Credit Card Programs in Canada:

Transcription

1 Programs in Canada: - An evaluation of the major programs - Criteria used in evaluating Programs Walter Schroeder, CFA Huston Loke Jireh Wong (416) Dominion Bond Rating Service Ltd. February 1999

2 Table of Contents Page Retail Programs in Canada Retail Sponsored Plans 1 Bank Sponsored Programs vs. Retail Sponsored Plans 2 Overview 1998 Programs 5 Canadian Canadian Tire Receivables CARDS Eaton Luna Master Reliant Receivables Sears Canada Receivables 1992 Sears Canada Receivables Superior Trillium York Receivables II Questions on Programs in Canada 1-3 -Backed ABS in Canada Introduction and Background 1 Bank Sponsored -Backed ABS Program Comparison - Bank Issues 2 Structure 2 Enhancement 2 Payment Rate 3 Gross Yield 4 Losses 5 Excess Spread 6 Liquidity Facilities 7 Amoritization Triggers 7 Servicer Termination Events 8 Commingling 8 Repayment Method 8 Account Selection Criteria 8 Addition and Removal of Accounts 8 Cash Reserve Events and Accounts 9 Rating Approach - Receivables Securitization Seller 10 Historical Performance 11 Stress Testing 12 Structural Considerations 13 Tables - Eaton, SCRT 1992, Canadian Tire Receivables Tables - CARDS, Canadian, Master, Superior, Luna Tables - Trillium, York Receivables II 22-24

3 Retail Programs in Canada Retail Sponsored Plans RATING CONSIDERATIONS Strengths: Department stores have held interest charges at 28.8% and gross yields remained high for bank sponsored programs cards are extremely liquid with 16%-17% of outstandings repaid in each month (vs. 40% + for big banks) Well diversified portfolios geographically and by obligor Full bank line coverage for commercial paper in the event of market disruption, plus rapid cash repayment of balances results in good liquidity Enhancements still cover losses by at least 3 times Favourable loss rates Challenges: Some margin squeeze possible if funding costs rise Little volume growth in department store programs Legal opinions on structures not as clean as in auto receivables, due to the revolving structure Competition from U.S. banks (new) and Canadian banks is building Reductions in gross yields CREDIT CARD STRUCTURE Strengths: (1) The interest charges on unpaid balances on credit cards at the department store level have held at 28.8% annualized for over thirty years, enabling gross yields to average well over 20%. (2) card receivables are extremely liquid, with an average life below 6 months. The percentage of the portfolio collected in each month ranges from 17%-20%. (3) The portfolios of the s are well diversified by obligor and geography. (4) The programs funded with short term debt are well covered with bank lines. There is full coverage of commercial paper with bank lines, although it should be noted that bank lines are for liquidity purposes only, and not credit enhancement. Bank lines will likely not be honoured if a credit event occurs. (5) The level of enhancements covers loss levels by over four times for most programs despite a recent rise in loss rates. This is good coverage and should improve over time. (6) Long term debt repayments are assured by accumulation accounts, which gather cash 6-12 months before the bullet maturity is due, to assure timely repayment, unless letter of credit or other support is attained instead. (7) Loss rates are stable in the 5% area. squeezed, thereby reducing enhancement levels. (2) The extremely high repayment rate of credit cards is a problem, since they convert to cash so quickly that it is difficult to do a term issue. Accordingly, a revolving structure, where new credit card purchases occur on a regular basis, had to be created. It is more difficult to get a clean legal opinion on a revolving structure (common with credit cards) than it is from a pure, clean sale, as is the case with an amortizing pool of auto receivables. (3) Department store credit cards have had no rate change for over thirty years (28.8%). They have benefited in Canada from falling short term interest rates to the degree to which they are financed with short term debt. Any rise in funding costs would squeeze spreads as would downward pressure on credit card rates. For example, in the U.S., Sears charges only 21.9% on its credit cards vs. 28.8% in Canada. (4) Department store credit card programs are showing very little volume growth with pressure from VISA. (5) Department store credit cards have come under competitive pricing pressure from banks. Competitive pressure can only get worse. Challenges: (1) The bulk of enhancements in credit cards comes from excess spreads, and excess spreads are not a certainty given competitive pressures. If prices charged on the cards come down or interest rates rise, spreads often become LEGAL STRUCTURES The different credit programs used different legal structures and mechanics, which ultimately give protection to the investor. The different structures can be described as follows: The Master Structure with specific credit card assignment. This structure (referred to as the U.S.A. method of credit card structures), was pioneered in the U.S. by Citibank and used in its Canadian program. Canadian Tire also used variations of this structure. Specific individual credit cards are identified and assigned to the with their related receivables. The balances in the accounts change daily as credit cards are used. The amount of debt plus enhancements will establish how much of the security belongs to the senior noteholders. There is an amount beyond this assigned to the Seller (usually at least 5%-10% of the pool balance) which signifies the Seller s portion. (Also included are ineligible accounts.) This Seller s portion swings up and down with seasonal surges in use of the cards. If it falls below limits, cash will accumulate in the, and new receivables have to be found. Otherwise, the would be in a net cash position, lowering excess spreads due to the negative carry on the cash. If use of credit cards surges, the Seller s balances would rise dramatically. (The amount of the Seller Certificates funding the growth would rise). These Certificates rank pari passu with other senior debt. Thus, credit card receivables usually contain

