Exhibit 99.1
Chase Credit Card Master Trust
Excess Spread Analysis - July 2006
Series Deal Size Expected Maturity | 1998-4 $599MM 9/15/2008 | 2001-4 $1,000MM 8/15/2006 | 2001-6 $1,200MM 12/15/2006 | 2002-1 $1,000MM 3/15/2007 | 2002-3 $1,500MM 6/15/2009 | 2002-5 $1,000MM 7/15/2007 | ||||||||||||
Yield | 17.24 | % | 17.29 | % | 17.24 | % | 17.24 | % | 17.24 | % | 17.24 | % | ||||||
Less: Coupon | 5.50 | % | 5.71 | % | 5.56 | % | 5.52 | % | 5.58 | % | 5.51 | % | ||||||
Servicing Fee | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||
Net Credit Losses | 4.42 | % | 4.42 | % | 4.42 | % | 4.42 | % | 4.42 | % | 4.42 | % | ||||||
Excess Spread: | ||||||||||||||||||
July-06 | 5.82 | % | 5.67 | % | 5.76 | % | 5.80 | % | 5.74 | % | 5.81 | % | ||||||
June-06 | 7.18 | % | 6.88 | % | 7.13 | % | 7.17 | % | 7.11 | % | 7.18 | % | ||||||
May-06 | 7.40 | % | 7.23 | % | 7.33 | % | 7.37 | % | 7.31 | % | 7.38 | % | ||||||
Three Month Average Excess Spread | 6.80 | % | 6.59 | % | 6.74 | % | 6.78 | % | 6.72 | % | 6.79 | % | ||||||
Delinquency: | ||||||||||||||||||
30 to 59 Days | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||
60 to 89 Days | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||
90+ Days | 1.66 | % | 1.66 | % | 1.66 | % | 1.66 | % | 1.66 | % | 1.66 | % | ||||||
Total | 3.42 | % | 3.42 | % | 3.42 | % | 3.42 | % | 3.42 | % | 3.42 | % | ||||||
Principal Payment Rate | 18.36 | % | 18.36 | % | 18.36 | % | 18.36 | % | 18.36 | % | 18.36 | % | ||||||
Series Deal Size Expected Maturity | 2002-7 $750MM 11/15/2007 | 2003-2 $1,340MM 4/15/2008 | 2003-3 $1,425MM 7/15/2008 | 2003-4 $725MM 10/15/2013 | 2003-5 $1,000MM 10/15/2008 | 2003-6 $2,000MM 11/15/2008 | ||||||||||||
Yield | 17.24 | % | 17.24 | % | 17.24 | % | 17.24 | % | 17.24 | % | 17.24 | % | ||||||
Less: Coupon | 5.56 | % | 5.55 | % | 5.53 | % | 5.68 | % | 5.52 | % | 5.50 | % | ||||||
Servicing Fee | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||
Net Credit Losses | 4.42 | % | 4.42 | % | 4.42 | % | 4.42 | % | 4.42 | % | 4.42 | % | ||||||
Excess Spread: | ||||||||||||||||||
July-06 | 5.76 | % | 5.77 | % | 5.79 | % | 5.64 | % | 5.80 | % | 5.82 | % | ||||||
June-06 | 7.13 | % | 7.14 | % | 7.16 | % | 7.01 | % | 7.17 | % | 7.18 | % | ||||||
May-06 | 7.33 | % | 7.34 | % | 7.36 | % | 7.21 | % | 7.37 | % | 7.38 | % | ||||||
Three Month Average Excess Spread | 6.74 | % | 6.75 | % | 6.77 | % | 6.62 | % | 6.78 | % | 6.79 | % | ||||||
Delinquency: | ||||||||||||||||||
30 to 59 Days | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||
60 to 89 Days | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||
90+ Days | 1.66 | % | 1.66 | % | 1.66 | % | 1.66 | % | 1.66 | % | 1.66 | % | ||||||
Total | 3.42 | % | 3.42 | % | 3.42 | % | 3.42 | % | 3.42 | % | 3.42 | % | ||||||
Principal Payment Rate | 18.36 | % | 18.36 | % | 18.36 | % | 18.36 | % | 18.36 | % | 18.36 | % | ||||||
Series Deal Size Expected Maturity | 2004-1 $1,500MM 2/15/2007 | 2004-2 $1,750MM 6/15/2007 | ||||
Yield | 17.24 | % | 17.24 | % | ||
Less: Coupon | 5.40 | % | 5.41 | % | ||
Servicing Fee | 1.50 | % | 1.50 | % | ||
Net Credit Losses | 4.42 | % | 4.42 | % | ||
Excess Spread: | ||||||
July-06 | 5.92 | % | 5.91 | % | ||
June-06 | 7.29 | % | 7.28 | % | ||
May-06 | 7.49 | % | 7.47 | % | ||
Three Month Average Excess Spread | 6.90 | % | 6.88 | % | ||
Delinquency: | ||||||
30 to 59 Days | 1.03 | % | 1.03 | % | ||
60 to 89 Days | 0.73 | % | 0.73 | % | ||
90+ Days | 1.66 | % | 1.66 | % | ||
Total | 3.42 | % | 3.42 | % | ||
Principal Payment Rate | 18.36 | % | 18.36 | % | ||
