RBC Dominion Securities Inc.
Altaf Nanji, CFA (Analyst)
(416) 842-6462
altaf.nanji@rbccm.com
Edward Martinez (Associate)
(416) 842-5165
edward.martinez@rbccm.com
Program
Ranking
Algonquin CCT
OP
Broadway CCT
SP
Canadian CCT
SP
CARDS II
SP
Eagle CCT
SP
Glacier CCT
SP
Gloucester CCT
OP
Golden CCT
SP
Master CCT
SP
Credit Card ABS Monitor
Has underwriting deteriorated?
Summary
We explore the question of why subordination levels for Schedule 1 bank
programs are under pressure.
• As we mentioned last month, with Schedule 1 bank programs registering loss rates that
exceed the historical range of 2.75%-3.75%, enhancement levels look thin, in our view.
Since then, Cards II entered into an agreement with CIBC to provide a new series of
“Enhancement Notes” to support its credit card ABS transactions (an increase in
subordination of 2.25% across the board – see our note dated July 23, “Cards II Trust –
Boosting Enhancement Levels”).
• Given that current loss rates are outside of the historical range of performance, a key
consideration is the nature of the performance deterioration. Our examination of changes in
certain pool characteristics dating back to 2005 shows that Schedule 1 bank credit card
programs have demonstrated an increased propensity to assume risk. This suggests
deteriorating performance metrics are due to structural, in addition to cyclical,
considerations.
Relative value looks very appealing
• Credit card ABS spreads have tightened since our last review; however, they have
underperformed deposit notes and, as such, the basis has widened. Senior tranches of
Schedule 1 bank card ABS now trade ~60bps back of similarly dated (~3-year) deposit
notes and non-bank sponsored paper continues to trade ~3.5x wider than bank deals
(Exhibit 4). Considering (1) the wide relative spread levels, (2) the quality of the underlying
assets and sponsors (two sponsors have already supported their programs this year) and (3)
the “plain vanilla” nature of the structures, we continue to like the risk-reward trade-off
offered by these securities.
• Within the card space, we continue to recommend deals from Algonquin Credit Card Trust
and Gloucester Credit Card Trust.
August 05, 2009
All values in Canadian dollars unless
otherwise noted.
Priced as of market close ET,
August 04, 2009 unless otherwise
noted.
For Required Conflicts Disclosures,
please see page 30.
Performance continues to be weighed down by macro factors
• Unemployment still rising. The Canadian unemployment rate hit 8.6% in June, up 20bps
over the May reading. With the employment picture projected to get worse before it gets
better, pressures on card portfolios are expected to remain elevated in the near term.
• Losses for the month of June were up for five of the nine programs we follow. For the
year, average losses are up across the board, with increases ranging from a low of 100bps to
a high of 330bps.
• Loss mitigation strategies should temper loss severities going forward. Looking ahead,
it is important to note that the program sponsors have ramped up loss mitigation strategies.
This should reduce loss severities.
• Delinquency rates improving. 30-day delinquency rates have been showing signs of
stabilization for the non-Schedule 1 bank deals since the start of the year.
• Payment rates are stabilizing. Payment rates in June were up for all of the deals we track,
which is encouraging, and which could be partly attributed to redoubled collection efforts.
However, we note that this metric can reflect a degree of seasonality given the impact of tax
refunds.
• Yields were up in June...likely due to higher revolving balances offsetting the closer
management of outstanding balances and lower purchase volumes. On average, yields for
most programs remain elevated as declining payment rates result in higher carrying
balances.
ABS Monitor
August 05, 2009
Table of Contents
Why Are Schedule 1 Bank Subordination Levels Under Pressure?........................................... 3
Banks have demonstrated an increased appetite for risk................................................................... 3
Relative Value ................................................................................................................................. 5
Credit card ABS looking very appealing .......................................................................................... 5
Performance Commentary............................................................................................................. 7
Navigating the challenging macro backdrop..................................................................................... 7
Appendix.......................................................................................................................................... 9
Canadian Credit Card Trust (National Bank of Canada) ................................................................ 11
CARDS II Trust (CIBC) ................................................................................................................. 13
Golden Credit Card Trust (Royal Bank of Canada)........................................................................ 15
Master Credit Card Trust (Bank of Montreal) ................................................................................ 17
Algonquin Credit Card Trust (Capital One).................................................................................... 19
Broadway Credit Card Trust (Citibank).......................................................................................... 21
Eagle Credit Card Trust (PC Bank) ................................................................................................ 23
Glacier Credit Card Trust (Canadian Tire Bank) ............................................................................ 25
Gloucester Credit Card Trust (B of A / MBNA)............................................................................. 27
Global Credit Research Team ..................................................................................................... 29
Required Disclosures .................................................................................................................... 30
Disclaimer....................................................................................................................................... 31
2 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Why Are Schedule 1 Bank Subordination Levels Under Pressure?
Banks have demonstrated an increased appetite for risk
Given that current loss rates are outside the historical range of performance, a key
consideration is the nature of the performance deterioration. A structural change in the
characteristics of the pool could necessitate supplemental enhancement or a negative credit
rating action.
•
As we mentioned last month, with Schedule 1 bank programs registering loss rates that
exceed the historical range of 2.75%-3.75%, enhancement levels look thin, in our view. Since
then, Cards II entered into an agreement with CIBC to provide a new series of “Enhancement
Notes” to support its credit card ABS transactions (an increase in subordination of 2.25%
across the board – see our note dated July 23, “Cards II Trust – Boosting Enhancement
Levels”).
•
In our view, if the elevated loss rates are determined to be largely a function of the severity of
the economic downturn, current subordination levels may prove sufficient. However, if the
deterioration is judged to be more structural in nature (i.e., if the credit characteristics of the
underlying pools have eroded as the propensity to assume risk has increased), supplemental
enhancement (or negative credit rating action) could be required.
Our examination of changes in certain pool characteristics dating back to 2005 shows that
Schedule 1 bank credit card programs have demonstrated an increased propensity to
assume risk. This suggests deteriorating performance metrics are due to structural, in
addition to cyclical, considerations.
•
By segmenting each pool’s portfolio stratification of account balances and credit limits into
tertiles, we determined that the Schedule 1 banks have been relatively more aggressive in
growing their books of business over the last 3+ years, which is reflected in increased credit
limits and higher account balances.
•
As demonstrated in Exhibit 1, accounts with balances in the top-third of the portfolio
stratification have increased 19%, 15% and 14% for Cards II, Golden and Master,
respectively. In dollar terms, the growth in accounts with balances of $10K+ has averaged
15.5% for these three Schedule 1 bank programs. In contrast, accounts with balances in the
top-third of the portfolio stratification for the non-Schedule 1 programs have averaged 8.7%,
with Algonquin actually registering a decline.
Exhibit 1: Growth in top-tertile account balances of Schedule 1 bank pools exceeds that of non-Schedule 1 banks
70%
90%
+14%
+9%
80%
60%
70%
+12%
50%
60%
% of Pool
% of Pool
+19%
40%
+15%
30%
50%
+9%
40%
+14%
30%
20%
20%
10%
-1%
10%
0%
0%
CARDS II
Bottom-third ('05 vs. '09)
Golden
Mid-third ('05 vs. '09)
Master
Top-third ('05 vs. '09)
Algonquin
Broadw ay
Eagle*
Bottom-third ('05 vs. '08)
Mid-third ('05 vs. '08)
Glacier
Gloucester
Top-third ('05 vs. '08)
Source: RBC CAPITAL MARKETS, Trust Reports; * Eagle CCT data represents ’06 vs. ’08.
•
Looking at the shifts in the portfolio composition by authorized credit limit tells a similar
story. As can be seen in Exhibit 2, Schedule 1 bank programs have seen top-third credit limits
grow by an average of 16.5% (+22%, +18% and +10% for Cards II, Golden and Master,
respectively). In contrast, credit limits for non-Schedule 1 programs have increased an
average of 12.5%, with Algonquin and Eagle registering very low levels of growth (-1% and
+7%, respectively).