4 at least two undivided co-owners of the credit card receivables, the Sellers portion which varies, and the investors coownership interest. If several series of issues are completed, each series is entitled to their proportional share of the cash flow. A given series of debt can have different enhancement levels, can be short or long term, and can even have specific accounts with specific characteristics carved out and dedicated to the one specific series. The Master structure, with specific credit card account assignments, offers better diversification per obligor, better geographic diversification, evens the seasonal characteristic of cash flow in different series, and is an improvement over the single seller stand-alone trust. Legal identification of the specific credit card receivables is attained by the specific credit card accounts assigned to the program at the start, or upon addition. Whatever balances are outstanding under that account are security for the Notes. Co-ownership Structure no specific credit card assignment. The co-ownership structure was used by Sears in Canada, mainly because its accounting systems at the time had difficulty in selecting and tracking specific credit card accounts which would be assigned to the. The structure works very much the same way as a condominium owner who owns his share of the cash flow and expenses. SCRT has an undivided coownership interest in the portfolio of credit card receivables, which it shares with the Acceptance Company. All accounts are assigned to the portfolio, so the portion owned by Acceptance will swing with surges and falls in the portfolio. Programs in Canada - Page 2 The position of the acceptance Company somewhat resembles the Seller certificate approach of the U.S. programs. The advantages of this structure are the same diversification offered by the Master. Also, there is no specific assignment of credit card accounts to a specific series, so administering the program is simple. However, the big disadvantage to the coownership structure used by Sears, is that each time enhancements change, a new must be created (with all the attendant legal filings, maintenance and billing costs). Secondly, in the case of bankruptcy of the top Company, it is more difficult under the Sears program to identify specific ownership in accounts. That is why Sears must borrow under two separate s. General Structure Eaton s used a general trust approach, where it sold receivables to the trust regularly from the portfolio of T. Eaton Acceptance. However, instead of assigning specific accounts with a Sellers certificate to control fluctuations in eligible receivables. Eaton s had to engage in daily specific tagging. A computer program daily selected those receivables which were eligible and tagged such accounts randomly to cover the amount of debt plus enhancements. Each day, the specific security changed as people used and repaid their account balances. With this approach, no seller certificate was needed to handle surges or troughs in cash flow, but the administration of the program was tedious. Bank Sponsored Programs vs. Retail Sponsored Plans Bank Sponsored Programs Retail Sponsored Plans Gross yield lower 17%-18% vs. 24% Yield averages 24%-25% Loss write-offs usually under 2%, at worst 2%-3% Losses average 5%-6% monthly Monthly payment rate near 40%. s used heavily as payment convenience mechanism Payment rate only 17%-18% indicates cards used as a credit source Enhancements not as high, 12%-16% Enhancements near 20% to cover higher losses Third party enhancements, 5%-5.5% Third party enhancements, 7%-10% range COMMENTARY Bank vs. department store credit card programs are quite different in five major respects: (1) Department stores charge much higher rates on credit cards, 2.4% per month, which yields gross returns after the free use adjustment in the 24%-25% area. Banks charge only 17%-18% for their programs. (2) Loss writedowns are usually under 2% for banks and at worst, are in the 2%-3% level. For retailers, losses have trended upward to 5%-6% versus levels near 3% earlier in the 1990s. (Sears is an exception, having maintained loss writedowns near 3%.) (3) Monthly payment rates are near 40% for banks compared to levels near 17% for retailers. This indicates that retailers are used more as a source of credit, versus a payments convenience for bank programs. (4) Enhancements for banks usually include a third party enhancement (second line of defence) of 5%. Retailers have third party enhancements of 7%-10%. (5) Overall, lower losses from banks result in enhancement levels of 12%-16%, versus 20% + for retailer sponsored programs. Summary: Bank vs. Retailer Sponsored Programs Bank sponsored programs have lower losses and lower enhancement levels than do the retailer sponsored programs. Banks also charge about 1/3 less for their programs and have payment rates over double that of retailers. This indicates that bank sponsored programs are more heavily used as convenience mechanisms to facilitate payments. However, despite lower loss levels, bank programs have lower gross yields and third party enhancements are usually 5%, versus 7%-10% for more retailers. As a result, enhancements cover losses by 4-5 times (10 times for Sears) for retailer sponsored plans, almost the same as the 5-7 times for bank sponsored programs. Few problems are foreseen in any of the programs.

5 Programs in Canada - Page 3 Sponsor Enhancements Comments Eaton Norwest Financial (Wells 10% subordination plus now owned by Wells Fargo Group) 10%-11% excess spread Fargo Group. Has outstanding of near $350 million including $150 million of long debt. Performance good with 20% enhancements supporting 5% in annual writeoffs. Still Eaton is Canadian Tire Receivables Sears Canada Receivables (short term) Sears Canada Receivables (long term) Canadian Tire Corporation 6.35% third party enhancement rising to 9.5% if gross yield falls under 25%. Also, excess spread equals 14% resulting in 20% enhancements. Sears Canada 5% subordinate debt plus 16% plus excess spread equals 20% plus enhancements. Sears Canada 4% subordinate debt, plus 3% Units plus 16% plus excess spread. With different enhancements, a separate is needed from the short debt. s CIBC Net interest spread of 7%- 8% plus L/C of 5.0% issued by Société Générale. Canadian National Bank Enhancements equal 5.5%. L/C from State Street plus 10%-11% excess spread. Master Bank of Montreal Excess spread of 7% plus third party enhancement from State Street Bank and. Superior Royal Bank Excess spread of about 10% plus 5% L/C from Société Générale. dependent for receivables. Good enhancements cover losses of 6% by over 4 times. Yield levels trending down as some Mastercard receivables are included. Excellent coverage of losses near 3% with 20% enhancements. Favourable loss record is especially noteworthy. One of oldest (1991) programs in Canada, using co-ownership interest in a portfolio of credit cards. Coverage of losses 2% better than the short trust. Long shares a undivided coownership interest in the same pool of credit card receivables as the short term. The 12% enhancements cover losses in the 2%-3% range by over 4 times. Outstandings equal $2 billion in long debt. Standard credit card structure, well supported. Performance good with losses near 3% covered by 15%-16% enhancements. Payment rate near 30% versus 40% for other banks indicates program used more as source of credit rather than payments convenience. Long debt outstanding equals $500 million. Loss rates consistently below 2% are easily covered by about 12% in enhancements. Outstandings about $2 billion in long debt. Favourable performance. Exceptionally good loss performance results in over 10 times coverage of losses. Standard pattern for this

6 Programs in Canada - Page 4 commercial paper issuing ($1.5B outstanding). Luna Royal Bank Excess spread of 7%-8% plus a letter of credit provided by Deutsche Bank. Trillium Bank of Nova Scotia 5% subordination plus buildup of excess spread to 5% plus a 5% excess spread equals 15% enhancement. York Receivables Toronto Dominion 5% subordinate debt plus 10% plus excess spread. Good enhancement coverage of losses. Standard pattern. incepted April 17/98 and serves as second Royal Bank sponsored ($1.1B outstanding) commercial paper program. 15% enhancements easily cover under 2% in losses. Payment rate near 23% half that of other banks. Enhancement level pattern different from other banks $1 billion in outstanding long debt. This $800 million long term debt issuing is performing well. Losses under 2% well covered by 15% plus enhancements. established July 1998 with first long term issue.

