Morningstar DBRS Finalizes Provisional Credit Rating on World Financial Network Credit Card Master Note Trust Series 2024-A

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit rating on the following class of notes issued by World Financial Network Credit Card Master Note Trust Series 2024-A:

-- $500,000,000 Class A Notes rated AAA (sf)

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating is based on Morningstar DBRS' review of the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.
-- Form and sufficiency of available credit enhancement. Morningstar DBRS has determined that there is sufficient credit enhancement for the assigned credit rating.
-- Morningstar DBRS has performed an operational risk review to assess the capability of Comenity Bank's (Comenity) origination and servicing functions. Morningstar DBRS deems Comenity as an acceptable originator and servicer.
-- Performance, quality, and diversification of the credit card receivables pool.
-- The receivables in the trust stem from a well-diversified base of seasoned retailers. Performance has been within expectations, despite challenges at the onset of the pandemic and more recent inflation-led stress on the consumer.
-- The Morningstar DBRS base-case assumption for charge-offs is 12.00%.
-- Comenity, the servicer and originator, is a wholly owned subsidiary of Bread Financial Holdings, Inc. (Bread), formerly known as Alliance Data Systems, Inc. Bread is publicly traded and a leading provider of tech-forward payment and lending solutions, serving customers and consumer-based industries in North America.
-- Historical funding and experience in the securitization market.
-- Exposure to the retail industry through private label and co-branded cards.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the issuing entity, the nonconsolidation of the special-purpose vehicle with Comenity, that the trust has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance."

Morningstar DBRS' credit rating on the Class A Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated note are the related Monthly Interest and related Principal Balance.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation for the rated note is the related interest on any unpaid Monthly Interest.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk
that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

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

The principal methodology applicable to the credit rating is Rating U.S. Credit Card Asset-Backed Securities (July 24, 2023), https://dbrs.morningstar.com/research/417562.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info-DBRS@morningstar.com.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Rating U.S. Structured Finance Transactions (April 15, 2024), https://dbrs.morningstar.com/research/431204
-- Operational Risk Assessment for U.S. ABS Servicers (March 21, 2024), https://dbrs.morningstar.com/research/430003
-- Operational Risk Assessment for U.S. ABS Originators (March 21, 2024), https://dbrs.morningstar.com/research/430004
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.