Approximately $4.9 billion of asset-backed securities affected
New York, October 07, 2014 -- Moody's Investors Service has upgraded the ratings of 11 notes,
confirmed the ratings of 6 notes and affirmed the ratings of 3 notes issued
by Synchrony Credit Card Master Note Trust (formerly known as GE Capital
Credit Card Master Note Trust), sponsored by Synchrony Bank (formerly
known as GE Capital Retail Bank) (both unrated). These rating actions
were prompted by an increase in the credit enhancement for these securities.
Today's rating actions conclude the review of 8 notes placed on review
on 17 September 2014 following the implementation of Moody's updated credit
card methodology. The updated methodology, "Moody's Approach
to Rating Credit Card Receivables-Backed Securities" is available
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF379191
The complete rating actions are as follows:
RATINGS UPGRADED
Issuer: Synchrony Credit Card Master Note Trust
$40,000,000 Series 2010-2 Class B Notes,
Upgraded to Aa3 (sf); previously on 17 September 2014 A1 (sf) Placed
on Review for Possible Downgrade
$93,770,492 Series 2011-2 Class B Notes,
Upgraded to Aa3 (sf); previously on 17 September 2014 Upgraded to
A1 (sf)
$75,709,779 Series 2012-2 Class B Notes,
Upgraded to Aa3 (sf); previously on 2 February 2012 Assigned A2 (sf)
$57,704,918 Series 2012-3 Class B Notes,
Upgraded to Aa3 (sf); previously on 17 September 2014 Upgraded to
A1 (sf)
$50,491,803 Series 2012-4 Class B Notes,
Upgraded to Aa3 (sf); previously on 17 September 2014 Upgraded to
A1 (sf)
$75,709,779 Series 2012-5 Class B Notes,
Upgraded to Aa3 (sf); previously on 21 June 2012 Assigned A2 (sf)
$63,091,483 Series 2012-7 Class B Notes,
Upgraded to Aa3 (sf); previously on 17 October 2012 Assigned A2 (sf)
$100,946,372 Series 2013-1 Class B Notes,
Upgraded to Aa3 (sf); previously on 26 March 2013 Assigned A2 (sf)
$61,803,279 Series 2011-2 Class C Notes,
Upgraded to A3 (sf); previously on 17 September 2014 Upgraded to
Baa1 (sf)
$38,032,786 Series 2012-3 Class C Notes,
Upgraded to A3 (sf); previously on 17 September 2014 Upgraded to
Baa1 (sf)
$68,138,802 Series 2013-1 Class C Notes,
Upgraded to Baa1 (sf); previously on 17 September 2014 Baa2 (sf)
Placed on Review for Possible Downgrade
RATINGS CONFIRMED
Issuer: Synchrony Credit Card Master Note Trust
$250,000,000 Series 2010-2 Class A Notes,
Confirmed at Aaa (sf); previously on 17 September 2014 Aaa (sf) Placed
on Review for Possible Downgrade
$600,000,000 Series 2012-2 Class A Notes,
Confirmed at Aaa (sf); previously on 17 September 2014 Aaa (sf) Placed
on Review for Possible Downgrade
$600,000,000 Series 2012-5 Class A Notes,
Confirmed at Aaa (sf); previously on 17 September 2014 Aaa (sf) Placed
on Review for Possible Downgrade
$500,000,000 Series 2012-7 Class A Notes,
Confirmed at Aaa (sf); previously on 17 September 2014 Aaa (sf) Placed
on Review for Possible Downgrade
$800,000,000 Series 2013-1 Class A Notes,
Confirmed at Aaa (sf); previously on 17 September 2014 Aaa (sf) Placed
on Review for Possible Downgrade
$27,500,000 Series 2010-2 Class C Notes,
Confirmed at Baa1 (sf); previously on 17 September 2014 Baa1 (sf)
Placed on Review for Possible Downgrade
RATINGS AFFIRMED
Issuer: Synchrony Credit Card Master Note Trust
$650,000,000 Series 2011-2 Class A Notes,
Affirmed Aaa (sf); previously on 16 June 2011 Assigned Aaa (sf)
$400,000,000 Series 2012-3 Class A Notes,
Affirmed Aaa (sf); previously on 18 April 2012 Assigned Aaa (sf)
$350,000,000 Series 2012-4 Class A Notes,
Affirmed Aaa (sf); previously on 20 June 2012 Assigned Aaa (sf)
RATINGS RATIONALE
Today's rating actions are driven by the 7 October 2014 execution
of amendments to the indenture supplements for Series 2010-2,
2011-2, 2012-2, 2012-3, 2012-4,
2012-5, 2012-7 and 2013-1, which increase
the credit enhancement available to the affected securities. Essentially,
subordination beneath the trust's Class A, B, and C
notes of the affected series has been increased; the size of the
increase differs depending on the specific series, and ranges from
0.7% to 7.6% of each series invested amount.
