Research: Rating Action: Moody’s assigns definitive ratings to Silva_202303, credit card receivables ABS

JPY35.5 billion of debt securities were affected

Tokyo, March 29, 2023 — Moody’s SF Japan KK has assigned a definitive rating to the following transactions.

The complete rating action is as follows:

Transaction Name: Silva_202303

Class, Amount of Issuance, Scheduled Dividend/Interest Rate, Rating

Interest Profitable Investors, JPY7 billion, Fixed, Aaa(sf)

Investors ABL, JPY28.5 billion, Fixed, Aaa(sf)

Total Issuance Amount: JPY35.5 billion

Closing Date: 29 March 2023

Rolling Period: from March 2023 to March 2027

Final Due Date: March 18, 2039

Underlying Assets: Credit card receivables (card purchase receivables)

Asset Trustee/ABL Trustee: The Norinchukin Trust & Banking Co.,Ltd.

Total Amount Receivable (Principal Amount): JPY68,000,076,811

Arranger/Lender: Mizuho Securities Co., Ltd.


Seller, as originator and initial service provider, entrusts the pool of eligible credit card receivables and cash to the asset trustee, who then issues Beneficial Senior Interest, Subordinated Beneficial Interest, Seller Beneficial Interest, and Cash Reserve Beneficial Interest.

Receivables are perfected for third parties based on the Perfection Law. Completion of the obligor does not occur unless certain events occur.

The trustee of the asset receives a limited recourse loan (ABL) from the lender. The funds are used to redeem the full amount of the Senior Beneficial Interest.

The lender entrusts ABL and the cash to ABL’s trustee, and receives Investor’s Favorable Interest and Cash Reserve’s Favorable Interest. ABL safekeeping is perfected for the obligor and third parties concerned, and in accordance with the provisions of Article 467 of the Civil Code.

ABL’s trustee receives limited recourse loans (ABL Investor) from investors to redeem a portion of the Investor’s Profitable Interest.

The remaining Profitable Interests of Investors are transferred to investors. The transfer is consummated against the trustee and third parties pursuant to Article 94 of Japan’s Guardianship Law.

Beneficial Interests Investors and ABL Investors are structured on a pari-passu basis in principal and waterfall dividends/interest under a trusteeship agreement.

Seller holds Subordinated Beneficial Interest, Seller’s Beneficial Interest, and Cash Reserve Profitable Interest.

Credit enhancement is provided by the senior/subordinate structure and excess available spreads. Subordinated Interests comprised approximately 19.1% of the initial principal balance of Profitable Investor Interests, Investor ABL and Subordinated Profitable Interests at the closing date.

Profitable Investor Interests and Investor ABLs are redeemed in monthly scheduled amortizations after a rolling period.

Default receivables in the underlying pool are used as payments in kind for dividends on Subordinated Beneficial Interest, while cash in an amount equivalent to the principal balance of the defaulted receivable is transferred from the interest collection account to the principal collection account.

In the event of an early amortization event, the dividend waterfall to Subordinated Profitable Interests is deferred, and the excess difference is used to redeem the Investor’s Profitable Interest and the Investor’s ABL. Key initial amortization events include default rates that exceed their trigger rates.

In the event of a change of service provider, the asset trustee may terminate the service provider and have the back-up service provider take over the servicing operations. A backup service provider is appointed at closing.

In preparation for changing service providers, liquidity is provided in the form of cash reserves. This reserve includes dividend payments on the Investor’s Profitable Interest, interest payments on the Investor’s ABL, trusteeship fees and related costs prepared at closing, and costs related to starting the operation of the reserve service which are prepared when the triggering event occurs. .

The risk of mix-up is borne by Seller’s Beneficial Interest.

The rating is primarily based on the credit quality of the receivables, transaction structure and experience of the service provider.

Moody’s estimates an expected annual default rate (“charge-off rate”) for the underlying asset of 5.0%, after considering attributes receivable, historical data across the entire seller pool, performance data on existing securitization pools, and industry trends.

Moody’s also assumes a principal repayment rate of around 3.3% and a portfolio yield rate of 12% at the initial amortization rate under the stress scenario. (This parameter is based on Moody’s definition for analytical purposes, and thus may not be comparable to other data).

Moody’s Aaa LGSD for transactions of 18.2%. Aaa LGSD corresponds to a maximum loss consistent with an Aaa(sf) rating, assuming that the sponsor has closed the cardholder’s account. This scenario relates to sponsors who are in or near default. In this transaction, the available credit enhancements are not less than Aaa LGSD at closing.

The main methodology used in this ranking is the “Credit Card Receivables Securitization Methodology (Japan)” which was issued in January 2023 and is available at /api/rmc-documents/397342. Alternatively, please see the Rating Methodology page at for a copy of this methodology.

Factors that would lead to a rating increase or decrease:

The main factor that could lead to a downgrade is the worse-than-expected performance of the underlying asset by Moody’s.

