NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the long-term ratings and Outlooks assigned to GE Capital Credit Card Master Note Trust as follows:
GE Capital Credit Card Master Note Trust, Series 2009-4:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2010-1:
--Class A at 'AAAsf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2010-2:
--Class A at 'AAAsf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2010-3:
--Class A at 'AAAsf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2010-VFN1:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'Asf'; Outlook Stable;
GE Capital Credit Card Master Note Trust, Series 2010-VFN2:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'Asf', Outlook Stable;
GE Capital Credit Card Master Note Trust Series 2011-1:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2011-2:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2011-3:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2012-1:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2012-2:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2012-3:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2012-4:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2012-5:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2012-6:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
GE Capital Credit Card Master Note Trust, Series 2013-1:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable.
KEY RATING DRIVERS:
The affirmations are based on continued positive trust performance. Gross yield has remained stable since last review. As of the March 2013 reporting period, the 12-month average gross yield was 26.33%, up from the 12-month average of 24.27% at the March 2012 distribution period.
Monthly payment rate (MPR), a measure of how quickly consumers pay down credit card debt, has remained stable over the past year. Currently, the 12-month average is 16.15%, down slightly from 16.50% at the March 2012 distribution period.
Gross chargeoffs have decreased since last review. Currently, the 12-month average is 6.61%, down from 7.39% at the March 2012 distribution period. 60+ day delinquencies have remained below 3% over the past two years.
Fitch runs a cash flow breakeven analysis by applying stress scenarios to three-, six-, and 12-month performance metric averages to test whether the trust can withstand stresses and losses commensurate with the current rating level given the available credit enhancement. The variables that Fitch stresses are gross yield, monthly payment rate, gross charge-off, and purchase rate. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.
The affirmations are based on the performance of the trusts in line with expectations. The Stable Outlook indicates that Fitch expects the ratings will remain stable for the next one to two years.
RATING SENSITIVITIES:
Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower MPR.
Decreasing purchase rate alone has the least impact on rating migration even in the most severe scenario of a 100% decrease in purchase rate. The rating sensitivity to a reduction in defaults is slightly more pronounced with a severe stress of a 75% reduction, leading to possible downgrades on senior notes. The harshest scenario assumes stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the moderate stress of a 50% increase in defaults and 25% reduction in MPR; however, the severe stress could lead to more drastic downgrades to all classes. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of Fitch's sensitivity analysis, please see the new issue report related to one of the transactions listed above.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' dated June 6, 2012;
--'Global Credit Card ABS Rating Criteria,' dated June 22, 2012.
Applicable Criteria and Related Research
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
Global Credit Card ABS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=681533
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=788631
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