Toronto, December 15, 2010 -- Moody's Investors Service has assigned definitive ratings to the Class
A, Class B and Class C Fixed Rate Series 2010-1 and 2010-2
Notes to be issued by Eagle Credit Card Trust.
$232,500,000, 2.782%, Class
A Notes, Series 2010-1 Definitive Rating Assigned Aaa (sf)
$8,750,000, 3.652%, Class
B Notes, Series 2010-1 Definitive Rating Assigned A2 (sf)
$8,750,000, 4.752%, Class
C Notes, Series 2010-1 Definitive Rating Assigned Baa2 (sf)
$325,500,000, 3.474%, Class
A Notes, Series 2010-2 Definitive Rating Assigned Aaa (sf)
$12,250,000, 4.434%, Class
B Notes, Series 2010-2 Definitive Rating Assigned A2 (sf)
$12,250,000, 5.484%, Class
C Notes, Series 2010-2 Definitive Rating Assigned Baa2 (sf)
The ratings are based on the quality of the underlying pool of credit
card receivables, the expertise of PC Bank as seller/servicer,
the performance guarantee of parent Loblaw Companies Limited, the
transaction's legal and structural protections, including early
amortization triggers, and credit enhancement in the form of excess
The Series 2010-1 and Series 2010-2 Class A Notes each constitute
93.00% of the total invested amount and are enhanced by
subordinate Class B and Class C Notes which constitute 7.00%
of the total invested amount. The Series 2010-1 Notes and
the Series 2010-2 Notes have expected principal payment dates of
December 17, 2013 and December 17, 2015, respectively.
Additional enhancement may be provided by retention of excess spread in
the reserve accounts, which will initially be unfunded. If
the three-month average excess spread falls below specified levels
that start at 5.0%, the size of the reserve account
should progressively increase after each level is breached.
Moody's expects performance in the range of 4.5%-6.5%
for net charge-offs, 20.0%-25.0%
for yield and 39.0%-45.0% for the payment
Moody's performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted,
change these expectations. Performance that falls outside the given
range may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities were rated.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
The principal methodology used in rating Eagle Credit Card Trust was "Moody's
Approach To Rating Credit Card Receivables-Backed Securities" rating
methodology published on April 16, 2007.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
Parameter Sensitivities provide a quantitative, model-indicated
calculation of the number of notches that a Moody's-rated structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged. It is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might differ as certain key parameters vary.
In rating Canadian Credit Card ABS, the payment rate, charge-off
rate, purchase rate, yield and certain other inputs are used
to calculate the median expected loss and the Aaa enhancement.
These two, in turn, are the inputs used to determine a new
lognormal loss distribution. Three new lognormal loss distributions
were calculated for each rating class by assuming the following three
payment and gross charge-off rate combinations: (1) 34%/8%,
(2) 26%/12% and (3) 21%/15% from the base
case of 42%/5%. For the Series 2010-1 and
Series 2010-2 Class A Notes, the ratings for the respective
combinations from the base case of Aaa are (1) Aa1 (one notch) (2) Aa2
(two notches) and (3) A1 (four notches).
The Volatility Score ("V Score") for this transaction is Low/Medium,
which is the same as the V Score assigned to Canadian Credit Card ABS
sector. On December 19, 2008, Moody's published a report
introducing V Scores and Parameter Sensitivities for the global credit
card ABS sector. Moody's V Scores provide a relative assessment
of the quality of available credit information and the potential variability
around the various inputs to a rating determination. V Scores are
intended to rank transactions by the potential for significant rating
changes owing to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that underlie
the ratings. V Scores apply to the entire transaction (rather than
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service's information.
Moody's Investors Service considers the quality of information available
on the issuer satisfactory for the purposes of assigning a credit rating.
Additional research, including a pre-sale report, is
available at www.moodys.com. A special report entitled
"V Scores and Parameter Sensitivities in the Global Credit Card ABS Sector"
is also available on moodys.com. In addition, Moody's
publishes a weekly summary of structured finance credit, ratings
and methodologies, available to all registered users of our website,
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
VP - Senior Credit Officer
Structured Finance Group
Moody's Canada Inc.
Luisa De Gaetano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Moody's Canada Inc.
Moody's assigns definitive ratings to the Eagle Credit Card Trust, Series 2010-1 and Series 2010-2 Notes
70 York Street
Toronto, ON M5J 1S9