DBRS Finalises Provisional Rating of AA (sf) on Class A2019-01 and Discontinues the Class A2017-01 Rating of Columbus Master Credit Cards

DBRS Ratings Limited (DBRS) finalised the provisional rating of AA (sf) on the Class A2019-01 Notes (together with the unrated Class C2019-01 Notes, the Notes Series 2019-01) issued by Columbus Master Credit Cards Fondo de Titulización (the Issuer).

As the issuance proceeds of the Notes Series 2019-01 were used to redeem the outstanding Note Series 2017-01 of the Issuer, the AA (high)(sf) rating of the Class A2017-01 Notes was discontinued due to the full repayment.

The rating addresses the timely payment of scheduled interest and ultimate repayment of principal by the legal final maturity date.

The rating is based on the following considerations:

--The 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.
-- The transaction’s ability to withstand stressed cash flow assumptions and repay the Class A2019-01 Notes.
-- Servicios Financieros Carrefour, E.F.C., S.A. (the Seller)’s capabilities with respect to originations, underwriting and servicing.
--The 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” with a Stable trend by DBRS.
--The consistency of the 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.

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 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 “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 include performance data relating to the receivables provided by the Seller through the Arrangers, Banco Santander, S.A. and Natixis, 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 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.

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

This is the first rating action since the Initial Rating Date for the Class A2019-01 Notes.

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:

-- Expected Charge-Off Rate: 8%
-- Expected Principal Payment Rate: 4.5%
-- Expected Yield Rate: 19%

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 rating under the four stress scenarios are:

-- Class A2019-01 Notes: A (high) (sf), AA (low) (sf), AA (low) (sf), A (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.

The rating assigned by DBRS Ratings Limited is 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: 19 June 2019

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
-- 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 info@dbrs.com.