DBRS Finalises Provisional Ratings on Wizink Master Credit Cards Series 2019-03 Notes

DBRS Ratings Limited (DBRS) finalised provisional ratings on the Note Series 2019-03 (the Notes) issued by Wizink Master Credit Cards Fondo de Titulización (the issuer) as follows:

-- AA (sf) on the Class A2019-03 Notes
-- BB (high) (sf) on the Class C2019-03 Notes

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

The 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.
-- The transaction’s ability to withstand stressed cash flow assumptions and repay the Notes.
-- Wizink Bank S.A. (the seller)’s capabilities with respect to originations, underwriting, cash management, data processing 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.

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 notes that the issuance of the Notes will not result in a downgrade or withdrawal of the ratings 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
-- AA (sf) for the Class A 2019-01 Notes
-- BB (high) (sf) for the Class C 2019-01 Notes
-- AA (high) (sf) for the Class A 2019-02 Notes
-- BB (high) (sf) for the Class C 2019-02 Notes

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 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 these ratings include performance data relating to the receivables provided by the seller through the management company, 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 April 2019.

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

This is the first rating action on the Notes since the initial rating date.

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 under the four stress scenarios are:

-- Class A2019-03 Notes: A (high) (sf), A (sf), AA (low) (sf), A (low) (sf)
-- Class C2019-03 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 Date: 1 July 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

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.