Fitch Affirms Synchrony Credit Card Master Note Trust

NEW YORK--()--Fitch Ratings has affirmed the long-term ratings and Rating Outlooks assigned to Synchrony Credit Card Master Note Trust. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Gross yield has decreased slightly since last review. As of the September 2016 distribution date, the 12-month average gross yield was 26.29%, down from the 12-month average of 26.98% at the September 2015 distribution period.

Monthly payment rate (MPR), a measure of how quickly consumers pay down credit card debt, has remained relatively stable over the past year. Currently, the 12-month average is 15.64%, up from 15.31% at the September 2015 distribution period.

Gross charge-offs have improved since last review. Currently, the 12-month average is 6.21%, down from 6.56% at the September 2015 distribution period; 60+ day delinquencies have remained below 3% for over five years.

Fitch runs cash flow breakeven analysis by applying stress scenarios to 3-, 6-, and 12-month performance averages to evaluate the breakeven loss multiples at different rating levels. The performance variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.

Some of the outstanding subordinate tranches of Synchrony Credit Card Master Note Trust may be able to support higher ratings based on the output of Fitch's proprietary cash flow model. Since the credit card program is set up as a continuous funding program and requires that any new issuance does not affect the rating of existing tranches, the enhancement levels are set to maintain a constant rating level per class of issued notes and may provide more than the minimum enhancement necessary to retain issuance flexibility. Therefore, Fitch may decide not to assign or maintain ratings above the current outstanding ratings in anticipation of future issuances.

Criteria Variations

Eligible Investments: Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness, as per the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016. The definition of eligible investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest are monthly collections, and the funds can only be invested for a short duration of one month given the payment frequency of the notes, Fitch does not believe such variation currently has a measurable impact upon the ratings assigned.

Eligible Institution: Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness, as per the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016. The definition of eligible institutions for this deal allows for the possibility of using a depository institution not rated by Fitch, which does not meet the Fitch counterparty criteria. Since Deutsche Bank Trust Company Americas, as account bank, currently maintains an 'A-/F1'/Stable Outlook rating, which is sufficient as a direct support counterparty to support a 'AAAsf' rating, Fitch does not believe such variation currently has a measurable impact upon the ratings assigned.

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 monthly payment rate (MPR).

Increasing defaults and reducing purchase rate alone have the least impact on rating migration even in the most severe scenario of a 75% increase in defaults and a 100% purchase rate stress. The harshest scenario assumes both stresses in increased charge-offs and reduction to MPR to occur simultaneously. In this scenario the ratings would only be downgraded under the severe stress of a 75% increase in defaults and a 35% reduction in MPR.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

Fitch has affirmed the following ratings:

Synchrony Credit Card Master Note Trust, Series 2016-2:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'Asf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2016-1:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'Asf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2015-2:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'Asf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2015-1:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'Asf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2014-1:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'Asf'; Outlook Stable;

--Class D at 'BBB+sf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2013-1:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'A-sf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2012-7:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'A-sf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2012-6:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'A-sf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2012-3:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'A-sf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2012-2:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable;

--Class C at 'A-sf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2010-2:

--Class A at 'AAAsf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2015-VFN1:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2014-VFN4:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'AAsf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2014-VFN2:

--Class A at 'AAsf'; Outlook Stable.

Synchrony Credit Card Master Note Trust, Series 2014-VFN1:

--Class A at 'AAsf'; Outlook Stable.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/site/re/879815

Global Credit Card ABS Rating Criteria (pub. 21 Jul 2016)

https://www.fitchratings.com/site/re/885146

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1012081

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1012081

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Surveillance Analyst
Stephanie Lobaccaro
Analyst
+1-212-908-0769
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Herman Poon
Senior Director
+1-212-908-0847
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Surveillance Analyst
Stephanie Lobaccaro
Analyst
+1-212-908-0769
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Herman Poon
Senior Director
+1-212-908-0847
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com