Synchrony Credit Card Master Note Trust (Series )

Transcription

1 Presale: Synchrony Credit Card Master Note Trust (Series ) Primary Credit Analyst: Michael Yeung, New York (1) ; Secondary Contact: Carl J Neff, CFA, New York (1) ; carl.neff@spglobal.com Surveillance Credit Analyst: Kelly R Luo, New York (1) ; kelly.luo@spglobal.com Table Of Contents $ Million Asset-Backed Notes Series Rationale Changes From The Class Series Notes Transaction Overview Credit Support Structural Overview And Payment Priority Collateral Overview Asset Pool Collateral Characteristics Collateral Performance S&P Global Ratings' Rating Assumptions Sensitivity Analysis MAY 20,

2 Table Of Contents (cont.) Related Criteria And Research MAY 20,

3 Presale: Synchrony Credit Card Master Note Trust (Series ) $ Million Asset-Backed Notes Series This presale report is based on information as of May 20, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings As Of May 20, 2016 Class Preliminary rating(i) Interest rate(ii) Amount (mil. $) Credit support (%) A AAA (sf) Fixed B AA+ (sf)(v) Fixed C(iii) AA- (sf)(v) Fixed D(iii) BBB (sf) Fixed (iv) Excess collateral NR N/A N/A (i)the rating is preliminary and subject to change at any time. (ii)the actual interest rates will be determined on the pricing date. (iii)the class C and D notes are not being offered publicly. (iv)the class D notes benefit from a spread account that will be funded by excess cash flow if the quarterly excess spread percentage is equal to or less than 5.0%. (v)we generally determine plus and minus stresses by interpolating the stresses for our main rating categories. For example, our 'AA ' stress would equal the 'A' stress plus two-thirds of the difference between the 'A' stress and the 'AA' stress. NR--Not rated. N/A--Not applicable. Profile Expected closing date TBD. Expected payment date May 17, Final payment date May 15, Collateral A pool of private-label and co-branded revolving credit card receivables generated by accounts owned by Synchrony Bank. Distribution date The 15th of each month (or the following business day), beginning July Sponsor and originator Depositor and transferor Servicer and administrator Servicer Performance Guarantor Owner trustee Indenture trustee Underwriters TBD--To be determined. Synchrony Bank. RFS Holding LLC. Synchrony Financial (BBB-/Stable/--). GE Capital Global Holdings LLC (AA+/Negative/A-1+). BNY Mellon Trust of Delaware (AA-/Stable/A-1+). Deutsche Bank Trust Co. Americas (BBB+/Stable/A-2). J.P. Morgan Securities LLC and Mitsubishi UFJ Securities (USA) Inc. MAY 20,

4 Rationale The preliminary ratings assigned to Synchrony Credit Card Master Note Trust's (Synchrony CCMNT's) asset-backed notes series reflect: Our view that the credit support for each class of notes is sufficient to withstand the simultaneous stresses we apply for each rating category to our 8.5% base-case loss rate assumption, 13.0% base-case payment rate assumption, and 21.5% base-case yield assumption, as well as our stressed purchase rate and excess spread assumptions. All of the stress assumptions outlined above are based on our current criteria and assumptions (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). Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our 'AAA (sf)', 'AA+ (sf)', and 'AA- (sf)' ratings on the class A, B, and C notes, respectively, will remain within one rating category of the preliminary ratings in the next 12 months, and our preliminary 'BBB (sf)' rating on the class D notes will remain within two rating categories of the preliminary rating in the next 12 months, based on our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). Our view that the 5.5% retained transferor percentage requirement is sufficient to cover dilution risk in this trust. Our view of the credit risk inherent in the collateral loan pool based on our economic forecast, the trust portfolio's historical performance, the collateral characteristics, and vintage performance data. Our opinion of the quality and consistency of Synchrony Bank's account origination, underwriting, account management, and general operational practices, and our view of Synchrony Financial's (BBB-/Stable/--) servicing experience. Our expectation for timely interest and ultimate principal payments made by the May 15, 2024, final payment date based on our stressed cash flow modeling scenarios using assumptions commensurate with the preliminary ratings. The series transaction's underlying payment structure, cash flow mechanics, and legal structure. Changes From The Class Series Notes The series transaction structure has not changed from that of the series (not rated by S&P Global Ratings) and that of the series (rated by S&P Global Ratings), including the issuing entity, eligible accounts and receivables, payment priority, collections and allocation mechanics, usage mechanics, early redemption events, and events of default. There have been no material changes in collateral performance since the previous transaction we rated. Transaction Overview Synchrony Bank is a wholly owned subsidiary of Synchrony Financial, the servicer for the trust. The bank is a Federal Deposit Insurance Corp. (FDIC), an insured federal savings bank that is regulated, supervised, and examined by the Office of the Comptroller of the Currency and subject to the Consumer Finance Protection Bureau's (CFPB's) regulations. The bank sponsors and originates private-label and co-branded accounts, which generate the receivables that constitute the series collateral. The bank sells the receivables to RFS Holding LLC, the transferor, which then transfers them to the trust. RFS Holding LLC is a limited liability company formed under the laws of Delaware MAY 20,

