Press Release

DBRS Morningstar Confirms Ratings of Tagus – Sociedade de Titularização de Créditos, S.A. (Victoria Finance No. 1)

Consumer Loans & Credit Cards

July 28, 2022

DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings of the notes issued by Tagus – Sociedade de Titularização de Créditos, S.A. (Victoria Finance No. 1) (the Issuer) as follows:

-- Class A Notes at A (high) (sf)
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (high) (sf)

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, charge-offs, principal payment rates, and yield rates, as of the June 2022 payment date.
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.
-- No revolving termination events have occurred.

The Issuer is a securitisation of credit card receivables granted to individuals under credit card agreements originated and serviced by WiZink Bank, S.A.U. Portuguese branch (WiZink Portugal). WiZink Portugal is the rebranding of the BarclayCard operation acquired in Portugal (which was previously acquired from Citigroup). The transaction closed in July 2020 and has a revolving period that is scheduled to end in September 2023.

PORTFOLIO PERFORMANCE
As of the June 2022 payment date, the monthly principal payment rate (MPPR) was 8.9%, averaging 7.6% since closing. The annualised gross charge-off rate was 3.1%, averaging 1.9% since closing. The annualised yield rate was 24.2%, averaging 19.1% since closing.

As of the June 2022 payment date, receivables two- to three-months in arrears represented 0.3% of the outstanding portfolio balance, while receivables more than three months in arrears represented 1.4% of the outstanding portfolio balance.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar maintained its base case monthly principal payment rate (MPPR), charge-off rate, and yield rate assumptions at 4.8%, 10.5%, and 15.0%, respectively, at the B (low) (sf) rating level.

CREDIT ENHANCEMENT
Credit enhancement available to the rated notes during the amortisation period consists of subordination of the junior notes and SICF note, potential overcollateralisation, and excess spread.

The cash reserve was funded at closing through the proceeds of the Class S Notes. The cash reserve is funded to its target level of EUR 3.9 million, equal to 1% of the outstanding Class A Notes balance, and is available to cover senior fees and interest on the Class A Notes.

Elavon Financial Services DAC (Elavon) acts as the issuer account bank for the transaction. Based on DBRS Morningstar’s private ratings of Elavon, and the downgrade provisions outlined in the transaction documents, DBRS Morningstar considers the risk arising from the exposure to the issuer account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in DBRS Morningstar’s proprietary Excel-based cash flow engine.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact 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/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

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

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.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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

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

At the time of the initial rating, DBRS Morningstar was 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 28 July 2021 when DBRS Morningstar confirmed its ratings of the Class A, Class B, and Class C Notes at A (high) (sf), BBB (sf), and BB (high) (sf), respectively.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the Base Case at the B (low) rating level):

-- Base Case MPPR: 4.75%
-- Base Case Charge-Off Rate: 10.5%
-- Base Case Yield Rate: 15.0%

-- Scenario 1: 25% decrease in principal payment rate
-- Scenario 2: 25% increase in charge-off rate
-- Scenario 3: 25% decrease in yield
-- Scenario 4: 15% decrease in yield, 15% decrease in principal payment rate, 15% increase in charge-off rate

DBRS Morningstar concludes that the expected ratings under the four stress scenarios are:
Class A: A (low) (sf), BBB (high) (sf), A (low) (sf), BBB (sf)
Class B: BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (sf)
Class C: BB (sf), BB (sf), BB (sf), B (high) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 July 2020

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https://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.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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