Chester Asset Receivables Dealings No. 5 Ltd.’s (CARD) 237.5 million British pound sterling class A asset-backed fixed-rate notes are rated ‘AAA’ by Fitch IBCA. In addition, the 12.75 million British pound sterling class B notes are rated ‘A+’. This is the first fixed-rate note issue from the UK Receivables Trust. The notes form part of the series UK98-1, which is the fifth securitization from the trust. The trust is composed of a pool of credit card receivables arising under MasterCard and Visa accounts owned and originated by MBNA International Bank Ltd., a wholly-owned subsidiary of MBNA America Bank, N.A. The issuer is a special purpose Cayman Islands company, whose primary purpose is to issue notes backed by its rights under the trust.
The ratings are based on the nature of the receivables, available credit enhancement, MBNA International’s underwriting and servicing capabilities and the legal structure. Credit enhancement totaling 11% is provided through 5% subordination of the class B certificates and a 6% cash collateral account.
To determine appropriate credit enhancement levels, Fitch IBCA formed very conservative projections of steady state portfolio yield, monthly payment rate and chargeoffs, and stressed them beyond worst-case levels. The fixed-rate structure resulted in total credit enhancement levels 3% less than the four previous CARDs transactions. Each class of this issue can withstand Fitch IBCA stress scenarios and still make full and timely payment to investors.
The transaction is structured with a revolving period, during which investors receive quarterly interest payments, followed by controlled accumulation. During controlled accumulation, investors still receive quarterly interest payments while principal is collected for distribution in one payment on the expected maturity date in March 2008. The series termination date is May 2010.Details