London, 05 October 2009 -- Moody's Investors Service has placed under review for possible downgrade
the ratings of 12 classes of asset-backed notes issued under UK
Receivables Trust II, the Class B asset-backed notes issued
by Chester Asset Receivables Dealings No.11 PLC, and the
Class B of asset-backed notes issued by Chester Asset Receivables
Dealings No.12 PLC under the UK Receivables Trust. A complete
list of rating actions is below.
UK Receivables Trust II:
Issuers: Chester Asset Receivables Dealings 2001-B PLC,
Chester Asset Receivables Dealings 2003-B PLC, Chester Asset
Receivables Dealings 2003-C PLC, Chester Asset Receivables
Dealings 2004-1 PLC
- GBP12,500,000 Asset Backed Floating Rate Notes due
2011, Class B, Series UK2001-B, A3 on review
for downgrade
- GBP17,500,000 Asset Backed Floating Rate Notes due
2011, Class C, Series UK2001-B, Ba1 on review
for downgrade
- GBP12,500,000 Asset Backed Floating Rate Notes due
2013, Class B, Series UK2003-B, A3 on review
for downgrade
- GBP17,500,000 Asset Backed Floating Rate Notes due
2013, Class C, Series UK2003-B, Ba1 on review
for downgrade
- EUR35,500,000 Asset Backed Floating Rate Notes due
2010, Class B, Series UK2003-C, A3 on review
for downgrade
- EUR49,500,000 Asset Backed Floating Rate Notes due
2010, Class C, Series UK2003-C, Ba1 on review
for downgrade
- GBP25,000,000 Asset Backed Floating Rate Notes due
2014, Class B, Series UK2004-1, A3 on review
for downgrade
- GBP35,000,000 Asset Backed Floating Rate Notes due
2014, Class C, Series UK2004-1, Ba1 on review
for downgrade
Issuer: Chester Asset Receivables Dealings Issuer Limited
- Series 2004-B1 EUR125,000,000 Class B Asset
Backed Floating Rate Notes due 2011, A3 on review for downgrade
- Series 2004-C1 EUR175,000,000 Class C Asset
Backed Floating Rate Notes due 2011, Ba1 on review for downgrade
- Series 2006-B1 GBP50,000,000 Class B Asset
Backed Floating Rate Notes due 2013, A3 on review for downgrade
- Series 2006-C1 GBP70,000,000 Class C Asset
Backed Floating Rate Notes due 2013, Ba1 on review for downgrade
Under UK Receivables Trust:
Issuers: Chester Asset Receivables Dealings No. 11 PLC,
Chester Asset Receivables Dealings No. 12 PLC
- GBP20,000,000 Asset Backed Floating Rate Notes due
2010, Class B, Chester Asset Receivables Dealings No.11
PLC, A3 on review for downgrade
- GBP12,000,000 Asset Backed Floating Rate Notes due
2011, Class B, Chester Asset Receivables Dealings No.12
PLC, A3 on review for downgrade
This rating review is in part prompted by the rapid performance deterioration
observed in the recent months, with charge-offs reaching
over 15% in September. Furthermore, the forecast unemployment
rate for 2010 combined with the level of indebtedness of UK families in
general has led Moody's to expect charge-offs in the trust to increase
further in coming months.
Moody's is also currently reviewing the purchase rate assumption
for both master trusts as Moody's considers that there is an increased
likelihood that a stressed scenario where the trust balance may decline
would be observed in relation to the trusts. The assumption on
whether a pool balance is declining during the stressed scenario is a
key consideration for the 'purchase rate' assumption for the trust and
Moody's overall credit analysis. The concerns primarily stem from
the relatively small size of MBNA's card business in EMEA in comparison
to the core credit card franchise of Bank of America in the US and,
in particular, the higher charge offs that have been observed in
the recent months coupled with the expectation that this trend will continue
over the course of 2010. As such, in Moody's opinion,
the purchase rate assumption should be decreased in order for this assumption
to be better aligned with the corresponding assumption for the core US
portfolio and with assumptions taken in other credit card trusts rated
by Moody's. Moody's believes that the current economic environment
places more importance in making this adjustment.
The Aaa ratings of the senior notes listed below issued under both master
trusts were placed on review for possible downgrade on 3 March 2009.