5 and is a wholly owned, indirect subsidiary of Synchrony Financial, which is also the bank's direct parent. The trust is a master trust that issues notes through discrete series, including series S&P Global Ratings has reviewed the legal matters and opinions it believes are relevant to its analysis, as outlined in its criteria. The series transaction has a senior/subordinate structure consisting of four publicly rated classes. All the classes receive additional support from an unrated excess collateral amount. Interest is due on the 15th of each month (or the next business day). Principal is scheduled to be paid to the notes on the May 17, 2021, expected payment date. Based on the transaction documents, this may follow a controlled accumulation period that is initially designated to start three months before the expected payment date. However, it can be delayed to start one month before the expected payment date, depending on the trust's principal payment rate and its other issuances' payment maturities. The servicer deposits all interest and principal collections into a collection account by the second business day after processing. However, if certain provisions in the transaction documents are met, such as S&P Global Ratings assigning a short-term credit rating of 'A-1' or higher to the servicer, the servicer may make a single collections deposit into a collection account on the transfer date. Credit Support According to the transaction documents, the series transaction's credit support is structured as follows: The class A notes receive credit support from the subordination of the class B, C, and D notes and the excess collateral, which equals 27.00% of the initial collateral amount in aggregate. The class B notes receive credit support from the subordination of the class C and D notes and the excess collateral, which equals 20.00% of the initial collateral amount. The class C notes receive credit support from the subordination of the class D notes and the excess collateral, which equals 14.00% of the initial collateral amount. The class D notes receive credit support from excess collateral, which equals 5.00% of the initial collateral amount. Based on the transaction structure, the excess collateral amount is 5.0% of the initial collateral amount. This can decrease during the controlled accumulation period, subject to a floor of 3% of the initial collateral amount, which cannot decline during an early amortization period. As a result, overcollateralization grows as a percentage of the outstanding collateral amount, which will benefit investors in an adverse selection scenario if an early amortization event occurs. The excess collateral amount cannot exceed the outstanding note principal balance minus any deposits in the principal accumulation account. A spread account, which benefits the class D notes, is funded from finance charge collections if the quarterly excess spread percentage is less than 5.0%. The amount trapped increases to an 8.5% maximum if the quarterly excess spread is less than 0.5%. The spread account is available to pay interest and principal on the class D notes when due. In our stressed cash flow analyses, only a portion of these excess spread targets are trapped, and we consider the credit support from the excess collateral that also benefits the class D notes. Structural Overview And Payment Priority According to the payment priority, finance charge collections, recoveries from the credit card receivables, and investment earnings are used to make the distributions shown in table 1. MAY 20,

