DBRS Confirms the Ratings of SCORE Trust

DBRS has today confirmed all the ratings of the outstanding notes (the Notes) issued by SCORE Trust (the Trust). The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants:

-- AAA (sf) for Credit Card Receivables-Backed Senior Notes, Series 2004-1
-- A (high) (sf) for Credit Card Receivables-Backed Subordinated Notes, Series 2004-1

The rating confirmation is based on the following factors:

(1) For the AAA-rated Senior Notes, credit enhancement is available through subordination of 6%, excess spread, which is currently in the range of 7% to 10%, and the cash reserve account, which was initially seeded at 3.75% and could build up to 6% if the three-month average excess spread falls below 3.75%.

(2) For the A (high)-rated Subordinated Notes, credit enhancement is available through excess spread and the cash reserve account.

(3) The loss rate, after reaching a peak of 7.1% in September 2009, has been steadily decreasing since early 2011 and stood at 4.1% as of September 2011. Over the past two years, the payment rate has been stable around 15%, and portfolio yield has also remained stable at around 18% to 19%, which does not include interchange, as the receivables are generated from private label credit cards.

(4) The custodial pool is a well-diversified and seasoned portfolio, composed of certain credit card accounts managed and designated by JPMorgan Chase Bank, N.A. (Chase), rated AA (low) and R-1 (middle) with Positive trends by DBRS. The credit cards are originated and accepted in the stores of Sears Canada, subject to the agreements between Sears Canada and Chase.

The Trust participates in a co-ownership structure, which means the proceeds from the Notes were used to purchase an undivided co-ownership interest in the receivables of the designated accounts in the custodial pool. Each co-ownership interest is separate from, and in addition to, co-ownership interests previously created. Chase, as the seller, retains the residual undivided co-ownership interest (Retained Interest) in the custodial pool. The receivables include all amounts to be collected under the designated accounts, such as finance charges, cash advance fees, annual fees and principal amounts billed to cardholders. The Retained Interest is at least 12%.

As the accounts are sold on a fully serviced basis, no servicing fee will be paid as long as Chase remains as the servicer. The servicer does not commingle collections and is required to deposit collections into the collection account within two business days of processing.

Notwithstanding the stated targeted principal distribution date of the Notes, certain events may result in early repayment or delays. Such events are called amortization events. Following the occurrence of a series amortization event, collections allocable to the series will be directed first to pay Trust expenses and interest on the notes and then to repay outstanding principal of the senior notes until nil. Principal repayments of subordinated notes will be made only after the senior notes have been repaid in full. Essentially, this provides the senior notes preferential access to the cash flows generated from the receivables for principal repayments, in an amount equal to the subordination available for the senior notes.

The accounts in the custodial pool are originated and managed by Chase, as seller and servicer, according to its underwriting standards and credit and collection policies. In order to be eligible for transfer to the custodial pool, accounts must meet certain criteria. There are also restrictions on account additions by Chase, as seller, to ensure consistent credit quality of the custodial pool.

For more detailed information on the transaction structure, please refer to the rating reports of the Trust at www.dbrs.com.

The performance and characteristics of the custodial pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research below). DBRS conducts monthly stress testing of each rated class of the Notes and the results indicate 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.

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.