DBRS Places Four Series of Broadway Credit Card Trust Under Review – Negative

DBRS has today placed the following series of Broadway Credit Card Trust (Broadway) Under Review with Negative Implications: Series 2004-2, Series 2008-1, Series 2008-2 and Series 2008-3. Series 2004-1, which entered its accumulation period in March 2008 and is expected to be fully repaid on March 17, 2009, is not part of the rating action. Therefore, the discussion below excludes Series 2004-1.

Since September 2008, loss rates for Broadway have increased rapidly. The increased losses compressed excess spread and triggered the cash reserve event (CRE) for Series 2008-2 at the end of January 2009 as its three-month average excess spread was less than 5%. Similarly, the three-month average excess spread percentages for all other outstanding series were also close to 5%, the trigger for their respective CREs.

The occurrence of the CRE triggered DBRS’s review of all Broadway’s outstanding notes. The rating action of Under Review with Negative Implications is the result of revised expectations of future loss performance that will require additional credit support for the outstanding notes or may result in further rating actions.

Citibank Canada (Citibank), the originator, has been in contact with DBRS with respect to its recent actions to enhance portfolio yield and mitigate losses. Citibank has also held discussions with DBRS concerning the possibility of providing additional credit support for outstanding notes.

At this point, DBRS considers it is prudent to place all ratings of Broadway Under Review with Negative Implications until appropriate remedies commensurate with current ratings are implemented.

Notes:
The applicable methodology is DBRS Criteria for Canadian Credit Card Securitization, which can be found on our website under Methodologies.

This is a Structured Finance rating.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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