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Rating Action:

Moody's concludes review on Synchrony cards ABS following increase in credit enhancement

07 Oct 2014

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
No Related Data.
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