the ‘AAsf’ rating Investment Grade
category. to Reduce the Rating to CCCsf

July 21, 2016
Structured Finance
Appendix 6: Card Types

The collateral supporting credit card ABS consists of receivables generated through customer
purchases and, in some cases, cash advances. Credit card ABS typically falls into one of two
categories  general purpose credit card ABS or retail credit card ABS.
General Purpose Cards

General purpose credit cards are accepted for payment at any type of merchant. Visa- and
MasterCard-affiliated credit card receivables represent the majority of outstanding general
purpose credit card ABS. Visa and MasterCard do not issue credit cards directly to consumers
but function as associations supporting member banks that issue the credit cards.
Discover and American Express are the only other significant issuers of general purpose credit
cards to successfully penetrate the U.S. market without relying on Visa or MasterCard
associations. The barriers to entry are high due to significant start-up costs for building and
maintaining a payment network and intense competition across the credit card spectrum.
Affinity Cards
Affinity programs target members of groups sharing common interests. For example,
associations of medical professionals, fans of auto racing, or university alumni are able to have
the logo of their association, a picture of their favorite driver, or their school seal on their credit
card. This group bond builds card loyalty. Bank of America is one of the largest issuing entities
of affinity cards.
Co-Branded Cards
Many companies, especially automobile manufacturers, airlines, and retail companies, have
allied with card-issuing banks to jointly market cards. The intent is to promote the company’s
product and increase receivables for the bank. These co-branded cards reward the cardholder
for usage. The rewards may be rebates on new car purchases, free airline tickets, or future
discounts at a long list of retailers. This program also provides an incentive for cardholders to
pay their bills on time, since the reward benefits may be revoked if the cardholder becomes
delinquent. Several joint ventures in the co-branded arena include HSBC and General Motors
Corp., Citibank and American Airlines, and JPMorgan Chase & Co. and Continental Airlines.
Each program has different arrangements for expense and revenue sharing.
Secured Cards
These cards are offered to those on the lower tier of the credit spectrum. As collateral for
payment under a secured card, the cardholder typically is required to provide cash or a money
order equal to all or a portion of the available credit limit. If the secured credit card account
becomes delinquent and conventional collection efforts fail, the issuing entity may draw on the
deposit to satisfy the accountholder’s payment obligations. These cards generally feature lower
credit lines, lower balances, higher APRs, and higher gross charge-offs than cards offered to
more creditworthy borrowers.

July 21, 2016
Structured Finance
Retail Cards
Retail card ABS includes both store credit card issuers and private label credit card issuers.
Store credit card issuers are retailers that administer their own credit card programs, while
private label issuers are companies that administer credit card programs on behalf of retailers.
Although most retail stores offer their customers the choice of using a general purpose credit
card or the retailer’s own card, an advantage to cardholders of retail cards is that available
credit on the customers’ other cards is not used up, allowing cardholders to compartmentalize
their debt burden. For example, a consumer might use a Sears card to purchase a new
refrigerator and pay it off evenly over time without using up available credit on a general
purpose credit card. The retailer benefits by building customer loyalty and increasing the
profitability of its lending operation.
Dual Cards
Several private label card issuers have launched a program offering dual cards that combine
the features of a private label card and a general purpose bank card. Like a co-branded card,
the dual cards are branded and marketed in conjunction with a retailer yet also linked to a
credit card association (i.e. Visa, MasterCard, American Express, or Discover). However, the
dual card is structured such that a portion of the credit line is designated for exclusive use at a
retail partner, while use of the remainder of the credit line is unrestricted. Some issuers
recognize that an integrated approach to customers through issuance of a dual card could
potentially generate higher purchase volume and lead to integrated promotions, underwriting,
and customer services as well as sustained customer loyalty. Additionally, dual cards offer
retailers greater access to customer spending and payment behavior (for instance, shopping at
its competitors), which could improve their ability to customize marketing strategies.

