DBRS Morningstar Assigns Provisional Ratings to World Financial Network Credit Card Master Note Trust Series 2023-A

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes (the Notes) to be issued by World Financial Network Credit Card Master Note Trust Series 2023-A (WFNCCMNT 2023-A):

-- $250,000,000 Class A Notes rated AAA (sf)
-- $22,261,000 Class M Notes rated AA (sf)*

*The Class M Notes will not be offered and will be retained by the depositor

The provisional ratings are based on DBRS Morningstar’s review of the following analytical 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 – April 2023 Update,” published on April 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.
-- Form and sufficiency of available credit enhancement, DBRS Morningstar has determined that there is sufficient credit enhancement for each class’s assigned rating.
-- DBRS Morningstar has performed an operational risk review to assess the capability of Comenity Bank’s (Comenity) origination and servicing functions. DBRS Morningstar 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 DBRS Morningstar 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 expected legal opinions that will 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 DBRS Morningstar's “Legal Criteria for U.S. Structured Finance.”

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

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

The principal methodology applicable to the ratings is Rating U.S. Credit Card Asset-Backed Securities (August 8, 2022; https://www.dbrsmorningstar.com/research/401145).

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

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

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

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

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

This is a solicited credit rating.

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.

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

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

Rating U.S. Structured Finance Transactions (February 6, 2023; https://www.dbrsmorningstar.com/research/409449).

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023: https://www.dbrsmorningstar.com/research/412303).

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023; https://www.dbrsmorningstar.com/research/412302).

Legal Criteria for U.S. Structured Finance (December 7, 2022; https://www.dbrsmorningstar.com/research/407008).

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