Fitch Affirms World Financial Network Credit Card Master Note Trust III

NEW YORK--()--Fitch Ratings has affirmed the long-term rating and Rating Outlook assigned to World Financial Network Credit Card Master Note Trust as follows:

World Financial Network Credit Card Master Note Trust III Series 2009-VFC1:

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

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance. As of the March 2015 reporting period, the 12-month average gross yield was 24.6% compared to the 12-month average of 26.5% at the March 2014 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has remained relatively consistent over the past year. Currently the 12-month average is 20.8%, up from 22.8% at the March 2014 reporting period.

Gross chargeoffs have continued to decline since the last review. Currently the 12-month average is 4.22%, down from 4.58% at the March 2014 reporting period. As of the March 2015 reporting period, the 12-month average 60+ day delinquencies were 1.58% compared to a 12-month average of 1.69% at this point last year.

As a result of higher gross yield, lower chargeoffs and stable trust expenses, one month excess spread reached a level of nearly 17% in March.

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 the gross yield, MPR, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.

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.

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% reduction in the purchase rate base case. The rating sensitivity to an increase in defaults is more pronounced with a moderate stress, of a 50% increase, but is not leading to possible downgrades across all classes. The harshest scenario assumes both stresses 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 initial expectations. For further discussion of our 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 March 31, 2015;

--'Global Credit Card ABS Rating Criteria,' dated May 30, 2014.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Global Credit Card ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748920

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=982526

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Contacts

Fitch Ratings
Primary Analyst
John Alberici, +1-212-908-0370
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle, +1-212-908-0849
Associate Director
or
Committee Chairperson
Steve Stubbs, +1-212-908-0676
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
John Alberici, +1-212-908-0370
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle, +1-212-908-0849
Associate Director
or
Committee Chairperson
Steve Stubbs, +1-212-908-0676
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com