News Column

Fitch Affirms Ratings on Chase Issuance Trust

August 26, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the ratings assigned to the Chase Issuance Trust (CHAIT) and has revised the outlooks on the subordinate notes as follows:

--2006-2A at 'AAAsf'; Outlook Stable;

--2007-2A at 'AAAsf'; Outlook Stable;

--2007-3A at 'AAAsf'; Outlook Stable;

--2007-1B at 'Asf', Outlook to Positive from Stable;

--2007-1C at 'BBBsf', Outlook to Positive from Stable;

--2007-5A at 'AAAsf'; Outlook Stable;

--2007-8A at 'AAAsf'; Outlook Stable;

--2007-12A at 'AAAsf'; Outlook Stable;

--2008-2A at 'AAAsf'; Outlook Stable;

--2008-8A at 'AAAsf'; Outlook Stable;

--2012-A2 at 'AAAsf'; Outlook Stable;

--2012-A3 at 'AAAsf'; Outlook Stable;

--2012-A4 at 'AAAsf'; Outlook Stable;

--2012-A5 at 'AAAsf'; Outlook Stable;

--2012-A6 at 'AAAsf'; Outlook Stable;

--2012-A7 at 'AAAsf'; Outlook Stable;

--2012-A8 at 'AAAsf'; Outlook Stable;

--2012-A9 at 'AAAsf'; Outlook Stable;

--2012-A10 at 'AAAsf'; Outlook Stable;

--2013-A1 at 'AAAsf'; Outlook Stable;

--2013-A2 at 'AAAsf'; Outlook Stable;

--2013-A3 at 'AAAsf'; Outlook Stable;

--2013-A4 at 'AAAsf'; Outlook Stable;

--2013-A5 at 'AAAsf'; Outlook Stable;

--2013-A6 at 'AAAsf'; Outlook Stable;

--2013-A7 at 'AAAsf'; Outlook Stable;

--2013-A8 at 'AAAsf'; Outlook Stable;

--2013-A9 at 'AAAsf'; Outlook Stable;

--2014-A1 at 'AAAsf'; Outlook Stable;

--2014-A2 at 'AAAsf'; Outlook Stable;

--2014-A3 at 'AAAsf'; Outlook Stable;

--2014-A4 at 'AAAsf'; Outlook Stable;

--2014-5A at 'AAAsf'; Outlook Stable;

--2014-6A at 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

60+ Day delinquencies have steadily declined each month since the peak of 3.81% during the January 2010 distribution period. Currently, 60+ day delinquencies are at 0.94% for the July 2014 distribution period.

One-month excess spread is at a near historic level in the July 2014 reporting period of 13.49%.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has improved over the past year and is trending with the Fitch index. Currently, Fitch Index Monthly Payment Rate is at 29.57% for the July 2014 distribution period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three and 12-month averages performances to test that under the stressed conditions, the transaction can withstand a level of losses commensurate with the risk associated to a rating level with the available credit enhancement. The variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.

RATING SENSITIVITIES

Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower MPR.

Increasing defaults alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in purchase rate is slightly more pronounced with a moderate stress of a 75% reduction, leading to a possible downgrade on the class A notes. The harshest scenario assumes both stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of sensitivity analysis, please see the new issue report related to one of the transactions listed above.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria'(Aug. 4, 2014);

--'Global Credit Card ABS Rating Criteria,' (May 30, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Credit Card ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748920

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=857974

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.



Fitch Ratings

Primary Analyst

John Alberici

Associate Director

+1-212-908-0370

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Secondary Analyst

Lauren Tierney

Director

+1-212-908-0168

or

Committee Chairperson

Steven Stubbs

Senior Director

+1-212-908-0676

or

Media Relations:

Alyssa Castelli, New York, +1 212-908-0540

Email: alyssa.castelli@fitchratings.com

Source: Fitch Ratings


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