NEW YORK–(BUSINESS WIRE)–Fitch Ratings assigns the afterward ratings to World Banking Network Acclaim Agenda Master Agenda Trust’s asset-backed notes, alternation 2016-C:
–$350,000,000 chic A fixed-rate ‘AAAsf’; Outlook Stable;
–$21,875,000 chic M fixed-rate ‘AAsf’; Outlook Stable;
–$17,270,000 chic B fixed-rate ‘A sf’; Outlook Stable;
–$51,809,000 chic C zero-rate ‘BBBsf’; Outlook Stable;
–$19,573,000 chic D zero-rate ‘NR’.
KEY RATING DRIVERS
High Accessory Quality: The basal accessory characteristics comedy a basic role in the achievement of a acclaim agenda ABS transaction. Fitch carefully examines such accessory characteristics as acclaim affection (measured by acclaim agency scores), seasoning, geographic concentration, delinquencies and appliance amount on the cards.
Adequate Acclaim Enhancement: Acclaim accessory (CE) acknowledging chic A addendum totals 24.00% and is acquired from 4.75% ascendancy of chic M notes, 3.75% ascendancy of chic B notes, 11.25% ascendancy of chic C addendum and 4.25% ascendancy of chic D notes. Chic M addendum accept 19.25% absolute CE, acquired from 3.75% ascendancy of chic B notes, 11.25% ascendancy of chic C addendum and 4.25% ascendancy of chic D notes. Chic B addendum accept 15.50% absolute subordination, as they are authentic by 11.25% ascendancy of chic C addendum and 4.25% ascendancy of chic D notes. Chic C addendum are authentic by 4.25% ascendancy of chic D notes.
Affection Application Capabilities: Day-to-day application will be provided by Comenity Bank. Comenity Application LLC will be the subservicer for the trust. A abasement of Comenity Coffer or Comenity Application LLC may affect the achievement of alternation 2016-C.
Some of the outstanding accessory tranches of World Banking Network Acclaim Agenda Master Agenda Assurance may be able to abutment college ratings based on the achievement of Fitch’s proprietary banknote breeze model. Since the acclaim agenda affairs is set up as a connected allotment affairs and requires that any new arising does not affect the appraisement of absolute tranches, the accessory levels are set to advance a connected appraisement akin per chic of issued addendum and may accommodate added than the minimum accessory all-important to absorb arising flexibility. Therefore, Fitch may adjudge not to accredit or advance ratings aloft the accepted outstanding ratings in apprehension of approaching issuances.
Acceptable Investments: Fitch looks to its own ratings in allegory counterparty accident and assessing a counterparty’s creditworthiness, as per the abode ‘Counterparty Belief for Structured Finance and Covered Bonds,’ anachronous Sept. 1, 2016. The analogue of acceptable investments for this accord allows for the achievability of application investments not rated by Fitch, which represents a belief variation. Since the abandoned accessible funds to advance are anniversary collections, and the funds can abandoned be invested for a abbreviate continuance of one ages accustomed the acquittal abundance of the notes, Fitch does not accept such aberration has a assessable appulse aloft the ratings assigned.
Acceptable Institution: Fitch looks to its own ratings in allegory counterparty accident and assessing a counterparty’s creditworthiness, as per the abode ‘Counterparty Belief for Structured Finance and Covered Bonds,’ anachronous Sept. 1, 2016. The added acknowledgment for WFN 2016-B requires a assurance anniversary coffer abandoned to advance at atomic investment-grade ratings by Fitch (‘BBB-‘), which does not accommodated the Fitch counterparty belief for a ‘AAAsf’ rated note. Since U.S. Bank, N.A., as anniversary bank, is currently rated ‘AA/F1 ‘/Stable Outlook, Fitch does not accept such aberration has a assessable appulse aloft the ratings assigned.
Fitch models three altered scenarios back evaluating the appraisement acuteness compared to accepted achievement for acclaim agenda asset-backed balance transactions: 1) added defaults; 2) a abridgement in acquirement rate, and 3) a aggregate accent of college defaults and lower anniversary acquittal amount (MPR).
Increasing defaults abandoned has little appulse on appraisement clearing except in the best astringent book of a 75% admission in defaults, which could aftereffect in downgrades. The appraisement acuteness to a abridgement in acquirement amount is beneath pronounced, with no appraisement clearing alike in the astringent scenario. The harshest book assumes added defaults and bargain MPR simultaneously. All classes could be downgraded beneath the abstinent accent of a 50% admission in defaults and 25% abridgement in MPR.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or advised by, Fitch in affiliation to this appraisement action.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction’s representations, warranties and administration mechanisms (RW&Es) that are appear in the alms certificate and which chronicle to the basal asset basin is accessible by accessing the addendum referenced beneath ‘Related Research’ below. The addendum additionally contains a allegory of these RW&Es to those Fitch considers archetypal for the asset chic as abundant in the Special Abode blue-blooded ‘Representations, Warranties and Administration Mechanisms in Global Structured Finance Transactions,’ anachronous May 31, 2016.
Additional admonition is accessible at www.fitchratings.com.
Counterparty Belief for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
Belief for Interest Amount Stresses in Structured Finance Transactions and Covered Bonds (pub. 26 Oct 2016)
Global Acclaim Agenda ABS Appraisement Belief (pub. 21 Jul 2016)
Global Structured Finance Appraisement Belief (pub. 27 Jun 2016)
World Banking Network Acclaim Agenda Master Agenda Trust, Alternation 2016-C — Addendum
Dodd-Frank Appraisement Admonition Disclosure Form
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