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February 9, 2009 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Primary Credit Analysts: Ildiko Szilank, New York (1) 212-438-2614; ildiko_szilank@standardandpoors.com James Traynor, New York (1) 212-438-2627; james_traynor@standardandpoors.com Additional ABS Contact: Paul Kim, New York (1) 212-438-4985; paul_kim@standardandpoors.com Table Of Contents Standard & Poor's What-If Scenarios Issuer-Specific Key Trends General Purpose Bank Card Pools Third-Party Private Label Pools Pools With High Reliance On A Retailer Or Niche Market Appendix I: S&P Assumptions For What-If And Rating Scenarios Appendix II: Comparative Summary Related Publications www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 1 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios (Editor's Note: This article, originally published Feb. 6, 2009, is being republished to provide additional information about Standard & Poor's what-if scenarios. A corrected version follows.) The U.S. Credit Card ABS Issuer Report (Issuer Report) complements our U.S. Credit Card Quality Index (CCQI), which reports the monthly aggregate performance of bankcard and retail card receivables backing credit card ABS that Standard & Poor's Ratings Services rates (see "U.S. Credit Card Quality Index: Bank And Retail Card Performance Exhibit Similar Deterioration In 2008," published Jan. 30, 2009, on RatingsDirect). The Issuer Report includes issuer specific performance and the collateral data of all credit card receivables pools with outstanding public/144A credit card ABS transactions that we rate. We present data on three different types of pools: general purpose bankcard receivables pools (see table 1), as well as pools of private label card receivables and those reliant on a retailer or niche market (see table 2). We also provide comparisons of select variables by issuer (see charts in appendix 2). Table 1 Master Trust Key Indicators (Bankcard Pools) As of December 2008 Sponsor rating, receivables and 2009 maturities Current S&P unsecured credit rating of sponsor Trust receivables balance for December 2008 (bil. $) 12/2006 to 12/2008 growth rate in receivables (%) Maturity amounts 2009 (bil. $)** Losses and delinquencies Current three-month average losses* Year-over-year change in losses (%) Losses* over unemployment (%) (three-month average unemployment equals 6.87%) Current three-month average 30-day delinquency (%)* Year-over-year change in delinquencies (%) 30- to 60-day delinquency roll rates (%)* Amex A 40.45 20 5 Amex 6.70 104.27 (0.17) BofA AA99.17 19 17 BofA 7.85 57.31 0.98 Cap One A47.73 11 4 Cap One 6.26 37.89 (0.61) Chase AA81.40 56 14 Chase 4.89 38.53 (1.98) Citi A+ 77.57 3 14 Citi 7.05 67.06 0.18 Disc BBB 41.31 20 5 Disc 5.99 37.70 (0.88) FNBO BBB2.66 29 1 FNBO 4.61 28.06 (2.26) Nat City A+ 2.13 13 0 Nat City 5.63 26.52 (1.24) WaMu AA16.72 19 3 WaMu 11.58 36.56 4.71 4.65 70 78 5.56 21 75 4.26 (5) 81 3.15 19 78 4.88 39 80 4.73 25 77 2.96 4 83 3.91 8 69 8.29 14 74 Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 2 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Table 1 Master Trust Key Indicators (Bankcard Pools) (cont.) Year-over-year change in 30to 60-day delinquency roll rates* since 2007 (%) S&P first-half 2009 loss projections*** Payment rate and excess spread Current three-month average payment rate (%)* Year-over-year change in payment rate* since 2007 (%) Current three-month average excess spread* Excess spread trapping trigger (for 'BBB' pieces) Current excess spread* over trapping trigger Pool stratification data Average credit limit ($)¶ Average balance ($)¶ Utilization rate (%) CA concentration TX concentration NY concentration FL concentration Change in CA and FL concentration since 2005 (%)¶ Change in FICO above 660 since 2006 (%)¶ Change in FICO above 720 since 2006 (%)¶ Seasoning over 48 months (%)¶ S&P assumptions S&P what-if scenario loss result multiples over current loss rates with 'BBB' level credit support***** S&P what-if scenario loss result multiples over current loss rates with 'A' level credit support***** S&P what-if scenario loss result multiples over current loss rates with 'AAA' level credit support***** 20 8 8 1 9 2 5 7 (4) 8.25- 8.75 9.25- 9.75 7.25- 7.75 6.25- 6.75 9.5- 10 7.25- 7.75 6.25- 6.75 6.75- 7.25 NA Amex 24.23 (6) 6.94 4.50 2.44 BofA 13.90 (17) 4.46 4.50 (0.04) Cap One 16.78 (9) 7.73 4.50 3.23 Capital One 3/28/08 6,340 1,449 23 12 6 6 6 17-18 Chase 19.18 (11) 5.52 4.50 1.02 Citi 18.83 (12) 4.41 4.50 (0.09) Disc 18.58 (11) 7.49 4.50 2.99 FNBO 13.70 (16) 5.17 5.50 (0.33) Nat City 17.53 (9) 6.70 5.00 1.70 National City 3/31/08 11,402 1,795 16 3 N/A 2 2 2-3 / No Chg 80-83 52-56 1 Nat City 