Moody’s Investors Service confirmed and upgraded the ratings on securities issued out of Bank of America Corporation’s (“BAC”) BA Credit Card Trust (“BACCT”) and BA Master Credit Card Trust II (“Master Trust II”). These rating actions were prompted by a substantial increase in the credit enhancement for these securities.
Moody’s confirmed the Aaa ratings on the Class A securities issued from both trusts. The Class B bonds issued from Master Trust II were upgraded to Aa1 from A2. The Class B and Class C bonds issued from BACCT were upgraded to Aa2 and A3 from A2 and Baa1, respectively. These securities are backed by a pool of unsecured consumer credit card receivables that totaled $82 billion as of February 2010.
The rating actions today conclude the review initiated on July 21, 2009, which was primarily prompted by concerns regarding pronounced collateral performance deterioration.
RATIONALE
These rating actions are driven by the March 31, 2010 execution of amendments to further enhance BAC’s outstanding credit card securities.
Essentially, subordination beneath BACCT’s Class A, B, and C notes would change to approximately 31.75%, 22% and 13% from 22%, 15% and 9%.
Similarly, for Master Trust II transactions, the rated Class A and B bonds will have 31% and 25% subordination, up from 22% and 15%, respectively.
Collateral performance, especially with respect to charge-offs and delinquencies, has started to demonstrate early signs of stabilization.
Even so, Moody’s expects the gross charge-off rate will remain elevated for some time and has revised its expected range to 12% -15% from 11% – 14%.
Moody’s expected range on yield incorporates an expected boost to yield from the ongoing implementation of the discount option. BAC announced on March 12, 2010 that it intends to extend the application of a 6% discount rate to new principal receivables arising in Master Trust II by another six months to September 30, 2010. As a result Moody’s has revised its expected range to 24.5%-27.5% from 23%-26%. Lastly, our expected range
for the trust principal payment rate is 11% – 14%.
These performance expectations indicate our forward-looking view of the likely range of performance over the medium term. From time to time, we may, if warranted, change these expectations. Performance that falls outside a given range may indicate that the collateral’s credit quality is stronger or weaker than anticipated when the related securities were rated. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics.
The complete rating actions are as follows:
RATINGS CONFIRMED
Issuer: BA Credit Card Trust, BAseries
Class A (2001-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2002-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2002-3), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2003-4), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2003-5), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2003-8), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2003-10), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-1), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-3), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-5), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-6), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-8), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2004-9), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-3), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-4), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-6), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-9), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-10), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2005-11), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-5), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-6), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-7), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-8), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-9), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-11), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-12), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-13), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-14), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-15), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2006-16), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-1), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-3), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-4), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-5), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-6), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-8), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-9), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-10), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-11), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-12), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-14), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2007-15), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-1), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-2), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-4), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-5), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-6), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-7), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-8), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Class A (2008-10), confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Issuer: BA Master Credit Card Trust II
Series 1997-B Class A, confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Series 2000-E Class A, confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Series 2000-H Class A, confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Series 2001-B Class A, confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
Series 2001- C Class A, confirmed at Aaa; previously on July 21, 2009 placed under review for possible downgrade
RATINGS UPGRADED
Issuer: BA Credit Card Trust, BAseries
Class B(2003-4), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2004-1), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2004-2), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2005-1), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2005-2), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2005-3), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2006-1), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2007-2), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2007-3), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2007-4), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2008-1), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2008-2), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2009-1), upgraded to Aa2 from A2; previously on July 21, 2009 placed under review for possible downgrade
Class B(2009-2), upgraded to Aa2 from A2; previously on October 13, 2009 rated A2 under review for possible downgrade
Class C(2002-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2002-3), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2002-6), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2002-7), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2003-4), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2003-7), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2004-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2004-2), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2005-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2005-2), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2006-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2006-2), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2006-3), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2006-5), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2007-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2007-2), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2008-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2008-2), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2008-5), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Class C(2009-1), upgraded to A3 from Baa1; previously on July 21, 2009 placed under review for possible downgrade
Issuer: BA Master Credit Card Trust II
Series 1997-B Class B, upgraded to Aa1 from A2; previously on July 21, 2009 placed under review for possible downgrade
Series 2000-E Class B, upgraded to Aa1 from A2; previously on July 21, 2009 placed under review for possible downgrade
Series 2000-H Class B, upgraded to Aa1 from A2; previously on July 21, 2009 placed under review for possible downgrade
Series 2001-B Class B, upgraded to Aa1 from A2; previously on July 21, 2009 placed under review for possible downgrade
Series 2001- C Class B, upgraded to Aa1 from A2; previously on July 21, 2009 placed under review for possible downgrade
METHODOLOGY
The principal methodology used in rating the transaction was “Moody’s
Approach To Rating Credit Card Receivables-Backed Securities”, which can be found at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory on Moody’s website.
BACKGROUND
BAC, headquartered in Charlotte, NC reported total assets of $2.2 trillion as of December 31, 2009. FIA, the sponsor and servicer to the Trust, is a wholly owned subsidiary of BAC. FIA’s long-term bank deposits are rated Aa3 and its Bank Financial Strength rating is D+ (negative outlook).