7 Programs in Canada - Page 5 Overview 1998 Programs Two characteristics of credit card programs in 1998 were: (1) All programs performed satisfactorily. (2) There were five new s created amounting to new borrowings of $4.7 billion (mainly term debt), involving every major Canadian commercial bank except the Bank of Montreal (the latter was already active from the prior year). All three key factors involved in evaluating credit card receivables in Canada remained positive. (1) Generally, the gross yields earned on the cards held in the 16%-17% area for bank sponsored credit card trusts and the 24% area for department stores, all showed excellent returns. (2) The charge off rate actually improved slightly to below 3% (in the 2%-3% area) for bank related, and near 5% for retailer sponsored credit card plans. This level for banks is under half the 6%-7% loss rate prevailing in the U.S. with VISA related credit cards. (3) The monthly payment rate is holding near 40% for bank and 17% for retailer sponsored plans. This indicates that credit card receivables are a very liquid receivable which, in the case of bank sponsored plans, is being used heavily as a payment mechanism by customers as opposed to a source of credit. Due to these factors, enhancement levels covered losses by at least three times and in the case of most bank sponsored credit card trusts, enhancements exceeded losses by 5 times. This represents very good protection against future losses and we do not expect near term problems to occur. Canada has the advantage of having tougher bankruptcy laws and, this, in addition to cultural differences, account for credit card loss rates under half the U.S. levels. Enhancement levels are of two tiers: (a) Excess spread, defined as gross return on the portfolio, minus interest, minus administration cases, minus write-offs. Excess spread amounts to 7.5%-10% for bank sponsored and at least 11% for retailers. (b) The second level of protection consists of third party letters of credit or subordination, which equal 5%-5.5% per (where used). A sharp rise in interest rates would squeeze excess spread for programs funded with commercial paper as liabilities reprice before assets. However, excess spreads are so high, that this risk is considered minor. card receivables are also widely diversified by obligor and are very liquid with an average term below three and six months for bank and retail programs respectively. DEGREE OF CREDIT ENHANCEMENT COVERAGE Eaton Sears Canadian Tire Receivables CARDS Cdn. Master Superior Luna Trillium York Receiv. II Banks CIBC National BMO Royal Royal BNS TD Excess Spread 10.9% 19.1% 11.0% 7.4% 10.6% (2) 9.0% 7.5% 5.3% 10.3% Third Party 10.0% 7.0% 6.8% 5.0% 5.5% 5.0% 5.0% 5.0% 5.0% 5.0% Enhancement TOTAL 20.9% 26.1% 17.8% 12.4% 16.1% (2) 14.0% 12.5% 10.3% 15.3% Enhancement Latest month 5.1% 2.90% 5.20% 3.0%E 2.60% (2) 1.04% 2.54% 1.86% 1.72% loss rate Coverages of Enhancement Loses 5.1x 10x 4.4x 4.7x 7.2x (2) 14.5x 5.9x 6.5x 9.9x (1) Long Term Debt only. (2) Bank of Montreal has requested that performance statistics not be published. COMMENTARY The results show the relationship between credit enhancements and latest month loss rates which in most cases, is the annualized loss rate in September or October Excess spread is defined as Gross portfolio yield minus interest expense less administration costs less losses. Adding back losses and dividing by losses shows the number of times that enhancements cover losses. The bank related credit card programs have better enhancements coverage than do the department store programs but all programs are well covered. Enhancement coverage of 3-5 times is considered normal for AAA/R-1(high) ratings, and all programs fall within or exceed this range. Enhancement coverage is sensitive to: (1) Net losses. (2) For programs funded with CP (SCRT, ECCT, Superior, Luna and CTRT ), the level of interest rates. As interest rates rise, excess spreads tend to be squeezed. In most cases, enhancements include a 5% letter of credit from a highly rated bank. York Receivables and Trillium are protected by subordination and will accumulate cash reserves of up to 5% which will raise enhancements by this amount should excess spreads fall below trigger levels.

8 Programs in Canada - Page 6 NEW ISSUES IN 1998 Sponsor Issue Size York Receivables II Toronto-Dominion $800M Senior and Subordinate Debt (long term) Trillium Bank of Nova Scotia $1.0 billion Senior and Subordinate Debt (long term) Luna Royal Bank $1.1 billion in commercial paper CARDS CIBC $1.325 billion in senior debt (long term) Canadian National Bank $500 million senior debt (long term) COMMENTARY The year 1998 was a busy year for the formation of new s to issue debt in the credit card receivable area. About $4.7 billion was borrowed in the capital markets in 1998 by s sponsored by five different sponsoring banks. A trust structure was used in all cases, involving the sale of credit card receivables from the bank to the trust. Banks are financing a growing proportion of their credit card receivables in the capital markets through securitization. This trend is expected to continue as more credit card receivables are expected to be sold to s. s Program INTRODUCTION Three key considerations are emphasized in analyzing credit card programs. These are the gross yield, the loss rate and the payment rate: (1) The gross yield determines excess spread and indicates what is happening to the gross return. (2) The loss rate establishes overall risk and when compared to enhancements establishes the degree of protection. (3) The monthly payment rate establishes how liquid the portfolio is and what the nature of cash flows is. Enhancements in most cases are of two tiers and consist of: (1) Gross yield on the portfolio, less interest, administration, and losses to arrive at excess spread. (2) A third party enhancement which is usually a letter of credit from a highly rated bank equal to 5.0%-5.5%, alternatively, subordination of 5%. Enhancements usually amount to 16% for bank related credit card programs and over 20% for department store programs. With loss rates under 3% for the bank sponsored programs and closer to 5% for department store programs, most s have 4 times plus protection of losses with credit enhancements. GROSS YIELD Eaton Sears Canadian Tire Receivables CARDS Cdn. Master Superior Luna Trillium York Receiv. II Bank Sponsor CIBC National BMO Royal Royal BNS TD 1998 (1) 23.7% 25.2% 23.7% 17%E 19.5% (2) 16.4% 16.2% 14.7% 18.3% % 24.8% 24.7% 17.1% 18.6% 15.4% 13.1% 13.1% 16.7% 17.7% % 25.2% 26.1% 18.2% 20.0% 16.9% 14.8% 14.8% 18.4% 19.6% % 25.5% 25.7% 18.7% 18.6% 16.3% 15.1% 15.1% 17.8% 19.0% % 25.2% 25.6% 17.2% 16.7% 14.5% 13.1% 13.1% 16.3% 18.0% % NA 26.3% 17.7% 17.7% 15.0% 13.8% 13.8% 17.5% 19.2% (1) 98 results are for 9 or 10 months annualized. (2) BMO has request that performance statistics not be published. Yield is defined as gross interest charges on the portfolio divided by average outstandings. The gross yield is one of three key elements used in evaluating credit cards. Key conclusions, which can be reached from the above table are: (1) Department stores charge much higher rates than banks, but average balances for department stores are also much lower than banks and the average administration cost is higher (1.5% - 2% is considered the cost range to administer credit card programs). This cost is typically paid for by the bank sponsor. (2) Department stores charge 2.4% per month and this rate has held for over 30 years. Hence, gross yield does not change much and is similar for all three programs. (3) Banks include the fees that they charge merchants in yields, which adds 1.5%- 4% to gross yield. (4) Average gross yields have generally held for the big 6 Canadian banks near 16%-17%. TD Bank and National Bank have maintained the highest yields, while Bank of Nova Scotia s decline in 1998 is considered an aberration. (5) Despite competition from U.S. credit card issuers, gross yield in Canada has held quite favourably.