2.1 WaMu 9.88 (1) 5.21 4.00 1.21 Amex 8/31/08 N/A 3,965 N/A 17 7 10 9 24-26 BofA 6/30/08 14,120 1,697 12 14 7 6 8 17-22 Chase 9/30/08 11,285 2,012 18 13 7 9 6 19-19**** Citibank 9/28/08 12,019 2,097 17 15 8 9 7 20-22 Discover 5/31/08 8,924 2,571 29 10 8 7 6 15-16 FNBO 9/30/07 14,654 982 7 11 6 2 4 N/A WaMu 9/30/07 6,272 2,189 35 16 7 7 8 23-24 83-83§ 65-66§ 69 Amex 2.3 73-70 36-35 73 BofA 1.7 70-70 39-43 60 Cap One 2.8 82-81 56-56 81 Chase 2.3 75-73 41-40 78 Citi 2.0 70-72 38-40 82 Disc 2.4 N/A N/A N/A FNBO 3.4 51-50 14-14 55 WaMu N/A 7.7 3.0 6.0 5.8 5.0 5.7 6.3 5.3 N/A 15.8 6.1 12.3 11.5 9.7 11.1 12.0 10.0 N/A www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 3 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Table 1 Master Trust Key Indicators (Bankcard Pools) (cont.) S&P 'AAA' rating scenario peak loss multiple over current loss rates****** S&P 'AAA' rating scenario stresses of current payment rate (%)****** Credit support at the 'AAA' level (%) Credit support at the 'BBB' level (%) 4 4 4 5 4 4 6 5 4 32 52 43 42 39 47 47 48 53 12.00 0.00 14.00 0.00 17.00 1.00 11.50 0.00 12.25 0.00 12.50 0.00 17.75 1.00 12.50 0.00 N/A N/A *Three-month average as of December 2008. ¶Based on public disclosure. §FICO above 700. ** Public/144A only. ***S&P first-half 2009 loss projection is primarily based on an extrapolation of current 30-plus delinquency rates and their relation to net losses five months forward. ****% of accounts. *****For S&P assumptions, see appendix 1, column 3. ******For S&P assumptions, see appendix 1, columns 4-6. Disclaimer: Any passwords/user IDs issued by S&P to users are single-user-dedicated and may only be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact Client Services, 55 Water Street, New York, NY 10041; (1)212.438.9823 or by e-mail to: research_request@standardandpoors.com. Table 2 Master Trust Key Indicators (Private-Label/Niche Pools) As of December 2008 Sponsor rating, receivables and 2009 maturities Current S&P unsecured credit rating of sponsor Trust receivables balance for December 2008 (bil. $) 12/2006 to 12/2008 growth rate in receivables (%) Maturity amounts 2009 (bil. $)** Losses and delinquencies Current three-month average losses* Year-over-year change in losses (%) Losses* over unemployment (%) (three-month average unemployment equals 6.9%) Current three-month average 30-day delinquency (%)* Year-over-year change in delinquencies (%) 30- to 60-day delinquency roll rates (%)* 1st Fin§§ N/R N/A Charm Shps CCC+ 0.55 Citi OMNI A+ 43.53 HSBC Union AA5.52 Advnta B 4.79 Cabela N/R 2.32 GE HSBC PL AAA AA19.67 7.50 Nord A1.90 Target A+ 9.02 WFN N/R 3.47 N/A (3) 41 68 24 10 (2) (7) 7 7 (1) 0.0 1st Fin+ 5.87 21 (0.99) 2.2 0.3 0.2 Charm Shps 9.57 16 2.70 2.9 Citi OMNI 9.87 48 3.00 0.8 0.0 1.0 HSBC Union 7.28 40 0.41 0.0 0.0 0.7 Advnta 11.97 185 5.11 Cabela 3.07 47 (3.80) GE HSBC PL 7.81 7.31 55 0.94 62 0.45 Nord 6.67 48 (0.19) Target 11.17 65 4.30 WFN 7.93 37 1.06 5.18 8.13 1.45 9.07 6.99 5.52 5.86 4.35 3.33 8.38 5.18 9 85 110 83 60 75 9 69 34 75 29 72 26 74 35 77 40 74 43 70 17 73 Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 4 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Table 2 Master Trust Key Indicators (Private-Label/Niche Pools) (cont.) Year-over-year change in 30- to 60-day delinquency roll rates* since 2007 (%) S&P first-half 2009 loss projection*** Payment rate and excess spread Current three-month average payment rate (%)* Year-over-year change in payment rate* since 2007 (%) Current three-month average excess spread* Excess spread trapping trigger (for 'BBB' pieces) Current excess spread* over trapping trigger Pool stratification data Average credit limit ($)¶ Average balance ($)¶ Utilization rate (%) CA concentration TX concentration NY concentration FL concentration Change in CA and FL concentration since 2005 (%)¶ Change in FICO above 660 since 2006 (%)¶ Change in FICO above 720 since 2006 (%)¶ Seasoning over 48 months (%)¶ S&P assumptions S&P 'AAA' rating scenario peak loss multiple over current loss rates***** S&P 'AAA' rating scenario stresses of current payment rate (%)***** Credit support at the 'AAA' level (%) (4) (5) 6 (3) 6 8 6 9 7 4 8 6.757.25 1st Fin+ 8.95 18.019.0 Advnta 22.63 4.0- 4.5 10.511.0 Charm Shps 14.19 12.5013.00 Citi OMNI 11.88 9.259.75 8.0- 8.5 9.259.75 HSBC Union 7.23 7.758.25 Nord 24.33 13.2513.75 Target 11.76 8.759.25 WFN 15.63 Cabela 40.97 GE HSBC PL 13.64 11.81 (11) 9 (12) (21) (4) (6) (8) (7) (12) (18) (8) 11.37 NA NA 1st Fin+ N/A N/A N/A N/A N/A N/A N/A N/A 1st Fin+ N/A N/A N/A 1st Fin+ 5 5.69 4.50 1.19 46.48 4.50 41.98 15.93 N/A N/A Charm Shps 5/31/07 845 294 35 4 3 8 N/A Charm Shps N/A N/A N/A Charm Shps 4 7.61 N/A N/A Citi OMNI 3/31/08 4,224 286 7 13 7 8 