Altaf Nanji, CFA 3
ABS Monitor
August 05, 2009
Exhibit 2: Growth in top-tertile account balances of Schedule 1 bank pools exceeds that of non-Schedule 1 banks
100%
80%
+17%
+10%
90%
70%
80%
+22%
60%
% of Pool
70%
+19%
+18%
60%
50%
50%
40%
40%
+21%
+7%
30%
30%
20%
-1%
20%
10%
10%
0%
0%
CARDS II
Golden
Bottom-third ('05 vs. '09)
Master
Mid-third ('05 vs. '09)
Algonquin
Broadw ay
Bottom-third ('05 vs. '08)
Top-third ('05 vs. '09)
Eagle*
Glacier
Mid-third ('05 vs. '08)
Gloucester
Top-third ('05 vs. '08)
Source: RBC CAPITAL MARKETS, Trust Reports; * Eagle CCT data represents ’06 vs. ’08
•
The bottom line is that with subordination levels geared to underlying portfolios that were
more conservative in their composition, the Schedule 1 bank pools may have undergone a
structural shift in risk appetite that could necessitate supplemental support. Although Cards II
appears to be the worst offender, with loss rates pushing subordination levels for Master,
Canadian and Golden (Exhibit 3), a course of action similar to that taken for Cards II is not
out of the realm of possibilities.
•
Further, investors should keep in mind that Moody’s is of the view that if losses were to
continue to rise at a rapid pace (not out of the realm of possibilities given the outlook for
unemployment), any meaningful drop in yields or payment rates could put pressure on ratings,
especially for the lower-rated subordinate tranches.
Exhibit 3: Loss rates for Schedule 1 bank deals are approaching subordination levels…excess spread remains robust
30%
30%
Outperform
25.3%
25%
25%
21.7%
20.3%
17.0%
20%
15.9%
15.1%
15%
9.6%
10%
Enhancement
Enhancement
20%
19.9%
18.9%
15%
10%
10.8%
8.5%
8.5%
5%
6.9%
4.0%
4.4%
Golden
Master
5%
6.2%
5.7%
0%
6.0%
0%
Subordination
XS Spread
CARDS
Loss Rate
CCCT
Total
Source: RBC CAPITAL MARKETS, Trust Reports. Data as at 30-May-09.
4 Altaf Nanji, CFA
Algonquin
Broadw ay
Subordination
Eagle
XS Spread
Gloucester
Loss Rate
Glacier
Total
August 05, 2009
ABS Monitor
Relative Value
Credit card ABS looking very appealing
Credit card ABS spreads have tightened since our last review; however they have
underperformed deposit notes and, as such, the basis has widened. Senior tranches of
Schedule 1 bank card ABS now trade ~60bps back of similarly dated (~3-year) deposit notes
and non-bank sponsored paper continues to trade ~3.5x wider than bank deals (Exhibit 4).
Considering (1) the wide relative spread levels, (2) the quality of the underlying assets and
sponsors (two sponsors have already supported their programs this year) and (3) the “plain
vanilla” nature of the structures, we continue to like the risk-reward trade-off offered by
these securities.
•
Since the last Credit Card ABS Monitor, deposit notes in the area of 3-years to maturity have
tightened approximately 40bps. Over that time frame, Schedule 1 bank ABS tightened
approximately 15bps. The basis, which previously stood at ~35bps, has now widened to
approximately 60bps.
•
The relative value story is even more compelling when viewed versus bank sub-debt, as
Schedule 1 bank card paper now trades 0-10bps back.
Exhibit 4: Schedule 1 bank deals trade 25-40bps back of deposit notes – non-bank deals trade much wider
600
BCCT 5.449% 6/17/2013
500
ALGONQ 4.562%
6/15/2012
bps
400
GCC 5.421% 4/15/2013
300
200
100
MCCT 5.297% 8/21/2012
0
May/07
Aug/07
Nov/07
Feb/08
May/08
Aug/08
Nov/08
Feb/09
May/09
Avg. Deposit Note
Source: RBC CAPITAL MARKETS, ADI
Within the card space, we continue to recommend deals from Algonquin Credit Card Trust
and Gloucester Credit Card Trust.
•
As per our rich/cheap analysis (Exhibit 5) introduced last month, Schedule 1 bank deals still
trade tight to the peer group but offer a low credit enhancement ratio. In contrast, deals from
Algonquin and Gloucester trade wide and offer a high credit enhancement ratio. While there
are several factors at play contributing to a spread basis, in our view a 300bp+ differential (in
some cases) seems inconsistent with the underlying credit realities.
Altaf Nanji, CFA 5
ABS Monitor
August 05, 2009
GCCT 06-1 (Mar-11)
GCCT 04-1 (May-14)
MSTCCT 06-1 (Nov-09)
MSTCCT 06-2 (Nov-11)
MSTCCT 08-2 (Aug-12)
Average Spread
MSTCCT 08-1 (May-13)
ALGONQ 05-1 (Oct-10)
ALGONQ 07-1 (Jun-12)
ALGONQ 06-1 (Jul-11)
GCCT 08-1 (May-13)
Good Value
CCCT 05-1 (Apr-10)
CCCT 08-1 (Mar-13)
GLCRTC 05-1 (Nov-10)
GLCRTC 06-1 (Nov-11)
Expensive
CCCT 05-2 (Apr-12)
GLCRTC 06-2 (May-14)
GLCRTC 04-1 (Nov-09)
GOLCCT 05-1 (Jun-10)
EAGCCT 06-1 (Mar-11)
GOLCCT 06-1 (Feb-11)
100
GOLCCT 08-2 (Apr-13)
200
CARDS 05-4 (Oct-10)
CARDS 04-1 (Oct-09)
Spread (bps)
300
GLCRTC 08-1 (Feb-13)
Fair Value
400
GOLCCT 08-1 (Apr-11)
500
Average Enhancement Ratio
BCCTR 04-2 (Mar-14)
600
BCCTR 08-1 (Jun-11)
BCCTR 08-2 (Jun-13)
Exhibit 5: The ratio of enhancement to loss rates suggest non-Schedule 1 bank deals offer good value
Fair Value
4.43
4.32
4.10
3.55
3.43
2.96
2.71
2.59
2.57
2.52
2.29
2.20
1.69
1.42
1.00
0
Enhanc ement / Loss Rate (x)
Interpreting the chart: To present credit enhancement levels in context of the credit quality of the underlying pool, we display the total
enhancement (i.e., subordination and excess spread) as a multiple of the pool’s loss rate (the “credit enhancement ratio”). Accordingly,
deals in the lower left quadrant of the chart could be characterized as expensive (as they offer a low enhancement ratio but trade tight)
whereas deals in the upper right quadrant look to offer value (a high enhancement ratio and wide trading levels).
Source: RBC Capital Markets
6 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Performance Commentary
Navigating the challenging macro backdrop
The Canadian unemployment rate ticked up 20bps in June to 8.6%, providing another
reminder that pressures on card portfolios are likely to continue in the near-to-medium
term.
•
The outlook for pool performance remains soggy given the weak prospects for the economy.
RBC Economics continues to forecast Canadian unemployment peaking at a rate of 9.2% in
Q4/09 and Q1/10, then falling to 8.8% in Q4/10.
•
Since bottoming at 5.8% in November 2007, the unemployment rate has increased by 280bps
and the average loss rate on the Canadian credit card pools has increased 230bps. Given the
tight relationship, another 60bp increase in the unemployment rate could translate into a
commensurate increase in pool loss rates.
Looking ahead, while increasing levels of unemployment should pressure loss rates further,
it is important to note that the program sponsors have ramped up loss mitigation strategies.
This should reduce loss severities.
