DBRS Assigns Provisional Rating of AA (sf) to Wizink Master Credit Cards Class A 2017-01 Notes

DBRS Ratings Limited (DBRS) has today assigned a provisional rating of AA (sf) to the Class A 2017-01 Notes (the Class A Notes; collectively with the unrated Class C 2017-01 Notes, the Notes) to be issued by Wizink Master Credit Cards Fondo de Titulización.

The Notes are backed by credit card receivables related to credit agreements originated by Wizink Bank S.A. (the Originator) to individual customers in Spain.

DBRS’s rating is based on the following considerations:
-- The sufficiency of available credit enhancement in the form of subordination, deferred purchase price, a liquidity reserve and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Class A Notes according to the terms of the transaction documents.
-- The Originator’s capabilities with respect to originations, underwriting and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

The above-mentioned rating is provisional. The rating will be finalised upon receipt of an execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign a different final rating to the Class A Notes.

The transaction was modelled in DBRS’s proprietary Excel-based cash flow model.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Rating European Consumer and Commercial Asset-Backed Securitisations”.

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

An asset and a cash flow analysis were both conducted.

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

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.

The sources of data and information used for this rating include performance data relating to the receivables provided by the Originator through the Arranger, InterMoney Titulización S.G.F.T., S.A. DBRS received monthly dynamic performance data relating to yield rates, payment rates, charge-off rates and recoveries from January 2011 to March 2017. Data was provided in the form of a time-series analysis. Furthermore, stratification tables were provided for the initial securitised pool.

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

At the time of the initial rating DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

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

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- Charge-off Rate Used: Base Case of 8.5%, stressed with a 25% and 50% increase on the base case charge-off rate.
-- Monthly Principal Payment Rate Used: Base Case of 14%, stressed with a 25% and 50% decrease on the base case payment rate.
-- Yield Rate Used: Base Case of 20%, stressed with a 25% and 50% decrease on the base case yield rate.

DBRS concludes that for the Class A Notes:

-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the AA (sf) rating of the Class A Notes.
-- Whilst holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the AA (sf) rating of the Class A Notes.
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to AA (low) (sf).
-- Whilst holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (high) (sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Class A Notes to A (sf).
-- Whilst holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would result in a downgrade of the of the Class A Notes to BBB (sf).

For further information on DBRS 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 USA regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Christian Aufsatz, Managing Director, European Structured Finance, Global Structured Finance
Initial Rating Date: 19 July 2017

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators

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