DBRS Confirms SCORE Trust Series 2004-1 Notes at AAA and A (high)

Dominion Bond Rating Service (DBRS) has today confirmed the rating of SCORE Trust’s Credit Card Receivables-Backed Senior Notes, Series 2004-1 at AAA and Credit Card Receivables-Backed Subordinated Notes, Series 2004-1 at A (high) (collectively, the Notes).

The confirmation of the ratings is based on three factors, the first being the high level of credit enhancement provided by the 6% subordination (for Senior Notes), cash reserve account (currently 3.75%) and excess spread. The confirmation is based secondly on good performance experience since 2002, and lastly on the fact that the accounts are well seasoned and have good geographic diversity.

Senior Notes comprise 94% of the total Series amount, while Subordinated Notes comprise the remaining 6%. Both Senior and Subordinated Notes are supported by cash reserve account, which may build to up to 6% depending on excess spread available.

Proceeds from the Notes were applied to purchase undivided co-ownership interests in both active and deferred receivables arising in certain designated Sears credit card accounts previously originated by Sears Canada Bank. MasterCard receivables are not included in the securitization pool. In November 2005, JP Morgan Chase Bank, N.A. (Chase) acquired financing services business from Sears Canada Inc., including both Sears credit card and Sears MasterCard credit card portfolio.

Yield from the receivables has been stable within the 16% to 18% range over the past two years, while charge-offs also remained stable, averaging approximately 3.1%. Over the same period, monthly payment rates have increased slightly to a current 12-month average of 17.5%. The level of average excess spread available over the last 12 months has been healthy at 9.4%.

Stress testing indicates that steep declines in yield and payment rates, combined with high losses, would not result in a failure of SCORE Trust in repaying the Notes. The severity of the tests applied to both the Senior and Subordinated Notes has been reflected in their respective ratings.

Headquartered in New York City, Chase is one of the largest U.S. financial institutions, with credit card receivables of approximately USD139 billion as of June 30th, 2006.

Note:
All figures are in Canadian dollars unless otherwise noted.