•
Program sponsors have amplified their loss mitigation strategies as the economic backdrop
has soured. Efforts include cancelling inactive cards (which carry the risk of only being used
when a cardholder is in financial difficulty), cutting spending limits (for customers with faulty
payment histories), employing tighter underwriting standards for new accounts and
maintaining a heightened sensitivity to collections management.
•
We think the efforts outlined above should, in turn, mitigate the rate of increase in losses as
the employment situation deteriorates.
Credit deterioration looks set to continue
Losses for the month of June were up for five of the nine programs we follow. For the year,
average losses are up across the board, with increases ranging from a low of 100bps to a high
of 330bps.
•
For the month of June, losses were up for all programs except Broadway, Cards II, Eagle and
Golden (see Deal Summaries for individual program performance detail).
•
Average losses for all deals are up approximately 1.7% over year-end 2008 average losses. At
current levels, YTD 2009 average losses represent multi-year highs (Exhibit 6).
Exhibit 6: YTD 2009 average losses at multi-year highs
1999
2000
2001
2002
2003
2004
CapOne - Algonquin
-
-
-
-
-
-
Citi - Broadway
-
-
-
-
-
PC Bank - Eagle
-
-
M BNA - Gloucester
-
CanTire - Glacier
3.2%
6.0%
3.6%
2005
2006
2007
2008
4.9%
4.5%
4.5%
4.8%
6.8%
5.4%
4.8%
4.9%
6.7%
10.0%
3.5%
-
-
-
Y TD '09
3.1%
3.2%
4.1%
6.6%
3.9%
4.2%
4.4%
4.7%
4.4%
4.4%
4.0%
5.1%
7.5%
5.8%
4.7%
5.1%
5.8%
5.6%
6.1%
6.1%
5.7%
6.5%
RBC - Golden
-
1.3%
1.7%
1.7%
1.7%
1.6%
2.0%
2.3%
2.3%
2.5%
3.6%
BM O - M aster
-
1.9%
2.4%
2.2%
2.2%
2.1%
2.0%
1.9%
2.2%
2.6%
3.7%
3.1%
3.3%
3.5%
3.6%
3.6%
3.4%
3.3%
3.7%
6.1%
2.9%
3.3%
3.3%
3.5%
3.7%
3.7%
4.2%
5.3%
CIBC - CARDS
-
-
National - CCCT
-
-
-
Source: RBC Capital Markets, Trust Reports, DBRS
•
30-day delinquency rates have been showing signs of stabilization for the non-Schedule 1
bank deals since the start of the year (Exhibit 7), despite a blip for Algonquin. However, the
trend for Schedule 1 bank deals was mixed, with CCCT and Golden reporting increases in
delinquencies. With the macro environment souring and with unemployment spiking, the
improved delinquency trends are likely a result of seasonality and a heightened sensitivity to
receivables management, collections and underwriting.
Altaf Nanji, CFA 7
ABS Monitor
August 05, 2009
Exhibit 7: 30-day delinquency rates
Signs of stabilization in non-Schedule 1 deals, while Golden & CCCT disappoint
1.4%
2.8%
2.3%
1.2%
1.8%
1.0%
1.3%
0.8%
0.8%
Jan-09
Feb-09
Mar-09
CCCT
Apr-09
Cards I I
May-09
Golden
Jun-09
Jan-09
Master
Feb-09
Algonquin
Mar-09
Broadway
Apr-09
Eagle
May-09
Glacier
Jun-09
Gloucester
Source: RBC Capital Markets, Trust Reports
Payment rates in June were up for all the deals we track, which is encouraging, and which
could be partly attributed to redoubled collection efforts. However, we note that this metric
can reflect a degree of seasonality given the impact of tax refunds.
• In contrast to the May data (which were a real mixed bag), payment rates were up across the
board in June. While the June performance is encouraging, we note that seasonality may be a
key underlying driver of the sequential improvement.
• Looking at averages for the year, we note that payment rates are down for all deals with
Master CCT down the most, at -3.9% (though still a 50bp sequential improvement). That said,
Master CCT continues to report the fourth-highest payment rates of the group (Exhibit 8).
Exhibit 8: Average payment rates still low
1999
2000
2001
2002
2003
2004
2005
CapOne - Algonquin
-
-
-
-
-
-
-
2006
2007
2008
9.0%
9.8%
9.8%
Citi - Broadway
-
-
-
-
-
14.6%
PC Bank - Eagle
-
-
-
-
-
M BNA - Gloucester
-
12.8%
12.9%
13.7%
13.1%
CanTire - Glacier
22.3%
21.2%
23.1%
21.5%
22.6%
RBC - Golden
46.1%
42.4%
39.0%
38.9%
BM O - M aster
-
37.9%
38.7%
39.2%
CIBC - CARDS
40.0%
39.1%
39.4%
National - CCCT
29.9%
30.3%
27.5%
Y TD '09
9.2%
15.8%
17.5%
16.9%
17.0%
15.4%
-
-
43.8%
42.9%
42.9%
42.0%
13.9%
14.7%
15.0%
15.1%
14.2%
12.6%
23.4%
23.5%
27.8%
25.0%
25.8%
24.6%
38.4%
38.7%
39.4%
36.7%
37.2%
37.5%
35.5%
39.2%
40.6%
41.9%
41.6%
41.6%
39.1%
35.2%
42.0%
41.5%
43.0%
43.7%
42.7%
41.5%
39.4%
36.2%
26.2%
27.4%
26.5%
24.8%
24.2%
24.9%
28.9%
28.3%
Source: RBC Capital Markets, Trust Reports, DBRS
Yields were up for every deal bar Eagle CCT in June. On average, yields for most programs
remain elevated as declining payment rates result in higher carrying balances (Exhibit 9).
• Schedule 1 bank programs all registered higher yields in June, on average up 14bps for the
group (standout: Cards II +24bps) over May, while non-bank deals, on average, saw yields
rise 7bps sequentially (standout: Broadway +20bps).
•
8 Altaf Nanji, CFA
Increasing yields against a backdrop of higher payment rates, while somewhat of an anomaly,
will occur from time to time as revolving balances continue to grow in the current
environment.