Since March's rating action, the Issuers have communicated
to Moody's and the market that they are contemplating alternatives
to increase the credit enhancement supporting the Notes and Moody's has
remained in frequent dialogue with Bank of America. Moody's
notes that in similar circumstances during the period 2005-2007
various issuers in the UK credit card sector have issued subordinated
classes of notes to increase the credit enhancement available to the rated
notes.
Moody's will endeavor to conclude the review on all classes of notes in
the next 45 days. In the absence of additional credit enhancement,
the rating of the senior classes of notes would likely be downgraded a
number of rating categories. Currently, but subject to further
analysis, we would expect this to be in the 'A' category.
UK Receivables Trust II:
Issuers: Chester Asset Receivables Dealings 2001-B PLC,
Chester Asset Receivables Dealings 2002-A PLC, Chester Asset
Receivables Dealings 2003-B PLC, Chester Asset Receivables
Dealings 2003-C PLC, Chester Asset Receivables Dealings 2004-1
PLC
- GBP220,000,000 Asset Backed Floating Rate Notes due
2011, Class A, Series UK2001-B, current rating
Aaa, on review for possible downgrade
- GBP220,000,000 Asset Backed Floating Rate Notes due
2013, Class A, Series UK2003-B, current rating
Aaa, on review for possible downgrade
- EUR621,000,000 Asset Backed Floating Rate Notes due
2010, Class A, Series UK2003-C, current rating
Aaa, on review for possible downgrade
- GBP440,000,000 Asset Backed Floating Rate Notes due
2014, Class A, Series UK2004-1, current rating
Aaa, on review for possible downgrade
Issuer: Chester Asset Receivables Dealings Issuer Limited
- Series 2004-A1 GBP300,000,000 Class A Asset
Backed Floating Rate Notes due 2011, current rating Aaa, on
review for possible downgrade
- Series 2004-A2 GBP250,000,000 Class A Asset
Backed Floating Rate Notes due 2009, current rating Aaa, on
review for possible downgrade
- Series 2006-A1 GBP250,000,000 Class A Asset
Backed Floating Rate Notes due 2011, current rating Aaa, on
review for possible downgrade
- Series 2008-A1 EUR350,000,000 Class A Asset
Backed Floating Rate Notes due 2011, current rating Aaa, on
review for possible downgrade
- Series 2008-A2 GBP300,000,000 Class A Asset
Backed Floating Rate Notes due 2011, current rating Aaa, on
review for possible downgrade
UK Receivables Trust:
Issuers: Chester Asset Receivables Dealings No. 11 PLC,
Chester Asset Receivables Dealings No. 12 PLC
- EUR730,000,000 Asset Backed Floating Rate Notes due
2010, Class A, Chester Asset Receivables Dealings No.11
PLC, current rating Aaa, on review for possible downgrade
- GBP264,000,000 Asset Backed Floating Rate Notes due
2011, Class A, Chester Asset Receivables Dealings No.12
PLC, current rating Aaa, on review for possible downgrade
In addition, Moody's is currently assessing the possible credit
impact of certain trust provisions related to the occurrence of an originator
"insolvency event" in the trusts - please refer to Moody's press
release dated 15 June 2009 for further details.
The last rating action on the senior notes was on 3 March 2009 when the
notes were placed on review for possible downgrade.
The last rating action on the mezzanine and subordinated notes was on
9 December 2008.
The principal methodology used in analyzing and monitoring these transactions
is " Moody's Approach to Rating Credit Card Receivables-Backed
Securities (April 2007)" and available on www.moodys.com
in the 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.
Moody's ratings address only the credit risks associated with the transaction,
other non-credit risks have not been addressed, but may have
significant effect on yield to investors.
Moody's ratings are subject to revision, suspension or withdrawal
at any time at our absolute discretion. The ratings are expressions
of opinion and not recommendations to purchase, sell or hold securities.
The rating is published. Moody's will publicly disseminate any
change in the ratings through normal print and electronic media,
and in response to requests to the Moody's rating desk, in accordance
with Moody's standard practice at the time.
Moody's will continue to monitor the transaction on an ongoing basis.
For more information, please see Moody's research on www.moodys.com
or contact Moody's Client Service Desk on +44 20 7772 5454.
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
Jean Dornhofer
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Durga Bhavani
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's places on review for downgrade mezzanine and subordinated notes issued under UK Receivables Trust II and UK Receivables Trust and provides a market update