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

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AA (sf) rating on the Class A 2021-01 Notes (the Class A Notes) issued by Columbus Master Credit Cards Fondo de Titulización (the Issuer).

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal by the legal final maturity date.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, charge-off rates, monthly principal payment rates (MPPR), and yield rates as of the May 2022 payment date.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AA (sf) rating level.
-- No revolving termination events.

The Issuer is a securitisation of credit card receivables granted to individuals in Spain, originated and serviced by Servicios Financieros Carrefour E.F.C., S.A. The transaction is currently in its two-year revolving period scheduled to end in June 2023.

PORTFOLIO PERFORMANCE
As of the May 2022 payment date, loans two to three months in arrears represented 0.6% of the outstanding portfolio and loans more than three months in arrears represented 1.4%. The annualised charge-off rate was 0.9%, the annualised yield rate was 19.2%, and the MPPR was 5.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar maintained its expected charge-off rate, MPPR, and yield assumptions at 9.25%, 4.0%, and 17.5%, respectively.

CREDIT ENHANCEMENT AND RESERVES
The Class A Notes benefit from a minimum subordination of 31.0%, provided by the Class C 2021-01 Notes and the Seller Interest Credit Facility.

The transaction benefits from a reserve fund of EUR 5 million, equal to 1.2% of the outstanding Class A Notes’ balance, that is available to cover senior expenses and interest payments on the Class A Notes.

A commingling reserve fund of EUR 10.2 million is also available to the Issuer in the event that the servicer fails to comply with its financial obligations under the servicing agreement.

Banco Santander SA (Santander) 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 AA (low) on Santander), 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 Class A 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.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/396929.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for this rating include 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 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 purpose 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 28 June 2021, when DBRS Morningstar finalised its provisional rating of AA (sf) on the Class A 2021-01 Notes and discontinued its rating of AA (sf) on the Class A 2019-01 Notes.

The lead analyst responsibilities for this transaction have been transferred to Preben Cornelius Overas.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

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

-- Base Case Yield Rate: 17.5%
-- Base Case MPPR: 4.0%
-- Base Case Charge-Off Rate: 9.25%

-- Scenario 1: 25% decrease in yield
-- Scenario 2: 25% decrease in MPPR
-- Scenario 3: 25% increase in charge-off
-- Scenario 4: 15% decrease in MPPR, 15% increase in charge-off, 15% decrease in yield

The expected ratings for the Class A Notes under these four stressed scenarios are: A (high) (sf), A (high) (sf), A (sf), and A (low) (sf), respectively.

For further information on DBRS Morningstar 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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Preben Cornelius Overas, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date (Class A 2021-01 Notes): 23 June 2021

DBRS Ratings GmbH
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60311 Frankfurt am Main - Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (19 May 2022),
https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),
https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers.
-- Operational Risk Assessment for European Structured Finance Originators (16 September 2021), https://www.dbrsmorningstar.com/research/384512/operational-risk-assessment-for-european-structured-finance-originators.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (29 October 2021),
https://www.dbrsmorningstar.com/research/387042/rating-european-consumer-and-commercial-asset-backed-securitisations.
-- Rating European Structured Finance Transactions Methodology (19 May 2022),
https://www.dbrsmorningstar.com/research/397034/rating-european-structured-finance-transactions-methodology.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https://www.dbrsmorningstar.com/research/278375.

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