Approximately $2.2 billion of Asset-Backed Securities rated
New York, August 14, 2009 -- Moody's Investors Service has assigned a Aaa rating to the senior Class
A Notes, a A1 rating to the Class B Notes, and a rating of
Baa1 to the Class C Notes of the Series 2009-2 issued from the
GE Capital Credit Card Master Note Trust (the "Trust"). The complete
ratings action is as follows:
Issuer: GE Capital Credit Card Master Note Trust
$1,750,000,000 Class A Notes, Series 2009-2,
$ 280,000,000 Class B Notes, Series 2009-2,
$192,500,000 Class C Notes, Series 2009-2,
At issuance, the Series 2009-2 Class A Notes will be eligible
collateral for a loan under the Term Asset-Backed Securities Loan
Facility (the "TALF" program) provided by the Federal Reserve Bank of
The ratings are based on the quality of the underlying pool of credit
card receivables, the expertise of the originator, GE Money
Bank, and the servicer, GE Capital Corporation, (Aa2/P-1),
the transaction's legal and structural protections, including early
amortization triggers, credit enhancement in the form of a spread
account for the primary benefit of the Class C notes, and the Excess
Collateral Amount. The spread account, which is initially
unfunded, may increase if excess spread falls below prescribed levels.
The transaction has a July 2012 expected principal payment date.
The Class A Notes constitute 75.0% of the total collateral
amount of the issuance and are supported by two subordinated classes --
the Class B Notes (12.00% of the total), the Class
C Notes (8.25% of the total) and the Excess Collateral Amount
(4.75% of the total). Compared to other fixed-rate
notes in the Trust, this Series 2009-2 benefits from higher
credit enhancement. Aaa-rated notes issued prior to 2006
have 21% of credit enhancement in the form of subordination and
over-collateralization. Other fixed-rate Aaa-rated
notes issued since 2006 have 18.75% of credit enhancement,
also in the form of subordination and over-collateralization.
However, the issuer increased the credit enhancement to 25%
for the Aaa-rated 2007-3 and 2007-4 Aaa-rated
notes on June 22 2009.
The Trust consists of private label and co-branded credit card
receivables generated on accounts originated and underwritten by GE Money
Bank. Retailers which are currently included in the Trust portfolio
are, among others, JCPenney, Lowe's, Sam's Club,
Wal-Mart, Old Navy, Gap, Banana Republic,
Dillard's, Paypal, and Belk. Approximately 50%
of the receivables in the portfolio emanate from accounts aged at least
Moody's has published a yield range of expectations of 22.0%-25.0%,
a charge-off rate range of 9.0%-11.0%,
and a principal payment rate range of 10.5%-13.5%
for the Trust.
The 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 the transaction was "Moody's
Approach To Rating Credit Card Receivables-Backed Securities",
which can be found at www.moodys.com in the Credit Policy
& Methodologies directory, in the Ratings Methodologies subdirectory.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Credit Policy & Methodologies
The Volatility Score ("V Score") for this transaction is Medium,
which is in line with the V score assigned for the U.S.
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 individual tranches).
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 US 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. These two,
in turn, are the two 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 charge-off
rate combinations: (1) 10%/13%, (2) 8%/16%
and (3) 6%/19% from the base case of 12%/10%.
The quantitative/model-indicated Parameter Sensitivities for the
notes under these three additional scenarios are:
For the Class A Notes, one notch (i.e. Aaa to Aa1),
one notch and three notches, respectively.
For the Class B Notes, two notches, four notches and seven
For the Class C Notes, three notches, five notches and seven
GE Money Bank is a leading provider of credit and deposit products and
services to consumers and retailers in many countries around the world.
GE Money Bank offers a broad range of financial products for customers
on a global basis.
For more information, including a pre-sale report on this
transaction, please visit http://www.moodys.com.
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's assigns definitive ratings to GE Capital 2009-2 Credit Card Deal
Structured Finance Group
Moody's Investors Service