fiducitation - credit card securitization

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Author: Shahjehan Cheema, John MunsonDate: September 13, 2001 2001 Fiducite.com, Inc.

FIDUCITATION:A synthesis of public Internet resources on the topic.

INSTRUCTIONS:Use the Table of Contents to navigate the document. Each citation has up to four distinctparts: Annotation, Clip, Source, and Cached File. Our Annotation and Clip (text or graphic from sourcedocument) help you decide whether to view the document. The source document may be viewed by clicking on

the Source URL or by opening the embedded Cached File. All information is attributed to its source.

TABLE OF CONTENTS:

Synopsis

Overview of Credit Card Securitization

News and Trends

Performance and Forecasts

Major Deals

MBNA America Bank, N.A.

Rating Agencies

Fitch Ratings

Underwriters

This Fiducitation covers the facts about credit card securitization in the US, details some of the major deals in thelast year, and provides information on the leading issuers, the major rating agencies and the leading underwriters.

itation - Credit Card Securitization http://www.fiducite.com/Fiducitations/Fiducitation - Credit Card S

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ABCs of Credit Card ABSAnnotation: This 6 page report is an excellent overview of the credit card securitization market.Clip: The credit card industry experienced rapid growth throughout the 1990s, with receivables outstanding

increasing from $185 billion in 1990 to $572 billion outstanding at year-end 2000.

Source: http://www.fitchinv.com/corporate/reports/report.cfm?rpt_id=124310

Cached File:

Facts About Credit Card Securitization 2001Annotation: a general overview of the mechanics and variables of credit card securitization

Clip: The outstanding feature of credit card securitisation is the short cycle of the receivable - it is paid off within4-5 months. Therefore, the usual amortization structures used in auto loans, etc. does not work handy in creditcards.

Source: http://www.vinodkothari.com/creditcar.htm

Cached File:

Credit Card C-Piece SecretesAnnotation: very detailed and comprehensive report looking at credit card c-pieces, an enhancement structure ofcredit card asset-backed securities (abs).

Clip: Although credit card ABS has been considered one of the most stable and widely accepted asset classesin the ABS market, it is only recently that the C-pieces on credit card ABS have gained more acceptance andsparked innovative structural developments.


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Source: http://www.fitchinv.com/corporate/reports/report.cfm?rpt_id=124482

Cached File:

Structured Finance - Credit Card CriteriaAnnotation: broad ranging overview of credit card receivables from Standard & Poors rating services - (seepp.6, 15, 21, 23, 41, 47-50, 64-74, 76-79)Clip: One of the most important aspects of any credit risk assessment is the review of the originatorsoperations. In this review, emphasis is placed on the originators marketing, underwriting, and servicingoperations. A rating is based on the representations of the parties to the transaction, but the scope of the reviewdoes not include an audit.


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Source: http://www.standardandpoors.com/ResourceCenter/RatingsCriteria/StructuredFinance/articles/pdf/creditcard99.pdf

Cached File:

Risk and competition in the credit card industryAnnotation: working paper from 1998 with good chart exhibits, see figures 9, 15, 17 & 18 at bottom of page forhistorical perspective on credit card securitization.Clip: The term "convergence" refers to the growth of securitization of bank loans. Securitized credit card debt

has grown from zero to over $ 220 billion in 1997 (Figure 15). By then about half of the credit card debt wassecuritized (Figure 9). Some banks have securitized more than two-thirds of their credit card portfolio (CapitalOne 1998).

Source: http://munshi.sonoma.edu/working/cc/cc.html

Cached File:

Trading and Capital-Markets Activities ManualAnnotation: federal reserve's capital-market review manual. See supplement 5-april 2001 on pdf-document pages


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3-6 and table of contents on pdf-page 16 -- section 3020.1 Securitization And Secondary-Market Credit Activities.Clip: The manual codifies current procedures used in the review of capital-markets and trading activities. Itdiscusses the risks involved in various activities, risk-management and -measurement techniques, appropriateinternal controls, and the examination process from the following perspectives:

Source: http://www.federalreserve.gov/boarddocs/supmanual/trading/trading.pdf

Cached File:

The following articles and press releases regarding credit card securitization are in chronological order:

Credit-Card Losses Keep Climbing June 2001Annotation: brief article commenting on S&P's monthly index of securitized credit card receivables.Clip: Losses among securitized credit-card accounts rose for the third consecutive month in May - and thetrend shows no signs of abating.

Source: http://www.absnet.net/include/showfreearticle.asp?file=/headlines/aba.htm

Cached File:

U.S. credit card ABS supply grows, Amex sells deal April 2001Annotation: press release on American Express co. Credit card securitization with some insight into market andreasons for increased interest in floating rate paper.

Clip: Market participants have favored short- to medium-term variable rate bonds like ABS, given the wildswings in the stock and bond markets and uncertainty over how aggressively the Federal Reserve would lowerinterest rates to revive a slowing U.S. economy.