August 05, 2009
ABS Monitor
Exhibit 9: Yields generally increase as payment rates decline
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
Y TD '09
CapOne - Algonquin
-
-
-
-
-
-
19.0%
19.4%
20.1%
20.6%
20.2%
Citi - Broadway
-
-
-
-
-
17.3%
17.5%
17.8%
17.8%
19.6%
20.6%
PC Bank - Eagle
-
-
-
-
-
-
-
17.7%
18.4%
20.6%
22.9%
M BNA - Gloucester
-
14.8%
15.7%
15.1%
17.6%
19.2%
20.3%
22.3%
19.7%
18.2%
17.2%
CanTire - Glacier
22.3%
20.6%
20.8%
17.6%
17.5%
16.8%
16.6%
18.6%
18.5%
19.9%
20.6%
13.6%
RBC - Golden
-
14.2%
13.6%
13.3%
13.2%
12.9%
13.1%
13.7%
13.6%
13.4%
BM O - M aster
-
15.2%
15.6%
16.8%
18.8%
18.8%
19.5%
20.4%
21.3%
21.5%
21.9%
CIBC - CARDS
-
-
16.7%
16.8%
16.9%
17.4%
17.1%
17.0%
17.1%
17.2%
17.8%
National - CCCT
-
19.2%
19.5%
19.3%
18.9%
18.9%
18.5%
18.6%
19.2%
19.7%
20.6%
Source: RBC Capital Markets, Trust Reports, DBRS
Altaf Nanji, CFA 9
ABS Monitor
August 05, 2009
Appendix
10 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Canadian Credit Card Trust (National Bank of Canada)
Exhibit 10: Deal Summary
Total
Series
Class
2005-1
A
Amount
Coupon
425,250,000
4.143
Maturity Subordination
26-Apr-10
Excess Spread Enhancement
5.50%
10.17%
15.67%
B
12,375,000
4.463
26-Apr-10
2.75%
10.17%
12.92%
C
12,375,000
4.813
26-Apr-10
0.00%
10.17%
10.17%
Amount
Coupon
330,750,000
4.513
Total
Series
Class
2005-2
A
Maturity Subordination
24-Apr-12
Excess Spread Enhancement
5.50%
9.79%
15.29%
B
9,625,000
4.863
24-Apr-12
2.75%
9.79%
12.54%
C
9,625,000
5.263
24-Apr-12
0.00%
9.79%
9.79%
Amount
Coupon
400,000,000
5.365
Total
Series
Class
2008-1
A
Maturity Subordination
25-M ar-13
Excess Spread Enhancement
5.50%
8.88%
14.38%
B
11,641,000
6.365
25-M ar-13
2.75%
8.88%
11.63%
C
11,641,000
7.914
25-M ar-13
0.00%
8.88%
8.88%
Excess Spread
2005-2
10.73%
10.99%
10.93%
11.14%
10.73%
10.56%
9.96%
10.33%
10.11%
10.09%
9.58%
9.79%
2008-1
9.15%
10.07%
10.01%
10.22%
9.81%
9.65%
9.04%
9.41%
9.19%
9.18%
8.66%
8.88%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 11: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-M ar-09
1-Apr-09
1-M ay-09
1-Jun-09
Yield Payment Rate
19.98%
32.88%
19.37%
27.21%
20.43%
30.99%
19.48%
31.21%
20.54%
26.38%
19.25%
31.17%
19.81%
28.79%
21.99%
28.36%
19.47%
27.81%
20.59%
27.14%
20.20%
28.56%
21.61%
29.29%
Loss Rate
3.81%
3.90%
3.74%
4.69%
5.13%
4.82%
4.07%
6.10%
5.09%
5.79%
5.22%
5.70%
30-59
0.86%
0.89%
0.94%
0.92%
1.03%
1.03%
1.19%
1.14%
1.15%
1.10%
1.08%
1.15%
Delinquencies
60-89
0.40%
0.41%
0.43%
0.42%
0.49%
0.49%
0.58%
0.58%
0.53%
0.47%
0.52%
0.52%
90+
0.66%
0.67%
0.70%
0.71%
0.72%
0.74%
0.84%
0.85%
0.86%
0.84%
0.83%
0.82%
2005-1
11.10%
11.37%
11.30%
11.51%
11.10%
10.94%
10.34%
10.70%
10.48%
10.47%
9.95%
10.17%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 11
ABS Monitor
August 05, 2009
Exhibit 12: Canadian CCT Performance Trends
Y ield
Pay me nt Rate
22%
32%
21%
%
%
20%
30%
28%
26%
19%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-08
Apr-09
Jul-08
Oct-08
Jan-09
Apr-09
Delinque nc ie s
Lo ss Rate
7%
1.3%
1.1%
6%
%
%
0.9%
0.7%
5%
0.5%
4%
0.3%
Apr-08
3%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-08
Oct-08
30-59
Jan-09
60-89
Apr-09
90+
Source: RBC Capital Markets Research
Sector Perform
We rank Canadian CCT at Sector Perform as positive attributes (i.e., healthy yields that are among the highest in the peer
group and payment rates that remain strong and have demonstrated stability) are offset by the fact that loss rates are
approaching senior-tranche subordination levels and spreads trade well through non-Schedule 1 bank programs.
12 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Cards II Trust (CIBC)
Exhibit 13: Deal Summary
Total
Series
Class
2004-1
A
Amount
Coupon
600,000,000
4.379
Maturity Subordination
15-Oct-09
5.00%
Excess Spread Enhancement
2.62%
7.62%
B
12,631,579
4.699
15-Oct-09
3.00%
2.62%
5.62%
C
18,947,369
4.699
15-Oct-09
0.00%
2.62%
2.62%
Amount
Coupon
Total
Maturity Subordination
Excess Spread Enhancement
Series
Class
2004-3
A
500,000,000
Floating
15-Oct-09
8.00%
6.23%
14.23%
B
21,739,131
Floating
15-Oct-09
4.00%
6.23%
10.23%
C
21,739,131
Floating
15-Oct-09
0.00%
6.23%
6.23%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2005-1
A
500,000,000
Floating
22-M ar-10
10.25%
8.39%
B
21,739,131
Floating
22-M ar-10
6.25%
8.39%
14.64%
C
21,739,131
Floating
22-M ar-10
2.25%
8.39%
10.64%
18.64%
Total
Maturity Subordination
Excess Spread Enhancement
Series
Class
Amount
Coupon
2005-2
A
400,000,000
Floating
20-Sep-12
10.25%
8.39%
B
17,391,305
Floating
20-Sep-12
6.25%
8.39%
14.64%
C
17,391,305
Floating
20-Sep-12
2.25%
8.39%
10.64%
18.64%
Total
Maturity Subordination
Excess Spread Enhancement
Series
Class
Amount
Coupon
2005-3
A
200,000,000
Floating
23-Sep-10
10.25%
8.41%
B
8,695,653
Floating
23-Sep-10
6.25%
8.41%
14.66%
C
8,695,653
Floating
23-Sep-10
2.25%
8.41%
10.66%
18.66%
Total
Maturity Subordination
Excess Spread Enhancement
Series
Class
Amount
Coupon
2005-4
A
750,500,000
3.89%
15-Oct-10
7.25%
5.17%
12.42%
B
15,800,000
4.06%
15-Oct-10
5.25%
5.17%
10.42%
C
23,700,000
4.31%
15-Oct-10
2.25%
5.17%
7.42%
Amount
Coupon
Total
Maturity Subordination
Excess Spread Enhancement
Series
Class
2006-1
A
250,000,000
Floating
20-M ar-13
10.25%
8.39%
B
10,869,566
Floating
20-M ar-13
6.25%
8.39%
14.64%
C
10,869,566
Floating
20-M ar-13
2.25%
8.39%
10.64%
Amount
Coupon
18.64%
Total
Maturity Subordination
Excess Spread Enhancement
Series
Class
2006-2
A
100,000,000
Floating
20-Jun-13
10.25%
8.42%
B
4,347,827
Floating
20-Jun-13
6.25%
8.42%
14.67%
C
4,347,827
Floating
20-Jun-13
2.25%
8.42%
10.67%
18.67%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 13
ABS Monitor
August 05, 2009
Exhibit 14: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-M ar-09
1-Apr-09
1-M ay-09
1-Jun-09
Yield Payment Rate
16.95%
42.24%
16.89%
37.16%
17.16%
40.80%
17.22%
40.60%
17.09%
35.57%
17.02%
41.57%
17.29%
36.43%
17.96%
32.44%
17.82%
38.11%
18.17%
34.78%
16.88%
35.72%
18.90%
39.61%
Loss Rate
3.67%
3.83%
3.82%
3.89%
4.29%
4.64%
5.28%
5.27%
5.56%
6.27%
7.28%
6.85%
31-60
0.84%
1.01%
0.90%
0.93%
1.05%
1.14%
1.26%
1.16%
1.11%
1.12%
1.02%
0.95%
Delinquencies
61-90
0.47%
0.46%
0.53%
0.51%
0.54%
0.59%
0.67%
0.76%
0.70%
0.69%
0.68%
0.62%
90+
0.84%
0.87%
0.90%
0.99%
1.03%
1.07%
1.17%
1.28%
1.39%
1.42%
1.39%
1.34%
2004-1
6.76%
6.67%
6.78%
6.81%
6.64%
6.39%
6.01%
5.82%
5.83%
5.09%
3.67%
2.62%
2004-3
7.50%
7.51%
7.72%
7.76%
7.60%
7.37%
7.40%
7.89%
8.67%
8.30%
7.30%
6.23%
2005-1
7.81%
7.79%
7.92%
7.97%
7.89%
8.02%
8.23%
8.55%
8.98%
8.98%
8.48%
8.39%
Excess Spread
2005-2
2005-3
7.81%
7.83%
7.79%
7.81%
7.91%
7.94%
7.96%
7.99%
7.89%
7.91%
8.01%
8.04%
8.22%
8.25%
8.55%
8.57%
8.97%
9.00%
8.97%
9.00%
8.48%
8.50%
8.39%
8.41%
2005-4
7.28%
7.19%
7.30%
7.33%
7.16%
6.92%
6.53%
6.33%
6.33%
6.12%
5.36%
5.17%
2006-1
7.81%
7.79%
7.92%
7.97%
7.89%
8.02%
8.23%
8.55%
8.98%
8.98%
8.49%
8.39%
2006-2
7.84%
7.82%
7.95%
8.00%
7.92%
8.05%
8.26%
8.58%
9.01%
9.01%
8.52%
8.42%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 15: Cards II Performance Trends
Pay me nt Rate
Y ie ld
19.0%
42%
18.5%
%
40%
18.0%
%
38%
17.5%
36%
17.0%
34%
32%
16.5%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-08
Apr-09
Jul-08
Lo ss Rate
Jan-09
Apr-09
Delinque nc ies
1.5%
8%
1.3%
7%
%
Oct-08
%
6%
1.0%
0.8%
5%
0.5%
4%
0.3%
Apr-08
3%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-08
Oct-08
31-60
Jan-09
61-90
Apr-09
90+
Source: RBC Capital Markets Research
Sector Perform
While the supplemental credit enhancement is well received, we continue to rank Cards II at Sector Perform as notes
continue to trade tight relative the credit enhancement offered. As such, we believe current trading levels represent fair value
and we maintain our Sector Perform ranking.
