First USA CCMT Series 2001-1 Exp `AAA'/`A+' By Fitch.Business Editors NEW YORK--(BUSINESS WIRE)--Jan. 26, 2001 First USA Credit Card Master Trust's $750 million class A floating-rate asset-backed certificates series 2001-1 are expected to be rated `AAA' by Fitch fitch: see polecat. . The corresponding $58.036 million class B floating-rate asset-backed certificates series 2001-1 are expected to be rated `A+'. Also, Fitch expects to rate the First USA secured note trust 2001-1, `BBB'. Fitch's ratings are based on the strength of the Visa and MasterCard collateral pool, available credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing , excellent servicing capabilities of First USA Bank, and the solid legal and cash flow structures framing the transaction. Credit enhancement supporting the class A certificates is expected to be derived from the subordination of the class B certificates and excess collateral equal to 16% of the total initial invested amount for each series. Class B investors are expected to be protected from losses by the 9.5% enhancement of the excess collateral. The excess collateral represent interests in the trust subordinate in payment rights to class A and class B certificates. Several economic and credit stress scenarios were devised by Fitch to determine appropriate credit enhancement levels. The scenarios simultaneously stress yield, chargeoff, and monthly payment rate steady state assumptions. In addition, to address the interest rate risk associated with uncapped floating-rate coupons, the coupon is stressed to worst case London Interbank Offered Rate London Interbank Offered Rate A short-term interest rate often quoted as a 1,3,6-month rate for U.S.dollars. (LIBOR LIBOR See: London Interbank Offered Rate LIBOR See London interbank offered rate (LIBOR). ) levels without a corresponding adjustment to yield. Under the expected amount of available enhancement and current performance, class A withstands a 35% decrease in yield, a 55% decline in payment rates and chargeoffs increasing to over 30% and still makes full and timely payments of investor principal and interest. Class B sustains a 25% decrease in yield, a 45% decline in payment rates and chargeoffs increasing to more than 22% without suffering a principal or interest loss. Class A and class B investors for series 2001-1 will receive monthly interest payments of 0.15% and 0.45% over one-month LIBOR throughout the revolving and accumulation periods Accumulation Period 1. The phase in an investor's life when he/she builds up his/her savings and the value of his/her investment portfolio with the intention of having a nest egg for retirement. 2. and on the scheduled final payment date on Jan. 19, 2006, provided an early payout pay·out n. 1. The act or an instance of paying out. 2. A percentage of corporate earnings that is paid as dividends to shareholders. event does not occur. Early amortization of the bonds may result from a deterioration de·te·ri·o·ra·tion n. The process or condition of becoming worse. in asset quality, transferor insolvency insolvency Condition in which liabilities exceed assets so that creditors cannot be paid. It is a financial condition that often precedes bankruptcy. In the context of equity, insolvency is the inability to pay debts as they become due; insolvency under the balance-sheet or servicer default. Fitch also affirms its outstanding ratings assigned to existing master trust series indicating that the issuance of series 2001-1 will not result in a ratings reduction or withdrawal. |
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