Source: http://www.forbes.com/newswire/2001/04/10/rtr232275.html

Cached File:

Department Of Labor Proposes Expansion of ASB Exemptions August 2000Clip: The Department of Labor has proposed an amendment to the underwriter exemptions, individualexemptions that provide relief from certain ERISA prohibitions for the operation of asset pool investment trustsand for the acquisition, holding and disposition of asset-backed and mortgage-backed certificates by ERISAgoverned investors.

Source: http://www.mayerbrown.com/legal/teig_aug00.pdf

Cached File:

Consumer Federation of America- Recent Trends July 1998Annotation: this article has some interesting statistics, including which banks extend the most credit and do so themost prudently. Look for highlighted text.

Clip: Just as the portion of credit card debt held by banks has increased recently, so too has the portion held bya few big banks. As the table below shows, at the end of last year, a few banks held more than half of all bank


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card debt.

Source: http://www.abiworld.org/research/cfa_credit_study_7-98.html

Cached File:

Charts, Tables, Graphs and General Information on Credit Card as well as other forms of Securitization

Standard & Poors Report on Credit Card Securitization PerformanceClip: Credit card charge-offs for securitized U.S. credit card banks rose substantially by 60 basis points (bps) inApril 2001, according to Standard & Poor's Credit Card Quality Indexes.

Source: http://www.standardandpoors.com/ResourceCenter/Reference/StructuredFinance/articles/060501_creditcardindex.html

Cached File:Moodys Forecasts Bank Credit Card Segment of U.S. ABSClip: The bank credit-card backed segment of the U.S. public asset-backed securities (ABS) market shouldreach a record-breaking $54 billion of issuance is 2001, up almost 25% from last year's $44 billion, says Moody'sInvestors Service in its annual outlook on the segment.

Source: http://www.moodys.com/moodys/cust/research/babylon/Release/Rating%20Action/noncategorized_number/2000400000337127.asp?namedEntity=Rating+Action

Cached File:

Moodys Forecasts Private Label Credit Card Segment of U.S. ABSClip: The private label credit-card segment of the U.S. asset-backed securities (ABS) market is expected togrow 28% in 2001 to approximately $5.5 billion worth of issuance, says Moody's Investors Service in an annualreview and outlook report.


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Source: http://www.moodys.com/moodys/cust/research/babylon/Release/Rating%20Action/noncategorized_number/2000400000337119.asp?namedEntity=Rating+Action

Cached File:

Standard & Poor's Report on CC Securitization Performance

Clip: Credit card charge-offs for securitized U.S. credit card banks rose substantially by 60 basis points (bps) inApril 2001, according to Standard & Poor's Credit Card Quality Indexes.

Source: http://www.standardandpoors.com/ResourceCenter/Reference/StructuredFinance/articles/060501_creditcardindex.html

Cached File:

Moody's Forecasts Private Label Credit Card Segment Of U.S. AbsClip: The private label credit-card segment of the U.S. asset-backed securities (ABS) market is expected togrow 28% in 2001 to approximately $5.5 billion worth of issuance, says Moody's Investors Service in an annual

review and outlook report.Source: http://www.moodys.com/moodys/cust/research/babylon/Release/Rating%20Action/noncategorized_number/2000400000337119.asp?namedEntity=Rating+Action

Cached File:

Credit Cards: Use and Consumer Attitudes September 2000

Annotation: Federal reserve board research report on consumer related credit card issues, relates good data ontotal (non-mortgage) outstanding consumer credit which can be used for sizing the market.

Clip: Credit cards have also become the primary source of unsecured open-end revolving credit, and they have

largely replaced the installment- purchase plans that were important to the sales volume at many retail stores inearlier decades.

Source: http://www.federalreserve.gov/pubs/bulletin/2000/0900lead.pdf


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Cached File:

This section contains one list of deals by aba.com, and several press releases from major issuers detailing theirdeals. The collection of press releases is not meant to be exhaustive, but rather to give you a sample of issuers.

ABSNet - DEALSAnnotation: Lists all the issuers of credit card securities in April - may 2001 in us, the total amount securitized,and the number of deals each issuer has made.(Note: to see other documents on this site, a free registration will be required.)Source: http://www.absnet.net/WebSite/deals/browseassetclass.asp?AssetClass=cr&tab=browsedeals

Cached File: ABSNet - Deal Summary For Providian May 2001Annotation: An example of abs nets deal summaries is given here using Providian bank.Source: http://www.absnet.net/WebSite/deals/dealsummary.asp?DealID=441&tab=browsedeals&BrowseType=CollateralTypes&FileName=Providian+Master+Trust&AssetClass=cr

Cached File:

Advanta Prices Securitization Backed by Small Business Credit Card Receivables April 2001

Annotation: 'Press release from Advanta corporation regarding recent pricing of business credit cardsecuritization.'Clip: Advanta Business Card Master Trust Series 2001-A consists of receivables in a portfolio of businessrevolving credit card accounts. The portfolio backs four classes of seven year, floating rate notes: $240 million ofClass A Notes, $28.5 million of Class B Notes, $21 million of Class C Notes and $10.5 million of Class D Notes.Source: http://biz.yahoo.com/bw/010403/2696.html

Cached File:

AT&T unit to securitize $1 billion of credit card receivables May 1997

Source: http://www.att.com/press/0597/970507.uca.html

Cached File:

Fleet Credit Card Services Prices Credit Card Securitizations October 2000Annotation: press release from fleet credit card services regarding pricing of credit card securitization.Clip: The transaction, Fleet Credit Card Master Trust II, Series 2000-D, consists of one class of fixed ratecertificates, one class of floating rate certificates and one class of floating rate notes. The $733.5 million seniorClass A certificates has an expected average life of approximately 5 years, a coupon that will reset monthly andwas priced at one-month LIBOR plus 14 basis points.