14 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Golden Credit Card Trust (Royal Bank of Canada)
Exhibit 16: Deal Summary
Series
Class
1999-3
Senior
Subordinated
Subordination
Total
Amount
Coupon
Maturity
/ OC
Excess Spread Enhancement
237,500,000
6.190%
15-Jul-09
5.0%
0.00%
5.00%
12,500,000
7.350%
15-Jul-09
0.0%
0.00%
0.00%
Amount
Coupon
Total
Series
Class
2005-1
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
1,146,000,000
4.047%
15-Jun-10
4.5%
5.81%
10.31%
54,000,000
4.567%
15-Jun-10
0.0%
5.81%
5.81%
Amount
Coupon
Total
Series
Class
2006-1
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
1,146,000,000
4.254%
15-Feb-11
4.5%
5.62%
10.12%
54,000,000
4.734%
15-Feb-11
0.0%
5.62%
5.62%
Amount
Coupon
Total
Series
Class
2008-1
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
500,000,000
5.110%
15-Apr-11
4.5%
4.67%
9.17%
23,561,000
6.860%
15-Apr-11
0.0%
4.67%
4.67%
Amount
Coupon
Total
Series
Class
2008-2
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
500,000,000
5.420%
15-Apr-13
4.5%
4.31%
8.81%
23,561,000
7.420%
15-Apr-13
0.0%
4.31%
4.31%
Total
Series
Class
2008-3
Senior
Subordinated
Amount
Coupon
Maturity Subordination
400,000,000
Floating
15-Jul-11
4.5%
Excess Spread Enhancement
4.92%
9.46%
19,020,526
6.300%
15-Jul-11
0.0%
4.92%
4.92%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 17: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-M ar-09
1-Apr-09
1-M ay-09
1-Jun-09
Yield Payment Rate
13.65%
39.88%
12.82%
36.28%
13.81%
38.63%
13.87%
39.70%
12.81%
35.14%
14.18%
40.76%
13.11%
35.31%
12.41%
31.93%
15.19%
37.29%
13.47%
34.92%
13.44%
36.39%
13.96%
37.24%
Loss Rate
2.42%
2.11%
2.52%
2.95%
2.94%
2.70%
3.06%
2.73%
3.98%
3.68%
4.08%
4.00%
31-60
0.76%
0.82%
0.84%
0.87%
0.83%
0.92%
1.11%
1.10%
0.99%
0.98%
0.91%
1.02%
Delinquencies
61-90
0.44%
0.45%
0.47%
0.45%
0.51%
0.50%
0.58%
0.67%
0.64%
0.57%
0.61%
0.54%
91+
0.58%
0.64%
0.66%
0.69%
0.69%
0.74%
0.79%
0.87%
0.90%
0.93%
0.92%
0.90%
1999-3
4.67%
4.62%
4.82%
4.72%
4.44%
4.50%
4.45%
4.39%
3.61%
1.53%
-1.54%
0.00%
2005-1
6.78%
6.73%
6.93%
6.83%
6.55%
6.61%
6.32%
6.25%
6.16%
6.07%
5.96%
5.81%
Excess Spread
2006-1
2008-1
6.59%
5.61%
6.54%
5.55%
6.75%
5.76%
6.65%
5.65%
6.37%
5.37%
6.43%
5.44%
6.13%
5.15%
6.07%
5.10%
5.98%
5.03%
5.89%
4.94%
5.78%
4.83%
5.62%
4.67%
2008-2
5.22%
5.17%
5.37%
5.27%
4.99%
5.06%
4.78%
4.73%
4.66%
4.57%
4.46%
4.31%
2008-3
6.20%
5.67%
6.03%
5.89%
5.58%
5.58%
5.31%
5.29%
5.27%
5.18%
5.07%
4.92%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 15
ABS Monitor
August 05, 2009
Exhibit 18: Golden CCT Performance Trends
Y ield
Pay ment Rate
16%
42%
40%
15%
38%
%
%
14%
36%
34%
13%
32%
12%
30%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
Oct-08
Jan-09
Apr-09
Delinque nc ies
1.2%
4.5%
4.0%
0.9%
3.5%
%
%
0.6%
3.0%
2.5%
0.3%
Apr-08
2.0%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-08
Oct-08
31-60
Jan-09
61-90
Apr-09
91+
Source: RBC Capital Markets Research
Sector Perform
Our Sector Perform is based on spreads fully reflecting the solid underlying credit metrics and potential for better value in
other programs. Loss rates, while increasing, are among the lowest in the peer group and payment rates are among the highest
in the peer group. While pool performance has been relatively strong on an absolute basis, subordination levels are thin, in
our view, as loss rates are approaching senior-tranche subordination levels. With spreads trading well through non-Schedule
1 bank programs, we think non-Schedule 1 bank programs may offer better value.
