DBRS Morningstar Confirms Ratings on Wizink Master Credit Cards Fondo de Titulización

DBRS Ratings Limited (DBRS Morningstar) confirmed its ratings on the notes issued by Wizink Master Credit Cards Fondo de Titulización (the Issuer) as follows:

-- Series 2017-03, Class A Notes at AA (high) (sf)
-- Series 2017-03, Class C Notes at BB (high) (sf)
-- Series 2018-01, Class A Notes at AA (sf)
-- Series 2018-01, Class C Notes at BB (high) (sf)
-- Series 2019-01, Class A Notes at AA (sf)
-- Series 2019-01, Class C Notes at BB (high) (sf)
-- Series 2019-02, Class A Notes at AA (high) (sf)
-- Series 2019-02, Class C Notes at BB (high) (sf)
-- Series 2019-03, Class A Notes at AA (sf)
-- Series 2019-03, Class C Notes at BB (high) (sf)

The ratings address timely payment of scheduled interest and ultimate repayment of principal by the legal final maturity date.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, charge-off rates, principal payment rates, and yield rates as of the March 2020 payment date;
-- The ability to withstand stressed cashflow assumptions;
-- No purchase termination events have occurred;
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.

The Issuer is a securitisation of credit card receivables related to credit agreements originated by Wizink Bank S.A. granted to individuals in Spain. Each series is currently in its respective revolving period.

PORTFOLIO PERFORMANCE, ASSUMPTIONS AND KEY DRIVERS
As of March 2020, the principal payment rate (PPR) was 13.2%, the annualised gross charge-off rate was 8.0%, and the annualised yield rate was 20.4%. DBRS Morningstar maintained its expected PPR, charge-off rate, and yield assumptions at 12.5%, 9.25% and 22.0%, respectively.

As of March 2020, loans that were two to three months in arrears represented 0.4% of the outstanding receivables balance, down from 1.1% in March 2019. Receivables more than three months in arrears represented 3.5% of the outstanding receivables balance, down from 4.1% in March 2019.

CREDIT ENHANCEMENT AND RESERVES
Credit enhancement to the Class A and Class C notes for each series consists of subordination of the junior notes.

The transaction benefits from a general reserve fund which can be used to cover senior fees and any interest shortfall on the Class A notes across the entire programme. The general reserve is currently funded to its target level of EUR 13.5 million, equal to 1.2% of the initial Class A notes balances for all series.

A commingling reserve facility is also funded to EUR 22.5 million, equal to 1.5% of the outstanding receivables balance, and is available to the fund following the servicer’s breach of its payment obligations.

Banco Santander S.A. acts as the Account Bank for the transaction. Based on the DBRS Morningstar account bank reference rating of A (high), one notch below the DBRS Morningstar public Long-Term Critical Obligations Rating of Banco Santander of AA (low), the downgrade provisions outlined in the transactions’ documents, and other mitigating factors inherent in the transactions` structures, DBRS Morningstar considers the risk arising from the exposure to the Account Bank in all four transactions to be consistent with the ratings assigned to the Class A Notes for each series, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in in its proprietary cash flow engine.

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.

On 16 April 2020, the DBRS Sovereign group published its outlook on the impact to key economic indicators for the 2020-22 time frame. For details see the following commentaries: https://www.dbrsmorningstar.com/research/359679/global-macroeconomic-scenarios-implications-for-credit-ratings and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

ESG CONSIDERATIONS
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 euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (22 April 2020).

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include investor reports provided by InterMoney Titulización S.G.F.T., S.A.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 26 July 2019 when DBRS Morningstar finalised its provisional ratings of the Series 2019-03 Class A and Class C Notes at AA (sf) and BB (high) (sf), respectively, and confirmed its ratings of the other outstanding series.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at www.dbrsmorningstar.com.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating:
-- Expected Charge-Off Rate: 9.25%
-- Expected PPR: 12.5%
-- Expected Yield Rate: 22.0%

-- Scenario 1: a 25% increase in the expected Charge-Off Rate
-- Scenario 2: a 25% decrease in the expected PPR.
-- Scenario 3: a 25% decrease in the expected Yield Rate.
-- Scenario 4: a 15% increase in the expected Charge-Off Rate, 15% decrease in the expected PPR and 15% decrease in the expected Yield Rate.

Series 2017-03:
-- Class A Notes: AA (sf), AA (sf), AA (high) (sf), AA (sf)
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (sf)

Series 2018-01:
-- Class A Notes: A (high) (sf), A (sf), AA (sf), A (sf)
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (sf)

Series 2019-01:
-- Class A Notes: A (high) (sf), A (sf), AA (sf), A (sf)
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (sf)

Series 2019-02:
-- Class A Notes: AA (sf), AA (low) (sf), AA (high) (sf), AA (low) (sf)
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (low) (sf)

Series 2019-03:
-- Class A Notes: A (high) (sf), A (sf), AA (sf), A (sf)
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and U.S. regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Dates:
Series 2017-03: 6 November 2017
Series 2018-01: 18 June 2018
Series 2019-01: 16 April 2019
Series 2019-02: 1 July 2019
Series 2019-03: 1 July 2019

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

-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
https://www.dbrsmorningstar.com/research/350234/legal-criteria-for-european-structured-finance-transactions
-- Master European Structured Finance Surveillance Methodology (22 April 2020)
https://www.dbrsmorningstar.com/research/354616/master-european-structured-finance-surveillance-methodology
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020)
https://www.dbrsmorningstar.com/research/357429/operational-risk-assessment-for-european-structured-finance-servicers
-- Operational Risk Assessment for European Structured Finance Originators (28 February 2020)
https://www.dbrsmorningstar.com/research/357430/operational-risk-assessment-for-european-structured-finance-originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations (13 January 2020)
https://www.dbrsmorningstar.com/research/355533/rating-european-consumer-and-commercial-asset-backed-securitisations
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019)
https://www.dbrsmorningstar.com/research/351557/interest-rate-stresses-for-european-structured-finance-transactions

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrsmorningstar.com/research/278375.

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