Morningstar DBRS Confirms AA (sf) Credit Rating on Columbus Master Credit Cards Fondo de Titulización

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AA (sf) credit rating on the Class A2021-01 Notes issued by Columbus Master Credit Cards Fondo de Titulización (the Issuer).

The credit rating of the Class A2021-01 Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date.

Morningstar DBRS does not rate the Class C2021-01 Notes (along with the Class A2021-01 Notes, the Notes or the transaction).

CREDIT RATING RATIONALE
The rating confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of monthly principal payment rates (MPPRs), yields and charge-off rates as of the May 2024 payment date;
-- Current credit enhancement available to the Class A2021-01 Notes to cover the expected losses at the AA (sf) credit rating level; and
-- Non-occurrence of a programme revolving termination event or a programme amortisation event.

The Notes were initially issued in June 2021 and are backed by a portfolio of receivables arising from credit cards granted to individuals domiciled in Spain and originated and serviced by Servicios Financieros Carrefour E.F.C., S.A (the seller and servicer). The transaction is currently under the revolving period scheduled to end in June 2025, followed a two-year extension executed in June 2023.

During the revolving period, the seller may continue to offer additional receivables that the Issuer will purchase, provided that the receivables eligibility criteria and portfolio criteria set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur, such as the breach of performance triggers, insolvency of the seller or replacement of the servicer. At the end of the revolving period, the Notes will be repaid on a fully sequential basis.

PORTFOLIO PERFORMANCE, ASSUMPTIONS AND KEY DRIVERS
As of the May 2024 payment date, the investor report reported an MPPR of 5.3%, a yield of 19.9% and an annualised charge-off rate of 8.2%. Based on the trends of historical performance, Morningstar DBRS maintained the expected MPPR and charge-off rate at 4.5% and 9.25%, respectively but revised upwards the expected yield to 18% from 17.5%.

CREDIT ENHANCEMENT AND RESERVES
Credit enhancement available to the Class A2021-01 Notes remains unchanged with 31% subordination from the Class C2021-01 Notes and the minimum seller interest credit facility amount, in addition to potential over-collateralisation and excess spread.

The transaction allocates payments in separate interest and principal priorities and the Class A2021-01 Notes continue to benefit from a general reserve of EUR 5 million, which is equal to 1.2% of the outstanding balance of all Class A notes of the Issuer. The general reserve is available to cover shortfalls in senior expenses and interest payments on all the outstanding Class A notes of the Issuer.

A commingling reserve fund of EUR 10.5 million is also available to the Issuer in the event that the servicer fails to comply with its financial obligations under the servicing agreement.

As of today the Notes are the only outstanding note series of the Issuer.

Banco Santander SA (Santander) remains as the account bank for the Issuer. Based on Santander's Long-Term Issuer Rating of A (high), the downgrade provisions outlined in the transaction documents, and other mitigating factors in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be commensurate with the credit rating assigned to the Class A2021-01 Notes.

Morningstar DBRS credit rating on the Class A2021-01 Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Class A2021-01 Notes are the related Interest Amounts and Principal.

Morningstar DBRS credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings" at https://dbrs.morningstar.com/research/427030.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: "Master European Structured Finance Surveillance Methodology" (7 March 2024), https://dbrs.morningstar.com/research/429051.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar 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.

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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://dbrs.morningstar.com/research/421590.

The sources of data and information used for this credit rating include investor reports provided by the management company, InterMoney Titulización S.G.F.T., S.A.

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

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

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

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 15 June 2023, when Morningstar DBRS confirmed its credit rating on the Class A2021-01 Notes at AA (sf).

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios, as compared to the parameters used to determine the credit rating:

-- Expected Yield: 18%
-- Expected MPPR: 4.5%
-- Expected Charge-Off Rate: 9.25%

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

Morningstar DBRS concludes that the expected credit ratings under the four stress scenarios are:
-- Class A2021-01 Notes: A (sf), A (sf), A (sf), and BBB (high) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: Roberto Perez, Assistant Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 23 June 2021

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81
Plantas 26 & 27
28046 Madrid, Spain
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Master European Structured Finance Surveillance Methodology (7 March 2024),
https://dbrs.morningstar.com/research/429051.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (8 January 2024),
https://dbrs.morningstar.com/research/426219.
-- Rating European Structured Finance Transactions Methodology (11 December 2023),
https://dbrs.morningstar.com/research/425149.
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
https://dbrs.morningstar.com/research/420602.
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
https://dbrs.morningstar.com/research/416730.
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
https://dbrs.morningstar.com/research/420572.
-- Operational Risk Assessment for European Structured Finance Originators (7 March 2024),
https://dbrs.morningstar.com/research/429054.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030.

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

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