16 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Master Credit Card Trust (Bank of Montreal)
Exhibit 19: Deal Summary
Series
Class
2006-1
Subordination
Total
/ OC
Excess Spread Enhancement
Amount
Coupon
Maturity
A
238,750,000
4.380%
21-Nov-09
4.5%
12.99%
17.49%
B
5,625,000
4.480%
21-Nov-09
2.25%
12.99%
15.24%
C
5,625,000
4.580%
21-Nov-09
0.0%
12.99%
12.99%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2006-2
A
955,000,000
4.444%
21-Nov-11
4.5%
12.92%
17.42%
B
22,500,000
4.594%
21-Nov-11
2.25%
12.92%
15.17%
C
22,500,000
4.744%
21-Nov-11
0.0%
12.92%
12.92%
Total
Series
Class
Amount
Coupon
2008-1
A
525,000,000
5.240%
21-M ay-13
Maturity Subordination
4.5%
Excess Spread Enhancement
12.08%
16.58%
B
12,370,000
6.240%
21-M ay-13
2.25%
12.08%
14.33%
C
12,370,000
7.240%
21-M ay-13
0.0%
12.08%
12.08%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2008-2
A
1,000,000,000
5.30%
21-Aug-12
4.5%
12.02%
16.52%
B
23,565,000
6.30%
21-Aug-12
2.25%
12.02%
14.27%
C
23,565,000
7.30%
21-Aug-12
0.0%
12.02%
12.02%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 20: 12-Month Pool Performance
Month
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-Mar-09
1-Apr-09
1-May-09
1-Jun-09
Yield Payment Rate
21.99%
42.37%
21.49%
37.61%
21.78%
40.02%
21.61%
40.56%
21.69%
33.98%
22.80%
40.17%
21.42%
35.59%
21.96%
31.00%
22.55%
36.76%
22.02%
35.03%
21.66%
34.96%
21.83%
37.86%
Loss Rate
2.66%
2.88%
2.88%
2.61%
2.67%
2.76%
2.98%
3.51%
3.67%
3.73%
4.09%
4.44%
30-59
1.02%
1.15%
1.13%
0.99%
1.11%
1.20%
1.24%
1.22%
1.14%
1.18%
1.18%
1.13%
Delinquencies
60-89
0.45%
0.46%
0.51%
0.47%
0.48%
0.52%
0.61%
0.68%
0.64%
0.62%
0.62%
0.62%
90+
0.71%
0.73%
0.76%
0.80%
0.85%
0.90%
0.98%
1.06%
1.15%
1.18%
1.18%
1.20%
Excess Spread
2006-1
14.93%
14.21%
14.50%
14.60%
14.62%
15.64%
14.04%
14.05%
14.48%
13.89%
13.17%
12.99%
2006-2
14.86%
14.14%
14.43%
14.54%
14.56%
15.74%
13.98%
13.99%
14.42%
13.82%
13.11%
12.92%
2008-1
14.01%
13.29%
13.58%
13.69%
13.71%
14.73%
13.13%
13.14%
13.57%
12.98%
12.26%
12.08%
2008-2
13.96%
13.24%
13.52%
13.63%
13.65%
14.67%
13.07%
13.08%
13.51%
12.92%
12.20%
12.02%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 17
ABS Monitor
August 05, 2009
Exhibit 21: Master CCT Performance Trends
Y ield
Pay ment Rate
23%
45%
40%
22%
%
%
21%
35%
20%
30%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
Oct-08
Jan-09
Apr-09
Delinque nc ie s
4.5%
1.3%
4.0%
1.0%
%
3.5%
%
0.7%
3.0%
2.5%
0.4%
2.0%
Apr-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-08
Oct-08
30-59
Jan-09
60-89
Apr-09
90+
Source: RBC Capital Markets Research
Sector Perform
We maintain our Sector Perform ranking following the same logic as for Golden. Our ranking is a function of spreads fully
reflecting the solid underlying credit metrics. Loss rates, while increasing, are among the lowest in the peer group and
payment rates are among the highest in the peer group. While pool performance has been relatively strong on an absolute
basis, subordination levels are thin, in our view, as loss rates are approaching senior-tranche subordination levels. With
spreads trading well through non-Schedule 1 bank programs, we think non-Schedule 1 bank programs may offer better value.
18 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Algonquin Credit Card Trust (Capital One)
Exhibit 22: Deal Summary
Total
Series
2005-1
Class
A
Amount
Coupon
397,500,000
3.890
Maturity Subordination
Excess Spread Enhancement
15-Oct-10
20.5%
5.25%
25.75%
B
50,000,000
4.449
15-Oct-10
10.5%
5.25%
15.75%
C
52,500,000
4.779
15-Oct-10
0.0%
5.25%
5.25%
Amount
Coupon
397,500,000
4.889
Total
Series
2006-1
Class
A
Maturity Subordination
Excess Spread Enhancement
15-Jul-11
20.5%
4.40%
24.90%
B
50,000,000
5.158
15-Jul-11
10.5%
4.40%
14.90%
C
52,500,000
5.459
15-Jul-11
0.0%
4.40%
4.40%
Amount
Coupon
397,500,000
4.562
Total
Series
2007-1
Class
A
Maturity Subordination
Excess Spread Enhancement
15-Jun-12
20.5%
4.73%
25.23%
B
50,000,000
4.792
15-Jun-12
10.5%
4.73%
15.23%
C
52,500,000
5.092
15-Jun-12
0.0%
4.73%
4.73%
Excess Spread
2006-1
8.49%
8.60%
8.50%
8.21%
8.28%
7.98%
7.53%
7.20%
6.58%
5.89%
4.72%
4.40%
2007-1
8.81%
8.93%
8.82%
8.55%
8.62%
8.32%
7.86%
7.54%
6.92%
6.24%
5.05%
4.73%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 23: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-M ar-09
1-Apr-09
1-M ay-09
1-Jun-09
Yield Payment Rate
19.96%
10.50%
19.77%
9.19%
20.27%
9.72%
21.06%
9.95%
21.87%
9.87%
20.46%
9.26%
19.73%
8.63%
21.98%
7.97%
19.79%
9.83%
20.31%
9.31%
19.27%
8.92%
20.09%
10.42%
Loss Rate
4.20%
4.50%
4.80%
4.82%
5.11%
5.28%
5.42%
5.77%
6.30%
7.53%
7.35%
8.48%
30-59
1.65%
1.76%
1.80%
1.78%
1.85%
1.91%
1.91%
2.02%
1.85%
1.98%
2.52%
2.16%
Delinquencies
60-89
0.87%
0.92%
0.93%
0.98%
0.96%
1.02%
1.09%
1.11%
1.08%
1.07%
1.16%
1.37%
90+
1.67%
1.73%
1.75%
1.81%
1.81%
1.88%
2.03%
2.18%
2.21%
2.26%
2.31%
2.32%
2005-1
9.31%
9.44%
9.36%
9.08%
9.14%
8.82%
8.36%
8.07%
7.45%
6.78%
5.57%
5.25%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 19
ABS Monitor
August 05, 2009
Exhibit 24: Algonquin CCT Performance Trends
Y ie ld
Pay me nt Rate
11%
22%
21%
10%
%
%
9%
20%
19%
8%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
3.0%
8%
2.5%
%
1.5%
5%
1.0%
4%
0.5%
Apr-08
3%
Jul-08
Oct-08
Apr-09
2.0%
6%
Apr-08
Jan-09
Delinque nc ies
9%
7%
%
Oct-08
Jan-09
Apr-09
Jul-08
Oct-08
30-59
Jan-09
60-89
Apr-09
90+
Source: RBC Capital Markets Research
Outperform
With (1) spreads trading ~300bps back of Schedule 1 bank programs, (2) substantial subordination levels (20.5%) providing
ample overall credit enhancement at the senior level, (3) the program exhibiting stable underwriting trends, and (4) yields
demonstrating some resilience, we think Algonquin offers a good risk reward trade-off for investors. As such, we rank
Algonquin CCT at Outperform. While payment rates are low, they have held relatively steady (which is key). On the
downside, we note that liquidity may not match that of Schedule 1 bank deals.
