Ratings

Table 2 shows the July 2006 performance variables for the top three trusts in the CCQI based on principal receivables outstanding, compared with the performance statistics for the overall index. The top three trusts constitute 52% of the index.

Capital One Master Trust, which overtook First USA Credit Card Master Trust in June as the third-largest trust within the context of the CCQI, remained in the third position during July. As of July 31, 2006, Capital One Master Trust's principal receivables outstanding of $41.7 billion exceeded those of First USA Credit Card Master Trust by roughly $2.2 billion.

Table 2 Issuers Versus The Index
Trust	Outstandings ($)	Yield (%)	Payment rate (%)	Losses (%)	Delinquencies (%)	Base rate (%)	Excess spread (%)
Index	370,137,670,753	18.8	20.7	4.0	3.5	7.0	8.0
BA Master Credit Card Trust II	77,101,992,801	18.7	17.7	3.8	4.2	7.4	7.5
Citibank Credit Card Master Trust I	74,511,853,388	17.3	21.5	3.9	3.0	5.7	7.7
Capital One Master Trust	41,700,704,605	19.0	18.0	2.6	3.4	7.4	9.0

Aggregate outstanding principal receivables for the 25 master trusts that compose the index decreased by approximately $6.9 billion during July to $370.1 billion* from $377.1 billion in June (see chart 1). The decline was primarily due to the fact that BA Master Credit Card Trust, with receivables of approximately $5.7 billion, paid off in July and exited the CCQI. Consumer confidence as measured by the Conference Board's Consumer Confidence Index increased moderately to 107 in July from 105.7 in June. In August, however, consumer concerns regarding overall economic conditions, especially in light of increased borrowing costs, inflated gas prices, and shifting labor and housing market conditions, took their toll, knocking the confidence figure to its lowest level this year (99.6).

*Principal receivables have been adjusted downward, compared with figures reported before February 2005, to account for the collateral certificates issued out of First USA Credit Card Master Trust and Chase Credit Card Master Trust for the benefit of Chase Issuance Trust. To the extent that a collateral certificate is issued, receivables are counted in only one trust.

Yield increased 50 basis points (bps) to 18.8% in July from a revised figure of 18.3% in June (see chart 2). More than three-fourths of the trusts that make up the CCQI saw increases in yield in July. Additionally, slightly more than 40% of the trusts continue to report yields that are greater than 20%. July's yield of 18.8% was 20 bps higher than the average of 18.6% for the first half of 2006, 40 bps higher than the average of 18.4% for 2005, and 120 bps higher than the 2004 average of 17.6%. Year-to-date 2006, yield has ranged from 18.1% to 19.4%. Yield, which consists primarily of cardholder finance charges, represents the income generated by the receivable pool that is available to cover the expenses of the trust. Yield levels are affected by cardholder agreement terms, the annual percentage rate (APR) charged by the issuer and other fee income, the percentage of convenience users in the portfolio, and the amount of late charges assessed to obligors, among other factors. Standard & Poor's believes that card yield and APRs, while lagged, will continue to rise as market interest rates continue to move upward.

After gaining 170 bps in May 2006 (to 21.3%), the payment rate slid 60 bps over the two months that followed to 20.7%, which is still a robust payment rate compared with historical standards. Nearly half of the trusts in the CCQI experienced lower payment rates in July, reporting decreases ranging from 10 bps to 150 bps. Over the course of the most recent 12-month period, the overall payment rate has exceeded 20% seven times (with a high of 22.1% and a low of 20.7%). The July 2006 payment rate was on par with the average for the first six months of 2006, 200 bps higher than it was during the comparable period in 2005 (18.7%), 330 bps higher than the 2004 average of 17.4%, and 430 bps higher than the 2003 average of 16.4%. As of July 2006, the three-month average payment rates for the top three trusts (based on receivables outstanding) were 18.3% (BA Master Credit Card Trust II), 22.4% (Citibank Credit Card Master Trust I), and 18.0% (Capital One Master Trust).

After declining by 10 bps in June, charge-offs increased by 50 bps to 4.0% in July, 100 bps above the index's historical low of 3% reported in February 2006 (see chart 4). Still, loss levels remain at historical lows. The charge-off rate for 2006 has ranged from 3.0% to 4.0% and has averaged 3.4%. Charge-offs for July were 230 bps lower than the 2005 average of 6.3%, 260 bps lower than the 2004 average of 6.6%, and 320 bps lower than the 2003 average of 7.2%. On a weighted average basis, the three-month average charge-off rate for the top three trusts is 3.2%. Standard & Poor's expects loss levels to begin normalizing throughout the remainder of 2006, returning to historical levels of around 6%.

