DBRS Assigns Provisional Ratings of AA (high) (sf) and BB (high) (sf) to Wizink Master Credit Cards 2017-03 Notes

DBRS Ratings Limited (DBRS) assigned provisional ratings of AA (high) (sf) and BB (high) (sf), respectively, to the Class A2017-03 Notes and Class C2017-03 Notes (collectively the Notes) to be issued by Wizink Master Credit Cards Fondo de Titulización.

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

The ratings 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 different final ratings to the Notes.

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 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 transaction cash flow structure was analysed in DBRS’s proprietary Excel-based cash flow tool.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings 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” on: 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 August 2017. Data was provided in the form of a time-series analysis. Furthermore, pro forma stratification tables after the proposed addition were provided for the 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 not 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 these ratings to be of satisfactory quality.

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

The ratings concern newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

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 ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- Charge-Off Rate: Base Case of 8.5%, stressed with a 25% and 50% increase on the base case.
-- Monthly Principal Payment Rate (MPPR): Base Case of 14%, stressed with a 25% and 50% decrease on the base case.
-- Yield Rate: Base Case of 20%, stressed with a 25% and 50% decrease on the base case.

DBRS concludes that for the Class A2017-03 Notes:

Whilst holding the MPPR constant,
-- 25% increase in Charge-Off Rate and 25% decrease in Yield Rate, expected rating of AA (high) (sf)
-- 50% increase in Charge-Off Rate and 50% decrease in Yield Rate, expected rating of AA (high) (sf)

Whilst holding the Charge-Off Rate constant,
-- 25% decrease in Yield Rate and 25% decrease in MPPR, expected rating of AA (sf)
-- 50% decrease in Yield Rate and 50% decrease in MPPR, expected rating of AA (sf)

Whilst holding the Yield Rate constant,
-- 25% decrease in MPPR and 25% increase in Charge-Off Rate, expected rating of A (high) (sf)
-- 50% decrease in MPPR and 50% increase in Charge-Off Rate, expected rating of BBB (sf)

DBRS concludes that for the Class C2017-03 Notes:

Whilst holding the MPPR constant,
-- 25% increase in Charge-Off Rate and 25% decrease in Yield Rate, expected rating of BB (high) (sf)
-- 50% increase in Charge-Off Rate and 50% decrease in Yield Rate, expected rating of BB (sf)

Whilst holding the Charge-Off Rate constant,
-- 25% decrease in Yield Rate and 25% decrease in MPPR, expected rating of BB (sf)
-- 50% decrease in Yield Rate and 50% decrease in MPPR, expected rating of BB (sf)

Whilst holding the Yield Rate constant,
-- 25% decrease in MPPR and 25% increase in Charge-Off Rate, expected rating of BB (sf)
-- 50% decrease in MPPR and 50% increase in Charge-Off Rate, expected rating of BB (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 US regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Christian Aufsatz, Managing Director, Global Structured Finance
Initial Rating Date: 6 November 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
-- Unified Interest Rate Model for European Securitisations

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