DBRS Morningstar Confirms Ratings on Nine World Financial Network Credit Card Master Note Trust Transactions

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on 27 securities issued by nine World Financial Network Credit Card Master Note Trust (the Trust) transactions.

The transactions reviewed were

-- World Financial Network Credit Card Master Note Trust Series 2009-VFN
-- World Financial Network Credit Card Master Note Trust Series 2015-B
-- World Financial Network Credit Card Master Note Trust Series 2017-C
-- World Financial Network Credit Card Master Note Trust Series 2018-A
-- World Financial Network Credit Card Master Note Trust Series 2018-B
-- World Financial Network Credit Card Master Note Trust Series 2018-C
-- World Financial Network Credit Card Master Note Trust Series 2019-A
-- World Financial Network Credit Card Master Note Trust Series 2019-B
-- World Financial Network Credit Card Master Note Trust Series 2019-C

The ratings are based on DBRS Morningstar’s review of the following considerations:
-- The performance and quality of the credit card receivables pool.
-- The base-case charge-off assumptions for each series DBRS Morningstar rates. Multiple factors led to this increased rate: a gradual increase in charge-offs in the Trust portfolio and an overall increase in the expected charge-off rate assumption because of the expected impact of the Coronavirus Disease (COVID-19) pandemic.
-- The transaction’s form and sufficiency of available credit enhancement. Overcollateralization, subordination, spread accounts, and excess spread create credit enhancement levels and liquidity that are commensurate with the ratings.

DBRS Morningstar also incorporated the following information and actions in its rating confirmations:
-- In conjunction with DBRS Morningstar’s commentary “Global Macroeconomic Scenarios: June Update,” published on June 1, 2020, DBRS Morningstar updated certain assumptions for this transaction.
-- The updated assumptions consider the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). The moderate scenario assumes some success in containment within Q2 2020 and a gradual relaxation of restrictions, enabling most economies a gradual economic recovery in Q3 2020.
-- The amendment provided for the inclusion of cobranded accounts for future additions to the Trust, a change in the technical reasons for depositing funds into the excess funding account, and technical procedures and timing to measure the Transferor Interest.
-- DBRS Morningstar has performed an operational risk review to assess the capability of Comenity Bank’s (Comenity) origination and servicing functions in Columbus, Ohio. DBRS Morningstar deems Comenity to be an acceptable originator and servicer.
-- Transaction cash flows are sufficient to repay investors under all respective stress scenarios in accordance with the terms of each respective Series’ transaction documents.
-- Certain legal structure and expected legal opinions are consistent with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance.”

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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

The principal methodology is Rating U.S. Credit Card Asset-Backed Securities (August 6, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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