London, 08 March 2010 -- Moody's Investors Service has affirmed the ratings of the Class
A asset-backed notes issued under the UK Receivables Trust (UK
RT I) and UK Receivables Trust II (UK RT II). Moody's has
also taken rating actions on the mezzanine and subordinated classes of
notes issued under these two trusts. A complete list of rating
actions is below.
Today's rating actions conclude the review process that Moody's
initiated in March 2009 for the senior notes and October 2009 for the
mezzanine and subordinated notes. The notes were initially placed
on review, amongst others, due to concerns stemming from rapid
performance deterioration and a review of the purchase rate assumption.
The affirmation of the senior ratings and the upgrade of the mezzanine
and subordinated classes of notes is driven by a significant increase
in credit enhancement available to outstanding securities. Specifically,
MBNA issued additional series of subordinated notes under both UK RTI
and UK RT II and has effectively increased the credit enhancement available
to all outstanding issuances. Class A, B and C notes issued
under UK RT II now benefit from 30%, 26% and 20.4%
credit enhancement respectively whereas Class A and Class B issued under
UK RTI benefit from 30% and 26.8%.
Three new series have been issued to support all outstanding rated notes
issued out of UK RT I and UK RT II:
- Series 2009-A supports all outstanding series issued under
UK RT I
- Series 2009-1 supports all outstanding linked series issued
out of Deva 1 under UK RT II
- Series 2009-2 supports all outstanding de-linked
series issued out of Deva 3 under UK RT II
Series 2009-A Reference Series and associated rating actions:
UK Receivables Trust:
Issuer: Chester Asset Receivables Dealings No. 11 PLC
- EUR730M Class A, Confirmed at Aaa; previously on Mar
3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP20M Class B, Upgraded to Aa2; previously on Oct
5, 2009 A3 Placed Under Review for Possible Downgrade
Issuer: Chester Asset Receivables Dealings No. 12 PLC
- GBP264M Class A, Confirmed at Aaa; previously on Mar
3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP12M Class B, Upgraded to Aa2; previously on Oct
5, 2009 A3 Placed Under Review for Possible Downgrade
Series 2009-1 Reference Series and associated rating actions:
UK Receivables Trust II:
Issuer: Chester Asset Receivables Dealings 2001-B PLC
- GBP220M Class A, Confirmed at Aaa; previously on Mar
3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP12.5M Class B, Upgraded to Aa2; previously
on Oct 5, 2009 A3 Placed Under Review for Possible Downgrade
- GBP17.5M Class C, Upgraded to A1; previously
on Oct 5, 2009 Ba1 Placed Under Review for Possible Downgrade
Issuer: Chester Asset Receivables Dealings 2003-B PLC
- GBP220M Class A, Confirmed at Aaa; previously on Mar
3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP12.5M Class B, Upgraded to Aa2; previously
on Oct 5, 2009 A3 Placed Under Review for Possible Downgrade
- GBP17.5M Class C, Upgraded to A1; previously
on Oct 5, 2009 Ba1 Placed Under Review for Possible Downgrade
Issuer: Chester Asset Receivables Dealings 2003-C PLC
- EUR621M Class A, Confirmed at Aaa; previously on Mar
3, 2009 Aaa Placed Under Review for Possible Downgrade
- EUR35.5M Class B, Upgraded to Aa2; previously
on Oct 5, 2009 A3 Placed Under Review for Possible Downgrade
- EUR49.5M Class C, Upgraded to A1; previously
on Oct 5, 2009 Ba1 Placed Under Review for Possible Downgrade
Issuer: Chester Asset Receivables Dealings 2004-1 PLC
- GBP440M Class A, Confirmed at Aaa; previously on Mar
3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP25M Class B, Upgraded to Aa2; previously on Oct
5, 2009 A3 Placed Under Review for Possible Downgrade
- GBP35M Class C, Upgraded to A1; previously on Oct
5, 2009 Ba1 Placed Under Review for Possible Downgrade
Series 2009-A and Series 2009-1 provide additional credit
enhancement by reducing the allocation of defaults to the respective reference
series, thus providing enhanced subordination to the outstanding
series. In summary, Series 2009-A and Series 2009-1
Issuers have entered into a defaulted receivables purchase agreement with
the beneficiaries of UK RTI and UK RTII respectively. Pursuant
to this agreement, in specific circumstances, defaulted receivables
will be purchased by Series 2009-A and Series 2009-1 from
the Receivables Trustee and thus reduce the amount of defaulted receivables
allocated to the respective reference series.
