DBRS Finalizes Provisional Ratings of AAA (sf), A (high) (sf) and BBB (high) (sf) on Golden Credit Card Trust Series 2015-2

DBRS Limited (DBRS) has today finalized the provisional ratings on the Credit Card Receivables-Backed Notes, Series 2015-2 (the Notes) issued by Golden Credit Card Trust (the Trust) as follows:

-- AAA (sf) on the Credit Card Receivables-Backed Class A Notes, Series 2015-2
-- A (high) (sf) on the Credit Card Receivables-Backed Class B Notes, Series 2015-2
-- BBB (high) (sf) on the Credit Card Receivables-Backed Class C Notes, Series 2015-2

The Class A Notes are denominated in U.S. dollars, while the Class B and Class C Notes are in Canadian dollars. A cross-currency swap is in place for the Class A Notes.

Series 2015-2 has an Expected Final Payment Date of April 15, 2020.

The ratings are based on the following factors:

(1) For the Class A Notes, credit enhancement is available through subordination of 6.5%, excess spread and the Series Reserve Account, which could build up to 5.0% of the initial invested amount.

(2) For the Class B Notes, credit enhancement is available through subordination of 2.0%, excess spread and the Series Reserve Account.

(3) For the Class C Notes, credit enhancement is available through excess spread and the Series Reserve Account.

(4) The performance of the Trust’s portfolio has been strong since inception and demonstrated resilience throughout the recent economic downturn. Over the past two years, three-month average payment rates have stayed around 48.0%. At the same time, loss rates remained the lowest in Canada. While the three-month average loss rate peaked at 3.9% as of November 2009, it has since decreased and stood at 2.1% as of March 2015. In addition, the inclusion of interchange in October 2009 increased gross yield available to the Trust, which mitigated the elevated loss rates during the recent recession and resulted in significantly higher excess spread as the first defense against credit losses.

(5) The custodial pool is a well-diversified and seasoned portfolio, originated and managed by Royal Bank of Canada, one of the largest financial institutions in Canada.

DBRS stress testing indicates that simultaneous declines in yield and payment rates and increases in losses would not result in a failure of the Trust in repaying the Notes on a timely basis. The severity of the tests applied is commensurate with the respective ratings of the Notes.

DBRS’s analysis also indicates that the Class B and Class C Notes are expected to withstand more punitive stress multiples for requested rating categories, warranting a (high) designation and resulting in A (high) (sf) and BBB (high) (sf) ratings, respectively.

Notes:
The applicable methodologies are Rating Canadian Credit Card and Personal Line of Credit Securitizations (November 2014), Legal Criteria for Canadian Structured Finance (August 2014) and Derivatives Criteria for Canadian Structured Finance (August 2014), which are available on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.