7 Citi OMNI N/A 61 / 31 65 Citi OMNI 3 8.74 5.00 3.74 15.21 N/A N/A 5.44 N/A N/A HSBC Union 7/31/07 7,510 1,443 19 13 3 13 3 HSBC Union N/A N/A N/A HSBC Union 4 8.52 N/A N/A 9.68 N/A N/A 11.93 6.50 5.43 Advnta 5/31/08 15,818 4,979 31 16 6 6 8 Cabela 6/30/08 7,826 1,131 14 5 4 4 N/A GE HSBC PL 4/30/08 12/31/06 2,160 395 18 9 10 4 7 3,998 680 17 13 8 6 5 Nord 1/31/07 6,436 494 8 39 4 2 3 Target 9/30/05 3,594 904 25 15 8 N/A 7 WFN 4/30/08 992 361 36 7 10 8 6 Advnta 84 / 50 80 / 48 34 Cabela 88 / 66 86 / 62 53 GE HSBC PL N/A 66 / 39 N/A 52 NA NA Nord N/A N/A N/A Target N/A N/A N/A WFN N/A N/A 45 Advnta 3 Cabela 6 GE HSBC PL 4 3 Nord 4 Target 3 WFN 4 49 36 34 43 47 46 42 58 41 60 46 46.00 17.00 15.00 34.00 22.25 18.75 24.00 20.50 13.50 22.00 25.00 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 5 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Table 2 Master Trust Key Indicators (Private-Label/Niche Pools) (cont.) *Three-month rolling average as of October 2008. ¶Based on public disclosure. §FICO above 700. **Public/144A only. ¶¶First Financial Credit Card Master Note Trust. §§Combination of Trusts I, II, and III. ***S&P first-half 2009 loss projection is primarily based on an extrapolation of current 30-plus delinquency rates and their recent relation to net losses 5 months forward. *****For S&P Assumptions, see appendix 1, columns 4-6. Disclaimer: Any passwords/user IDs issued by S&P to users are single-user-dedicated and may only be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact Client Services, 55 Water Street, New York, NY 10041; (1)212.438.9823 or by e-mail to: research_request@standardandpoors.com. Standard & Poor's What-If Scenarios The focus here is on our what-if scenario results for losses, based on three months average performance data as of December 2008, for the top bankcard pools. Our what-if scenarios are not intended to be indicative of stresses we apply when we rate credit card ABS transactions. For rating stresses and assumptions, see Appendix 1. The what-if results show how high peak losses could reach over 12 months, based on 'BBB', 'A', and 'AAA' level credit support, assuming the following: • Yield remains at current three-month average levels, • Payment rate declines by 15% over 12 months from current three-month average rates, • Purchase rate is "flat" for scenarios at the 'BBB' level credit enhancement and 0% in amortization for scenarios at the 'AAA' and 'A' level credit enhancement, and • Coupon increases 200 to 300 bps from current levels over 12 months. The average break-even annualized loss result for the top eight bankcard pools, based on December 2008 performance, is about 14% for tranches with 'BBB' level credit support; 31% for tranches with 'A' level credit support; and 61% for tranches with 'AAA' level credit support. These break-even annualized loss levels are higher than current performance and also higher than our baseline and pessimistic-loss forecasts for the bankcard industry. However, we believe that if losses were to reach these peak levels, for example, a 60% range, it is likely that yield and payment rate would experience more severe stresses than our what-if scenario assumptions. As of December 2008, the three-month average loss rate for the top eight bank card pools was about 6%. Based on Standard & Poor's baseline and pessimistic unemployment forecasts of 8.7% and 9.8%, respectively, for fourth quarter 2009, our card loss forecast for 2009 is about 9% in a baseline economic scenario and may exceed 10% in a pessimistic economic scenario. Our results, averaged for the top eight bankcard pools (see table 3), show that the 14% break-even loss rate for tranches with 'BBB' level credit support is about 2.3 times higher than the current three month average loss rate of 6%, 1.6 times higher than the 9% loss forecast in a baseline economic scenario, and 1.4 times higher than the 10% loss forecast in a pessimistic economic scenario. The 31% break-even loss rate for tranches with 'A' level credit support is about 5.1 times higher than the current three month average loss rate of 6%, 3.7 times higher than the 9% loss forecast in a baseline economic scenario, and 3.1 times higher than the 10% loss forecast in a pessimistic economic scenario. The 61% break-even loss rate for tranches with 'AAA' level credit support is about 10 times higher than the current three month average loss rate of 6%, 7.4 times higher than the 9% loss forecast in a baseline economic scenario, and 6.1 times higher than the 10% loss projection in a pessimistic economic scenario. Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 6 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Table 3 Standard & Poor's Break-Even Scenario Loss Result Multiples Over Current Loss Rates* Amex 6.7 2.3 7.7 15.8 BofA 7.85 1.7 3.0 6.1 Capital One 6.26 2.8 6.0 12.3 Chase 4.89 2.3 5.8 11.5 Citibank Discover 7.05 5.99 2.0 5.0 9.7 2.4 5.7 11.1 FNBO 4.61 3.4 6.3 12.0 National City 5.63 2.1 5.3 10.0 December 2008 three-month average losses (%) S&P what-if scenario peak loss multiples over current loss rates with 'BBB' level credit support S&P what-if scenario peak loss multiples over current loss rates with 'A' level credit support S&P what-if scenario peak loss multiples over current loss rates with 'AAA' level credit support *For assumptions, see appendix 1. Issuer-Specific Key Trends As of December 2008, we observed the following key trends based on three-month average data (for more detailed collateral description, see "U.S. Credit Card ABS Issuer Report: Geography, Credit Lines, And Recent Growth May Differentiate Pool Performance," published December 18, 2008, on RatingsDirect). General Purpose Bank Card Pools American Express Credit Account Master Trust The Amex pool had the second highest year over year increase in losses and the highest year over year increase in early delinquency roll rates. The pool has the second highest exposure to California, which is experiencing a weak housing market and rising unemployment. The unemployment rate for California was 9.3% in December 2008, which is about a 58% increase since December 2007. However, the pool has the third highest payment rate. Our rating scenario stress assumption for peak losses at the 'AAA' level is about 4 times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about one third of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 8.25% and 8.75%. BA Master Credit Card Trust II The BofA pool had the lowest excess spread, the third biggest drop in payment rate, the second highest loss rate and lowest payment rate (after Washington Mutual) among its general purpose bank card lender peers, and the highest increase in California and Florida concentrations since 2005. Our rating scenario stress assumption for peak losses at the 'AAA' level is about four times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about half of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 9.25% and 9.75%. Our ratings on the Class B and C notes in the BofA pool are currently on CreditWatch with negative implications (for more information about this pool, see "Various Bank Of America Credit Card ABS Trust Subordinate Note Ratings Placed On Watch Neg," published on Jan. 9, 2009, on RatingsDirect). www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 7 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Capital One Master Trust The Cap One pool includes accounts with the second lowest credit line (after WaMu) and the second lowest balances among peers (after FNBO). Our rating scenario stress assumption for peak losses at the 'AAA' level is about four times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about 43% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 7.25% and 7.75%. Chase Issuance Trust The Chase pool has the third lowest losses and the third lowest 30-day plus delinquencies of all issuers. Our rating scenario stress assumption for peak losses at the 'AAA' level is about five times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about 42% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 6.25% and 6.75%. Citibank Credit Card Master Trust I The Citibank pool has the third highest year-over-year change in three-month average losses, the second highest year-over-year change in 30- to 60-day delinquency roll rates after Amex, and the second lowest three-month average excess spread. Our rating scenario stress assumption for peak losses at the 'AAA' level is about four times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about 39% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 9.50% and 10.0%. Our ratings on the class C notes in the Citibank pool are currently on CreditWatch with negative Implications (for more information about this pool, see "Citibank Credit Card Issuance Trust 'BBB' Rating On Class C Placed On CreditWatch Negative," published on Feb. 3, 2009, on RatingsDirect). Discover Card Master Trust I The Discover pool has the lowest concentration in California and Florida, the highest account seasoning over 48 months among peers, and the third highest average account balance. Our rating scenario stress assumption for peak losses at the 'AAA' level is about four times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about 47% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 7.25% and 7.75%. Our ratings on the class C notes issued out of the Discover Card Execution Note Trust and our rating on the class A certificates from series 1996-4 issued out of Discover Card Master Trust I were placed on CreditWatch with negative implications (see "Discover Card Master Trust I Ratings Placed On CreditWatch Negative," published on Feb. 4, 2009, on RatingsDirect). Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 8 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios First National Master Note Trust The FNBO pool has the lowest utilization rate, the second highest credit lines, the second lowest losses, and the second lowest 30-day plus delinquencies among all issuers. Our rating scenario stress assumption for peak losses at the 'AAA' level is about six times higher than the pool's current three-month average loss rate. Our rating scenario stress assumption for payment rate at the 'AAA' level is about 47% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 6.25% to 6.75%. National City Credit Card Master Note Trust The National City pool has third lowest year-over-year change in three-month average losses, the lowest concentration in California, and the lowest account seasoning over 48 months. Our stress assumption for peak losses at the 'AAA' level is about five times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 48% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 6.75% to 7.25%. Washington Mutual Master Trust The WaMu pool has the second highest three-month average losses, the third highest 30-day plus delinquencies, and the third highest concentration in California. Our stress assumption for peak losses at the 'AAA' level was about four times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 53% of the current three-month average payment rate. Our ratings on the notes in the WaMu pool are currently on CreditWatch with developing implications (for more information about this pool, see "Ratings On Various Washington Mutual Master Trusts Placed On CreditWatch Developing" published on Sept. 29, 2008, and "Ratings On Various Washington Mutual Master Trusts Lowered, Affirmed; Some Off Watch Neg," published Sept. 17, 2008 on RatingsDirect). Third-Party Private Label Pools GE Capital Credit Card Master Note Trust The GE pool includes receivables from merchants with higher credit ratings than competitor private label originators, and it has the third lowest credit lines of all issuers. The top six merchants make up more than 90% of the pool. They are: Dillard's, the Gap, JC Penney, Lowe's, Sam's Club, and Wal-Mart. Our stress assumption for peak losses at the 'AAA' level is about four times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 46% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates between 9.25% to 9.75%. Citibank Omni Master Trust The Citi Omni pool is the largest in its peer group and is the only private label originator that currently includes a significant portion of general purpose and co-branded bankcard receivables in addition to private label receivables in the pool. It has the third lowest drop in payment rates and the second lowest utilization rates. www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 9 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Sears private-label and co-branded bank card receivables make up about 50% of the pool, followed by Home Depot at 25%, Associates at 16%, Federated at 12%, and oil and gas card receivables make up the rest. Our stress assumption for peak losses at the 'AAA' level is about three times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 47% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 12.50% to 13.00%. Charming Shoppes Master Trust The Charming Shoppes pool is the smallest private label card pool we rate, it has the lowest year-over-year change in three-month average losses, the highest 30-day plus delinquencies, the second lowest concentration in California, and the biggest drop in payment rates year-over-year. Receivables for the Charming Shoppes pool are generated under private-label credit accounts and a limited portion of co-branded bank credit card accounts that are originated under the Catherine's Plus Sizes, Fashion Bug, Fashion Bug Plus, and Lane Bryant names. Our stress assumption for losses at the 'AAA' level is about four times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 43% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 10.5% to 11.0%. HSBC Private Label Credit Card Master Note Trust (USA) I The HSBC PL portfolio is the most diversified third-party private-label pool by industry and merchant, and it has the third highest excess spread of all issuers. The HSBC PL portfolio benefits from its diversified retailer and geographic mix. However, there is a concentration in Best Buy receivables. The trust has receivables in the following