6 Table 1 Payment Waterfall Priority Payment 1 Indenture trustee, owner trustee, and administrator fees and expenses, each capped at $25,000 per year. 2 The servicing fee. 3 Class A note interest. 4 Class B note interest. 5 Class C note interest. 6 Class D note interest. 7 Pay any of the series' defaults and uncovered dilution. 8 Reimburse previous charge-offs that were not covered by monthly finance charges or reallocated principal. 9 Fund the reserve account to cover interest payment shortfalls for the class A, B, C, and D notes during the controlled accumulation period. 10 Fund the required spread account amount that is available solely for the class D notes. 11 Fund the series' share of any shortfall in the minimum free equity amount (the transferor interest). 12 Unless an early amortization event has occurred, pay any remaining amounts owed to the indenture trustee, owner trustee, and the administrator. 13 Distribute any remaining amounts as shared excess finance charge collections. 14 If an early amortization event has occurred, first, make principal payments sequentially to classes A, B, C, and D, and second, pay any remaining amounts owed to the indenture trustee, owner trustee, and the administrator. 15 Any remainder to the depositor. If finance charge collections, recoveries, and investment earnings are insufficient to pay the series transaction's monthly interest payments or the trustee and servicing fees, the shortfalls will be paid by reallocating amounts from the available principal collections to the extent available. Although this provides liquidity protection for the transaction, if any reallocated principal from finance charge collections are not reimbursed, the collateral amount available to pay the notes' principal balance may be reduced. Reallocated principal collections available to each class of notes are limited by the amount of subordination available to those notes. During the revolving period, principal collections are paid to the transferor and then reinvested in new receivables. During the controlled accumulation period, collected principal will be deposited into a principal funding account daily for distribution to the noteholders on the expected payment date. A reserve account will be funded to 0.50% of the note principal balance from finance charge collections to cover any negative carry risk if the investment earnings on the principal funding account are insufficient to make monthly interest payments on the notes during the accumulation period. The reserve account does not need to be funded if the accumulation period is only one month. If an early amortization event occurs, the principal collections allocated to the series transaction will be immediately distributed to the noteholders in the following priority: Class A notes until paid in full; Class B notes until paid in full; Class C notes until paid in full; and Class D notes until paid in full. Early amortization events include the following: MAY 20,

7 The three-month average portfolio yield (finance charge collections net of defaults and uncovered dilution) is less than the three-month average base rate (monthly interest payments and trustee and servicing fees); The note principal balance is not fully paid on the expected payment date; The transferor fails to transfer the receivables into the trust to maintain the required transferor's interest or fails to transfer the receivables into the trust to maintain the required minimum principal receivables balance; The transferor fails to make a payment or deposit within five business days after it was due; The transferor breaches a covenant, agreement, representation, or warranty or has material inaccuracies regarding a breach for 60 days after notification of such breach; A servicer default occurs; A transferor-related or bank-related bankruptcy, insolvency, liquidation, conservatorship, receivership, or similar event occurs; The trust becomes subject to regulation as an investment company within the meaning of the Investment Company Act of 1940; and An event of default occurs. An event of default will occur if: The trust fails to pay interest when due and payable, and the default continues for 35 days, or it fails to pay principal on the notes when due and payable on the final payment date; A trust-related bankruptcy, insolvency, conservatorship, receivership, liquidation, or similar event occurs; or The trust fails to observe or perform covenants or agreements made in the indenture regarding the notes, and the failure continues for 60 days after the indenture trustee has or the noteholders representing at least 25% of the note principal amount have notified the trust, which requires the failure to be remedied and materially and adversely affects the noteholders' interests during the 60-day period. Collateral Overview The composition of retailers in this trust is more concentrated than in other multi-retailer private-label trusts, as the top four merchants account for approximately 89.0% of the receivables and 83.6% of the number of accounts in the pool (see table 2). Table 2 Trust Composition As Of April 30, 2016 Merchant S&P Global Ratings' credit rating (%) of receivables (%) of accounts Walmart Stores Inc. (includes Sam's Club) AA/Stable/A J.C. Penney Co. Inc. (includes dual and store cards) B/Positive/ Lowe's Cos. Inc. A-/Stable/A The Gap Inc. (includes dual and store cards) BBB-/Negative/NR Total N/A NR--Not rated. N/A--Not applicable. In our opinion, some of the risks that are generally inherent in private-label securitizations include the merchants' performance, financial health, operations, and relationship with third-party credit card originators. We believe that the pool's collateral quality and performance could be affected if the current retailer mix shifts. To reflect this risk in our analysis, we considered how removing certain merchants based on their performance and size could affect the total MAY 20,