July 21, 2016
Structured Finance
Appendix 7: History of Early Amortization

Calculation of Static Loss Assumption
Description Example Value (%) Source
Annual Charge-offs 11.00 Steady State Assumption
Annual Yield 14.50 Steady State Assumption
Monthly Payment Rate 13.50 Steady State Assumption
Monthly Charge-offs 0.92 = 11% / 12
Monthly Yield 1.21 = 14.5% / 12
Monthly Principal Payment Rate 12.29 = 13.5% ‒ 1.21%
Static Loss Assumption 6.94 = 0.92% / (0.92% + 12.29%)
In the history of U.S. credit card securitization, the eight public transactions that have triggered
early amortization events were issued by Chevy Chase FSB, Conseco Private Label Master
Note Trust, First Consumers Credit Card Master Note Trust, Next Card Master Note Trust,
Spiegel Master Trust, Southeast Bank, Republic Bank (Delaware), and most recently Advanta
Business Card Master Trust. Outside the U.S., there was one public transaction in Korea that
triggered early amortization in 2003.
In the Chevy Chase transaction, investors voted to waive the base rate trigger event (set at a
three-month excess spread of 2%), and the transaction continued to operate as normal, albeit
with a thin margin of excess. The securities were repaid as originally scheduled, and no
investor suffered a loss.
On Dec. 19, 2002, Conseco Finance Corp. filed for bankruptcy court protection, causing the
trust to enter into early amortization; in June 2003, Mill Creek Bank Inc., the seller, defeased
the transaction, and investors were paid in full.
First Consumers Credit Card Master Note Trust entered early amortization in March 2003 due
to a breach of the base rate trigger, and in June 2003 servicing of the portfolio was transferred
to First National Bank of Omaha; the series 2001-A notes were paid out in 2007 with the
$63 million class B sustaining a $13 million loss. All other classes were paid in full.
NextCard Master Note Trust transactions were not rated by Fitch. In both the Southeast Bank
and Republic Bank transactions, early amortization began, and investors were repaid without a
loss but earlier than they had expected.
While backed by finance contracts but not considered a typical credit card transaction, Heilig-
Meyers Master Trust was structured similarly to a credit card securitization and entered into
early amortization in August 2000. After a transfer of servicing and the closing of its entire store
base, the portfolio experienced severe deterioration, as significant payment volume had been
observed at the stores rather than through the mail. Fitch lowered the ratings on the transaction
to non-investment-grade levels six months into the payout period. In December 2002, Fitch
lowered all ratings to ‘D’, to reflect the expectation that investors would not be repaid.
Recoveries were less than 50%.
Advanta Business Card Master Trust, which was not rated by Fitch, entered early amortization
in May 2009 when three-month average excess spread fell below zero. As of May 31, 2011,
class A notes had been paid in full. Class B, still receiving principal payment, expects to
experience some writedown, while class C and class D notes had been written off from their
respective principal balances.

July 21, 2016
Structured Finance
Plus One Ltd., a Korean credit card ABS transaction originated by Kookmin Credit Card,
breached a trigger for early amortization in June 2003 when its three-month rolling average 90-
day-plus delinquency reached 4.425%. The notes were paid in full within two months thanks to
their high MPR, which averaged more than 50%.

July 21, 2016
Structured Finance
Appendix 8: Credit Card ABS Data Summary

The following outlines key data that Fitch utilizes in order to apply the analysis discussed in this
criteria report. In the absence of specific data, the agency will determine the availability of
proxy data and the applicability of the rating criteria on a case-by-case basis. Any specific data
shortages and any data adjustments will be highlighted in Fitch‘s transaction rating reports.
1) Historic Portfolio Performance Data 2) Portfolio Characteristics/Stratifications

Minimum 5 years. Stratification of current outstanding portfolio,
showing distribution and weighted average of the
If portfolio is composed of sub-pools, following factors:
separate a) Number of accounts.
analysis by these categories is preferable. b) Account balance.
a) Vintage/dynamic receivables balance. c) Account age.
b) Dynamic annualized charge off data. d) Interest rate stratification.
c) Vintage charge-off by year/quarter of e) Delinquencies.
origination f) Minimum payment rate.
(by product if applicable) and by account g) Geographic breakdown.
number and volume. h) Credit limit.
d) Vintage recoveries by year/quarter of i) Probability of default (PD), loss given default
default. (LGD) and exposure at default (EAD).
e) Vintage analysis of delinquency j) Product type.
(30+/60+/90+)
by year/quarter of origination and by 3) Borrower Profile/Underwriting Criteria
account a) Obligor demographics  average age,
number and volume. household
f) Delinquency roll-through rates. income years employed, etc.
g) Vintage/dynamic analysis of yield – b) Debt to income ratios.
split by c) Products including interest free terms, credit
finance charge, fees, interchange etc. limits, etc.
h) Vintage/dynamic analysis of payment d) Credit scoring/underwriting process.
rates.
i) Vintage/dynamic analysis of purchase 4) Performance Projections
rate. a) Growth rate.
j) Historical performance of accounts by b) Charge-offs.
credit c) Delinquencies.
score. d) Monthly payment rates.
k) Frauds and dilutions. e) Attrition.
l) Finance charge versus non-interest
income 5) Industry Data
m) Vintage/dynamic bankruptcy and IVA a) Historical delinquency and charge-off figures.
incidence. b) Recent and future trends within credit card
n) Set-off exposure. market.
o) Sub-portfolio performance data for any c) Positioning of originator within market.
debt
management programs.
p) Balance transfer incidence.

