USD300 million of asset-backed securities rated
Hong Kong, February 11, 2011 -- Moody's Investors Service has assigned a definitive rating of Aa1 (sf)
to the Floating Rate Secured Notes issued by Shinhan Card 2011-1
International Ltd.
The complete rating action is as follows:
Issuer: Shinhan Card 2011-1 International Ltd
....US$300,000,000 Floating
Rate Secured Notes Due 2015, Assigned Aa1 (sf)
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and ultimate payment of principal
at par with respect to the notes by the legal final maturity.
Moody's ratings address only the credit risks associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
RATINGS RATIONALE
This is the 13th cross-border securitization transaction sponsored
by Shinhan Card Co., Ltd. ("Shinhan Card").
The assets backing the notes consist of present and future receivables
under designated credit card accounts originated by Shinhan Card.
The portfolio comprises credit card receivables owed by cardholders for
credit purchases as well as cash advances.
Credit purchases can be paid (1) in full by the next payment due date
("lump sum"), (2) on an installment basis, for
which equal principal payment will be made over a fixed term ("installment
purchases"), or (3) in part by the next payment date with
a monthly minimum for revolving payment accounts ("revolving payment").
Cardholders must pay their cash advances in full with interest by the
payment due date, or by the revolving payment method for those granted
a revolving credit limit.
The transaction's revolving period ends in November 2013,
and will be followed by the controlled amortization period. The
notes pay monthly interest at the rate of one-month LIBOR plus
a spread. The principal will be paid down during the controlled
amortization period.
If early amortization is triggered, the revolving or the controlled
amortization periods will end immediately, and the principal collections
will be passed through to the bondholder and used to accelerate the principal
payments on the notes.
The rating is based on the credit quality of the underlying pool of credit
card receivables; the transaction's legal and structural protections,
which includes early amortization triggers, credit enhancement,
liquidity arrangements, and the swap arrangement.
Moody's expects performance in the range of 10%-12%
for charge-off, 6%-8% for the yield,
and 55%-65% for the payment rate. 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 the collateral's credit quality is stronger or weaker
than Moody's had anticipated when the related securities were rated.
Even so, 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 depends on the assessment of a range of factors including but not
limited to performance metrics.
The principal methodology used in this rating was Moody's Approach
to Rating Credit Card Receivables-Backed Securities, published
in April 2007.
The V Score for this transaction is Medium, which is in line with
the Medium V Score assigned for the Korean Credit Card ABS sector.
This reflects average volatility with regard to the critical assumptions
used in the rating process. 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.
The V Score ranks 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
individual tranches).
In rating Korean Credit Card ABS, the payment rate, charge-off
rate, yield, and certain other inputs are used to calculate
the median expected loss and the credit enhancement under stress.
These were, in turn, the inputs used to determine a new lognormal
loss distribution. Three new lognormal loss distributions were
calculated for the notes by assuming the following expected payment rate/charge-off
rate combinations: 42%/20%, 38%/22%,
and 30%/25% from the base case of 55%/12%.
The quantitative/model-indicated output for the notes in these
three additional scenarios for Parameter Sensitivities are Aa1,
Aa2, and A1 respectively.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time; rather, they are designed
to provide a quantitative calculation of how the initial rating might
change if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the rating.
REGULATORY DISCLOSURES
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 information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
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.
Hong Kong
Helen Y. Lam
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Hong Kong Ltd.
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077
Hong Kong
Jerome Cheng
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Hong Kong Ltd.
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077
Moody's Investors Service Hong Kong Ltd.
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Moody's rates Shinhan Card cross-border credit card deal Aa1 (sf)