20 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Broadway Credit Card Trust (Citibank)
Exhibit 25: Deal Summary
Total
Series
Class
2004-2
A
Amount
Coupon
350,000,000
4.804
Maturity Subordination
Excess Spread Enhancement
17-M ar-14
18.50%
3.12%
21.62%
B
31,818,182
5.434
17-M ar-14
10.50%
3.12%
13.62%
C
15,909,091
5.884
17-M ar-14
6.50%
3.12%
9.62%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2008-1
A
525,000,000
5.234
17-Jun-11
15.50%
2.75%
18.25%
B
29,167,000
6.084
17-Jun-11
10.50%
2.75%
13.25%
C
29,167,000
7.143
17-Jun-11
5.50%
2.75%
8.25%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2008-2
A
250,000,000
5.449
17-Jun-13
15.50%
2.52%
18.02%
B
13,889,000
6.439
17-Jun-13
10.50%
2.52%
13.02%
C
13,889,000
7.659
17-Jun-13
5.50%
2.52%
8.02%
Total
Series
Class
Amount
Coupon
2008-3
A
500,000,000
Floating
18-Oct-10
Maturity Subordination
18.50%
Excess Spread Enhancement
4.88%
23.38%
B
34,091,000
Floating
18-Oct-10
12.50%
4.88%
17.38%
C
34,091,000
Floating
18-Oct-10
6.50%
4.88%
11.38%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 26: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-Mar-09
1-Apr-09
1-M ay-09
1-Jun-09
Yield Payment Rate
18.88%
18.17%
20.81%
16.87%
20.61%
16.54%
19.98%
18.45%
20.34%
15.79%
20.98%
15.85%
19.51%
16.36%
21.77%
14.27%
21.14%
15.41%
19.02%
15.51%
20.79%
14.92%
21.35%
15.94%
Loss Rate
5.55%
6.94%
6.84%
6.82%
7.86%
8.61%
7.90%
10.56%
10.16%
9.69%
10.98%
10.77%
30-59
1.43%
1.59%
1.84%
1.68%
1.68%
1.72%
1.74%
1.88%
2.09%
2.04%
1.87%
1.89%
Delinquencies
60-89
0.83%
0.89%
0.94%
1.05%
1.00%
1.05%
1.09%
1.13%
1.21%
1.27%
1.29%
1.24%
90+
1.58%
1.64%
1.71%
1.82%
1.97%
2.03%
2.16%
2.26%
2.37%
2.45%
2.49%
2.60%
2004-2
6.19%
6.80%
7.09%
6.98%
6.43%
5.87%
5.47%
4.99%
4.55%
3.61%
3.31%
3.12%
Excess Spread
2008-1
2008-2
7.63%
7.41%
7.04%
6.83%
6.82%
6.60%
6.43%
6.20%
5.92%
5.69%
5.51%
5.29%
5.07%
4.84%
4.55%
4.32%
3.98%
3.73%
3.09%
2.85%
2.63%
2.61%
2.75%
2.52%
2008-3
7.08%
5.90%
5.80%
5.58%
5.77%
5.77%
5.14%
4.90%
4.88%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 21
ABS Monitor
August 05, 2009
Exhibit 27: Broadway CCT Performance Trends
Pay ment Rate
Y ie ld
%
22%
19%
21%
18%
20%
%
17%
19%
16%
18%
15%
17%
14%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
3.0%
10%
2.5%
%
1.5%
7%
1.0%
6%
0.5%
Apr-08
5%
Jul-08
Oct-08
Apr-09
2.0%
8%
Apr-08
Jan-09
Delinque nc ie s
11%
9%
%
Oct-08
Jan-09
Apr-09
Jul-08
O ct-08
30-59
Jan-09
60-89
Apr-09
90+
Source: RBC Capital Markets Research
Sector Perform
Broadway seems to be reporting credit metrics at the weak end of the performance spectrum, so we maintain our Sector
Perform rating. Specifically, we note: (1) loss rates are among the highest in the peer group; (2) delinquencies are exhibiting
less positive trends relative to peer programs; and (3) payment rates appear to be declining sharply. Nevertheless, (1) spreads
trade well back of Schedule 1 bank peers, adequately compensating for the incremental risk; (2) enhancement levels seem to
appropriately reflect loss patterns; and (3) we note that Citi, the trust sponsor, has demonstrated support for the program
recently.
22 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Eagle Credit Card Trust (PC Bank)
Exhibit 28: Deal Summary
Total
Series
2006-1
Class
Amount
Coupon
Maturity Subordination
A
465,000,000
4.441
17-M ar-11
B
17,500,000
4.701
17-M ar-11
C
17,500,000
4.981
17-M ar-11
Excess Spread
Enhancement
7.0%
11.90%
18.90%
3.5%
11.90%
15.40%
0.0%
11.90%
11.90%
90+
0.87%
0.91%
0.92%
Excess Spread
2006-1
9.85%
10.34%
10.84%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 29: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
Yield Payment Rate
20.94%
45.81%
21.23%
41.56%
22.63%
50.07%
1-Oct-08
21.21%
1-Nov -08
1-Dec-08
Delinquencies
60-89
0.47%
0.53%
0.55%
Loss Rate
3.87%
3.88%
3.14%
30-59
0.81%
0.86%
0.92%
43.59%
3.90%
0.87%
0.58%
1.08%
10.67%
22.57%
39.09%
4.66%
0.88%
0.55%
1.20%
10.84%
22.97%
43.43%
5.53%
1.00%
0.54%
1.18%
10.71%
1-Jan-09
21.19%
42.41%
5.71%
1.13%
0.69%
1.32%
10.23%
1-Feb-09
23.39%
37.20%
6.34%
1.23%
0.71%
1.37%
10.09%
1-Mar-09
1-Apr-09
1-M ay-09
1-Jun-09
22.75%
23.79%
23.30%
22.96%
43.41%
40.73%
41.18%
47.10%
6.67%
6.90%
7.45%
6.24%
1.08%
0.99%
0.91%
1.04%
0.72%
0.66%
0.62%
0.59%
1.39%
1.42%
1.30%
1.29%
9.76%
10.17%
9.75%
11.90%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 23
ABS Monitor
August 05, 2009
Exhibit 30: Eagle CCT Performance Trends
Pay ment Rate
Y ie ld
24%
52%
23%
49%
22%
%
%
21%
46%
43%
20%
40%
19%
18%
37%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
Oct-08
Jan-09
Apr-09
Delinque nc ie s
8%
1.5%
7%
1.1%
%
6%
%
0.7%
5%
4%
0.3%
Apr-08
3%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-08
O ct-08
30-59
Jan-09
60-89
Apr-09
90+
Source: RBC Capital Markets Research
Sector Perform
Our Sector Perform rating on Eagle is a function of: (1) healthy payment rates that are among the highest in the peer group;
and (2) strong yields that have exhibited resilience despite the weak macro backdrop. However, we note that loss rates are
increasing quickly and, in our view, the enhancement ratio would seem to suggest current spread levels offer fair value.
24 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Glacier Credit Card Trust (Canadian Tire Bank)
Exhibit 31: Deal Summary
Series
Class
2004-1
Senior
Subordinated
Subordination
Total
Amount
Coupon
Maturity
/ OC
Excess Spread Enhancement
590,625,000
4.274%
20-Nov-09
11.0%
9.04%
20.04%
34,375,000
4.674%
20-Nov-09
5.5%
9.04%
14.54%
Amount
Coupon
344,925,000
4.187%
19-Nov-10
11.0%
9.12%
20.12%
20,075,000
4.507%
19-Nov-10
5.5%
9.12%
14.62%
Amount
Coupon
300,000,000
4.271%
18-Nov-11
11.0%
9.04%
20.04%
17,460,000
4.571%
18-Nov-11
5.5%
9.04%
14.54%
Total
Series
Class
2005-1
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
Total
Series
Class
2006-1
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
Total
Series
Class
2006-2
Senior
Subordinated
Amount
Coupon
238,650,000
4.405%
20-M ay-14
Maturity Subordination
11.0%
Excess Spread Enhancement
8.90%
19.90%
13,890,000
4.765%
20-M ay-14
5.5%
8.90%
14.40%
Amount
Coupon
600,000,000
5.027%
20-Feb-13
11.0%
8.24%
19.24%
34,930,000
6.027%
20-Feb-13
5.5%
8.24%
13.74%
Total
Series
Class
2008-1
Senior
Subordinated
Maturity Subordination
Excess Spread Enhancement
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 32: 12-Month Pool Performance
M onth
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-M ar-09
1-Apr-09
1-May-09
1-Jun-09
Yield Payment Rate
19.63%
28.21%
19.87%
25.15%
20.28%
26.88%
19.88%
27.22%
20.48%
23.73%
21.07%
27.24%
20.24%
25.25%
20.40%
21.84%
19.34%
25.61%
21.69%
23.27%
20.62%
24.50%
21.30%
27.00%
Loss Rate
6.40%
6.23%
6.32%
6.22%
8.85%
6.38%
6.50%
7.23%
7.42%
7.71%
7.62%
8.52%
31-60
1.28%
1.41%
1.37%
1.25%
1.30%
1.39%
1.66%
1.74%
1.58%
1.46%
1.47%
1.45%
Delinquencies
61-90
0.78%
0.78%
0.80%
0.75%
0.70%
0.74%
0.86%
0.97%
0.96%
0.93%
0.90%
0.87%
91+
1.55%
1.58%
1.58%
1.56%
1.44%
1.43%
1.51%
1.61%
1.73%
1.79%
1.82%
1.77%
2004-1
9.03%
9.19%
9.36%
9.60%
8.92%
9.19%
9.05%
9.54%
8.61%
8.80%
8.72%
9.04%
2005-1
9.12%
9.28%
9.45%
9.69%
9.01%
9.28%
9.14%
9.63%
8.70%
8.89%
8.80%
9.12%
Excess Spread
2006-1
9.04%
9.19%
9.37%
9.61%
8.93%
9.20%
9.05%
9.54%
8.61%
8.80%
8.72%
9.04%
2006-2
8.90%
9.06%
9.23%
9.47%
8.79%
9.06%
8.91%
9.40%
8.48%
8.67%
8.58%
8.90%
2008-1
8.28%
8.44%
8.58%
8.80%
8.11%
8.40%
8.27%
8.76%
7.83%
8.01%
7.92%
8.24%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 25
ABS Monitor
August 05, 2009
Exhibit 33: Glacier CCT Performance Trends
Y ie ld
Pay ment Rate
30%
22%
28%
21%
%
%
26%
24%
20%
22%
19%
20%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
Oct-08
Jan-09
Apr-09
De linque nc ies
9%
2.0%
1.5%
8%
%
%
1.0%
7%
0.5%
Apr-08
6%
Apr-08
Jul-08
O ct-08
Jan-09
Apr-09
Jul-08
O ct-08
31-60
Jan-09
61-90
Apr-09
91+
Source: RBC Capital Markets Research
Sector Perform
We maintain our Sector Perform rating on Glacier to reflect that: (1) yields are holding steady; (2) payment rates remain
healthy in the mid-20% range; and (3) losses are not showing signs of inordinate deterioration. Enhancement levels seem
appropriate considering pool performance, and spreads seem to properly reflect underlying credit metrics.
