Fitch Affs 98% of Credit Card ABS Ratings; Puts 11 Sub Bonds on Rtg Watch Negative

NEW YORK--(Business Wire)--
Despite the weak economy weighing on consumers, Fitch Ratings' credit card
portfolio review indicates that the vast majority of credit card asset backed
security (ABS) classes remain well insulated from loss. The robust credit card
structures combined with bank efforts to actively manage risk and in some cases
increase transaction level credit enhancement have resulted in Fitch affirming
467, or 98% of its credit card ABS ratings including all 'AAAs'. However, as
credit card charge-offs and delinquencies are setting record highs and are
expected to continue increasing throughout 2009, Fitch has revised its Rating
Outlook to Negative for several classes of credit card ABS and placed certain
classes on Rating Watch Negative. Specifically, 76 ratings are revised to Rating
Outlook Negative and 10 ratings are placed on Rating Watch Negative.

In the most recent review, Fitch applied a custom charge-off forecast for each
trust. This forecast was derived by applying delinquency roll rates observed
over the last six months to current delinquencies and incorporating the effect
of Fitch's unemployment forecast of 10% by early 2010. Fitch's research has
shown that credit card charge-offs are highly correlated to the unemployment
rate, with a 1:1 relationship for prime credit cards.

Applying base case stresses, Fitch then analyzed breakeven multiples for each
class to determine the appropriate Outlook. Stable Outlooks were assigned where
multiples remained within Fitch's tolerance range for the current rating.
Negative Outlooks and Rating Watch Negatives were assigned where breakeven
multiples approached the point where Fitch would consider downgrades if the
forecasted scenario is realized over the next 12 months. The latest runs assumed
no further deterioration in yield and monthly payment rate, so current
three-month performance averages were used.

Rating Outlooks were initially assigned to credit card ABS in November 2008. As
detailed in 'Introducing Rating Outlooks for U.S. Structured Finance Bonds'
(Fitch Research dated Sept. 11, 2008), Fitch's rating action commentary will
include the rationale for the Rating Outlook along with the rationale for the
long-term rating.

Rating Outlooks are intended to be forward looking and indicate the direction a
rating is likely to move over a one- to two-year period. Rating Outlooks may be
Positive, Negative, Stable, or, occasionally, Evolving. Rating Outlook does not
imply a rating change is inevitable. Similarly, ratings for which Outlooks are
Stable could be upgraded or downgraded before the Outlook moves to Positive or
Negative if circumstances warrant such an action.

Rating Watch is used to notify investors that there is a reasonable probability
of a rating change and the likely direction of such change. Rating Watch is
typically resolved over a short period.

Fitch will continue to monitor macro-level economic conditions and the impact on
industry and trust level performance variables, and update the Rating Outlooks
accordingly.

In summary, Fitch revised the following classes to Rating Outlook Negative from
Rating Outlook Stable:

Chase Credit Card Master Trust, Class B

Chase Issuance Trust, Class C

Capital One Master Trust and Capital One Multi-asset Execution Trust, Classes B
and C

National City Credit Card Master Note Trust, Class C

Discover Card Master Trust I, Series 1996-4, Classes A and B

The following classes were placed on Rating Watch Negative:

Chase Credit Card Master Trust, Class C

Capital One Master Trust and Capital One Multi-Asset Execution Trust, Class D

Washington Mutual Master Note Trust, Class C and D

Tranche-level actions are detailed in a spreadsheet that are available on the
Fitch Ratings web site at www.fitchratings.com under Structured Finance then ABS
then Special Reports.

Fitch's rating definitions and the terms of use of such ratings are available on
the agency's public site, www.fitchratings.com. Published ratings, criteria and
methodologies are available from this site, at all times. Fitch's code of
conduct, confidentiality, conflicts of interest, affiliate firewall, compliance
and other relevant policies and procedures are also available from the 'Code of
Conduct' section of this site.

Fitch Ratings, New York
Cynthia Ullrich, 212-908-0609
Michael Dean, 212-908-0556
or
Media Relations:
Brian Bertsch, 212-908-0549
Email: brian.bertsch@fitchratings.com
Sandro Scenga, 212-908-0278
Email: sandro.scenga@fitchratings.com

Copyright Business Wire 2009