9 Programs in Canada - Page 7 WRITE-OFFS Eaton Sears (1) Canadian Tire Receivables CARDS Cdn. Master Superior Luna Trillium York Receiv. II Bank Sponsor CIBC National BMO Royal Royal BNS TD 1998 (1) 5.1% 2.9% 6.3% 3%E 2.6% (2) 1.0% 2.5% 1.4% 1.3% % 3.2% 6.8% 3.1% 3.6% 2.0% 1.9% 1.9% 2.2% 2.6% % 3.6% 5.8% 3.0% 3.8% 1.9% 2.1% 2.1% 2.2% 2.3% % 3.1% 5.4% 2.2% 2.2% 1.6% 1.8% 1.8% 1.6% 2.0% % 2.2% 5.2% 2.2% % 1.3% 1.3% 1.3% 2.0% % NA 6.0% 2.3% 2.7% 1.8% 1.3% 1.3% 1.4% 2.7% (1) 1998 results are from 9 or 10 months average. (2) BMO has request that performance statistics not be published. COMMENTARY Losses are defined to be net of recoveries and the following conclusions can be reached. (1) Department store losses average about triple those of the banks except for Sears, whose performance is much closer to that of the banks. (2) Department store credit card programs are used more as a source of credit, while banks credit card programs are used more as a payment mechanism with high monthly repayment. This contributes to a higher risk customer for department stores and larger ultimate losses. (3) Losses rose in 1996 for almost all programs. Bank programs actually improved after 1996, while department store losses generally stabilized. (4) Canadian Tire in most years had the highest loss rates of any of the programs but also priced for this. (5) The Canadian banks, with loss levels near 2%, are about one-third the loss level prevailing in the U.S. This is due to the greater ease of declaring personal bankruptcy in the U.S. relative to Canada, and cultural differences. PAYMENT RATE Eaton Sears (1) Canadian Tire Receiv. CARDS Cdn. Master Superior Luna Trillium York Receiv. II Bank Sponsor CIBC National BMO Royal Royal BNS TD % 22.3% 18.1% 42% 31% (2) 36% 48% 23% 37% % 22.0% 15.3% 37% 32% 41% 42% 42% 26% 38% % 20.2% 14.5% 35% 31% 41% 39% 39% 25% 40% % 18.6% 14.3% 35% 32% 40% 37% 37% 25% 38% % 19.5% 14.9% 36% 34% 40% 33% 33% NA 39% % 21.3% 14.3% 35% 35% 39% 32% 32% NA 39% (1) Long term trust only. (2) BMO has request that performance statistics not be published. COMMENTARY The Monthly Payment Rate is the third key factor in evaluating credit cards. It measures the proportion of a credit card portfolio collected in the next month. (1) Bank credit card programs have payment rates near 40%, indicative of a very liquid portfolio and also that bank credit card programs are being heavily used as payment mechanisms. (3) Two programs stand out as having lower payment rates, those run by National Bank and Bank of Nova Scotia. That means that these programs are being used as a source of credit more so relative to the other programs. The monthly payment rate is partly an aberration, since it captures the high proportion of customers who use credit cards as a convenience or payment mechanism. estimates that the payment rate in the second month (after convenience users have paid out) would fall substantially under a liquidating portfolio scenario.

10 Securitizations Canadian Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Trend Rating Action Debt Rated AAA Stable Confirmation -Backed Cert., Series $500M, 5.625% due March 24, 2005 RATING HISTORY Current Backed Cert., Series $500M, 5.625% due March 24, 2005 AAA AAA AAA RATING CONSIDERATIONS This was created on March 31, 1998 and completed a $500 million issue of debt maturing March 24, The gross pool of eligible Mastercard receivables amounts to about $720 million of which the has undivided co-ownership interest amounting to $500 million. The is performing well in all three key areas used to evaluate credit cards. (1) The loss rate, near 3%, although high relative to other commercial banks is still under half the level prevailing in the U.S. and well under the 4%-5% levels where department store losses usually prevail. (2) Gross yield, including interchange, has been holding at very favourable levels in the 18%-19% range which compares favourably with other banks. (3) The monthly payment rate, which measures the percent of outstandings collected in the month, has averaged in the 30% range indicating a relatively liquid portfolio of receivables. However, other banks have payment rates closer to 40%. This is an indication that this s receivables portfolio is being used by clients to a greater degree for credit versus convenience use. With losses near 3% and enhancements near 16%, enhancements cover losses by over 5 times which is favourable for credit cards. The letter of credit of 5.5% is provided by State Street Bank and Company, a AA rated bank in the U.S. FINANCIAL HIGHLIGHTS Largest Seller Industries - October 1998 Largest Asset Types Financial Institutions - 100% Receivables - 100% DEBT OUTSTANDING ($millions) Backed Certificates, Series % due March 24, $500M Inception Date: March 31, 1998 Originator/Servicer: National Bank of Canada Enhancer: Letter of by State Street Bank and Company (5.5%) Co-lead Underwriter: Levesque Beaubien Geoffrion Inc. and Nesbitt Burns Enhancement: Excess spread, an irrevocable letter of credit by a credit enhancer, and a cash collateral account FINANCIAL HIGHLIGHTS ($millions) Principal Long debt Monthly Excess L/C Total Enhancement rec. Outstanding Outstanding Payment Rate Spread plus CCA Dec. 31/ % 9.8% 5.5% 15.3% Nov. 30/ % 11.7% 5.5% 17.2% Oct. 31/ % 10.6% 5.5% 16.1% Sept. 30/ % 11.1% 5.5% 16.6% Aug. 31/ % 10.8% 5.5% 16.3% July 31/ % 11.1% 5.5% 16.3% June 30/ % 12.4% 5.5% 17.9% May 31/ % 11.4% 5.5% 16.9% April 30/98 (1) % 11.2% 5.5% 16.7% (1) April 30/98 was the first reporting period for this. THE TRUST Canadian was established on March 31, 1998, when it completely a $500 million long term debt issue. The is part of the National Bank family of companies. The s lead underwriters are Levesque Beaubien Geoffrion Inc. and Nesbitt Burns. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

11 Securitizations Canadian Tire Receivables Current Report: February 1999 Walter Schroeder, CFA RATING Huston Loke / Jireh Wong Rating Trend Rating Action Debt Rated hloke@dbrs.com (416) R-1 (high) Stable Confirmation Commercial Paper AAA Stable Confirmation Senior Notes AA (low) Stable Confirmation Subordinate Notes RATING HISTORY Current Commercial Paper R-1 (high) R-1 (high) R-1 (high) NR NR NR Senior Notes AAA AAA AAA AAA AAA NR Subordinated Notes AA (low) AA (low) AA (low) AA (low) AA (low) NR RATING CONSIDERATIONS The continues to function well. The lower yield for long term receivables relates to the fact that funding costs for the commercial paper has been lower than those of the term issues. Each series of notes including commercial paper have specific credit card accounts assigned to them. The receivables have performed well, and generally net spread levels for each of the term debt issues are very similar. Relative to other retailer related credit card programs: (1) The loss rate near 6% compares to levels below 5% for other programs. (2) This is partly offset by gross yield which has averaged 24%-25%. Note that basic enhancement levels have the ability to rise from 6.35% to a maximum of 10.50% (9.50% for one commercial paper program), as gross yield falls below 25%. Starting in June 1997 (Series ) and October 1998 for commercial paper, the falling yield has resulted in an adjusted enhancement of 6.9%-7% versus a base enhancement of 6.35%. (3) The payment rate near 17% is consistent with other retailers which prevailed for much of the 1990s. Despite higher losses, the 20% enhancements for commercial paper cover losses by 3 1/3 times, while long term debt rated securities are covered by about 2.8 times by credit enhancements, all considered reasonable. FINANCIAL HIGHLIGHTS Largest Seller Industries - October 1998 Largest Asset Types Retailing - 100% Receivables - 100% REMAINING DEBT OUTSTANDING (millions) Series and , Series (Senior Notes) - $457 Subordinate Notes and , $5 Asset backed commercial paper, $135 (Dec. 1998) Inception Date: November 1995 (for long term debt) Lead Dealer: Long Term Debt: TD Securities Inc. Commercial Paper: RBC Dominion Securities Legal Structure: Undivided co-ownership interest in a special purpose Enhancements: 6.35% enhancement rising to 10.5% (9.5% for one CP program) if gross yield falls below 25% FINANCIAL HIGHLIGHTS ($millions) Debt Outstanding Gross Yield Payment Rate Net Charge Off Dec. 31/ % 18.4% 4.4% Sept. 30/ % 17.8% 5.2% June 30/ % 18.5% 7.2% March 31/ % 18.2% 6.8% Dec. 31/ % 16.8% 6.7% Mar. 31/ % 16.3% 6.5% (1) Long term debt only. Series Series Series Series (CP) ($millions) Net Spread Enhancement Net Spread Enhancement Net Spread Enhancement Net Spread Enhancement Dec. 31/ % 6.7% 11.2% 6.7% 12.1% 6.7% 12.6% 6.7% Sept. 30/ % 6.8% 10.7% 6.8% 12.0% 6.8% 13.9% 6.4% June 30/98 8.6% 6.9% 8.2% 6.9% 9.2% 6.9% 13.9% 6.4% Mar. 31/98 9.0% 6.9% 8.6% 6.9% 9.5% 6.9% 13.3% 6.4% Dec. 31/97 9.4% 6.6% 9.0% 6.6% 9.9% 6.6% 13.5% 6.4% Mar. 31/ % 6.4% 10.6% 6.4% 11.4% 6.3% 10.6% 6.4% THE TRUST Canadian Tire Receivables issues both commercial paper and long term debt to finance the purchase of credit card receivables from Canadian Tire Acceptance Limited. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