26 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Gloucester Credit Card Trust (B of A / MBNA)
Exhibit 34: Deal Summary
Subordination
Total
Amount
Coupon
Maturity
/ OC
Excess Spread Enhancement
A
253,500,000
5.376%
15-M ay-14
16.0%
7.65%
23.65%
B
46,500,000
6.486%
15-M ay-14
0.05%
7.65%
7.70%
Amount
Coupon
Series
Class
2004-1
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2006-1
A
422,500,000
4.445%
15-M ar-11
16.0%
7.96%
23.96%
B
77,500,000
4.994%
15-M ar-11
0.5%
7.96%
8.46%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2006-2
A
300,000,000
Floating
15-Nov-13
14.5%
8.16%
22.70%
B
49,000,000
4.909%
15-Nov-13
0.5%
8.16%
8.66%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2007-1
A
516,000,000
Floating
15-Jun-10
14.5%
8.04%
22.54%
B
84,000,000
5.377%
15-Jun-10
0.5%
8.04%
8.54%
Amount
Coupon
Total
Series
Class
Maturity Subordination
Excess Spread Enhancement
2008-1
A
400,000,000
5.340%
15-M ay-13
12.0%
3.79%
15.79%
B
52,000,000
7.330%
15-M ay-13
0.5%
3.79%
4.29%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Exhibit 35: 12-Month Pool Performance
M onth
1-Jun-08
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov -08
1-Dec-08
1-Jan-09
1-Feb-09
1-M ar-09
1-Apr-09
1-M ay-09
1-Jun-09
Yield Payment Rate
17.57%
14.65%
17.95%
14.68%
17.01%
13.51%
18.34%
14.38%
18.03%
14.35%
16.69%
12.89%
16.97%
13.12%
16.96%
13.08%
16.86%
11.86%
18.46%
13.27%
16.95%
12.46%
16.79%
12.02%
17.47%
12.89%
Loss Rate
3.67%
4.12%
4.01%
3.92%
3.82%
3.78%
4.62%
3.90%
5.17%
4.65%
5.41%
5.56%
5.96%
30-59
1.00%
1.04%
1.11%
1.13%
1.07%
1.16%
1.21%
1.22%
1.36%
1.39%
1.35%
1.37%
1.37%
Delinquencies
60-89
0.54%
0.51%
0.52%
0.53%
0.55%
0.60%
0.61%
0.64%
0.68%
0.77%
0.73%
0.75%
0.74%
90+
1.19%
1.13%
1.09%
1.09%
1.06%
1.10%
1.14%
1.25%
1.27%
1.32%
1.43%
1.47%
1.51%
2004-1
8.00%
7.56%
7.55%
7.71%
7.78%
8.00%
7.69%
8.64%
7.92%
8.71%
8.38%
8.34%
7.65%
2006-1
8.31%
7.90%
7.89%
8.04%
8.09%
8.31%
8.00%
8.25%
8.24%
9.03%
8.68%
8.65%
7.96%
Excess Spread
2006-2
8.45%
8.03%
8.02%
8.17%
8.23%
8.46%
8.16%
8.41%
8.41%
9.21%
8.87%
8.84%
8.16%
2007-1
8.33%
7.92%
7.91%
8.06%
8.11%
8.34%
8.03%
8.29%
8.29%
9.10%
8.76%
8.73%
8.04%
2008-1
5.87%
5.99%
6.10%
6.03%
6.14%
6.06%
5.39%
5.08%
4.62%
5.12%
4.56%
4.50%
3.79%
Source: RBC Capital Markets Research, Company reports, Bloomberg
Altaf Nanji, CFA 27
ABS Monitor
August 05, 2009
Exhibit 36: Gloucester CCT Performance Trends
Pay me nt Rate
Y ie ld
16%
20%
15%
19%
%
%
18%
14%
13%
17%
12%
16%
11%
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Apr-08
Jul-08
Lo ss Rate
Oct-08
Jan-09
Apr-09
Delinquenc ies
6%
1.7%
1.5%
1.3%
5%
%
%
1.1%
0.9%
4%
0.7%
0.5%
Apr-08
3%
Apr-08
Jul-08
O ct-08
Jan-09
Apr-09
Jul-08
Oct-08
30-59
Jan-09
60-89
Apr-09
90+
Source: RBC Capital Markets Research
Outperform
Our Outperform rating is based on: (1) attractive spread (300bps+ back of Schedule 1 bank programs); (2) strong
subordination levels for investors in the senior tranches; and (3) yields that are holding steady in the challenging operating
environment. On the downside, we note that (1) Payment Rates are low (although the deterioration has been in line with
peers); and (2) liquidity may not match that of Schedule 1 bank deals.
28 Altaf Nanji, CFA
August 05, 2009
ABS Monitor
Global Credit Research Team
Royal Bank of Canada Europe Limited
London
Roger Appleyard, Head Global Credit Research
Hank Calenti, CFA, Analyst
Miriam Hehir, Analyst
Alastair Whitfield, Associate
+44 20 7653 4101
+44 20 7653 4386
+44 20 7653 4175
+44-20-7653-4834
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hank.calenti@rbccm.com
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alastair.whitfield@rbccm.com
RBC Dominion Securities Inc.
Toronto
Jonathan Allen, CFA, Director, Credit Research (Canada)
Matthew Kolodzie, CFA, P.Eng., Analyst
Altaf Nanji, CFA, Analyst
Jie Liu, Associate Analyst
Edward Martinez, Associate
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High Yield Research
RBC Capital Markets Corporation
New York
Phillip Armstrong, Analyst
Christina Boni, Analyst
Adam Leight, Analyst
Sarah O'Rielly, Associate
Altaf Nanji, CFA 29
ABS Monitor
August 05, 2009
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30 Altaf Nanji, CFA
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