DBRS Finalizes Ratings of AAA (sf) and BBB (sf) for Master Credit Card Trust, Series 2011-2

DBRS has today finalized the ratings for the Credit Card Receivables-Backed Floating Rate Notes, Series 2011-2 (the Notes) issued by Master Credit Card Trust (the Trust) as follows:

-- AAA (sf) for the Credit Card Receivables-Backed Class A Floating Rate Notes, Series 2011-2 (the Class A Notes)
-- BBB (sf) for the Credit Card Receivables-Backed Class B Floating Rate Notes, Series 2011-2 (the Class B Notes)

The Notes have an Expected Final Payment Date of February 21, 2016.

The ratings are based on the following factors:

(1) For the Class A Notes, credit enhancement is available through subordination of 8.5%, excess spread and the Cash Collateral Account, which could build up to 5%.

(2) For the Class B Notes, credit enhancement is available through excess spread and the Cash Collateral Account.

(3) Over the past three years, three-month average payment rates have been strong, averaging around 37% and three-month average gross yields have been stable above 21.0%. While the three-month average loss rate peaked at 5.0% in March 2010, it has since been steadily decreasing and stood at 4.3% as of February 2011, one of the lowest in Canada. While current loss rates remain elevated compared to the experience prior to the recent financial crisis, they are mitigated by excess spread which is expected to provide a solid first defence against credit losses.

(4) A successful loyalty program and the experience and demonstrated ability of BMO to manage the largest MasterCard portfolio in Canada.

(5) The receivables are seasoned and well-diversified.

DBRS stress testing indicates that simultaneous declines in yield and payment rates and increases in losses would not result in a failure of the Trust in repaying the Notes on a timely basis. The severity of the tests applied is commensurate with the respective ratings of the Notes.

DBRS’s partial commingling policy for revolving asset pools has been incorporated for all the Notes issued by the Trust. DBRS believes that the partial commingling provisions mitigate potential losses to the noteholders and also provide clarification to market participants with respect to the collection process if the seller/servicer is financially weakened.

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

The applicable methodologies are DBRS Criteria for Canadian Credit Card Securitization and Legal Criteria for Canadian Structured Finance, which are available on our website under Methodologies.

MEDIA CONTACT
Caroline Creighton
Senior Vice President – Communications
+1 416 597 7317
ccreighton@dbrs.com