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Rating Action:

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

05 Oct 2009

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
No Related Data.
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