Toronto, April 20, 2011 -- Moody's Investors Service has assigned provisional ratings to the Fixed
Rate Senior and Subordinate Series 2011-1 Notes (the "Notes")
to be issued by Golden Credit Card Trust.
The complete rating action is as follows:
Fixed Rate Senior Notes, Series 2011-1, Provisional
Rating Assigned (P)Aaa (sf)
Fixed Rate Subordinate Notes, Series 2011-1, Provisional
Rating Assigned (P)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 (Aa1/P-1), the transaction's legal and structural
protections, including early amortization triggers, and credit
enhancement in the form of excess spread.
The Fixed Rate Senior Notes constitute 95.5% of the total
invested amount and are enhanced by Fixed Rate Subordinated Notes which
constitute 4.5% of the total invested amount.
Additional enhancement for the Notes may be provided by retention of excess
spread in the series specific reserve account, which will initially
be 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
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 Golden Credit Card Trust's Series
2011-1 Notes 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 the Series 2011-1 Senior Notes by assuming
the following three payment rate 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
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 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 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 provisional ratings to Golden Credit Card Trust, Series 2011-1
70 York Street
Toronto, ON M5J 1S9