retailer industries: consumer electronics, department stores, furniture, general merchandise, home improvement, recreational vehicles, and various other products. We believe losses may increase the most in segments that have big-ticket, discretionary spending and in geographic areas due to the weak economic conditions. Our stress assumption for peak losses at the 'AAA' level is about three times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 42% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 8.0% to 8.50%. World Financial Network Credit Card Master Note Trust The WFN pool has the highest utilization rates among peers. It includes receivables from more than 50 retailers, but the top seven merchants make up about 70% of the total pool. They are: Express, the Limited Brands, Redcats, Schottenstein Stores, and Stage Stores. Our stress assumption for peak losses at the 'AAA' level is about four times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 46% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 8.75% to 9.25%. Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 10 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Pools With High Reliance On A Retailer Or Niche Market Nordstrom Credit Card Master Note Trust II The Nordstrom pool has the second highest payment rates, the third lowest utilization rates, and the highest California concentration. The pool includes Nordstrom private-label credit card receivables and a 90% participation interest in Nordstrom Visa credit card receivables. Our stress assumption for peak losses at the 'AAA' level is about four times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 41% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 7.75% to 8.25%. Cabela's Master Credit Card Trust The Cabela pool has the lowest three-month average losses, the lowest three-month average 30-day plus delinquencies, the third lowest concentration in California, and the highest three-month average payment rates and excess spread. Cabela's pool includes bankcard receivables generated by CLUBVisa credit card accounts, which World's Foremost Bank, a wholly owned subsidiary of Cabela's, originates and services. Cabela's Inc., founded in 1961, is a direct marketer and specialty retailer of hunting, fishing, camping, and related outdoor merchandise. Cabela's generates sales through millions of catalogs mailed worldwide, an Internet site, and retail stores. The credit card program serves as a customer loyalty reward program for Cabela's retail customers. Our stress assumption for peak losses at the 'AAA' level was about six times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 34% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 4.0% to 4.5%. On Nov. 21, 2008, we lowered our ratings on two Class A certificates due to the downgrade of the financial strength rating on monoline insurer Ambac Assurance Corp. 1st Financial Credit Card Master Note Trust III First Financial’s student credit card portfolio has the second lowest year-over-year change in three-month average losses, the second lowest three-month average 30- to 60-day delinquency roll rates, and the second lowest three-month average payment rates. 1st Financial Bank USA targets consumers enrolled in, about to enroll in, or recent graduates of U.S. colleges and universities for its credit card portfolio. The obligors in this market segment generally have limited or no previous credit history. To manage the risk of limited credit history, the bank typically assigns a very low credit limit at new account origination, and bases any increases on ongoing testing and measuring of the account performance. 1st Financial Credit Card Master Note Trust III was established earlier this year. As such, we based year-over-year comparisons for yield, net losses, and total payment rates on the combined performance of 1st Financial Credit Card Master Note Trust I, 1st Financial Credit Card Master Note Trust II, and 1st Financial Credit Card Master Note Trust III. www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 11 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Our stress assumption for peak losses at the 'AAA' level was about five times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 49% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 6.75% to 7.25%. HSBC Credit Card Master Note Trust (USA) I The HSBC portfolio has the third highest change in year-over-year three-month average 30- to 60-day delinquency roll rates. The HSBC Union portfolio has seen stable growth, but its payment rate has seen continual declines. Additionally, the trust exhibits higher concentrations in Rust Belt states compared with the overall credit card industry. The assets in the HSBC