Fitch Affirms BA Credit Card Trust

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Fitch Ratings has affirmed the long-term ratings and Rating Outlooks assigned to BA Credit Card Trust as follows:

BA Credit Card Trust (BACCT)

–2004-3A at ‘AAAsf’; Outlook Stable;

–2007-1A at ‘AAAsf’; Outlook Stable;

–2007-4A at ‘AAAsf’; Outlook Stable

–2007-11A at ‘AAAsf’; Outlook Stable;

–2014-1A at ‘AAAsf’; Outlook Stable;

–2014-3A at ‘AAAsf’; Outlook Stable;

–2015-1A at ‘AAAsf’; Outlook Stable;

–2015-2A at ‘AAAsf’; Outlook Stable.

KEY RATING DRIVERS

The affirmations are based on continued stable trust performance and robust breakeven multiples. Fitch has maintained the Stable Outlook on the notes due to the strong trust performance and ability to generate robust excess spread.

Over the past 12 months, gross yield has been performing within Fitch’s steady state expectations. As of the November 2016 reporting period, the 12-month average gross yield was 16.12% compared to the 12-month average of 16.18% as of the November 2015 reporting period.

Gross charge-offs registered a slight improvement over the past year. The current 3- and 12- month averages are 2.89% and 3.04%, respectively. At last year’s review over the same period, the 12-month average was 3.11%.

Sixty-plus-day delinquencies fell to an all-time low of 1.12% at the November 2016 reporting period, compared to 1.24% at the November 2016 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their debt, has remained relatively stable over the past year. The current 12-month average was 17.08%, compared to 16.97% a year ago.

Fitch runs cash flow breakeven analysis by applying stress scenarios to 3-, 6-, and 12-month average performance 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. The break-even loss level output for the notes provides an indication of the remoteness of the class of notes to stressed performance deterioration. For further information, please review Fitch’s U.S. Credit Card ABS Issuance updates published on a monthly basis.

The affirmations are based on the performance of the trusts in line with expectations. The Stable Outlook on the senior notes indicates that Fitch expects the ratings will remain stable for the next one to two years.

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 this trust.

CRITERIA VARIATIONS

Eligible Investments: Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty’s creditworthiness, as per the Counterparty Criteria for Structured Finance and Covered Bonds, dated Sept. 1, 2016. The definition of eligible investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest are monthly collections, and the funds can only be invested for a short duration of one month given the payment frequency of the notes, Fitch doesn’t currently believe such variation has a measurable impact upon the ratings assigned.

Eligible Institution: Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty’s creditworthiness, as per the Counterparty Criteria for Structured Finance and Covered Bonds, dated Sept. 1, 2016. The definition of eligible institutions for this deal allows for the possibility of using a depository institution rated at a level which does not meet the Fitch counterparty criteria for a ‘AAAsf’ rated note. Since Bank of America, National Association (BANA) as holder of the collection account currently maintains a ‘A+’/’F1’/Stable Outlook rating and The Bank of New York Mellon, as holder of the finance charge and principal accounts currently maintains a ‘AA/’F1+’/Stable Outlook rating, Fitch doesn’t currently believe such a variation has a measurable impact upon the ratings assigned.

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 no 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 also does not result in rating migration even in the most severe scenario of a 100% reduction in purchase rate. 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 40% 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.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

Additional information is available at ‘www.fitchratings.com’.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 26 Oct 2016)

https://www.fitchratings.com/site/re/888492

Global Credit Card ABS Rating Criteria (pub. 21 Jul 2016)

https://www.fitchratings.com/site/re/885146

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1016235

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1016235

Endorsement Policy

https://www.fitchratings.com/regulatory

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