Fitch Ratings affirms 30 classes of securities issued from the Washington Mutual Master Note Trust and the Washington Mutual Master Trust. The affirmation of these tranches completes the portfolio review that Fitch began several weeks ago. The list of securities being affirmed can be found at the end of this rating action commentary.
Fitch noted higher delinquencies and charge-offs occurring in conjunction with slower monthly payment rates (MPR) during the first quarter of 2008 in the Washington Mutual credit card trusts. The most recent servicing report, which includes trust performance through the March monthly period, shows that the percentage of receivables associated with accounts 60 or more days delinquent has been elevated for the past three months; however, it is exhibiting evidence of stabilizing.
Delinquent credit card accounts, charged off after 180 days, are a strong predictor of future charge-off volume for the trusts, as Washington Mutual experiences relatively high charge-off percentages resulting from ongoing delinquency rather than bankruptcy filings, which tend to be more spontaneous in nature and charged off within 60 days. Since charge-offs lag 60+ day delinquencies by a few months, Fitch expects charge-offs, currently at 11.99% on a net basis, to climb towards the high end of Fitch's expected range in the next few months before stabilizing.
MPR, a measure of how quickly consumers are paying their debt, rose 41 bps to 10.28% in March. However, for the four preceding months, the average MPR was 9.75% compared to an average of 10.18% during the same period a year ago. Both the recent uptick and historically observed seasonal trends are indicative of improvement that should persist through the next few months.
Fitch's analysis included scenarios simulating the excess spread generated over the next few months incorporating this year's performance as well as Fitch's expectations for the remainder of the year. Although the spread account may begin trapping cash later this year, breakeven multiples are still projected to remain above Fitch's base case multiples for these trusts.
As part of its on-going surveillance efforts, Fitch will continue to monitor the performance of these trusts to determine if the observed trends are sustainable. In the event that defaults and MPR do not show signs of stabilization in the next few reporting periods, additional rating actions may be warranted.
Washington Mutual Master Note Trust 2005-A1
--$643,600,000 'AAA';
Washington Mutual Master Note Trust 2005-M1
--$90,400,000 'AA';
Washington Mutual Master Note Trust 2005-B1
--$87,800,000 'A';
Washington Mutual Master Note Trust 2005-C1
--$93,100,000 'BBB';
Washington Mutual Master Note Trust 2005-D1
--$85,100,000 'BB';
Washington Mutual Master Note Trust 2005-A2
--$775,000,000 'AAA';
Washington Mutual Master Note Trust 2005-M2
--$125,000,000 'AA';
Washington Mutual Master Note Trust 2005-B2
--$150,000,000 'A';
Washington Mutual Master Note Trust 2005-C2
--$150,000,000 'BBB';
Washington Mutual Master Note Trust 2005-D2
--$214,953,847 'BB-';
Washington Mutual Master Note Trust 2006-A1
--$900,000,000 'AAA';
Washington Mutual Master Note Trust 2005-D2-2
--$343,926,153 'BB-';
Washington Mutual Master Note Trust 2006-B1
--$200,000,000 'A';
Washington Mutual Master Note Trust 2006-C1
--$200,000,000 'BBB';
Washington Mutual Master Note Trust 2006-A2
--$750,000,000 'AAA';
Washington Mutual Master Note Trust 2006-M1
--$300,000,000 'AA';
Washington Mutual Master Note Trust 2006-C2
--$150,000,000 'BBB';
Washington Mutual Master Note Trust 2006-A3
--$1,250,000,000 'AAA';
Washington Mutual Master Note Trust 2006-A4
--$500,000,000 'AAA';
Washington Mutual Master Note Trust 2006-C3
--$200,000,000 'BBB';
Washington Mutual Master Note Trust 2007-A1
--$1,100,000,000 'AAA';
Washington Mutual Master Note Trust 2007-B1
--$150,000,000 'A';
Washington Mutual Master Note Trust 2007-A2
--$875,000,000 'AAA';
Washington Mutual Master Note Trust 2007-C1
--$125,000,000 'BBB';
Washington Mutual Master Note Trust 2007-A4
--$425,000,000 'AAA';
Washington Mutual Master Note Trust 2007-A5
--$200,000,000 'AAA';
Washington Mutual Master Trust 2001-D A
--$650,000,000 'AA';
Washington Mutual Master Trust 2001-G A
--$400,000,000 'AAA';
Washington Mutual Master Trust 2004-C E
--$35,519,000 'BB-';
Washington Mutual Master Trust 2004-G E
--$117,486,000 'BB-'.
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.