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Source: http://www.fleetcards.com/info/pressroom.asp?press=19

Cached File:

MBNA securitized credit card receivables regularly in the past year. This folder contains mbna press releasesdetailing these transactions.

MBNA Credit Card Securitization Press ReleasesAnnotation: MBNA press release page. By scanning this page you can see how often and for how much MBNAhas securitized credit card receivables.Source: http://www.prnewswire.com/cgi-bin/micro_site.pl?Tick=mbna

Cached File:

MBNA Securitizes $1.0 BillionClip: WILMINGTON, Del., May 18 PRNewswire-- MBNA Corporation (NYSE: KRB) announced today thatMBNA America Bank, N.A., its wholly owned subsidiary, will issue $1.0 billion in credit card asset backed notesthrough the new MBNA Credit Card Master Note Trust.Source: http://www.prnewswire.com/cgi-bin/micro_stories.pl?ACCT=542850&TICK=MBNA&STORY=/www/story/05-18-2001/0001497064&EDATE=May+18,+2001

Cached File:

MBNA Securitizes $750 Million Feb. 23, 2001Clip: WILMINGTON, Del., Feb. 23 /PRNewswire/ -- MBNA Corporation (NYSE: KRB) announced today thatMBNA America Bank, N.A., its wholly owned subsidiary, will issue $750 million of ten-year credit card assetbacked securities. The securitization from the MBNA Master Credit Card Trust II features two classes of publiclytraded securities (Class A and Class B).Source: http://www.prnewswire.com/cgi-bin/micro_stories.pl?ACCT=542850&TICK=MBNA&STORY=/www/story/02-23-2001/0001434318&EDATE=Feb+23,+2001

Cached File:MBNA Securitizes $1.0 Billion Aug. 24, 2000Source: http://www.prnewswire.com/cgi-bin/micro_stories.pl?ACCT=542850&TICK=MBNA&STORY=/www/story/08-24-2000/0001298076&EDATE=Aug+24,+2000

Cached File:

MBNA Securitizes $750 Million Nov. 8, 2000


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Source: http://www.prnewswire.com/cgi-bin/micro_stories.pl?ACCT=542850&TICK=MBNA&STORY=/www/story/11-08-2000/0001360779&EDATE=Nov+8,+2000

Cached File:

MBNA Securitizes $500 Million Dec. 6, 2000Source: http://www.prnewswire.com/cgi-bin/micro_stories.pl?ACCT=542850&TICK=MBNA&STORY=/www/story/12-06-2000/0001381336&EDATE=Dec+6,+2000

Cached File: Rating AgenciesThe rating agencies below are the three major rating agencies in the US.

Standard & Poor's Ratings DefinitionsClip: A Standard & Poor's issue credit rating is a current opinion of the creditworthiness of an obligor withrespect to a specific financial obligation, a specific class of financial obligations, or a specific financial program(including ratings on medium term note programs and commercial paper programs).

Source: http://www.standardandpoors.com/ResourceCenter/RatingsDefinitions.html

Cached File:Moody's Ratings DefinitionsClip: Moodys maintains five issuer rating systems: Senior Unsecured, Counterparty Ratings, Bank, Municipaland Senior Implied ratings.Source: http://www.moodys.com/moodys/cust/staticcontent/2000200000265735.asp?section=rdef

Cached File:

Fitch Credit Card Securitization GroupClip: Fitch's presence in this sector has grown with market acceptance of its industry standard criteria for ratingsubordinate tranches of credit card securitizations and its widely tracked performance indexes.Source: http://www.fitchibca.com/corporate/sectors/credit_cards.cfm?sector_flag=1&marketsector=2

Cached File:

The citations below are included to give examples of Fitch ratings.

Fleet Credit Card Master Trust IISource: http://www.fitchinv.com/corporate/ratings/issr_rtng.cfm?issr_id=6276


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Cached File:

MBNA Master Credit Card TrustSource: http://www.fitchinv.com/corporate/ratings/issr_rtng.cfm?issr_id=3793

Cached File:

First USA Credit Card Master TrustSource: http://www.fitchinv.com/corporate/ratings/issr_rtng.cfm?issr_id=6104

Cached File:

Top Underwriters of Public ABS in 2000, by Collateral TypeSource: http://abalert.com/Public/MarketPlace/Ranking/index.cfm?files=disp&article_id=49112

Cached File:


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