DBRS Confirms Rating on Columbus Master Credit Cards Fondo de Titulización

DBRS Ratings Limited (DBRS) confirmed its AA (high) (sf) rating on the Class A2017-01 Notes (the Notes) issued by Columbus Master Credit Cards Fondo de Titulización (the Issuer).

The rating on the Notes addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The rating action follows an annual review of the transaction and is based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, yield, charge-off rates and principal payment rates.
-- Current available credit enhancement to the Notes to cover the expected losses at their current rating level.
-- No revolving termination events or acceleration amortisation events have occurred.

The Notes are backed by credit card receivables related to credit agreements originated by Servicios Financieros Carrefour, E.F.C., S.A. (SFC) to customers in Spain. The transaction is currently in its two-year revolving period scheduled to end on 26 April 2019.

PORTFOLIO PERFORMANCE
As of January 2019, receivables that were two- to three-months in arrears represented 0.6% of the portfolio and the 90+ delinquency ratio was 1.4%. As of January 2019, the annualised charge-off rate was 6.6%, the annualised portfolio yield was 19.8% and the monthly principal payment rate (MPPR) was 5.5%. While the portfolio yield has remained stable and the MPPR has been trending consistently above the initial base case assumption, DBRS has observed a deterioration in performance in terms of the charge-off rate. As a result, DBRS increased its base case annualised charge-off rate assumption to 8.0% from 6.5%, increased its base case MPPR assumption to 4.5% from 3.7%, and maintained its annualised portfolio yield assumption at 19.0%.

CREDIT ENHANCEMENT
As of the March 2019 payment date, credit enhancement to the Notes was 25.8%. The Notes benefit from a minimum subordination of 23.6%, provided by the Class C2017-01 Notes and the Seller Interest Credit Facility.

The transaction benefits from a general reserve of EUR 5.6 million, available to cover senior expenses and interest payments on the Notes.

Banco Santander SA acts as the account bank for the transaction. Based on the account bank reference rating of A (high), which is one notch below the DBRS public Long-Term Critical Obligations Rating of Banco Santander SA at AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology”.

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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

The sources of data and information used for this rating includes performance data relating to the receivables provided by SFC, and investor reports provided by InterMoney Titulización S.G.F.T., S.A.

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 last rating action on this transaction took place on 9 April 2018, when DBRS confirmed its rating on the Notes at AA (high) (sf).

Information regarding DBRS ratings, including definitions, policies and methodologies is available at 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: Base case of 8.0%, stressed with a 25% and 50% increase
-- MPPR: Base case of 4.5%, stressed with a 25% and 50% decrease
-- Yield Rate: Base case of 19.0%, stressed with a 25% and 50% decrease

Class A2017-01 Notes Risk Sensitivity:

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

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

Whilst holding the Charge-Off Rate constant:
-- 25% decrease in Yield Rate and 25% decrease in MPPR, expected rating of A (sf)
-- 50% decrease in Yield Rate and 50% decrease in MPPR, expected rating of BB (high) (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: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 5 April 2017

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

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- 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.

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