DBRS Assigns Provisional Ratings to World Financial Network Credit Card Master Note Trust Series 2016-B

DBRS, Inc. (DBRS) has today assigned provisional ratings to all classes of notes (the Series 2016-B Notes) issued by World Financial Network Credit Card Master Note Trust Series 2016-B (the Issuer) as follows:

-- $250,000,000 Class A at AAA (sf)
-- $15,630,000 Class M at AA (sf)
-- $12,335,000 Class B at A (sf)
-- $37,006,000 Class C at BBB (sf)

The assigned ratings are based upon the following factors:

-- The form and sufficiency of available credit enhancement.
-- DBRS has performed an operational risk review to assess the capability of Comenity Bank’s (Comenity) origination and servicing functions in Columbus, Ohio. DBRS deems Comenity to be an acceptable originator and servicer.
-- The performance and quality of the credit card receivables pool.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Comenity, the fact that the trust has a valid first-priority security interest in the assets and the consistency with DBRS’s “Legal Criteria for U.S. Structured Finance” methodology.

The ratings assigned to the Series 2016-B Notes reflect sufficient credit enhancement levels for each of the assigned ratings, the credit quality of the collateral loan pool and historical portfolio performance and the effectiveness of the dual waterfall payment structure and legal structure. The ratings address the timely payment of interest and full payment of principal by the legal final maturity date. There are currently 11 term series and one variable funding note outstanding prior to the issuance of the Series 2016-B Notes. The total invested amount of all current term notes is $5.2 billion as at August 2016.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is U.S. Credit Card Asset-Backed Securities, which can be found on the DBRS website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

Please see the attached appendix for additional information regarding the sensitivity of the assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.