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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's assigns provisional ratings to GE Capital Credit Card Master Note Trust, Series 2011-1 Notes

19 Jan 2011

Approximately $619 million of Asset-Backed Securities rated

New York, January 19, 2011 -- Moody's Investors Service has assigned a (P)Aaa (sf) rating to the senior Class A Notes, a (P)A2 (sf) rating to the Class B notes, and a (P)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

$500,000,000 Class A Notes, Series 2011-1, rated (P)Aaa (sf)

$72,131,147 Class B Notes, Series 2011-1, rated (P)A2 (sf)

$47,540,984 Class C Notes, Series 2011-1, rated (P)Baa2 (sf)

RATINGS RATIONALE

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 payment rate.

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 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 six notches, respectively.

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.

REGULATORY DISCLOSURES

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.

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.

New York
Tahsin Alam
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Luisa De Gaetano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's assigns provisional ratings to GE Capital Credit Card Master Note Trust, Series 2011-1 Notes
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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​
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