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20 Jun 2010
$850 million of Asset-Backed Securities rated
New York, June 20, 2010 -- Moody's Investors Service has assigned a (P)Aaa rating to the senior Class
A Notes of the Series 2010-3 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
$850,000,000 Class A Notes, Series 2010-3,
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 subordination
and the Excess Collateral Amount. The transaction has a June 2013
expected principal payment date.
The Class A Notes constitute 75% of the total collateral amount
of the issuance and are supported by the Class B Notes (12% of
the total) and the Excess Collateral Amount (13% 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, Old Navy, GAP, Banana Republic,
Dillard's, Paypal, and Belk. Approximately 52%
of the receivables in the portfolio emanate from accounts with an age
greater than 60 months.
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"(April
2007), which can be found at 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 this issuer can also be found in the Rating Methodologies
sub-directory on Moody's website.
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 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.
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.
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, at www.moodys.com/SFQuickCheck.
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service
Moody's assigns provisional ratings to GE Capital 2010-3 Credit Card Deal
No Related Data.
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