OREANDA-NEWS. Fitch Ratings expects to assign the following ratings to Master Credit Card Trust II, series 2016-1:

--$TBD USD class A asset-backed notes 'AAAsf (EXP)'; Outlook Stable;
--$TBD USD class B asset-backed notes 'AAsf(EXP)'; Outlook Stable;
--$TBD USD class C asset-backed notes 'BBBsf(EXP)'; Outlook Stable.


High Collateral Quality: The underlying collateral characteristics play a vital role in the performance of a credit card ABS transaction. Fitch closely examines such collateral characteristics as credit quality, seasoning, geographic concentration, delinquencies and utilization rate on the cards.

Strong Collateral Performance Metric: As of December 2015, Master Credit Card Trust II's (MCCT II) collateral performance metrics were in line with the Fitch indices. Charge-offs, 60+ day delinquencies and monthly payment rate have remained relatively stable over the past 24 months. Gross yield has been robust over the past two years.

Adequate Credit Enhancement: The class A notes of each existing series from 2016-1 will benefit from 5.50% credit enhancement derived through the subordination of both class B and Class C notes and the cash collateral account.

The class B notes will benefit from 3.50% credit enhancement derived through the subordination of class C notes and the cash collateral account.

The class C notes credit enhancement is based solely on the cash collateral account.

Quality Servicing Capabilities: Bank of Montreal (BMO) is an effective servicer, as evidenced by historical delinquency and loss performance of securitized receivables. Deterioration in the credit quality of BMO may affect the performance of the collateral pool backing the notes.


Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in monthly payment rate (MPR); and 3) a combination stress of higher defaults and lower MPR.

The harshest stress scenario of a combined 75% increase to defaults and a 35% reduction of MPR could lead to the most drastic downgrades to all classes. Under a moderate stress of a 50% increase in defaults and 25% reduction in MPR, rating migration could be less impacted. However, increasing defaults by 75% and reducing purchase rate by 100% alone in comparison will have the least impact on rating migration.