8 pool performance and the overall receivables composition in the pool. Asset Pool Collateral Characteristics Overall, we believe that the receivables designated to the master trust reflect a relatively well-seasoned, geographically diverse portfolio. A significant percentage of the receivables included in the trust have high FICO scores and long performance history. Approximately 75% of the receivables, as of April 30, 2016, have FICO scores above 660, and approximately 35% have FICO scores above 720. The average account balance and credit limit for the trust have been trending higher since 2010, which could be attributed to the seasoning of the accounts. As of April 30, 2016, the trust assets backing the ownership interest securitized in this transaction consisted of $14.29 billion in total receivables outstanding and had the following characteristics: The average receivables balance was $745. The average credit limit was $3,775. The utilization rate was 19.7%. The weighted average account age was 141 months. Accounts older than 60 months generated 88.6% of the receivables. Accounts equal to or less than 24 months old generated 0.0% of the receivables. About 16.25% of the accountholders made minimum payments, while 35.16% of accountholders made full payments or greater than full payments. The top five geographic concentrations were Texas (9.7% of the receivables), California (7.8%), Florida (6.4%), North Carolina (5.5%), and New York (4.8%). Collateral Performance Overall, the receivables in Synchrony CCMNT exhibit a lower payment rate than, higher net loss and delinquency rates than, and similar yield to S&P Global Ratings' Private-Label Credit Card Quality Index (PLCCQI; see table 3). Table 3 Synchrony Credit Card Master Note Trust Portfolio Performance Average principal receivables outstanding (Bil. $) PLCCQI Three months ended March 31 Year ended Dec Annual yield (%) (i) Monthly total payment rate (%) (ii) Annual net losses (%) (iii) Delinquency rate (%) (iv) (i)the total trust income for the collection period as a percentage of eligible principal receivables (annualized). (ii)the total monthly collections (obligor principal and finance charge payments) as a percentage of total outstanding receivables. (iii)the net losses on principal receivables for the collection period as a percentage of eligible principal receivables (annualized). (iv)the past-due amount for the last collection in the period as a percentage of that month's eligible principal receivables. PLCCQI--S&P Global Ratings' Private-Label Credit Card Quality Index. MAY 20,