Moody's has considered legal analysis provided by transaction counsel
to MBNA Europe Bank Limited, which concludes that the proposed structure
will not be affected by, and will survive, the insolvency
of the Transferor, MBNA Europe Bank Limited. Furthermore,
transaction documents specify that the excess spread amortisation trigger
for all the Series 2009-1 reference series will be calculated excluding
the repurchase of any defaulted receivables by the Series 2009-1
Issuer. Series 2009-1 and Series 2009-A can be partially
amortised when a particular reference series has been entirely redeemed.
Class C (Series 2009-2) Reference Series and associated rating
actions:
UK Receivables Trust II:
Issuer: Chester Asset Receivables Dealings Issuer Limited
- GBP300M Series 2004 A1 Notes, Confirmed at Aaa; previously
on Mar 3, 2009 Aaa Placed Under Review for Possible Downgrade
- EUR125M Series 2004 B1 Notes, Upgraded to Aa2; previously
on Oct 5, 2009 A3 Placed Under Review for Possible Downgrade
- EUR175M Series 2004 C1 Notes, Upgraded to A1; previously
on Oct 5, 2009 Ba1 Placed Under Review for Possible Downgrade
- GBP250M Series 2006 A1 Notes, Confirmed at Aaa; previously
on Mar 3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP50M Series 2006 B1 Notes, Upgraded to Aa2; previously
on Oct 5, 2009 A3 Placed Under Review for Possible Downgrade
- GBP70M Series 2006 C1 Notes, Upgraded to A1; previously
on Oct 5, 2009 Ba1 Placed Under Review for Possible Downgrade
- EUR350M Series 2008 A1 Notes, Confirmed at Aaa; previously
on Mar 3, 2009 Aaa Placed Under Review for Possible Downgrade
- GBP300M Series 2008 A2 Notes, Confirmed at Aaa; previously
on Mar 3, 2009 Aaa Placed Under Review for Possible Downgrade
The Class C (Series 2009-2) is issued under the existing de-linked
platform to support all the outstanding series issued by the Chester Asset
Receivables Dealings (CARDS) issuer. Although Series 2009-2
is a Class C note, various features of this series ensure that this
class is subordinated to all outstanding and future issuances of Class
A, B and C notes. Amongst others, the principal collections
allocated to Class C (Series 2009-2) will be used to reduce aggregate
investor default amounts thereby leading to reduced un-reimbursed
losses allocated to Class A, B and C notes and allocation of write-offs
to Class C (Series 2009-2) occurs in priority to other Class C
loan notes.
Moody's expects charge-offs to range between 12% and 14%
on a medium to long-term basis for the UK MT II and between 11%
and 13% for UK MT I. It expects payment rates to range between
11% and 13% for UK MT II and between 9.5%
and 11.5% for UK MT I and yield to range between 19%
and 21% for UK MT II and between 19% and 21% for
UK MT I. These performance expectations indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Furthermore, MBNA is also expected to exercise
the Discounting Option whereby new receivables will be sold at a discount
to the trust. The discounting option is currently exercised for
a period of five months with a ramp down period of another four months
where the discounting percentage will decrease by 1% each month.
Moody's has analysed and will monitor this transaction using the rating
methodology for credit card receivables-backed transactions as
described in the Rating Methodology report "Moody's Approach to Rating
Credit Card Receivables-Backed Securities", published in
April 2007 and available on www.moodys.com in the Rating
Methodologies sub-directory under the Research & Ratings tab.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
London
Benedicte Pfister
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Durga Bhavani
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's concludes review of UK credit card ABS issued under UK Receivables Trust II and UK Receivables Trust