As a result of the increases in credit enhancement, the enhancement
available for the upgraded notes is now consistent with higher ratings
and the enhancement available for the notes that were confirmed or affirmed,
is now consistent with the ratings previously assigned.
RATINGS OF OTHER NOTES UNAFFECTED BY AMENDMENTS
Moody's also announced today that the amendments to the indenture supplements
for Series 2010-2, 2011-2, 2012-2,
2012-3, 2012-4, 2012-5, 2012-6
(which Moody's does not rate), 2012-7 and 2013-1,
would not, in and of themselves and as of this time, result
in the downgrade or withdrawal of the ratings assigned to any class of
outstanding notes issued by the trust.
The amendments to the indenture supplements, which only add credit
enhancement to the notes of the related series, are credit positive
for those series, but do not have an effect on the other series.
Therefore, Moody's has determined that the execution of the amendments,
in and of itself and at this time, will not result in the downgrade
or withdrawal of the ratings currently assigned to any class of outstanding
notes issued by the trust. However, Moody's opinion addresses
only the credit impact associated with the amendments, and Moody's
is not expressing any opinion as to whether the amendments have,
or could have, other non-credit related effects that may
have a detrimental impact on the interests of noteholders and/or counterparties.
Assets of the trust consist of private label and co-branded credit
card receivables generated on accounts originated and underwritten by
Synchrony Bank. Retailers that are currently included in the trust
portfolio are, among others, JCPenney, Lowe's,
Sam's Club, Wal-Mart, Dillard's, Gap, Belk
and Chevron.
Moody's expects performance in the range of 5.5% -
7.5% for charge-offs, 26.0% -
29.0% for yield and 12.5% - 14.5%
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.
Methodology Underlying the Rating Actions:
The principal methodology used in these ratings was "Moody's Approach
To Rating Credit Card Receivables-Backed Securities" published
in September 2014. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the ratings of the securities if our expectation
of the trust's performance following a sponsor default and portfolio shutdown
improves materially, specifically, if the charge-off
rate falls or the payment rate or yield rises. An upgrade to the
bank sponsor public rating, private monitored rating or low volatility
credit estimate, as applicable, could also lead to an upgrade
to the rating of the securities, because we use the rating of the
sponsor to assess the likelihood of defaulting and shutting down its credit
card portfolio.
Down
Moody's could downgrade the ratings of the securities if our expectation
of the trust's performance following a sponsor default and portfolio shutdown
deteriorates materially, specifically, if the charge-off
rate rises or the payment rate or yield falls. A downgrade to the
bank sponsor public rating, private monitored rating or low volatility
credit estimate, as applicable, could also lead to a downgrade
to the rating of the securities, because we use the rating of the
sponsor to assess the likelihood of defaulting and shutting down its credit
card portfolio.
Loss and Cash Flow Analysis:
In rating this transaction, Moody's uses a cash flow model to determine
the collateral losses in a maximum stress scenario. As a second
step, Moody's haircuts such collateral losses based on the sponsor's
credit quality. Finally, Moody's compares note available
credit enhancement with the collateral losses, taking into account
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Stress Scenarios:
Moody's quantitative analysis entails an evaluation of scenarios that
stress factors contributing to sensitivity of ratings and take into account
the likelihood of severe collateral losses or impaired cash flows.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions of the disclosure form.
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 related to the monitoring of these transactions in the past
six months .
Moody's describes the stress scenarios it has considered for this
rating action in the section "Ratings Rationale" of this press
release.
Moody's describes its loss and cash flow analysis in the section
"Rating Rationale" of this press release.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain 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 certain 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 certain 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.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Alan Birnbaum
Asst Vice President - 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
Matias Langer
Vice President - Senior Analyst
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 concludes review on Synchrony cards ABS following increase in credit enhancement