12 Securitizations CARDS Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Amount Trend Rating Action Debt Rated AAA $300 million Stable Confirmation 5.4% Series , September 21, 2001 AAA $675 million Stable Confirmation 5.51% Series , June 21, 2003 AAA $350 million Stable Confirmation 5.63% Series , December 21, 2005 RATING HISTORY Current All series shown AAA AAA NR NR NR NR RATING CONSIDERATIONS CARDS is part of a family of securitization trusts established by CIBC Wood Gundy. In 1998, the issued three series of notes, maturing The notes have an undivided interest in a pool of credit card receivables amounting to $5.2 billion, of which the share is $2 billion. The enhancements for this Pool of assets is considerable with excess spreads of 7%, plus a 5% irrevocable letter of credit provided by Société Générale. The 12% enhancements cover the diversified portfolio of credit card receivables by over 4 times the latest loss rate. The whole program is administered by CIBC, one of the most experienced securitization administrators in Canada. The payment rate on the program is also 40%, which means that approximately 40% of the portfolio is collected within the first month indicating a very liquid portfolio. Amortization of the program occurs, among other things, if the spread falls below 2% (current is above 7%) or if the payment rate falls below 10% (current is 40%). The portfolio is extremely well diversified across almost 4 million accounts with an average balance of $495 including all accounts or $1,815 including only those accounts with a credit balance. Inception Date: April 24, 1998 Structure: Co-ownership interest in a pool of credit card receivables in a master trust. Seller: Canadian Imperial Bank of Commerce Monthly Payment Rate: Average is near 40%. Loss Rate: Losses average 2%-3% which is under half the level prevailing in the U.S.A. enhancement: The seller specific enhancement consists of a net interest spread which has averaged at least 7%- 8%, an irrevocable letter of credit issued by Société Générale (currently rated AA (low), R-1 (middle) with a Stable trend) equal to 5% of the face amount of the Series Notes, and a cash collateral account (the CCA is currently zero). Structure: For each Series, the Series has an individual interest in certain specific credit card receivables. Specific credit card accounts have been allocated to the three series and the portfolio amounts must be a minimum 107% of outstanding notes. If it falls below this level, new accounts must be allocated. FINANCIAL HIGHLIGHTS Excess Spread Payment Rate L/C plus CCA Enhancement Dec. 31/98 6.8% 42.3% 5% 11.8% Nov. 30/98 7.3% 41.7% 5% 12.3% Oct. 31/98 7.5% 41.5% 5% 12.5% Sept % 41.6% 5% 12.4% Aug % 43.0% 5% 12.2% July % 43.6% 5% 11.6% June % 43.0% 5% 11.6% May % 41.0% 5% 11.8% (1) The May 31/98 date is the first reporting period. DEBT OUTSTANDING $1.325 billion contained in three series of term debt, as outlined above. THE TRUST CARDS is a single seller formed to buy credit card receivables from CIBC. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

13 Securitizations Eaton Current Report: February 1999 Walter Schroeder, CFA CURRENT RATING Huston Loke / Jireh Wong Rating Trend Rating Action Debt Rated hloke@dbrs.com (416) R-1 (high) Stable Confirmation Commercial Paper AAA Stable Confirmation Asset-Backed Senior Notes, Series , due Dec. 1, 1999 AAA Stable Confirmation Asset-Backed Senior Notes, Series , due Dec. 1, 2000 RATING HISTORY Current Commercial Paper R-1 (high) R-1 (high) R-1 (high) R-1 (high) R-1 (high) R-1 (high) Series , Debt due Dec. 1, 1999 AAA AAA AAA AAA AAA AAA Series , Debt due Dec. 1, 2000 AAA AAA AAA AAA AAA AAA RATING CONSIDERATIONS Many positive elements have happened to Eaton over the portfolio years. (1) The was sold to Norwest Financial which is part of the Wells Fargo Family of companies from California who have resources to support the. (2) The is aggressively marketing to new clients to attain diversification from Eaton s. The U.S. Group also owns finance company operations in Canada and there are potential synergies between these finance and credit card operations especially in respect to marketing. (3) All three main segments used to measure credit card operations are positive. (a) Loss rates are ranging 4%-5% which is superior to 6%-7% in the U.S., although not as favourable as the 2%-3% low rate which prevailed before (b) The portfolio yield is holding in the 18% range which contributes to the excess spread being near 10% (a first line of defence for credit enhancement). (c) The payment rate is holding near 17%-18% FINANCIAL HIGHLIGHTS Largest Seller Industries - October 1998 Largest Asset Types Retailing - 100% Receivables - 100% which means 17%-18% of the portfolio is retired in the next month indicating a relatively liquid portfolio. (4) As a result, 10% excess spread plus 10% subordinate debt equals 20% enhancements to cover annualized losses of 4%-5%. Thus, enhancements cover losses by 4-5 times which is good and consistent with an R-1 (high), AAA rating. The key challenges with the portfolio are the high dependence on Eaton s. The latter accounts for a high proportion of total receivables. The future direction and ability of Eaton s as a going concern are not clear. Failure of Eaton s would mean that the would not be able to purchase new receivables so the would have to add non Eaton s receivables quickly. However, even with the loss of Eaton s, we would expect a normal liquidation of the Eaton s credit card program with relatively few problems. REMAINING DEBT OUTSTANDING 1998/1997 ($millions) December November October December 97 June 97 Long Term Debt Commercial Paper Inception Date: December 1991 Sponsor: Norwest Financial, now part of Wells Fargo who purchased the from T. Eaton. Agreement: T. Eaton Company signed an agreement with the to exclusively continue to sell receivables to the for a ten year period to Structure: Senior/subordinate structure Support: Net interest spread which has been averaging 9%-10% annually plus 10% subordinate debt. Liquidity Support: Full bank line credit support is provided from banks rated AA (low) or better. FINANCIAL HIGHLIGHTS ($millions) Debt Outstanding Yield Excess Spread Payment Rate Charge off Rate Enhancement Dec % 10.7% 17.1% 3.9% 20.7% Sept % 10.9% 15.8% 5.1% 20.9% June % 11.8% 16.7% 4.5% 21.8% March % 10.7% 15.9% 5.5% 20.7% Dec. 31/ % 9.6% 15.6% 5.5% 19.6% Dec. 31/ % 10.5% 15.5% 7.5% 20.5% Dec. 31/ % 11.3% 12.7% 6.4% 21.3% Dec. 31/ % 11.0% 11.9% 3.5% 21.0% Dec. 31/ % 12.2% 13.9% 3.0% 22.2% Dec. 31/ % 10.4% 14.8% 3.9% 20.4% THE TRUST Eaton was purchased by Norwest Financial who is part of the Wells Fargo Group of companies in California. Since acquiring Eaton in 1998, a marketing program was introduced to add new and reduce dependency of the on Eaton s. Eaton s signed a ten year exclusive contract with the, whereby it will continue to sell financial credit card receivables to the exclusively until DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

