(The following statement was released by the rating agency)
OVERVIEW
-- World Financial Network Credit Card Master Note Trust's issuance is an ABS securitization backed by a collateral certificate representing an ownership interest in the receivables held by World Financial Network Credit Card Master Trust. The receivables are generated under consumer credit card accounts originated through various merchant agreements.
-- We assigned our ratings to the class A, M, B, and C notes.
-- The ratings reflect our view of the transaction's credit support, our moderate stress scenario, credit risk, the servicer's experience, and timely interest and principal payments, among other factors.
NEW YORK (Standard & Poor's) Oct. 5, 2012--Standard & Poor's Ratings Services today assigned its ratings to World Financial Network Credit Card Master Note Trust's $466.667 million asset-backed notes series 2012-D (see list).
The note issuance is an asset-backed securitization backed by a collateral certificate representing an ownership interest in the receivables held by World Financial Network Credit Card Master Trust. The receivables are generated under consumer credit card accounts originated through various merchant agreements.
The ratings reflect:
-- Our view that the credit support for each class of notes is sufficient to withstand the simultaneous stresses we apply to our 7.50%-9.50% base-case loss rate assumption, our 14.0%-16.0% base-case payment rate assumption, and our 24.0%-26.0% base-case yield assumption for each rating category. In addition, we use stressed excess spread assumptions to determine if sufficient credit support is available for each rating category. Our purchase rate assumption for this transaction is zero. All of the stress assumptions outlined above are based on our current criteria (see "General Methodology And Assumptions For Rating U.S. ABS Credit Card Securitizations," published April 19, 2010, and "Revised Purchase And Payment Rate Assumptions For U.S. Credit Card ABS," published Sept. 14, 2011). The class A, M, B, and C notes are supported by 25.00%, 21.25%, 16.50%, and 4.0% subordination, respectively, as a percent of the series 2012-D's aggregate note balance. Only the class C notes are supported by a dynamic spread account.
-- Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our 'AAA (sf)' and 'AA+ (sf)' ratings on the class A and M notes, respectively, will remain within one rating category of the assigned ratings in the next 12 months and our 'A+ (sf)' and 'BBB (sf)' ratings on the class B and C notes, respectively, will remain within two rating categories of the assigned ratings in the next 12 months, based on our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010).
-- Our view of the credit risk inherent in the collateral loan pool based on our economic forecast, the trust portfolio's historical performance, and the collateral's characteristics.
-- Our view of World Financial Network Bank's (WFN's; not rated) servicing experience, ADS Alliance Data Systems Inc.'s experience as subservicer, and our opinion of the quality and consistency of WFN's account origination, underwriting, account management, collections, and general operational practices. WFN is a wholly owned subsidiary of Alliance Data Systems Corp.
-- Our expectation of the timely interest and ultimate principal payments by the legal final maturity date, which we based on our stressed cash flow modeling scenarios using assumptions that we believe are commensurate with the respective rating categories.
-- The transaction's underlying payment structure, cash flow mechanics, and legal structure.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities.
The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at "
". RELATED CRITERIA AND RESEARCH Related Criteria
-- Revised Purchase And Payment Rate Assumptions For U.S. Credit Card ABS, Sept. 14, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
-- General Methodology And Assumptions For Rating U.S. ABS Credit Card Securitizations, April 19, 2010
-- Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Related Research
-- Presale: World Financial Network Credit Card Master Note Trust - Series 2012-D, Oct. 1, 2012
-- U.S. Economic Forecast: He's Buying A Stairway To Heaven, Sept. 21, 2012
-- U.S. Credit Card Quality Index: Performance Remained Solid, But Improvements Are Likely To Slow, Sept. 6, 2012.
-- U.S. Credit Card ABS Issuer Report: Loss Rates Stayed Stable In Second-Quarter 2012 Despite A Sluggish Economy, Aug. 9, 2012
-- May 11, 2012, Ratings Raised, Affirmed On U.S. Private-Label Card ABS From Seven Issuers On Adjustments To Key Performance Variables, May 11, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
RATINGS ASSIGNED World Financial Network Credit Card Master Note Trust - Series 2012-D Class Rating Amount (mil. $) A AAA (sf) 350.0 M AA+ (sf) 17.5 B A+ (sf) 22.2 C(i) BBB (sf) 58.3 D(i) NR 18.7
(i)The class C and D notes are not being offered publicly. NR-Not rated.
(Caryn Trokie, New York Ratings Unit)
((Caryn.Trokie@thomsonreuters.com; 646-223-6318; Reuters Messaging: rm://caryn.trokie.reuters.com@reuters.net))
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