OREANDA-NEWS. Fitch Ratings expects to assign the following ratings to Master Credit Card Trust II, series 2016-3:

--US$1,000,000,000 class A asset-backed notes 'AAAsf (EXP)'; Outlook Stable.

--CAD$ TBD class B asset-backed notes 'AAsf(EXP)'; Outlook Stable;

--CAD$ TBD class C asset-backed notes 'BBBsf(EXP)'; Outlook Stable.

KEY RATING DRIVERS

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 May 2016, Master Credit Card Trust II's (MCCT II) collateral performance metrics were in line with the Fitch indices. Charge-offs and 60+ day delinquencies have remained relatively stable over the past 24 months and the monthly payment rate (MPR) has remained consistent since the inception of the trust. Gross yield has been robust over the past two years.

Adequate Credit Enhancement (CE): The class A notes of series 2016-3 will benefit from 5.50% CE derived through the subordination of both class B and C notes and the cash collateral account.

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

The class C notes CE 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. Any deterioration that could occur in the credit quality of BMO may affect the performance of the collateral pool backing the notes.

RATING SENSITIVITIES

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. However, increasing defaults by 75% and reducing purchase rate by 100% alone in comparison will have the least impact on rating migration.

For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction please see the related presale appendix.