9 S&P Global Ratings' Rating Assumptions Generally, our base-case assumptions reflect our view of the trust's expected performance during multiple economic scenarios, including for the next months, based on trust-specific performance trends (i.e., delinquency, delinquency roll rates, pool stratification quality and consistency, underwriting, and account management); trust performance relative to peers; and trust sensitivity to our forecasted economic variables, such as unemployment and bankruptcy rates. (For more information on our economic forecast, see "Economic Research: Is The U.S. Economy Ready To Roll Up Around The Bend?" published March 31, 2016.) (For a more detailed description of credit card receivables performance and collateral data for this trust compared with our credit card quality index (CCQI) and other trusts we monitor, see "U.S. Credit Card Quality Index: Monthly Performance March 2016," published May 6, 2016) Our stress assumptions reflect our view of how performance variables could deteriorate in an early amortization scenario. See table 4 for a summary of the stresses we used when assigning our ratings to the series transaction. (For more information on our criteria, see "Revised Purchase And Payment Rate Assumptions For U.S. Credit Card ABS," published Sept. 14, 2011, and "General Methodology And Assumptions For Rating U.S. ABS Credit Card Securitizations," published April 19, 2010.) In our opinion, one of the risks that is generally inherent in pools with multiple partner relationships is the potential shift in concentrations, which we believe could affect the pool's collateral quality and receivables performance. As previously mentioned, we accounted for this risk by considering how removing certain partners based on their performance and size could affect the pool's performance and the overall receivables composition in the pool. Our assumptions based on our current criteria include a 8.5% base-case loss rate, a 13.0% base-case payment rate, and a 21.5% base-case yield, along with our stressed purchase rate and excess spread, to determine if sufficient credit support is available for each preliminary rating category. Table 4 S&P Global Ratings' Rating Scenarios S&P Global Ratings' base-case assumption Net losses (i) Total payment rate (ii) Yield (iii) Purchase rate 8.50% 13.0% 21.5% N/A S&P Global Ratings' 'AAA' rating stresses 4.24x our base case 48.1% of our base case 55.8% of our base case S&P Global Ratings' 'AA' rating stresses (iv) 3.65x our base case 51.9% of our base case 58.1% of our base case S&P Global Ratings' 'A' rating stresses 2.94x our base case 57.7% of our base case 60.5% of our base case S&P Global Ratings' 'BBB' rating stresses 2.00x our base case 71.2% of our base case (v) 75.0% of our base case (i)in the 'AAA', 'AA', and 'A' rating scenarios, losses start near our base-case assumption and then rise to the stressed multiple in 12 months. In the 'BBB' rating scenario, losses start near our base-case assumption and then rise to the stressed multiple in 18 months. (ii)in all rating scenarios, the total payment and purchase rates start at the stressed level in the first month of the cash flows. (iii)in the 'AAA', 'AA', and 'A' rating scenarios, the yield starts at the stressed level in the first month of the cash flows. In a 'BBB' rating scenario, yield starts near our base-case assumption and then decreases to the stressed level over an 18-month period. (iv)for our 'AA' rating category, we generally determine our stress by interpolating the stresses for the 'AAA' and 'A' rating categories. (v)the stressed payment rate level for the 'BBB' rating scenario falls outside of our published ranges for payment rate. In this scenario, we generally put an emphasis on the history, diversity, and the ratings of the merchants in the pool, as well as the originator's strong relationship with its investment-grade-rated parent. N/A--Not applicable. 0.50% 1.00% 1.50% 4.00% MAY 20,

10 Net losses We assume an 8.50% base-case losses that incorporate economic variables, including our U.S. unemployment forecast. In a baseline scenario, our current U.S. unemployment forecast is 4.8% for full-year 2016 and 4.5% for full-year Synchrony CCMNT's current net loss rate is slightly higher than the PLCCQI's net loss rate, as shown in table 3. Overall, the trust's net losses have been falling since 2009, which is the trend in the PLCCQI. However, in our opinion, now that Synchrony Bank is no longer part of GE, and without the additional oversight from GE, there is the potential for a looser credit standard. We factored this risk into our base-case and stress assumptions. In our 'AAA' and 'AA' rating scenarios, we assume that losses start near our base-case level and then rise to the stressed multiple in 12 months. In the 'BBB' rating scenario, we assume that losses start at our base-case level and then rise to the stressed multiple in 18 months. Total payment rate We assume a 13.0% base-case payment rate in the trust's cash flows runs. As shown in table 3, the trust's payment rate is lower than PLCCQI's rate. Under our base-case assumption, we don't expect the completed Synchrony spin-off from GE to have a material impact on the payment rate. With the lower credit limits, credit card customers' monthly payments have been fairly stable the past few years, and we expect this trend to continue. Our analysis assumes that payment rates immediately decrease to the stressed level when modeling all of our rating scenarios. Similar to other private-label pools, we apply a slightly higher haircut to our base-case payment rate in our stress scenarios compared with bank credit card pools because we think these credit cards will likely have more limited use should the originator or related stores become insolvent. Yield We currently assume a 21.5% base-case yield in the trust's cash flow runs. The trust's annual yield is similar to the PLCCQI's yield, as shown in table 3. Similar to other private-label cardholders, Synchrony Bank cardholders are less sensitive to higher annual percentage rates than bankcard holders because they view the card as both a relationship decision and a financing decision. Under our base-case assumption, we also don't expect the spin-off to have a material impact on the yield. Our 'AAA' and 'AA' cash flow analyses assume an immediate stress to the portfolio yield to reflect restrictive pricing regulations and competitive pressures, including low introductory and promotional rates. In our 'BBB' cash flow analysis, we assume yield deteriorates to the stressed level over an 18-month period. Purchase rate We assume 0.50%, 1.00%, and 4.00% purchase rate ranges for our 'AAA', 'AA', and 'BBB' rating categories, respectively, in the trust's cash flow runs. Our purchase rate assumptions account for our credit rating on the originator relative to the preliminary ratings assigned to the notes, the originator's ability to continue generating and transferring receivables to the trust, and the originated receivables' credit characteristics. Although we do not rate Synchrony Bank, we do consider its relationship with its parent, Synchrony Financial ('BBB-/Stable/--'), when determining our purchase rate stresses. MAY 20,

