DBRS Finalizes Ratings to Broadway Credit Card Trust, Series 2008-1 and Series 2008-2

DBRS has today finalized ratings to the Credit Card Receivables-Backed Class A Notes, Class B Notes and Class C Notes of Series 2008-1 and has assigned ratings to Series 2008-2 (collectively, the Notes) issued by Broadway Credit Card Trust (the Trust) as indicated below:

-- AAA to the Credit Card Receivables-Backed Class A Notes, Series 2008-1
-- “A” to the Credit Card Receivables-Backed Class B Notes, Series 2008-1
-- BBB to the Credit Card Receivables-Backed Class C Notes, Series 2008-1
-- AAA to the Credit Card Receivables-Backed Class A Notes, Series 2008-2
-- “A” to the Credit Card Receivables-Backed Class B Notes, Series 2008-2
-- BBB to the Credit Card Receivables-Backed Class C Notes, Series 2008-2

The ratings are based on the following factors:

(1) The credit enhancement available from the subordination offered to the Class A Notes and Class B Notes (10% and 5%, respectively); the Cash Reserve Account (fully funded at 1.5% of the aggregate Note balance at closing), which provides enhancement for all classes of the Notes; and excess spread estimated to be in the 5% range.

(2) The demonstrated success of Citibank Canada and Citi Cards Canada (Citi Cards) in managing its credit card portfolio within expected performance parameters despite significant integration and conversion efforts, evidenced by the consistent level of payment rates in the portfolio.

(3) A diversified and seasoned portfolio of obligors with good geographic distribution.

(4) The extensive experience of Citi Cards in the credit card business with the backing of Citibank N.A., one of the largest financial institutions in the world.

The annual gross yield (including interchange) of the portfolio has been stable, ranging between 17.5% and 18.7% since 2006. The monthly payment rates, although lower than credit card programs of large Canadian banks, have also been very stable over the same period, ranging between 16.6% and 17.4%.

In comparison, the Trust’s annualized loss rates have been experiencing a greater degree of fluctuation, ranging from 4.79% in 2006 to 6.12% for the quarter ending on March 26, 2008. The volatility of the loss levels, in combination with the elevated coupon rates on recent credit card-backed notes, are key factors in the additional 1% of subordination for the Class A Notes and the Class B Notes in comparison with the outstanding fixed-rate notes issued by the Trust. These two factors are further explained as follows:

There was a large receivables addition of $1.227 billion made in March 2007, which increased the Trust receivables size by approximately 60% at the time. The addition was composed entirely of non-delinquent accounts, and these accounts are now becoming more seasoned and beginning to reach their expected peak loss levels. This has contributed to the recently observed high loss rate. Citi Cards expects the loss rate to stabilize at a lower level in the next six to 12 months, but at this point, it is not certain if the loss rate will eventually normalize as expected.

As the Trust has a relatively lower payment rate than many programs, the payout period of the Notes will likely be much longer in a stressed scenario; accordingly, more interest payments would be required until the Notes are fully repaid. Consequently, this requires an increase in the enhancement to cover the additional cash requirements of larger interest payments. For credit card transactions, higher payment rates can mitigate the impact of increased cost of funds and commensurate credit enhancement at each rating level.

Given that credit losses have experienced volatility and worsened since 2006 and have yet to stabilize and that the final coupon rates of the Notes are expected to be noticeably higher than the fixed-rated notes of similar tenors issued by the Trust, DBRS has incorporated more conservative assumptions in stress testing for the Notes, resulting in the 1% increase in enhancement.

Stress testing indicates that steep declines in yield and payment rates, combined with high losses, would not result in a failure of the Trust in repaying the Notes on a timely basis. The severity of the tests applied has been commensurate with the respective ratings of all classes of the Notes.

Proceeds from the Notes will be used to purchase undivided co-ownership interests in MasterCard accounts originated by Citibank Canada. The credit card business of Citibank Canada is managed by Citi Cards. Citibank, N.A. has provided a performance guarantee related to the obligations of Citi Cards, as the Seller and Servicer.

Note:
All figures are in Canadian dollars unless otherwise noted.

Media Contact:
Caroline Creighton
Senior Vice President
+1 416 597 7317
ccreighton@dbrs.com