S&P: World Financial Network Credit Card Master Note Trust's Series 2016-B Notes Assigned Ratings
The note issuance is an asset-backed securities transaction backed by s 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 8.5% base-case loss rate assumption, our 15.0% base-case payment rate assumption, and our 25.25% 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 24.00%, 19.25%, 15.50%, and 4.25% subordination, respectively, as a percent of series 2016-B's aggregate note balance. Our view that the 4% minimum seller's interest (6% for November, December, and January) is sufficient in our stress scenarios to absorb dilutions, or noncash reductions, in the receivables. Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A, M and B notes will remain within one rating category of the assigned 'AAA (sf)', 'AA+ (sf)', and 'AA - (sf)' ratings, respectively, in the next 12 months, and our ratings on the class C notes will remain within two rating categories of our 'BBB (sf)' rating 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 Comenity Bank's (Comenity; not rated) servicing experience, Comenity Servicing LLC's experience as a subservicer, and our opinion of the quality and consistency of Comenity's account origination, underwriting, account management, collections, and general operational practices. Comenity is a wholly owned subsidiary of Alliance Data Systems Corp. Our expectation for the timely interest and ultimate principal payments by the legal maturity date based on stressed cash flow modeling scenarios using assumptions that are commensurate with the assigned ratings. The transaction's underlying payment structure, cash flow mechanics, and legal structure. The 'AA+ (sf)' rating assigned to the class M notes and the 'AA - (sf)' rating assigned to the class B notes are one notch higher than the preliminary 'AA (sf)' and 'A+ (sf)' respective ratings assigned to the notes (see "Presale: World Financial Network Credit Card Master Note Trust (Series 2016-B)," Sept. 13, 2016). The higher rating reflects additional credit enhancement resulting from lower actual coupons on the notes than those assumed in our preliminary rating analysis.
The additional amount of credit enhancement due to the lower coupons did not impact the ratings assigned to all other classes, which still hold from the preliminary ratings.