Approximately C$1.26 billion of structured finance securities rated
Toronto, April 28, 2011 -- Moody's Investors Service has assigned definitive ratings to the Senior
and Subordinated Fixed Rate Series 2011-1 Notes (the "Series 2011-1
Notes") issued by Golden Credit Card Trust on April 28, 2011.
Moody's previously assigned provisional ratings to the Series 2011-1
Notes on April 20, 2011. Golden Credit Card Trust owns co-ownership
interests in credit card receivables backed by a pool of approximately
$6.0 billion in receivables originated and serviced by Royal
Bank of Canada (Aa1/P-1).
The complete rating actions are as follows (all amounts in Canadian dollars):
Credit Card Receivables Backed Senior Notes, Series 2011-1
Definitive Rating Assigned, Aaa (sf)
$56,544,503, 5.06%, Credit
Card Receivables Backed Subordinated Notes, Series 2010-1
Definitive Rating Assigned, Baa1 (sf)
The ratings are based on the quality of the underlying pool of credit
card receivables, the expertise of the seller/servicer, Royal
Bank of Canada, the transaction's legal and structural protections,
including early amortization triggers, and credit enhancement in
the form of excess spread.
For the Series 2011-1 Notes, the Senior Notes constitute
95.5% of the total invested amount and are enhanced by the
Subordinated Notes which constitute 4.5% of the total invested
amount. Additional enhancement for both the Senior and Subordinated
Notes may be provided by retention of excess spread in the reserve account,
which is initially unfunded. If the three-month average
excess spread falls below specified levels that start at 4.0%,
the size of the reserve account should progressively increase after each
level is breached. The Series 2011-1 Notes have a May 16,
2016 expected principal payment date.
Moody's expects performance in the range of 2.5%-3.5%
for net charge-offs, 19.0%-22.0%
for yield and 36.0%-40.0% 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 notes issued by Golden 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) 31%/5%,
(2) 23%/7% and (3) 16%/9% from the base case
of 38%/4%. For the Senior Notes, the ratings
for the respective combinations from the base case of Aaa is (1) Aa1 (one
notch) (2) Aa2 (two notches) and (3) A1 (four notches).
The Volatility Score ("V Score") for this transactions is Low/Medium,
which is the same as the V Score assigned to the 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 or obligation 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.
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 Golden Credit Card Trust Series 2011-1 Notes
70 York Street
Toronto, ON M5J 1S9