14 Securitizations Luna Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Trend Rating Action Debt Rated R-1 (high) Stable Confirmation Asset-backed Commercial Paper RATING HISTORY Current Asset-backed Commercial Paper R-1 (high) R-1 (high) NR NR NR NR RATING CONSIDERATIONS Luna is part of the Royal Bank family of companies. On April 17, 1998, it made a major purchase of credit card receivables from Royal Bank. It is issuing $1.1 billion in commercial paper to finance this portfolio of credit card receivables. The program is a revolving program and Royal Bank sells enough credit card receivables into the program to keep outstandings near $1.1 billion. The enhancements consist of a letter of credit provided by Deutsche Bank equal to 5% plus an excess spread equal to 8%-10%. With losses ranging 2%-3%, the credit enhancements cover the loss rate by over 6 times, which is an excellent performance. This is under half the loss rates presently being experienced by credit cards in the U.S. Full bank line coverage of commercial paper is provided led by Royal Bank and various other banks rated AA (low) or better. The payment rate is also excellent with over 40% of credit card receivables collected in the month. This gives substantial liquidity to the program supplementing bank lines. In addition, with assets turning into cash so quickly, any build up of delinquencies is known early. COMMERCIAL PAPER OUTSTANDING ($millions) December 98 November October December 97 Commercial Paper Outstanding 1,100 1,100 1,100 0 Inception Date: April 17, 1998 Structure Type: Single seller, credit card receivables which issues commercial paper to fund co-ownership interests in a pool of VISA credit card receivables. Enhancement: Seller specific enhancements equal to the net interest income spread of 8%-10% plus a letter of credit provided by Deutsche Bank, a AA (high), R-1 (high) rated bank. Liquidity Facility: Program Size: Seller: Payment Rate: Near 40% Loss Rate: Under 2% Full bank line coverage provided by Royal Bank and a syndicate of banks rated R-1 (middle) or better. The outstanding commercial paper is $1.1 billion. Royal Bank of Canada FINANCIAL HIGHLIGHTS ($millions) Debt Outstanding Excess Spread Payment Rate L/C Amount Enhancement Dec. 31/98 1, % 47% 5% 14.5% Nov. 30/98 1, % 48% 5% 15.4% Oct. 31/98 1, % 47% 5% 12.5% Sept. 30/98 1, % 46% 5% 14.9% Aug. 31/98 1, % 48% 5% 13.1% July 31/98 1, % 50% 5% 12.6% June 30/98 1, % 49% 5% 10.7% May 31/98 1, % 46% 5% 13.1% THE TRUST Luna is a member of the Royal Bank family of companies. It buys credit card receivables from Royal Bank, a single seller, and has maintained outstanding commercial paper near $1.1 billion since inception. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

15 Securitizations Master Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong hloke@dbrs.com (416) CURRENT RATING Rating Trend Rating Action Debt Rated AAA Stable Confirmation -backed Investor Certificates, Series , due August 21, 2002 AAA Stable Confirmation -backed Investor Certificates, Series , due December 21, 2004 AAA Stable Confirmation -backed Investor Certificates, Series , due November 21, 2003 AAA Stable Confirmation -backed Investor Certificates, Series , due June 21, 2007 RATING HISTORY Current All Series AAA AAA AAA NR NR NR NR NR RATING CONSIDERATIONS The performance of this credit card receivable operated by the Bank of Montreal is excellent. Performance is strong in all three key areas which are used to evaluate credit card receivables. (1) The gross yield is quite comparable to other credit card programs and is holding steady. (2) Loss rates Under 2% are roughly under 1/3 the levels which prevail in the U.S. for credit cards and are improving. (3) The payment rate which measures the proportion of credit card receivables collected in the month is standard near 40%, indicating a very liquid portfolio. The rating on the debt is a long term rating with no commercial paper outstanding. The level of enhancements including the 5% letter of credit covers present losses by over 6 times which is quite good and well within the AAA rating limits of performance. Loss rates on credit card receivables in the U.S. have been deteriorating and now exceed 6%. Loss rates in this program have actually been improving and amount to under 2%. Inception Date: July 30, 1997 (Series 1 and 2) and October 2, 1997 (Series 3 and 4) Amounts: $550 million, % August 21, 2002 $800 million, % December 21, 2004 $400 million, % November 21, 2003 $250 million, % June 21, 2007 Originator Servicer: Nesbitt Burns/Bank of Montreal Support: Excess spread, cash collateral account and third party letter of credit. State Street Bank and Company is the credit enhancer. Legal Structure: Sale of credit card receivables by a single seller, Bank of Montreal to the. Number of Accounts: 4,369,000 at inception. FINANCIAL HIGHLIGHTS Bank of Montreal has requested that performance statistics related to MCCT not be published. THE TRUST Master is a member of the Nesbitt Burns/Bank of Montreal family of companies. It purchases credit card receivables from the Bank of Montreal and has issued term debt to finance the portfolio. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

16 Securitizations Reliant Receivables Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Trend Rating Action Debt Rated R-1 (high) Stable Confirmation Short Term Asset Backed Notes R-1 (middle) Stable Confirmation First Subordinated Short Term Asset Backed Notes RATING HISTORY Current Short Term ABN R-1 (high) R-1 (high) NR NR NR NR First Sub. Short Term Notes R-1 (middle) R-1 (middle) NR NR NR NR RATING CONSIDERATIONS This was incepted July 30, 1998 and is part of the Toronto-Dominion family of companies. It differs from most conduits in Canada because: (a) It is a single seller conduit, purchasing assets from the Toronto-Dominion Bank. (b) At present, it has purchased only credit card receivables from the bank. It has outstanding commercial paper of $909 million and a pool balance near $1 billion. The share of the Pool is about $900 million with the balance mainly owned on a pari passu basis by the junior creditors. enhancements are two tier. (a) The seller enhancement consists of an excess spread after all loan losses, interest expense and operating expenses of 8%-10%. (b) In addition, a letter of credit (third party) equal to 5.25% exists. Thus, total credit enhancements have been in the 14%-16% range. Lastly, the payment rate (95% of outstandings) is 35%-40% per month, resulting in a very liquid portfolio of assets. Full bank line support is provided by banks rated R-1 (middle) or better including TD. The can issue senior R-1 (high) or junior R-1 (middle) rated commercial paper but there is presently no junior commercial paper outstanding. Reliant is relatively new with a July 30, 1998 inception. FINANCIAL HIGHLIGHTS Largest Seller Industries (October 31, 1998) Largest Asset Types Financial Institutions - 100% Receivables - 100% COMMERCIAL PAPER OUTSTANDING ($millions) December 98 November October September December 97 Senior Commercial Paper Junior Commercial Paper Inception Date: July 30, 1998 Structure Type: Single seller, multi-asset master trust Lead Underwriter and Administrative Agent: TD Securities Inc. and TD Bank Enhancement: Two tiers of enhancement exist. Specific seller enhancement includes spreads which have ranged 8%-10% and third party enhancers such as banks. Third Party Enhancers: Must be rated at least AA (low) or be cash collateralized. Liquidity Support: Liquidity lenders must have ratings of at least R-1 (middle). Liquidity lines exist for market disruption only and may be cancelled if credit related problems emerge. Full bank line coverage of short debt is provided. Structure: The is a special purpose vehicle which can purchase a wide range of financial assets. The administration is conducted by the administrative agent. Several Seller pools of assets can act as security for the Series of notes issued, but in case of losses, each pool stands on its own credit strength. Legal: Legal counsel to the, rendered an opinion that the exists, the Issuer ee has the power to perform its obligations and that the trust Indenture is legally binding. When assets are sold (creating a pool), a true sale and bankruptcy remoteness opinion are customarily obtained by. THE TRUST Reliant Receivables was created by Toronto Dominion Bank as a single seller (TD Bank) multi-asset. Presently, it has purchased only credit card receivables of which the share is about $900 million. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

