(The following statement was released by the rating agency)FRANKFURT/LONDON, March 25 (Fitch) Fitch Ratings has affirmed Swiss Credit Card Issuance's notes, as follows:EUR351.1m No.1 Ltd. - Class A notes: affirmed at 'AAAsf'; Stable OutlookEUR11.5m No.1 Ltd. - Class B notes: affirmed at 'Asf'; Stable OutlookEUR7.4m No.1 Ltd. - Class C notes: affirmed at 'BBBsf'; Stable OutlookEUR189.8m No.2 Ltd. - Class A notes: affirmed at 'AAAsf'; Stable OutlookEUR6.2m No.2 Ltd. - Class B notes: affirmed at 'Asf'; Stable OutlookEUR4m No.2 Ltd. - Class C notes: affirmed at 'BBBsf'; Stable OutlookSwiss Credit Card Issuance is a programme created in June 2012 to issue note series collateralised by Swiss consumer credit card receivables originated by Credit Suisse AG (CS, A/Stable/F1). Both series were issued within the programme's linked note issuance structure. KEY RATING DRIVERSSince its creation the programme has shown stable performance that is in line with or better than Fitch's expectations. Sixty-180 days delinquency rates were 0.9% as of end-February 2014, significantly lower than in comparable transactions in the UK. A favourable economic environment has supported programme performance, leading to fairly low charge-off rates since closing, with a current figure of 1.45%, based on the latest investor report. Average monthly payment rates (MPR) in the programme since closing have been above 65%, in line with historically high rates in the originator's books as most customers pay off the credit card balance every month. Portfolio gross yields have been above Fitch's expectations as well. Fitch's outlook for the Swiss economy is stable, with accelerated growth throughout 2014. Unemployment is expected to remain around 3% which is the lowest among European peer countries. The economic environment is expected to be supportive for the programme in that no performance deterioration is expected. This is reflected in the Stable Outlook for the notes. As CS is one of the largest commercial banks in Switzerland, numerous credit card customers hold deposits with the bank. This gives rise to potential deposit set-off claims by customers in case of an insolvency of CS. Furthermore, the high MPR exposes the series to elevated commingling risk. Nevertheless, these risks are, in Fitch's view, sufficiently mitigated by structural features and a comparably high variable seller share.The series have benefited from significant excess spread since closing, providing the notes with a first layer of protection against charge-offs. Further, the class A notes benefit from overcollateralisation created by the subordination of class B and C notes, overall providing them with 5.1% credit enhancement. If excess spread decreases below certain threshold levels, excess spread will be trapped in a spread account to provide credit enhancement for the class C notes.The notes pay a fixed-rate coupon on annual basis. Scheduled maturity for Swiss Credit Card Issuance No.1 Ltd is in June 2015, while Swiss Credit Card Issuance No.2 Ltd's scheduled maturity is in June 2016. Neither one of the transactions has started accumulating repaid principal; the length of the accumulation period for both series is dependent on the MPR.RATING SENSITIVITIESFitch has maintained its base case assumptions set at the respective transactions' closing dates. The notes' ratings are most sensitive to changes in the MPR as well as the charge-off rate. Expected impact upon the note ratings of increased charge-offs (No.1 - A/No.1 - B/No.1 - C/ No.2 - A/No.2 - B/No.2 - C):Current Ratings: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'Increase base case charge-offs by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'Increase base case charge-offs by 25%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'Increase base case charge-offs by 50%: 'AAsf'/'Asf'/'BBB-sf'/'AAsf'/'Asf'/'BBB-sf'Expected impact upon the note ratings of reduced MPR (No.1 - A/No.1 - B/No.1 - C/ No.2 - A/No.2 - B/No.2 - C):Current Rating: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'Reduce base case MPR by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'Reduce base case MPR by 25%: 'AAsf'/'Asf'/'BBBsf'/'AAsf'/'Asf'/'BBBsf'Reduce base case MPR by 50%: 'BBB+sf'/'BBBsf'/'BBBsf'/'BBB+sf'/'BBBsf'/'BBBsf'Expected impact upon the note ratings of increased charge-offs and reduced MPR (No.1 - A/No.1 - B/No.1 - C/ No.2 - A/No.2 - B/No.2 - C):Current Rating: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'Increase base case charge-offs by 10% and reduce base case MPR by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'Increase base case charge-offs by 25% and reduce base case MPR by 25%: 'AA-sf'/'Asf'/'BBBsf'/'AA-sf'/'Asf'/'BBB-sf'Increase base case charge-offs by 50% and reduce base case MPR by 50%: 'BBBsf'/'BBB-sf'/'BBsf'/'BBBsf'/'BBB-sf'/'BBsf'Contacts:Lead Surveillance AnalystThomas Krug, CAIAAnalyst+49 69 768076 252Fitch Deutschland GmbHTaunusanlage 1760325 Frankfurt am MainCommittee ChairpersonAndreas WilgenManaging Director+44 20 3530 1005Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: athos.larkou@fitchratings.com.Additional information is available onwww.fitchratings.com. Sources of information: monthly investor reports.A comparison of the transaction's Representations, Warranties and Enforcement Mechanisms to those typical for this asset class is available by accessing the following reports: "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 17 April 2012, "Swiss Credit Card Issuance No.1 Ltd - New Issue Appendix", published on 21 June 2012 and "Swiss Credit Card Issuance - No. 2 Ltd - New Issue Appendix", published on 19 April 2013.Applicable criteria, 'Global Structured Finance Rating Criteria', dated 24 May 2013, 'Global Credit Card ABS Rating Criteria', dated 7 June 2013, 'Counterparty Criteria for Structured Finance and Covered Bonds', dated 13 May 2013; 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum', dated 13 May 2013 are available atwww.fitchratings.com. Applicable Criteria and Related Research: Global Structured Finance Rating Criteriahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661 Global Credit Card ABS Rating Criteriahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709356 Counterparty Criteria for Structured Finance and Covered Bondshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155 Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendumhttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707156 Additional Disclosure Solicitation Statushttp://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=824930 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.
