NEW YORK--(BUSINESS WIRE)--Fitch Ratings assigns the following rating to GE Capital Credit Card Master Note Trust's asset-backed notes, series 2014-VFN2 issued in April 2014:
--$1,000,000,000 class A floating-rate 'AAsf'; Outlook Stable.
--$102,339,182 class B floating-rate 'NR'.
Key Rating Drivers:
Fitch's ratings are based on the underlying receivables pool, available credit enhancement, GE Capital Retail Bank's underwriting, General Electrical Capital Corporation's servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers.
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 monthly payment rate (MPR).
Increasing defaults and reducing purchase rate alone have no impact on rating migration even in the most severe scenario of a 75% increase in defaults and 100% reduction in purchase rate. The harshest scenario assumes both stresses in increased charge-offs and reduction to MPR to occur simultaneously. Similarly, 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 expectations. For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction, please see the related appendix.
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Applicable Criteria and Related Research:
--'Global Credit Card ABS Rating Criteria' (May 2014);
--'Global Structured Finance Rating Criteria' (May 2014);
--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' (April 2012).
Applicable Criteria and Related Research: GE Capital Credit Card Master Note Trust, Series 2014-VFN2 -- Appendix
Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions
Global Structured Finance Rating Criteria