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 III series 2009-VFC1 as follows:

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

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance. As of the March 2016 reporting period, the 12-month average gross yield was 24.36% compared to the 12-month average of 24.55% at the March 2015 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has increased over the past year. Currently the 12-month average is 22.22%, up from 20.79% at the March 2015 reporting period.

Gross chargeoffs have increased slightly since the last review. Currently the 12-month average is 4.60%, up from 4.22% at the March 2015 reporting period. As of the March 2016 reporting period, the 12-month average 60+ day delinquencies were 1.62% compared to a 12-month average of 1.57% at this point last year.

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, monthly payment rate, 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.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1001988

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001988

Endorsement Policy

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

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Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
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
Primary Analyst
Harry Kohl
Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
or
Committee Chairperson
Herman Poon
Senior Director
+1-212-908-0847
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com