Each of the delinquency buckets was flat in July compared with the prior month. While unchanged in July, the three delinquency rates do, however, remain lower than most of the monthly averages reported for the recent 12 months. The 3.5% 30-plus-day delinquency rate is 40 bps lower than the 2005 average of 3.9%, 100 bps lower than the 2004 average of 4.5%, and 180 bps lower than the 2003 average of 5.3%. The 2.4% 60-plus-day delinquency rate is 20 bps lower than the 2005 average, 70 bps lower than the 2004 average, and 120 bps lower than the 2003 average. Furthermore, the June 2006 90-plus-day delinquency rate of 1.6% remained on par with the 2005 average, 20 bps lower than the 2004 average, and 50 bps lower than the 2003 average (see chart 6). Through the first six months of 2006, the delinquency buckets saw low/high ranges of 3.4%/3.6% (30-plus-day), 2.3%/2.8% (60-plus-day), and 1.5%/1.6% (90-plus-day).

The base rate for July 2006 was up 10 bps to 7.0% from the prior month. The base rate peaked around 8% in the third and fourth quarters of 2000, but then experienced a pronounced decline beginning early in 2001, aided by record consecutive Federal Reserve interest rate cuts, before leveling off in 2002 and 2003 (see chart 7). The base rate began trending upward again in June 2004, in step with the increases in the Federal Funds rate, and has risen by 330 bps since that point. Standard & Poor's expects the base rate to continue increasing throughout 2006.

Despite the 50-bp increase in yield, the combined 60-bps increase in charge-offs and base rate caused excess spread to decrease by 10 bps to 8.0% in July from 8.1% in June (see chart 8). Compared with June 2006, excess spread decreased in less than one-third of the trusts in July. The three-month weighted average excess spread rate for July for the top three trusts was 8.0%. The 8.0% excess spread rate in July was 140 bps higher than the 2005 average of 6.6%, 90 bps higher than the 2004 average of 7.1%, and 130 bps higher than the 2003 average of 6.7%. Given that we expect loss levels to return to around 6% range, the sustainability of current excess spread levels is unlikely. Nonetheless, even with excess spread compression; levels will continue to provide investors with adequate first loss protection against trust defaults.

The top 10 trusts continue to dominate the weighting in the CCQI. During July 2006, the weighting of the top three and top 10 trusts each increased by 1%, to 52% and 91%, respectively.

Charts 9 and 10 show the percentages represented by the top three and top 10 active trusts, respectively.

There were no rating actions on transactions backed by credit card receivables during July 2006. Standard & Poor's continues to closely track the performance of the subprime credit card master trusts that have exhibited the greatest volatility, which have accounted for all of the negative rating actions taken to date. Bankcard transactions in the prime sector continue to perform within expectations and remain consistent with the ratings assigned to the outstanding credit card securitizations.

Table 3 shows the number of rating actions (downgrades and upgrades) taken on credit card securitizations during each quarter since 2002.

Table 3 Rating Actions
	First quarter	Second quarter	Third quarter	Fourth quarter	Total
Downgrades
2002	0	12	0	35	47
2003	13	8	26	0	47
2004	0	2	0	0	2
2005	0	0	0	0	0
2006	0	0
Total					96
Upgrades
2002	0	0	0	0	0
2003	0	3	0	3	6
2004	0	6	4	3	13
2005	0	0	16	14	30
2006	12	7			19
Total					68

Standard & Poor's performs regular periodic reviews of all rated credit card securitizations with the goal of identifying potential and emerging trends. Standard & Poor's also monitors and evaluates monthly changes in performance and collects and analyzes data from individual master trusts and their outstanding series on a monthly basis.

The CCQI is a monthly performance index that aggregates performance information across Standard & Poor's rated bankcard transactions in the following key risk areas: receivables outstanding, yield, payment rate, charge-off rate, delinquencies, base rate, and excess spread rate.

(Each master trust's weighting is determined by the size of its outstanding eligible principal receivables divided by the total outstanding eligible principal receivables for all trusts included in the index. The resultant CCQI weighted average performance variables are then determined by summing the result of each master trust's variables multiplied by each master trust's respective weighting.)