Approximately $496 million of Asset-Backed Securities rated
New York, April 18, 2012 -- 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 2012-3 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
$400,000,000 Class A Notes, Series 2012-3,
rated Aaa (sf)
$57,704,918 Class B Notes, Series 2012-3,
rated A2 (sf)
$38,032,786 Class C Notes, Series 2012-3,
rated 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 Capital Retail
Bank, and the servicer, GE Capital Corporation, (A1/P-1),
the transaction's legal and structural protections, including early
amortization triggers, and credit enhancement in the form of subordination
and the Excess Collateral Amount. The transaction has a March 2017
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 Capital
Retail Bank. Retailers which are currently included in the Trust
portfolio are, among others, JCPenney, Lowe's,
Sam's Club, Wal-Mart, Dillard's, Gap, Belk
and Chevron. Approximately 63% of the receivables in the
portfolio emanate from accounts with an age greater than 60 months.
Moody's expects performance in the range of 7.0% -
9.5% for charge-offs, 23% - 26%
for yield and 12% - 15% 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 this rating was "Moody's Approach To
Rating Credit Card Receivables-Backed Securities" published in
April 2007. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
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) 11%
/ 12%, (2) 9% / 16% and (3) 6% / 19%
from the base case of 14% / 9%. 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, one notch, four notches and six notches,
respectively.
For the Class C Notes, two notches, three notches and greater
than seven notches, respectively.
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.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Information sources used to prepare the rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments in this transaction.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF282550.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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 the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Matias Langer
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Luisa De Gaetano
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns ratings to GE Capital Credit Card Master Note Trust, Series 2012-3 Notes