Union trust are receivables HSBC originates under the Union Plus program, an affinity agreement between HSBC Finance Corp. and Union Privilege. In this program, credit cards are offered to members of approximately 60 unions nationwide that are affiliated with the AFL-CIO. Given the obligor base, the trust exhibits a geographic mix in states with higher union concentrations. On Dec. 15, 2008, HSBC Receivables Funding Inc. I designated additional credit enhancement in the form of incremental overcollateralization to all outstanding deals Standard & Poor's rates. This effectively increased "floating-rate" 'AAA' enhancement to approximately 30% from 20.5%. Standard & Poor's affirmed its ratings on all notes issued by the HSBC Credit Card Master Note Trust (USA) I in connection with this increase in credit enhancement. Our stress assumption for peak losses at the 'AAA' level is about four times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 58% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 9.00% to 9.50%. Target Credit Card Owner Trust The Target pool experienced the third highest losses, the second biggest drop in payment rates year-over-year, the second highest 30-day plus delinquencies after Charming Shoppes, and the third lowest 30- to 60-day roll rates. The pool includes receivables generated under consumer retail credit card accounts and VISA accounts serviced by Target National Bank. Our stress assumption for peak losses at the 'AAA' level is about three times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 60% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 13.25% to 13.75%. Our ratings on all Class A notes issued out of the Target pool were placed on CreditWatch with negative implications (see "Target Credit Card Owner Trust 2005-1 'AAA' Rating Placed On CreditWatch Negative," published on Sept. 30, 2008, on Ratings Direct). Advanta Business Card Master Trust The Advanta pool had the highest three-month average losses and year-over-year change in losses, the second highest three-month average 30- to 60-day delinquency roll rates, and the lowest year-over-year change in roll rates. It was the only trust with increase in payment rates year-over-year. Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 12 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Our stress assumption for peak losses at the 'AAA' level is about three times higher than the current three-month average loss rate. Our 'AAA' level payment rate stress assumption is about 36% of the current three-month average payment rate. Our loss projection for first half 2009 based on current delinquency rates ranges between 18.0% to 19.0%. We lowered our ratings on all notes issued out of the Advanta Business Card Master Trust (see "Advanta Business Card Master Trust Ratings Lowered," published on Feb. 5, 2009, on RatingsDirect). Appendix I: S&P Assumptions For What-If And Rating Scenarios The following table summarizes our assumptions for our what-if scenario results as well as our rating scenarios at the 'AAA', 'A', and 'BBB' levels. Appendix 1 Glossary Of Key Variables And Assumptions Column 1 Column 2 Column 3 What-If Scenario Stress applied in a what-if scenario Definition assumption Payment defaults on Break-even losses are principal receivables. tested over a 12-month Typically, receivables that period, starting with are deemed uncollectible December 2008 due to 180-day delinquency, three-month average bankruptcies, or death rates. Aggregated payments collected from cardholders to repay debt due Column 4 ‘AAA’ Rating Scenario Stress applied in a 'AAA' rating scenario assumption From 3x-5x the base case assumption over 12 months Column 5 ‘A’ Rating Scenario Stress applied in a 'A' rating scenario assumption From 2x-3.5x the base case assumption over 12 months Column 6 ‘BBB’ Rating Scenario Stress applied in a 'BBB' rating scenario assumption From 1.5x-2.25x the base case assumption over 15-20 months Term Losses Payment rate Declines over 12 months Immediately declines to to 85% of December 45%-55% of the base 2008 three-month case assumption average payment rate Starts at current rates and increases by 1% increments each month until it reaches about 14.00%-16.00% Immediately declines to 55%-65% of the base case assumption Starts at current rates and increases by 0.8% increments each month until it reaches about 13%-15% Immediately declines to 55%-70% of the base case assumption Immediately declines to negative 3% Immediately declines to 65%-75% of the base case assumption Bond coupon An expense that depends Starts at December 2008 on the cost of funds, not the three-month average card obligors' performance rates and increases to 6% over 12 months Starts at current