(Repeat for additional subscribers)
March 25 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed Swiss Credit Card Issuance's notes, as follows:
EUR351.1m No.1 Ltd. - Class A notes: affirmed at 'AAAsf'; Stable Outlook
EUR11.5m No.1 Ltd. - Class B notes: affirmed at 'Asf'; Stable Outlook
EUR7.4m No.1 Ltd. - Class C notes: affirmed at 'BBBsf'; Stable Outlook
EUR189.8m No.2 Ltd. - Class A notes: affirmed at 'AAAsf'; Stable Outlook
EUR6.2m No.2 Ltd. - Class B notes: affirmed at 'Asf'; Stable Outlook
EUR4m No.2 Ltd. - Class C notes: affirmed at 'BBBsf'; Stable Outlook
Swiss Credit Card Issuance is a programme created in June 2012 to issue note series collateralised by Swiss consumer credit card receivables originated by Credit Suisse AG (CS, A/Stable/F1). Both series were issued within the programme's linked note issuance structure.
KEY RATING DRIVERS
Since its creation the programme has shown stable performance that is in line with or better than Fitch's expectations. Sixty-180 days delinquency rates were 0.9% as of end-February 2014, significantly lower than in comparable transactions in the UK.
A favourable economic environment has supported programme performance, leading to fairly low charge-off rates since closing, with a current figure of 1.45%, based on the latest investor report. Average monthly payment rates (MPR) in the programme since closing have been above 65%, in line with historically high rates in the originator's books as most customers pay off the credit card balance every month. Portfolio gross yields have been above Fitch's expectations as well.
Fitch's outlook for the Swiss economy is stable, with accelerated growth throughout 2014. Unemployment is expected to remain around 3% which is the lowest among European peer countries. The economic environment is expected to be supportive for the programme in that no performance deterioration is expected. This is reflected in the Stable Outlook for the notes.
As CS is one of the largest commercial banks in Switzerland, numerous credit card customers hold deposits with the bank. This gives rise to potential deposit set-off claims by customers in case of an insolvency of CS. Furthermore, the high MPR exposes the series to elevated commingling risk. Nevertheless, these risks are, in Fitch's view, sufficiently mitigated by structural features and a comparably high variable seller share.
The series have benefited from significant excess spread since closing, providing the notes with a first layer of protection against charge-offs. Further, the class A notes benefit from overcollateralisation created by the subordination of class B and C notes, overall providing them with 5.1% credit enhancement. If excess spread decreases below certain threshold levels, excess spread will be trapped in a spread account to provide credit enhancement for the class C notes.
The notes pay a fixed-rate coupon on annual basis. Scheduled maturity for Swiss Credit Card Issuance No.1 Ltd is in June 2015, while Swiss Credit Card Issuance No.2 Ltd's scheduled maturity is in June 2016. Neither one of the transactions has started accumulating repaid principal; the length of the accumulation period for both series is dependent on the MPR.
RATING SENSITIVITIES
Fitch has maintained its base case assumptions set at the respective transactions' closing dates.
The notes' ratings are most sensitive to changes in the MPR as well as the charge-off rate.
Expected impact upon the note ratings of increased charge-offs (No.1 - A/No.1 - B/No.1 - C/ No.2 - A/No.2 - B/No.2 - C):
Current Ratings: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'
Increase base case charge-offs by 10%:
'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Increase base case charge-offs by 25%:
'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Increase base case charge-offs by 50%:
'AAsf'/'Asf'/'BBB-sf'/'AAsf'/'Asf'/'BBB-sf'
Expected impact upon the note ratings of reduced MPR (No.1 - A/No.1 - B/No.1 - C/ No.2 - A/No.2 - B/No.2 - C):
Current Rating: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'
Reduce base case MPR by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Reduce base case MPR by 25%: 'AAsf'/'Asf'/'BBBsf'/'AAsf'/'Asf'/'BBBsf'
Reduce base case MPR by 50%: 'BBB+sf'/'BBBsf'/'BBBsf'/'BBB+sf'/'BBBsf'/'BBBsf'
Expected impact upon the note ratings of increased charge-offs and reduced MPR (No.1 - A/No.1 - B/No.1 - C/ No.2 - A/No.2 - B/No.2 - C):
Current Rating: 'AAAsf'/'Asf'/'BBBsf'/'AAAsf'/'Asf'/'BBBsf'
Increase base case charge-offs by 10% and reduce base case MPR by 10%: 'AA+sf'/'Asf'/'BBBsf'/'AA+sf'/'Asf'/'BBBsf'
Increase base case charge-offs by 25% and reduce base case MPR by 25%: 'AA-sf'/'Asf'/'BBBsf'/'AA-sf'/'Asf'/'BBB-sf'
Increase base case charge-offs by 50% and reduce base case MPR by 50%: 'BBBsf'/'BBB-sf'/'BBsf'/'BBBsf'/'BBB-sf'/'BBsf'
((Bangalore Ratings Team, Hotline: +91 80 6677 2513 Debanjali.Ghosh@thomsonreuters.com, Group id: BangaloreRatings@thomsonreuters.com, Reuters Messaging: Debanjali.Ghosh.reuters.com@reuters.net))
Keywords: Fitch Affirms Swiss Credit Card Issuance's Notes (