Moody’s assumes that, given the structure of the transaction and other factors, the risk of disrupted cash flows from the asset in the event of bankruptcy of the seller or trustee of the asset is sufficiently minimized to achieve the rating assigned.

Moody’s considers the seller reasonably capable of serving the pool, taking into account the seller’s business experience and service operations.

Moody’s has also performed a sensitivity analysis below which gives the number of notches by which the indicated model output of the deal would vary if different assumptions had been made for certain key model parameters. The analysis assumes that the agreement is not yet old.

If the expected annual cost rate and the long-term expected cost rate are changed from 5%/8% to 6%/9% and 7%/10% and other assumptions remain unchanged, the model’s indicated output of the rated class will change respectively. by 0 and 1 notch respectively.

The result of the analysis is the output shown by the model, which is one of the many quantitative and qualitative factors considered by the rating committee in determining the actual rating. This analysis does not intend to measure how agreement ratings might migrate over time, but rather how the agreement outputs indicated by the initial model might have differed if certain main model parameters had been changed.


For further specification of Moody’s key rating assumptions and sensitivity analysis, see the Methodological Assumptions and Sensitivity to Assumptions sections of the disclosure form. Moody Rating Symbols and Definitions can be found at /rating-definition.

In rating these transactions, Moody’s uses a cash flow model to determine collateral loss in a maximum stress scenario. As a second step, Moody’s trimmed this collateral loss based on the sponsor’s credit quality. Finally, Moody’s compared the increase in available credit with collateral haircuts, taking into account loss allocation and other structural features, to determine the rating the model indicated for each instrument.

Moody’s quantitative analysis requires scenario evaluation that emphasizes factors that contribute to rating sensitivity and takes into account the possibility of severe collateral loss or cash flow disruptions.

For ratings issued on a program, series, category/class of debt or securities, this announcement provides certain regulatory disclosures related to each rating of bonds or debentures issued subsequently from the series, category/class of debt, the same securities or based on the rating program are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued to support providers, this announcement provides certain regulatory disclosures with respect to credit rating actions on support providers and with respect to any specific credit rating actions for securities deriving their credit rating from support provider credit ratings. For provisional ratings, this announcement provides certain regulatory disclosures with respect to the provisional ratings granted, and with respect to the definitive ratings that may be assigned after the final issuance of the debt, in each case where the structure and terms of the transaction do not change prior to the assignment of the definitive ratings in a way that would affect ranking. For more information, please see the publisher/agreement page for each publisher at .

For any securities or affected rating entities that receive direct credit support from the primary entity(s) from this credit rating action, and whose ratings may change as a result of this credit rating action, the related regulatory disclosures will belong to the underwriting entity. Exceptions to this approach exist for the following disclosures, if applicable for jurisdictions: Support Services, Disclosures to rated entities, Disclosures from rated entities.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued without any changes resulting from the disclosure.

This rating is requested. Please see Moody’s Policy for Appointing and Assigning Unsolicited Credit Ratings available on its website .

The regulatory disclosures contained in this press release apply to credit ratings and, where applicable, related rating prospects or rating reviews.

Moody’s general principles for assessing environmental, social and governance (ESG) risk in our credit analysis can be found at /documents/PBC_1288235.

The Global Scale Credit Ratings in this Credit Rating Announcement are issued by a non-EU affiliate of Moody’s and endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, pursuant to Art.4 paragraph 3 of Regulation (EC) No. 1060/2009 concerning Credit Rating Agencies. Further information on the status of EU approvals and the Moody’s office that issues the credit rating is available at .

The Global Scale Credit Ratings in this Credit Rating Announcement are issued by one of Moody’s affiliates outside the United Kingdom and endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the laws applicable to credit rating agencies in the United Kingdom . Further information on the status of UK approvals and the Moody’s office that issues the credit rating is available at .

Moody’s SF Japan KK is a credit rating agency registered under the Financial Instrument and Exchange Act but not a Nationally Recognized Statistical Rating Organization (‘NRSRO’). Accordingly, the credit rating assigned by Moody’s SF Japan KK is an FSA Registered Credit Rating, but not an NRSRO Credit Rating.

Please look for any updates on changes to the major analyst ratings and Moody’s legal entities that have issued the ratings.

Please see the issuer/agreement page for additional regulatory disclosures for each credit rating.

Atsushi Karikomi
VP – Senior Credit Officer
Structured Finance Group
Moody’s SF Japan KK
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, my Minato
Tokyo, 105-6220
REPORTER: 81 3 5408 4220
Client Service: 81 3 5408 4210

Yusuke Seki
Deputy Managing Director
Structured Finance Group
REPORTER: 81 3 5408 4220
Client Service: 81 3 5408 4210

Release Office:
Moody’s SF Japan KK
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, my Minato
Tokyo, 105-6220
REPORTER: 81 3 5408 4220
Client Service: 81 3 5408 4210

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