Press Release

DBRS Morningstar Confirms Rating on Wilmington Cards 2021-1 Plc

Consumer Loans & Credit Cards
March 10, 2023

DBRS Ratings Limited (DBRS Morningstar) confirmed its AAA (sf) rating on the Class A Notes issued by Wilmington Cards 2021-1 Plc (the Issuer).

The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date in March 2030.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, charge-offs, principal payment rates, and yield rates, as of the February 2023 payment date.
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) rating level.
-- No revolving termination events have occurred.

The transaction is a securitisation of credit card receivables, which were originated by MBNA Limited and acquired in June 2017 by Lloyds Banking. The transaction is currently in its revolving period, where the scheduled redemption date for the Class A Notes is in March 2026.

As of the February 2023 payment date, the monthly principal payment rate (MPPR) was 14.72%, averaging 14.28% since closing. The annualised charge-off rate was 2.96%, averaging 1.97% since closing. The annualised yield rate was 8.01%, averaging 8.54% since closing.

As of the February 2023 payment date, receivables two to three months in arrears represented 0.2% of the outstanding portfolio balance, while receivables more than three months in arrears represented 0.6% of the outstanding portfolio balance.

DBRS Morningstar maintained its expected MPPR, charge-off rate, and yield rate assumptions at 9.0%, 5.5%, and 8.5%, respectively.

As of the February 2023 payment date, credit enhancement to the Class A Notes was 23.0%, stable since the DBRS Morningstar initial rating because of the transaction revolving period. Credit enhancement is provided by the subordination of the junior notes.

The transaction benefits from a liquidity reserve that is available to cover senior fees and Class A interest. The target level of the reserve is 1% of the outstanding balance of the Class A Notes (currently at GBP 33,500,000) and is subject to a floor of GBP 250,000.

Bank of Scotland plc (Bank of Scotland) is the issuer account bank for the transaction. Based on the DBRS Morningstar rating of the Bank of Scotland 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 Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

There were no Environmental/Social/Governance factors that had a significant or relevant effect 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:

All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology” (7 February 2023):

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at:

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.

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:

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:

The sources of data and information used for this rating include investor reports provided by Lloyds Bank.

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 10 March 2022, when DBRS Morningstar confirmed its AAA (sf) rating on the Class A Notes.

The lead analyst responsibilities for this transaction have been transferred to Jeffrey Cespon.

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

Sensitivity Analysis: 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:

-- Expected MPPR: 9.0%
-- Expected Yield Rate: 8.5%
-- Expected Charge-Off Rate: 5.5%

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

DBRS Morningstar concludes that the expected ratings of the Class A Notes under the four stress scenarios will be AA (low) (sf), AA (high) (sf), AA (sf), and AA (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: DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage:

This rating is endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Jeffrey Cespon, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 12 March 2021

DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960.

The rating methodologies used in the analysis of this transaction can be found at:

-- Legal Criteria for European Structured Finance Transactions (22 July 2022),
-- Master European Structured Finance Surveillance Methodology (7 February 2023),
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022),
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022),
-- Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022),
-- Rating European Structured Finance Transactions Methodology (15 July 2022),
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022),

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

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