rates and increases to about 11%-13% over 15-20 months. For highly rated banks, we may assume the bond coupon may be 3%-5% lower than yield Declines to 65%-75% of the base case assumption over 15-20 months Yield Income flowing into the trust, including cardholder interest payments and fees, interchange, recoveries, and other miscellaneous income Yield over transaction expenses, including losses, servicing fee, bond coupon, and other transaction-related fees Starts at December 2008 Immediately declines to three-month average 45%-60% of the base rates and is maintained case assumption at that level. Excess spread starts at Immediately declines to December 2008 negative 5% three-month average rates. Excess spread trapping amount is considered for tranches with ‘BBB’ level credit support. No trapping amount is considered for tranches with ‘A’ and ‘AAA’ level credit support. Excess spread We assume the lower of the spread account trapping trigger, typically 4.5%, or the current excess spread www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 13 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Appendix 1 Glossary Of Key Variables And Assumptions (cont.) Purchase rate New receivables generated during the reporting period resulting from cardholder purchases and cash advances Purchase rate is zero for tranches with ‘A’ and ‘AAA’ level credit support. For tranches supported with ‘BBB’ level credit support, we assume flat pool balance. Immediately declines to 0%-6%. Immediately declines to 0%-6% . Immediately declines to 0%-6%. For investment-grade banks originating prime bankcard receivables, we may assume that new principal receivables will equal principal payment collections. For prime bankcard receivables, we assume the 2% market rate. For other than prime bankcard receivables, market rate range may be 3%-8%. In some cases, we assume that highly rated banks will receive some of the servicing fee from interchange Servicing fee An expense that is driven by We assume 1% the current market rate of servicing fee for the top servicing a pool of credit eight bankcard pools. card assets For prime bankcard receivables, we assume the 2% market rate. For other than prime bankcard receivables, market rate range may be 3%-8% For prime bankcard receivables, we assume the 2% market rate. For other than prime bankcard receivables, market rate range may be 3%-8% Appendix II: Comparative Summary The following charts provide a comparative summary of the data in tables 1 and 2. Chart 1 Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 14 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 2 Chart 3 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 15 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 4 Chart 5 Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 16 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 6 Chart 7 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 17 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 8 Chart 9 Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 18 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 10 Chart 11 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 19 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 12 Chart 13 Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 20 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 14 Chart 15 www.standardandpoors.com/ratingsdirect Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 21 701346 | 301000387 U.S. Credit Card ABS Issuer Report: Senior Classes Of Bankcard ABS Withstand A 61% Average Annualized Loss Rate Under Certain "What-If” Scenarios Chart 16 Related Publications The following articles are available on RatingsDirect. The criteria can also be found on our Web site at www.standardandpoors.com. • "U.S. Credit Card Quality Index: Bank And Retail Card Performance Exhibit Similar Deterioration In 2008," published Jan. 30, 2009; • "For U.S. Credit Card ABS, Negative Rating Pressure Will Increase In 2009," published Jan. 27, 2009; and • "General Methodology And Assumptions For Rating U.S. Credit Card Securitizations," published Dec. 15, 2008. Standard & Poor’s RatingsDirect | February 9, 2009 Standard & Poor's. All rights reserved. No reprint or dissemination without S&P's permission. See Terms of Use/Disclaimer on the last page. 22 701346 | 301000387 Copyright © 2009 Standard & Poor's, a division of The McGraw-Hill Companies, Inc. (S&P). S&P and/or its third party licensors have exclusive proprietary rights in the data or information provided herein. This data/information may only be used internally for business purposes and shall not be used for any unlawful or unauthorized purposes. 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