Responding to growth over the past year in de-linked credit card ABS trusts, Fitch Ratings recently launched a Credit Card Issuance Trust Update feature on its website. While currently reporting on just the two largest trusts - Citibank and MBNA America Bank - the debt tracker will include Bank One Issuance Trust and Capital One Multi-Asset Execution Trust, next month.
Information provided on the Fitch website includes an overview of the issuer, including any unsecured debt reports, trust collateral pool details and performance as well as break-even stresses in a worst-case scenario. The information for all trusts is updated on a monthly basis and is available to both subscribers and non-subscribers.
"With the flexibility offered to the issuers and the frequency new deals come to market, it's hard for investors to keep up," said director Rich Drasen. "Instead of issuing a presale report for every new [deal], this service gives investors all the information they need."
With each update, Fitch reports typical collateral performance data such as excess spread, portfolio yield and chargeoffs. "For the 12-month period ended April 15, 2003, the trust's three-month average excess spread totaled 8.04% and 7.99% since trust inception. Considering credit quality has somewhat deteriorated over the last 12 to18 months, excess spread remains within historical norms," according to the website.
Recent activity is described, reporting on transactions that have priced in the previous month and keeping track of total trust volume outstanding, by class, when accounting for recent pricings. As of April 30, 2003, MBNASeries has $16.99 billion of class A notes, $1.8 billion of class B notes, and $2.3 billion of class C notes, according to Fitch, which includes $4.5 billion of ABCP from the issuer's Emerald Note ABCP Program.
In addition to charting each series off the respective trusts as they hit, including related reports on the parent entity, Fitch reports the break-even stress scenarios Fitch uses when rating the trusts. Using the most recent 12-month averages for performance statistics, Fitch illustrates how the trust as a whole is performing, in relation to its early payout triggers. This data is calculated for purchase rates of both 100% and 0%.
"When stressed, the transaction enters early amortization and begins to accumulate cash flow shortfalls during the payout period. The cumulative total shortfalls equate to the available credit enhancement for each class," Fitch explains on its website. "With the available credit enhancement in place, MBNA notes can withstand the stress scenarios and still make full and timely payment of interest and principal to noteholders."