11 Dilution analysis Dilution, which is the noncash reduction in the principal receivables balance from merchandise returns or for any other reason excluding losses and payments, typically runs higher in retail card portfolios than it does in bankcard portfolios. Under the transaction's terms, the required transferor percentage must equal at least 5.5% of the principal receivables to cover dilution. In our analysis, we reviewed the monthly fraud and return data; staggered dilution that occurred during 30-, 60-, and 90-day cycles; and applied a stress multiple to the base-case dilution rate to derive the dilution coverage level that we believe is commensurate with the ratings. Sensitivity Analysis Our ratings incorporate credit stability as one of several factors that we use to determine an issuer's or issue's creditworthiness (see "Methodology: Credit Stability Criteria," published May 3, 2010). Accordingly, we ran sensitivity analyses to determine the notes' credit stability during periods of moderate economic stress. Based on our rating stability definition, 'AAA' and 'AA' ratings signify that we do not expect the ratings on the notes to fall more than one rating category within 12 months of the rating assignment under moderate stress conditions. In addition, a 'BBB' preliminary rating assigned to a new credit card class of notes signifies that we do not expect the rating on the notes to fall more than two rating categories within 12 months of the rating assignment under moderate stress conditions. To test whether the preliminary 'AAA (sf)', 'AA+ (sf)', and 'AA- (sf)' ratings we assigned to the class A, B, and C notes, respectively, would be vulnerable to a downgrade of more than one category in a moderate ('BBB') stress scenario, and to test whether the preliminary 'BBB (sf)' rating we assigned to the class D notes would be vulnerable to a downgrade of more than two categories in a moderate ('BBB') stress scenario, we ran sensitivity analyses assuming that the pool's base-case loss rate would increase to 2.0x the current base-case loss rate. Based on the credit support available to the notes, we believe that our 'AAA (sf)', 'AA+ (sf)', and 'AA- (sf)' ratings on the notes wouldn't become vulnerable to a downgrade by more than one rating category, and the 'BBB (sf)' rating on the notes wouldn't become vulnerable to a downgrade of more than two rating categories. Related Criteria And Research Related Criteria Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance, May 29, 2015 Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In A Nonmonetary EOD, March 2, Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012 Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 Revised Purchase And Payment Rate Assumptions For U.S. Credit Card ABS, Sept. 14, 2011 General Methodology And Assumptions For Rating U.S. ABS Credit Card Securitizations, April 19, 2010 General Criteria: Understanding Standard & Poor's Rating Definitions, June 3, 2009 Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, MAY 20,

12 Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006 Legal Criteria For U.S. Structured Finance Transactions: Criteria Related To Asset-Backed Securities, Oct. 1, 2006 Legal Criteria For U.S. Structured Finance Transactions: Appendix III: Revised UCC Article 9 Criteria, Oct. 1, 2006 Legal Criteria For U.S. Structured Finance Transactions: Securitizations By SPE Transferors And Non-Code Transferors, Oct. 1, 2006 Legal Criteria For U.S. Structured Finance Transactions: Select Issues Criteria, Oct. 1, 2006 Related Research U.S. Credit Card Quality Index: Monthly Performance March 2016, May 6, 2016 Economic Research: Is The U.S. Economy Ready To Roll Up Around The Bend?, March 31, 2016 Global Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors On Credit Quality, July 2, 2014 June 11, 2014, Affirmations Of U.S. Private-Label Credit Card ABS Trusts Considered Improved Receivables Performance And Updated Assumptions, June 11, 2014 In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?" March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk Framework Methodology And Assumptions," June 25, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, MAY 20,

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