17 Securitizations - Bond Sears Canada Receivables Current Report: February 1999 Walter Schroeder, CFA CURRENT RATING Huston Loke / Jireh Wong Rating Trend Rating Action Debt Rated hloke@dbrs.com (416) AAA Stable Confirmation Asset Backed Senior Notes RATING HISTORY Current Series (175M, June 1, 2004) AAA AAA AAA AAA AAA AAA AAA AAA Series (150M, April 1, 2001) AAA AAA AAA AAA AAA AAA AAA AAA Series (150M, Dec. 16, 2003) AAA AAA AAA AAA AAA AAA AAA AAA Various series subordinate debt A(high) A(high) A(high) A(high) A(high) A(high) A(high) A(high) units (sub.) NR NR NR NR NR NR NR NR RATING CONSIDERATIONS This finances long term debt and because enhancements for the long term trust are 7% versus 5% for the short term, a separate with a separate dedicated security pool had to be created. Total enhancements consist of 15%-17% excess spread plus 4% subordinate debt plus 3% subordinate Units, which have no specific maturity date. This means that enhancements of 22%-24% cover average losses of under 3% by close to 8 times which is quite exceptional for a credit card receivable portfolio in North America. The three key criteria used in evaluating credit cards are all positive for Sears: (1) The average loss rate has generally been below 3% which is quite impressive compared to other retail programs (which FINANCIAL HIGHLIGHTS Largest Seller Industries - October 1998 Largest Asset Types Retailing 100% Receivables 100% exceed 5%) or U.S. credit card losses between 6%-7%. (2) The gross yield on the credit card portfolio has held in the 20%-22% range. (3) The payment rate continues to be near 20% which is also indicative of a very liquid portfolio of receivables. The long nature of debt means that this long term financing is better able to lock in interest rates over the long term and hence excess spread should be a more stable number than it is for the short term trust. This has consistently outperformed other s with respect to losses. REMAINING DEBT OUTSTANDING ($MILLIONS) Series , $175M 8.95% June 1, 2004 AAA Series , $150M Floating April 1, 2001 AAA Series , $150 M 5.34% Dec. 16, 2003 AAA Series (Sub), $3.9M Floating June 1, 2004 A (high) Series (Sub), $3.9M 9.18% June 1, 2004 A (high) Series (Sub), $6.6M Floating April 1, 2001 A (high) Series (Sub), 6.6M Floating Dec. 16, 2003 A (high) Inception Date: December 1993 Lead Sponsor: Sears Canada Inc. Legal Structure: Senior subordinate structure with the having an undivided interest in a pool of credit card receivables. Enhancement: Excess spread near 16% plus 4% subordinate debt plus 3% Units. FINANCIAL HIGHLIGHTS ($millions) Debt Outstanding Yield Excess Spread Payment Rate Charge off Rate Enhancement Dec % 14.4% 23.3% 2.64% 21.4% Sept % 19.1% 21.1% 2.90% 26.0% June % 15.8% 22.0% 2.94% 22.8% March % 19.2% 23.0% 2.55% 26.2% Dec. 31/ % 16.3% 21.8% 2.32% 23.3% Dec. 31/ % 14.6% 21.4% 3.66% 21.6% Dec. 31/ % 14.7% 18.1% 3.27% 21.7% Dec. 31/ % 15.3% 18.2% 2.27% 22.3% Jan. 31/ % 15.0% 23.4% 2.37% 22.0% THE TRUST Sears Canada Receivables is in business to purchase credit card receivables from the Sears family of companies through an undivided co-ownership interest in a pool of credit card receivables. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

18 Securitizations Sears Canada Receivables Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Trend Rating Action Debt Rated R-1(high) Stable Confirmation Commercial Paper A Stable Confirmation Asset-Backed Subordinated Notes, Series RATING HISTORY Current Commercial Paper R-1 (high) R-1 (high) R-1 (high) R-1 (high) R-1 (high) R-1 (high) R-1 (high) Asset-Backed Sub. Notes, Series A A NR NR NR NR NR RATING CONSIDERATIONS Sears Canada Receivables is one of the oldest s in Canada (December 2, 1991 inception) and is in business to buy credit card receivables from Sears Canada purchasing an undivided interest in a pool of credit card receivables. The credit card receivable portfolio ranks as one of the strongest credit card portfolios in Canada with all three areas considered key in evaluating credit cards positive: (1) The loss rate has consistently been below 3% versus 6%-7% in the U.S., and 4%-5% for Eaton s, for example. (2) The gross yield on the portfolio is holding near 20%-22% although there is some fluctuation around these points. (3) The payment rate continues to be near 20% (this means that approximately 20% of the portfolio is collected in the month). Thus, credit card receivables are highly liquid. Enhancements amount to 5% Largest Seller Industries - October 1998 Largest Asset Types Retailing 100% Receivables 100% subordinate trust units plus 15%-17% excess spread leading to a 21% total enhancement. The latter covers losses by close to 7 times which is very good and leaves a large margin for any future problems which may arise. The Servicer is also well qualified to administer the accounts which are well diversified by obligor and geography. As an added strength, the performance of the parent (Sears Canada) in merchandising has been generally improving in a very difficult competitive market in Canada. There is a degree of liability sensitive mismatch as relatively fixed rates earned on the portfolio are partly funded by variable rate debt. This would result in some earnings squeeze if interest rates rise, but, the effects should not be enough to create problems. COMMERCIAL PAPER OUTSTANDING ($millions) December 98 November October December 31/97 June 97 Commercial Paper Inception Date: December 2, 1991 Lead Sponsor and Servicer: Sears Canada Inc. Legal Structure: Senior/Subordinate with the having an undivided co-ownership interest in a portfolio of securities. Enhancement: Subordinate (5%) consisting of Units, plus excess spread which averaged 15%-16% in enhancements exceeded 20% collectively. Liquidity Support: Full bank line coverage of commercial paper is provided. FINANCIAL HIGHLIGHTS ($millions) Debt Outstanding Yield Excess Spread Payment Rate Charge off Rate Enhancement Dec % 14.4% 23.3% 2.64% 19.4% Sept % 19.1% 21.1% 2.90% 24.0% June % 15.8% 22.0% 2.94% 20.8% March % 19.2% 23.0% 2.55% 24.2% Dec. 31/ % 16.3% 21.8% 2.32% 21.3% Dec. 31/ % 14.6% 21.4% 3.66% 19.6% Dec. 31/ % 14.7% 18.1% 3.27% 19.7% Dec. 31/ % 15.3% 18.2% 2.27% 20.3% Dec. 31/ % 17.3% 19.7% 1.80% 22.3% Mar. 31/ % 15.0% 23.4% 2.37% 20.0% THE TRUST Sears Canada Receivables is in business to purchase an undivided co-ownership interest in a credit card receivables pool of credit card receivables, originated by the Sears family of companies. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

