Approximately $846.56 million securities affected
Toronto, April 27, 2011 -- Moody's Investors Service has assigned definitive ratings to the Class
A and Class B Fixed Rate Series 2011-1 Notes (the "Notes")
to be issued by Master Credit Card Trust. The transaction is administered
by Bank of Montreal (Aa2, on review for possible downgrade/P-1),
who is also the originator and servicer of the pool of credit card receivables
which support the Notes.
$ 800,000,000 3.502% Class A Notes,
rated Aaa (sf)
$ 46,560,847 5.052% Class B Notes,
rated Baa1 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying pool of credit
card receivables, the expertise of the seller/servicer, Bank
of Montreal, the transaction's legal and structural protections,
including early amortization triggers, and credit enhancement in
the form of excess spread.
The Class A Notes constitute 94.5% of the total invested
amount and are enhanced by subordinate Class B Notes which constitute
5.5% of the total invested amount.
Additional enhancement may be provided by retention of excess spread in
the series specific reserve account, which will initially be unfunded.
If the three-month average excess spread for Series 2011-1
falls below specified levels that start at 4.0%, the
size of the series specific reserve account should progressively increase
after each level is breached.
Moody's expects performance in the range of 4.0%-5.0%
for gross charge-offs, 19.5%-22.5%
for yield and 34.0%-40.0% for the payment
rate.
Moody's 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 principal methodology used in rating Master Credit Card Trust was
"Moody's Approach To Rating Credit Card Receivables-Backed Securities"
rating methodology published on April 16, 2007.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
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 differ as certain key parameters vary.
In rating the Series 2011-1 notes, the payment rate,
charge-off rate, purchase rate, yield and certain other
inputs are used to calculate the median expected loss and the Aaa enhancement.
These two, in turn, are the 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 gross charge-off rate combinations: (1) 30%/6.5%,
(2) 23%/8.5% and (3) 16%/10.5%
from the base case of 37%/4.5%. For the Class
A Notes, the ratings for the respective combinations from the base
case of Aaa are (1) Aa1 (one notch) (2) Aa2 (two notches) and (3) A1 (four
notches).
The Volatility Score ("V Score") for this transaction is Low/Medium,
which is the same as the V Score assigned to Canadian Credit Card ABS
sector. On December 19, 2008, Moody's published a report
introducing V Scores and Parameter Sensitivities for the global credit
card ABS sector. 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 that are attributed 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).
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service's information.
Moody's Investors Service considers the quality of information available
on the issuer satisfactory for the purposes of assigning a credit rating.
Additional research, including a pre-sale report, is
available at www.moodys.com. A special report entitled
"V Scores and Parameter Sensitivities in the Global Credit Card ABS Sector"
is also available on moodys.com.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Toronto
Karandeep Bains
Asst Vice President - Analyst
Structured Finance Group
Moody's Canada Inc.
(416) 214-1635
Toronto
Michael Buzanis
VP - Senior Credit Officer
Structured Finance Group
Moody's Canada Inc.
(416) 214-1635
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
(416) 214-1635
Moody's assigns definitive ratings to the Master Credit Card Trust, Series 2011-1 Notes
