Press Release

DBRS Finalises Provisional Ratings of AA (sf) and BB (high) (sf) on Wizink Master Credit Cards 2019-01 Notes and Confirms the Outstanding Series

Consumer Loans & Credit Cards
April 26, 2019

DBRS Ratings Limited (DBRS) finalised its provisional ratings of AA (sf) and BB (high) (sf), respectively, on the Class A2019-01 Notes and Class C2019-01 Notes (collectively, the Notes) issued by Wizink Master Credit Cards Fondo de Titulización (the Issuer).

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

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

DBRS’s ratings are based on the following considerations:

--Transaction capital structure including available credit enhancement in the form of subordination, liquidity support and excess spread.
--Sufficient credit enhancement levels to support DBRS’s expected performance under various stress scenarios and the transaction’s ability to withstand stressed cash flow assumptions.
-- Seller’s capabilities with respect to originations, underwriting, cash management, data processing and servicing.
--An operational risk review of the Seller, which is deemed by DBRS to be an acceptable servicer.
--The transaction parties’ financial strength with regard to their respective roles.
--The credit quality and concentration of the collateral and historical and projected performance of the Seller’s portfolio.
--The sovereign rating of the Kingdom of Spain, currently rated ‘A’ by DBRS.
--The consistency of legal structure with DBRS’s “Legal Criteria for European Structured Finance
Transactions” methodology and the presence of legal opinions that address the true sale of the assets to the Issuer.

Based on the latest performance data as of December 2018, DBRS revised the expected performance parameters of charge-off rate, principal payment rate and yield rate. As the Issuer is a master issuance programme where all series of notes are supported by the same pool of receivables and generally issued under the same requirements regarding servicing, amortisation events, priority of distributions and eligible investments, DBRS confirms the ratings of outstanding series and notes that the issuance of the Notes will not result in a downgrade or withdrawal of the ratings of outstanding series listed below:

-- AA (sf) for the Class A 2017-02 Notes
-- AA (high) (sf) for the Class A 2017-03 Notes
-- BB (high) (sf) for the Class C 2017-03 Notes
-- AA (sf) for the Class A 2018-01 Notes
-- BB (high) (sf) for the Class C 2018-01 Notes

The rating of the Class A2017-1 Notes was discontinued as they were repaid in full.

The transaction cash flow structure was analysed with DBRS’s proprietary Excel-based 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 these transactions 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/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings 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 December 2018.

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

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

This is the first rating action since the Initial Rating Date for Wizink 2019-01 Notes.

The last rating action took place on 22 June 2018 for Wizink 2017-02 Notes and Wizink 2017-03 Notes when DBRS confirmed the ratings, and for Wizink 2018-01 Notes when DBRS finalised its provisional ratings.

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 ratings:

-- Expected Charge-Off Rate: 9.25%
-- Expected Principal Payment Rate: 12.5%
-- Expected Yield Rate: 22.0%

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

DBRS concludes that the expected ratings of the Notes under the four stress scenarios are:

-- Class A Notes: A (sf), A (low) (sf), A (high) (sf), A (low) (sf).
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (low) (sf)

DBRS concludes that the expected ratings for the Class A2017-02 Notes: under the four stress scenarios are: AA (sf), AA (sf), AA (sf), AA (low) (sf).

DBRS concludes that the expected ratings for the 2017-03 Notes under the four stress scenarios are:
-- Class A Notes: AA (sf), AA (sf), AA (high) (sf), AA (sf).
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (low) (sf).

DBRS concludes that the expected ratings for the 2018-1 Notes under the four stress scenarios are:
-- Class A Notes: A (sf), A (low) (sf), A (high) (sf), A (low) (sf).
-- Class C Notes: BB (sf), BB (high) (sf), BB (sf), BB (low) (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 Dates: 16 April 2019 for Wizink 2019-01 Notes, 24 October 2017 for Wizink 2017-02 Notes; 23
November 2017 for Wizink 2017-03 Notes; 22 June 2018 for Wizink 2018-01 Notes.

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of these transactions 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
-- Interest Rate Stresses for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology

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 [email protected].

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.