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

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on eight securities issued by three World Financial Network Credit Card Master Note 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 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 transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2022 Update, published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive.

-- The amendment provides for amending the account eligibility for two retailers in the issuing entity. The Trust 1 assets currently consists of $6.6 billion as of February 2022.

-- 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.

-- The performance and quality of the credit card receivables pool.

-- 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.

-- Transaction cash flows are sufficient to repay investors under all respective stress scenarios in accordance with the terms of each respective Series’ transaction documents.

-- The legal structure and expected legal opinions that address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar's “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is Rating U.S. Credit Card Asset-Backed Securities (August 9, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar’s analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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