Press Release

DBRS Morningstar Confirms Rating on Columbus Master Credit Cards Fondo de Titulización

Consumer Loans & Credit Cards
June 24, 2020

DBRS Ratings Limited (DBRS Morningstar) confirmed its AA (sf) rating on the Class A2019-01 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 in December 2092.

The rating confirmation 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 in June 2021.

As of May 2020, receivables that were two- to three-months in arrears represented 0.9% of the portfolio, the 90+ delinquency ratio was 3.8%, the annualised charge-off rate was 6.6%, the annualised portfolio yield was 20.2%, and the monthly principal payment rate (MPPR) was 4.4%.

DBRS Morningstar has maintained its base case charge-off rate, payment rate, and yield assumptions at 8.0%, 4.5%, and 19.0%, respectively.

As of the May 2020 payment date, credit enhancement to the Notes was 27.0%. The Notes benefit from a minimum subordination of 26.4%, provided by the Class C2019-01 Notes and the Seller Interest Credit Facility.

The transaction benefits from a general reserve of EUR 5.2 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 Morningstar 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 Morningstar 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 Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in its proprietary cash flow engine.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus.

On 16 April 2020, the DBRS Morningstar Sovereign group published its outlook on the impact to key economic indicators for the 2020-22 time frame. These scenarios were updated on 1 June 2020. For details see the following commentaries: and The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.
For more information on DBRS Morningstar considerations for European ABS transactions and Coronavirus Disease (COVID-19), please see the following commentary:

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology” (22 April 2020).

DBRS Morningstar 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 at:

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 “Global Methodology for Rating Sovereign Governments” at:

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

At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS Morningstar 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 24 June 2019, when DBRS Morningstar finalised its provisional rating on the Class A2019-01 Notes at AA (sf) and discontinued its rating on the Class A2017-01 Notes.

The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- Scenario 1: a 25% increase on the expected charge-off rate.
-- Scenario 2: a 25% decrease on the expected MPPR.
-- 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 MPPR and 15% decrease on the expected yield rate.

Class A2019-01 Notes Risk Sensitivity:

-- Under Scenario 1, expected rating of A (high) (sf)
-- Under Scenario 2, expected rating of AA (low) (sf)
-- Under Scenario 3, expected rating of AA (low) (sf)
-- Under Scenario 4, expected rating of A (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings Limited are subject to EU and U.S. regulations only.

Lead Analyst: Andrew Lynch, 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:

-- Legal Criteria for European Structured Finance Transactions (11 September 2019),
-- Master European Structured Finance Surveillance Methodology (22 April 2020),
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (13 January 2020),
-- Operational Risk Assessment for European Structured Finance Originators (28 February 2020),

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at

For more information on this credit or on this industry, visit or contact us at [email protected].