NEW YORK--(BUSINESS WIRE)--Fitch Ratings assigns the following rating to AT&T Receivables Funding, LLC's September 2015 investment:
--$980,095,820.41 September 2015 investment 'Asf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's rating is based on the underlying receivables pool, available credit enhancement (CE), AT&T's underwriting and servicing capabilities, and the transaction's legal and cash flow structures.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults or chargeoffs on customer accounts could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the investments. Decreased CE may make certain ratings on the investments susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base case charge-off assumption by 1.5x and 2.5x and examining the rating implications. The 1.5x and 2.5x increase of the base case account chargeoffs represents moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance.
During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case chargeoff assumptions. Fitch models cash flows with the revised chargeoff estimates while holding constant all other modeling assumptions.
Under the 1.5x base case stress scenario, the multiple for the investments decreases from the initial level to 3.37x, corresponding to no rating impact. Under the 2.5x base case stress scenario, the multiple for the investments decreases from the initial level to 2.02x, corresponding to a one category downgrade to 'BBBsf'.
Fitch also stressed the timing of the account chargeoffs, modeling a front-, mid-, and back-loaded timing of account chargeoffs. The front-loaded timing curve is the most stressful and could result in a two category downgrade to 'BBsf', while the mid-loaded and back-loaded curves showed no rating impact.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
The publication of a RW&Es appendix is not required for this transaction.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
EMEA Consumer ABS Rating Criteria (pub. 24 Jun 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750766
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=991516
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=991516
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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