Fitch Ratings has assigned ratings and Rating Outlooks to Golden Credit Card Trust, series 2022-3 floating and fixed rate notes.

The transaction is a securitization of credit card receivables originated by Royal Bank of Canada (AA-/F1+/Stable). The Rating Outlook for the notes is Stable.

RATING ACTIONS

Entity / Debt

Rating

Prior

Golden Credit Card Trust, Series 2022-3

Class A

LT

AAAsf

New Rating

AAA(EXP)sf

Class B

LT

Asf

New Rating

A(EXP)sf

Class C

LT

BBB+sf

New Rating

BBB+(EXP)sf

Page

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VIEW ADDITIONAL RATING DETAILS

KEY RATING DRIVERS

Receivables' Performance and Collateral Characteristics: The underlying collateral performance and characteristics play a vital role in a credit card ABS transaction. Fitch closely examines the trust's performance history and such collateral characteristics as credit quality, seasoning, geographic concentration, delinquencies and utilization rates on the cards. Performance for the trust has remained strong over the past 12 months, particularly when compared with pre-pandemic levels and within Fitch's steady state assumptions. As of the May 2022 collection period, net chargeoffs decreased to 1.42% from 1.57% a year prior, while 60+ day delinquencies decreased slightly to 1.00% from 1.01% a year prior. Monthly payment rate (MPR) has continued to increase, and hit a new record high of 74.56% in May 2022, up from 63.23% in May 2021.

Originator and Servicer Quality: Fitch views Royal Bank of Canada (RBC) as an effective and capable originator and servicer, given its extensive track record. A deterioration of RBC as servicer may affect the performance of GCCT Series 2022-3.

Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is currently mitigated, as evidenced by the ratings of the applicable counterparties to the transactions.

Interest Rate Risk: Interest rate risk is currently mitigated by the available credit enhancement (CE). CE supporting the class A notes is 6.50%, derived from 4.50% subordination of class B notes and 2.00% subordination of class C notes, as well as the reserve account that may be funded if excess spread falls to or below 4.00%. Class B notes are supported by 2.00% subordination of class C notes and the reserve account. Class C notes are supported by the reserve account.

Fitch analyzed characteristics of the underlying collateral to better assess overall asset performance. This supplements Fitch's analysis of the originator's historical data when determining the following steady state performance assumptions and stresses:

Steady State:

Annualized Charge-offs - 5.00%;

MPR - 43.00%;

Annualized Gross Yield - 18.00%;

Purchase Rate - 100.00%.

Rating Level Stresses (for 'AAAsf', 'Asf' and 'BBB+sf', respectively):

Charge-offs (increase) - 5.00x/3.25x/2.75x;

MPR (% decrease) - 65.00/54.60/49.40;

Gross Yield (% decrease) - 35.00/25.00/21.67;

Purchase Rate (% decrease) - 50.00/40.00/36.67.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Rating sensitivity to increased charge-off rate:

Current ratings for the class A, class B and class C notes (steady state: 5.00%): 'AAAsf'; 'Asf'; 'BBB+sf';

Increase base case by 25%: 'AAAsf'; 'Asf'; 'BBB+sf';

Increase base case by 50%: 'AA+sf'; 'A-sf'; 'BBB-sf';

Increase base case by 75%: 'AA+sf'; 'BBB+sf'; 'BB+sf'.

Rating sensitivity to reduced purchase rate:

Current ratings for the class A, class B and class C notes (100% base assumption): 'AAAsf'; 'Asf'; 'BBB+sf';

Reduce purchase rate by 50%: 'AAAsf'; 'Asf'; 'A-sf';

Reduce purchase rate by 75%: 'AAAsf'; 'Asf'; 'BBB+sf';

Reduce purchase rate by 100%: 'AA+sf'; 'A-sf'; 'BBBsf'.

Rating sensitivity to increased charge-off rate and reduced MPR:

Current ratings for the class A, class B and class C notes (charge-off steady state: 5.00%; MPR steady state: 43.00%): 'AAAsf'; 'Asf'; 'BBB+sf';

Increase charge-off rate by 25% and reduce MPR by 15%: 'AA+sf'; 'A-sf'; 'BBBsf';

Increase charge-off rate by 50% and reduce MPR by 25%: 'AAsf'; 'BBB+sf'; 'BB+sf';

Increase charge-off rate by 75% and reduce MPR by 35%: 'Asf'; 'BBBsf'; 'BB-sf'.

Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased, and Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond (CVB) subsectors ('What Global Stagflation Would Mean for Structured Finance and Covered Bond Ratings': www.fitchratings.com/site/re/10198541).

Fitch expects the North American prime credit card ABS sector in the assumed adverse scenario to experience 'Virtually No Impact' on rating performance, indicating very few (less than 5%) rating or Outlook changes. Fitch expects 'Virtually No Impact' on asset performance, indicating asset performance to remain broadly unaffected, and less than 10% likelihood of sector outlook revision by end-2023. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown below, which increases defaults by 75% and reduces MPR by 35%.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Rating sensitivity to decreased charge-off rate:

Current ratings for the class A, class B and class C notes (steady state: 5.00%): 'AAAsf', 'Asf' and 'BBB+sf', respectively;

Decrease base case by 50%: 'AAAsf', 'AAAsf' and 'AA+sf', respectively.

Some of the outstanding subordinate tranches of Golden Credit Card Trust may be able to support higher ratings based on the output of Fitch's proprietary cash flow model. Since the credit card program is set up as a continuous funding program and requires that any new issuance does not affect the rating of existing tranches, the enhancement levels are set to maintain a constant rating level per class of issued notes and may provide more than the minimum enhancement necessary to retain issuance flexibility. Therefore, Fitch may decide not to assign or maintain ratings above the current outstanding ratings in anticipation of future issuances.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.

ESG Considerations

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.

Additional information is available on www.fitchratings.com

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