Morningstar DBRS Confirms Credit Ratings of Glacier Credit Card Trust

DBRS Limited (Morningstar DBRS) confirmed the credit ratings of the following outstanding notes (the Notes) issued by Glacier Credit Card Trust (the Trust). The confirmations are part of Morningstar DBRS's continued effort to provide timely credit rating opinions and increased transparency to market participants. The Notes were confirmed as follows:

-- Asset-Backed Commercial Paper, Series 1997-1 at R-1 (high) (sf)

-- Credit Card Asset-Backed Senior Notes, Series 2020-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2020-1 at A (sf)

-- Credit Card Asset-Backed Senior Notes, Series 2022-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2022-1 at A (sf)

-- Credit Card Asset-Backed Senior Notes, Series 2023-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2023-1 at A (sf)

-- Credit Card Asset-Backed Senior Notes, Series 2024-1 at AAA (sf)
-- Credit Card Asset-Backed Subordinated Notes, Series 2024-1 at A (sf)

The credit rating actions are based on the following factors as of May 2023:

(1) The Notes benefit from overcollateralization (the Enhancement Amount), which is dynamic, and excess spread generated from the receivables.

-- For the AAA (sf)-rated notes, credit protection is also provided by subordination. The combined credit protection provided by subordination and the Enhancement Amount represents generally 12.5% to 13.5%.

-- For the A (sf)-rated notes, the Enhancement Amount is generally 6.0% to 7.0%.

-- For the R-1 (high) (sf)-rated notes, the Enhancement Amount is generally 11.5%.

(2) The payment rate stood at 31.9% as of May 2024. It has averaged 30.3% over the past 12 months. Gross yield has remained stable, averaging 21.8% over the past 12 months.

(3) The annualized net loss rate has increased. It was reported at 5.5% as of May 2024 and has averaged 5.4% over the past 12 months.

(4) The receivables pool is a well-diversified and seasoned portfolio. Canadian Tire Bank is the Servicer and is currently subject to Morningstar DBRS's Partial Commingling Conditions, as defined in Morningstar DBRS's methodology Legal Criteria for Canadian Structured Finance.

The performance and characteristics of the receivables pool and the Notes are available and updated each month in Morningstar DBRS's Monthly Canadian ABS Report. Morningstar DBRS conducts a monthly stress testing of each credit rated class of the Trust, with the results indicating that simultaneous declines in yield and payment rates and increases in losses would not result in a failure of the Trust to repay the Notes on a timely basis. The severity of the tests applied is commensurate with the respective ratings of the Notes.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024) https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in Canadian Dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Master Canadian Structured Finance Surveillance Methodology (07 June 2023) https://dbrs.morningstar.com/research/415503.

Other methodologies referenced in this transaction are listed at the end of this press release.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Legal Criteria for Canadian Structured Finance (20 June 2023)
https://dbrs.morningstar.com/research/416101
Operational Risk Assessments for Canadian Structured Finance (05 April 2024)
https://dbrs.morningstar.com/research/430834
Rating Canadian Credit Card and Personal Line of Credit Securitizations (28 June 2024)
https://dbrs.morningstar.com/research/435269

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.