Approximately $744 million of Asset-Backed Securities rated
New York, January 27, 2011 -- Moody's Investors Service has assigned a Aaa (sf) rating to the senior
Class A Notes, a A2 (sf) rating to the Class B notes, and
a Baa2 (sf) rating to the Class C Notes of the Series 2011-1 issued
from the GE Capital Credit Card Master Note Trust (the "Trust").
The complete rating action is as follows:
Issuer: GE Capital Credit Card Master Note Trust
$600,000,000 Class A Notes, Series 2011-1,
rated Aaa (sf)
$86,557,377 Class B Notes, Series 2011-1,
rated A2 (sf)
$57,049,180 Class C Notes, Series 2011-1,
rated Baa2 (sf)
The rating is 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 subordination
for the Class A and Class B notes, credit enhancement in the form
of a spread account for the exclusive benefit of the Class C notes and
the Excess Collateral Amount. The transaction has a January 2014
expected principal payment date.
The Class A Notes constitute 76.25% of the total collateral
amount of the issuance, the Class B Notes 11.0% of
the total and the Class C Notes 7.25% of the total.
The Excess Collateral Amount comprises 5.5% of the total.
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, Dillard's, GAP, and Belk.
Approximately 62% of the receivables in the portfolio emanate from
accounts with an age greater than 60 months.
Moody's expects performance in the range of 9% - 11%
for charge-offs, 22% - 25%% for
yield and 10.5% - 13.5% for the principal
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 these transactions was "Moody's
Approach To Rating Credit Card Receivables-Backed Securities",
published in April 2007 and available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating these transactions can also be found
in the Rating Methodologies sub-directory on Moody's website.
Further information on Moody's analysis of these transactions is available
on www.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, at www.moodys.com/SFQuickCheck.
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 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) 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
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 six notches,
For the Class C Notes, two notches, four notches and greater
than seven notches, respectively.
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.
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.
However, the credit rating action was base on limited historical
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.
Structured Finance Group
Moody's Investors Service
Luisa De Gaetano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's assigns definitive ratings to GE Capital Credit Card Master Note Trust, Series 2011-1 Notes
250 Greenwich Street
New York, NY 10007