Citi says PACCT performance mixed, but in line with expectations

Almost one year after closing, 2002 ASR Breakthrough Deal of the Year (see ASR 1/6/03) Pass-Through Account Credit Card Trust (PACCT) is in relatively good shape, performing in line with base-case forecasts used to structure the transaction. Citigroup, which co-led the deal with Goldman Sachs, chronicled the progress in a report last week, noting specifics have been mixed, with chargeoffs below estimates but portfolio yield and purchase rates slightly below initial forecasts.

Chargeoffs for the trust as a whole have averaged 37.25%, inside of the estimated 48.99% used when structuring the deal throughout the first half of last year. Portfolio yield is currently 35.48%, below the initial 42.76% forecast. Overcollateralization sits at 37.91% while credit enhancement for the triple-A rated securities sits at 81.25% on a consolidated basis, notes Citigroup researcher Mary Kane, who authored the report.

PACCT is paying down faster than anticipated and, at the current 72% principal factor, should pay off before the scheduled October 2006 legal final maturity, the report theorizes.

Despite investor concerns at the time over the servicing transfer from Providian Financial Corp. to units of CompuCredit Corp. (CSGQ) and Cardholder Management Services (Presidio), which led to a delay in the deal's pricing, the new servicers took over last year without disruption. The trust remains unrestricted in reinvesting in new collateral and is on track to reach the contractual amortization period, scheduled to begin June 1, 2005.

The trust would see its reinvestment capabilities restricted if the overcollateralization breaches certain triggers. Should O/C dip below 29%, the structure calls for the trust to be limited to a special reinvestment period, wherein principal amortization becomes sequential. Still collateral reinvestment is not impacted.

Should O/C further fall below 26.75% the deal would enter a partial reinvestment period, which would limit repurchases to 50 basis points of the monthly series investment amount. While in a partial investment period, the amortization schedule remains sequential.

Finally, should O/C fall below 22%, PACCT would enter the rapid amortization stage, disallowing any new receivables purchases. A servicer bankruptcy can also trigger the deal entering this stage.