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14 Aug 2009
Approximately $623.4 million of asset-backed securities rated
New York, August 14, 2009 -- Moody's Investors Service has assigned definitive ratings to two classes
of First National Master Note Trust (the "Trust"), Series 2009-3
asset-backed notes. These securities are backed by $2.6
billion of consumer credit card receivables originated and serviced by
First National Bank of Omaha ("FNBO") and its affiliates.
The complete rating action is as follows:
Issuer: First National Master Note Trust
$525,000,000 Class A Asset Backed Notes, Series
2009-3, rated Aaa
$98,438,000 Class B Asset Backed Notes, Series
2009-3, rated A2
At issuance, Class A Asset Backed Notes, Series 2009-3
will be eligible collateral for a loan under the Term Asset-Backed
Loan Facility (the "TALF" program) provided by the Federal Reserve Bank
of New York.
The ratings are based on the quality of the trust assets; the transaction's
legal and structural protections, including early amortization triggers
and credit enhancement in the form of subordination; and the expertise
of FNBO, as originator of the accounts and servicer of the receivables.
On May 20, Moody's placed the ratings of 12 classes of securities
issued out of the Trust under review for possible downgrade. These
transactions have comparatively less credit enhancement than the Series
The review is driven by deterioration in some of the Trust's key performance
metrics, primarily the charge-off and delinquency rates.
Furthermore, FNBO's relatively small credit card program ($4.4
billion on a managed basis) lacks the larger banks' economies of scale
and makes competing in the commoditized credit card market more difficult,
especially in the current recessionary environment. If the long-term
profitability of this business line is called into question, FNBO
could choose to sell or liquidate all or a portion of its credit card
portfolio (e.g. by selectively closing card accounts).
Liquidation, in particular, could cause adverse Trust collateral
Moody's range of expectations for the trust's yield is 15.0%-18.0%,
for the charge-off rate, 9.0%-11.0%,
and for the principal payment rate, 12.5%-15.5%.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities were rated.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
The Series 2009-3 notes have a floating rate coupon and an expected
principal payment date of July 16, 2012. The legal maturity
date for the Notes is July 15, 2015. Moody's rating addresses
the likelihood of interest payments being made when due and the return
of principal by the legal maturity date.
The principal methodology used in rating the transaction was "Moody's
Approach To Rating Credit Card Receivables-Backed Securities",
which can be found at www.moodys.com in the Credit Policy
& Methodologies directory, in the Ratings Methodologies subdirectory.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Credit Policy & Methodologies
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. V Scores are intended to rank transactions
by the potential for significant rating changes owing to uncertainty around
the assumptions due to data quality, historical performance,
the level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
The V Score for this transaction is Medium, which is in line with
the V score assigned for the U.S. Credit Card ABS sector.
Each of the three broad sub-categories that underlie the V Score,
and pertain directly to the Trust, respectively, has characteristics
that are similar to the overall industry, and as such, ratings
for each sub-category are identical to those assigned for the overall
credit card industry.
Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of notches that a Moody's-rated structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged. It is not intended to measure how the rating of the security
might migrate over time, but rather, how the initial rating
of the security might have differed if the two parameters within a given
sector that have the greatest rating impact were varied.
In rating US Credit Card ABS, the payment rate, charge-off
rate, purchase rate, yield and certain other inputs are used
to calculate the median expected loss and the Aaa. These two,
in turn, are the two inputs used to determine a new lognormal loss
distribution. Three new lognormal loss distributions were calculated
for each rating class by assuming the following three payment and charge-off
rate combinations: (1) 11%/13%, (2) 9%/17%
and (3) 7%/20% from the base case of 13%/10%.
The quantitative/model-indicated Parameter Sensitivities for the
notes under these three additional scenarios are:
For the Class A Notes, one notch (i.e. Aaa to Aa1),
two notches and four notches, respectively.
For the Class B Notes, three notches, four notches and six
Additional research is available at www.moodys.com.
A special report entitled "Updated Report on V Scores and Parameter Sensitivities
for Structured Finance Securities" is also available on moodys.com
FNBO, based in Omaha, Nebraska, reported total assets
of $9.2 billion as of June 30, 2009. FNBO's
long-term bank deposits are rated A3 and its Bank Financial Strength
rating is C. The ratings are currently under review for possible
For more information please visit www.Moodys.com.
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's assigns definitive ratings to First National Bank of Omaha credit card deal
Structured Finance Group
Moody's Investors Service
No Related Data.
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