19 Securitizations Superior Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Trend Rating Action Debt Rated R-1 (high) Stable Confirmation Commercial Paper RATING HISTORY Current Commercial Paper R-1 (high) R-1 (high) R-1 (high) NR NR NR RATING CONSIDERATIONS This portfolio of credit card receivables consists of Royal Bank VISA card accounts originated on or before December 31, 1991, and continues to perform satisfactorily. The is strong in the key three criteria used to measure credit card performance. (1) The most impressive performance is in the area of losses, where losses in recent months have been averaging near 1%. This is exceptional performance compared to U.S. credit card experience where losses are averaging 6%-7%. (2) The gross yield on the portfolio has been near 15% which, after losses and interest expense, contributes to an excess spread of 9%-10%. (3) The payment rate which measures the percentage of outstandings collected in the month is near 38%. This is consistent with the banks and indicates a liquid portfolio of securities which would be monetized on its own (and very quickly) if liquidity was needed. In addition, full bank line coverage of commercial paper led by Royal Bank (rated AA) and other banks rated at least AA (low) is provided. For the last few months, credit enhancements cover the latest monthly loss rates by over 10 times which is a quite exceptional level of performance for a credit card program. The main reason for this is the strong credit worthiness of the well-seasoned underlying obligors. The legal structure is an undivided co-ownership interest in an almost $2 billion portfolio, where Royal Banks residual interest ranks pari passu with the $1.5 billion in outstanding commercial paper. Inception Date: October 17, 1997 Lead Underwriter and Administrative Agent: RBC Dominion Securities Inc. Servicing Agent: Royal Bank of Canada Legal Structure: Special purpose trust which issues commercial paper to fund a co-ownership interest in a pool of VISA credit card receivables. Support: A letter of credit equal to 5% of the Pool plus 10% excess spread amounting to 14%-15% total enhancements in recent months. Letter of Bank: Société Générale (Canada) (5.0%) Liquidity Support: Provided by Royal Bank of Canada and a syndicate of banks with ratings of AA (low) or better. FINANCIAL HIGHLIGHTS Date 1998 Debt Outstanding Excess Spread Payment Rate L/C Amount Enhancement Dec. 31 1, % 36% 5% 14.6% November 1, % 37% 5% 14.6% October 1, % 36% 5% 14.0% September 1, % 36% 5% 15.3% August 1, % 37% 5% 14.1% July 1, % 38% 5% 14.4% June 1, % 36% 5% 15.5% May 1, % 37% 5% 17.9% April 1, % 34% 5% 14.0% March 1, % 34% 5% 18.7% December , % 37% 5% 16.0% THE TRUST Superior is a single purpose should be created to hold an undivided co-ownership interest in credit card receivables from Royal Bank. It is a member of the RBC Dominion Securities family of trusts. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.

20 Securitizations Trillium Current Report: February 1999 Walter Schroeder, CFA Huston Loke / Jireh Wong CURRENT RATING hloke@dbrs.com (416) Rating Trend Rating Action Debt Rated AAA Stable Confirmation CCRBN, Series , Series , Series , Class A A Stable Confirmation CCRBN, Series , Series , Series , Class B BBB Stable Confirmation CCRBN, Series , Series , Series , Class C RATING HISTORY Current 1998 CCRBN, Series , Series , Series , Class A AAA AAA CCRBN, Series , Series , Series , Class B A A CCRBN, Series , Series , Series , Class C BBB BBB RATING CONSIDERATIONS The was incepted in October 1998 so it is a relatively new and part of the ScotiaMcLeod/Bank of Nova Scotia family of companies. It is in business to purchase credit card receivables from Bank of Nova Scotia. The has ratings on three separate issues of notes. The rating on the senior notes is AAA, the next ranked notes are rated A and the Class C third ranking notes are ranked BBB. The structure is different from the customary credit card structures. (a) There is no 5% letter of credit from a high rated bank. Instead, there is a 5% (3% Series B and 2% Series C) level of subordinate debt. (b) A 5% cash reserve builds up from the excess spread. Since the issue was just completed, very little in cash excess spread has accumulated. (c) The excess spread is building to 8%- 10%. On this basis, enhancements are presently near 10%- 13%, but will build to 15% as the cash excess spread accumulates. Collectively, the enhancements are attractive. With loss rates below 2% (consistently) the enhancements at present exceed 5 times and will build to 7-8 times as the cash reserve accumulates. The loss rates in this program are less than 1/3 the level prevailing in the U.S., and few problems are foreseen for this. A unique feature of credit card receivables is the very low payment rate at half the level of other banks. This indicates that these credit cards are used more as a source of credit and less as a payment mechanism. However, effective management on behalf of BNS has resulted in strong loss performance nonetheless. FINANCIAL HIGHLIGHTS (1) ($millions) Date Share Payment Rate Excess Spread Enhancement December 1,000 24% 8.70% 13.7% November 1,000 22% 10.11% 15.17% October 1,000 23% 5.30% 10.3% (1) this is a new, and only three months of information exists. REMAINING DEBT OUTSTANDING ($millions) December November October September December 97 June 97 Senior Debt Outstanding Inception Date: October 9, 1998 Seller and Servicer: Bank of Nova Scotia Underwriter: ScotiaMcLeod Inc. Legal Structure: A master trust structure with co-ownership interests in a pool of credit card receivables. Support: A 5% subordination (Class B and Class C notes) replaces the customary 5% letter of credit. Cash reserve builds (from the net interest spread) up to 5% plus the excess spread which is in the 5% range presently. Mechanics: Minimum Principal Amount: The will have an undivided co-ownership interest of $1 billion out of a gross portfolio of $2.574 billion in credit card receivables. Scotiabank will retain the residual undivided co-ownership interest in the pool of receivables. Additional Series may be issued in the, each of which will have an undivided co-ownership interest in the $2.6 billion (at inception) pool. The minimum principal amount of Receivables in the pool must always be at least 107% of outstanding notes. New credit card receivables must be added if this ratio falls below 107% as defined. THE TRUST Trillium is in business to purchase an undivided co-ownership interest in credit card receivables from the Bank of Nova Scotia and is a member of the Bank of Nova Scotia group. DOMINION BOND RATING SERVICE LIMITED Information used in this Report comes from sources believed to be reliable, but we cannot guarantee that it, or the opinions in this Report, are complete or accurate. This Report is not to be construed as an offering of any securities, and it may not be reproduced without our consent.