July 21, 2016
Structured Finance
Useful Definitions
Static Pool: A group of loans that have a common defining characteristic, e.g. period of
origination or period of default, against which performance can be measured.
Dynamic: The analytical approach by which one current portfolio factor is measured against
another current factor, e.g. the current month’s gross charge-offs measured as a ratio of the
current month’s portfolio balance.
Probability of Default: An estimated probability of a single cardholder defaulting on their

agreement.
Exposure at Default: An estimation of the total loss on an account at the point of default (i.e.
ignoring recoveries).
Loss given Default: An estimation of the net loss on an account following default and
recoveries.

July 21, 2016
Structured Finance
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Global Credit Card ABS Rating Criteria

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Structured Finance

Asset-Backed Securities / Global

Global Credit Card ABS Rating Criteria

Inside this Report Scope

www.fitchratings.com July 21, 2016

Historical Performance Data

Global Credit Card ABS Rating Criteria 2

Originator/Servicer Operational Analysis

Fitch’s originator/servicer review process determines the quality and effectiveness of an

Global Credit Card ABS Rating Criteria 3

Setting Steady State Assumptions

Global Credit Card ABS Rating Criteria 4

If changes in macroeconomic conditions, business practices, credit policy, or legislative

Portfolio Yield Rate

Global Credit Card ABS Rating Criteria 5

Global Credit Card ABS Rating Criteria 6

Purchase Rate and Receivables Balance

Debt Management Programs

Global Credit Card ABS Rating Criteria 7

Asset Migration Risk

Global Credit Card ABS Rating Criteria 8

Global Credit Card ABS Rating Criteria 9

Payment Rate Stresses

 The level of repayment among remaining cardholders is an essential consideration in times

The range of stresses is applicable to a large majority of Fitch-rated transactions globally.

Global Credit Card ABS Rating Criteria 10

 Quality and volatility of historical

Securities rated ‘AAAsf’ generally

Global Credit Card ABS Rating Criteria 11

Purchase Rate Stress

Global Credit Card ABS Rating Criteria 12

Commingling and Payment Interruption Risk

Legal Structure and Opinions

Global Credit Card ABS Rating Criteria 13

Global Credit Card ABS Rating Criteria 14

While historical performance is an important consideration, Fitch is aware the future

Overcollateralization and Subordination

Cash Collateral Account

Global Credit Card ABS Rating Criteria 15

Seller or Transferor Interest

Global Credit Card ABS Rating Criteria 16

Seller and Servicer Triggers

Cash Flow Analysis

Global Credit Card ABS Rating Criteria 17

Fitch Steady State Stress Scenarios — Example

Enhancement (Fixed Rate) — 17.5 8.5 5 —

With 100% Purchase Rate Stress

Enhancement (Fixed Rate) — 35.5 24.5 19.5 —

Global Credit Card ABS Rating Criteria 18

Global Credit Card ABS Rating Criteria 19

Interest Rate Risk and Basis Risk

Fixed-Rate or Swapped Notes

Global Credit Card ABS Rating Criteria 20

When account additions are deemed to be significant in size or comprised of materially

Global Credit Card ABS Rating Criteria 21

Variations from Criteria

Global Credit Card ABS Rating Criteria 22

Appendix 1: Originator/Servicer Operation Evaluation

Origination and Underwriting Operations

Global Credit Card ABS Rating Criteria 23

Global Credit Card ABS Rating Criteria 24

 Customer call management.

Collections, Loss Mitigation, and Recovery

Global Credit Card ABS Rating Criteria 25