Morningstar DBRS Takes Credit Rating Actions on Tagus - Sociedade de Titularização de Créditos, S.A. (Vasco Finance No. 1)

DBRS Ratings GmbH (Morningstar DBRS) took the credit rating actions on the Class A, Class B, Class C, Class D and Class E Notes (collectively, the Rated Notes) issued by Tagus - Sociedade de Titularização de Créditos, S.A. (Vasco Finance No. 1) (the Issuer) as follows:

-- Class A Notes confirmed at AA (high) (sf)
-- Class B Notes downgraded to A (sf) from A (high) (sf)
-- Class C Notes downgraded to BBB (sf) from BBB (high) (sf)
-- Class D Notes downgraded to BB (sf) from BB (high) (sf)
-- Class E Notes downgraded to B (sf) from B (high) (sf)

Morningstar DBRS did not rate the Class F, Class R or Class X Notes also issued by the Issuer.

The credit rating of the Class A, Class B and Class C Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings of the Class D and Class E Notes address the ultimate payment of scheduled interest and principal by the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions follow a review of the transaction and are based on the following analytical considerations:
-- The transaction's capital structure, including the form and sufficiency of available credit enhancement to withstand stressed cashflow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes were issued;
-- The credit quality and characteristics of WiZink Bank S.A.U. Portuguese branch (WiZink Portugal or the servicer)'s portfolio, its historical performance and Morningstar DBRS' expectation of monthly principal payment rates (MPPRs), yields and charge-off rates under various stress scenarios;
-- The capabilities of WiZink Portugal with respect to originations, underwriting, servicing and its position in the market and financial strength.
-- The transaction parties' financial strength regarding their respective roles;
-- Morningstar DBRS sovereign credit rating on the Republic of Portugal, currently at "A" with a Positive trend;
-- The consistency of the transaction's structure with Morningstar DBRS "Legal Criteria for European Structured Finance Transactions" and "Derivative Criteria for European Structured Finance Transactions" methodologies; and
-- The non-occurrence of a revolving termination event.

Specifically, the downgrade of credit ratings on the Class B, Class C, Class D and Class E Notes is related to a cashflow implementation error as described in the press release https://dbrs.morningstar.com/research/437617/morningstar-dbrs-comments-on-tagus-sociedade-de-titularizacao-de-creditos-sa-vasco-finance-no-1-credit-ratings-potentially-affected-by-morningstar-dbrs-error. The error over-estimated the principal collections and incorrectly resulted in better cashflow results.

TRANSACTION STRUCTURE
The Issuer is a securitisation of credit card receivables granted to individuals under credit card agreements originated and serviced by WiZink Portugal. WiZink Portugal is the rebranding of the acquired BarclayCard operation in Portugal.

After the scheduled revolving period end date of 31 August 2024, the Class A, Class B, Class C, Class D, Class E, Class F and Class X Notes will enter into a pro rata amortisation with the amortisation amounts based on the respective percentages of 68.46%, 9.48%, 5.52%, 6.97%, 4.98%, 4.55% and 0.05%, respectively, until the breach of a sequential amortisation trigger or an event of default after which these notes will be repaid sequentially.

Morningstar DBRS notes the Class R Notes have been fully repaid by the payment date in February 2024.

The transaction includes a cash reserve to cover the shortfalls in senior expenses, servicing fees, senior swap payments and interest on the Class A and, if not deferred, Class B and Class C Notes. The reserve target amount is 2% of the outstanding principal amount of the Class A, Class B and Class C Notes and would amortise down to a floor equal to 0.5% of the initial amount of the Class A, Class B and Class C Notes.

COUNTERPARTIES
Deutsche Bank AG remains as the account bank for the Issuer. Based on Morningstar DBRS credit ratings on Deutsche Bank AG, Morningstar considers the risk arising from the exposure to the account bank to be commensurate with the credit ratings assigned.

BNP Paribas remains as the swap counterparty for the Issuer. Morningstar DBRS credit ratings on BNP Paribas meet the criteria to act in such capacity. The transaction documents contain downgrade provisions consistent with Morningstar DBRS criteria.

PORTFOLIO ASSUMPTIONS
As of the July 2024 payment date, the Issuer investor report indicated an MPPR of 7.4%, a yield of 14.3% and an annualised charge-off rate of 4.8%. Based on the trends of historical performance, Morningstar DBRS maintained the expected MPPR, yield and charge-off rate at 5.75%, 15% and 8%, respectively.

Morningstar DBRS credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance.

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 AND GOVERNANCE CONSIDERATIONS
General Considerations

Governance (G) Factors
Morningstar DBRS has since 2022 increased its review scope of backup servicing activities for credit card transactions and notes that for this transaction there is no clarity of activities to be taken by the successor servicer which remains unknown in respect of appropriately defined mechanisms in the structure on how to deal with future events under the Transaction Governance. While the back-up servicer facilitator undertakes to find a suitable replacement within 60 calendar days of a servicer termination event, the absence of clearly pre-defined tasks to be assumed by the future successor servicer creates uncertainty in respect of the execution timing and resources required. These risks may lead to changes in borrower behaviour that could subsequently affect future collateral performance. In light of these risks and potential exposure, Morningstar DBRS conducted the cashflow sensitivities to higher servicing fees and changed the effect of Transaction Governance factor on the credit analysis from significant to relevant, same as Tagus - Sociedade de Titularização de Créditos, S.A. (Victoria Finance No. 1).

There were no Environmental or Social 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 Runner.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to these credit ratings is "Rating European Consumer and Commercial Asset-Backed Securitisations (8 January 2024), https://dbrs.morningstar.com/research/426219.

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 Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include the portfolio data and performance provided by the seller directly or through BNP Paribas and the Issuer's investor reports provided by 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 ratings, 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 these credit ratings 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 29 September 2023 when Morningstar DBRS finalised its credit ratings on the Class A, Class B, Class C, Class D and Class E Notes at AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Roberto Perez.

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 ratings, Morningstar DBRS considered the following stress scenarios, as compared to the parameters used to determine the credit ratings:

-- Expected MPPR: 5.75%
-- Expected Yield: 15%
-- Expected Charge-Off Rate: 8%

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

Morningstar DBRS concludes that the expected credit ratings under the four stress scenarios are:
Class A Notes: AA (low) (sf), AA (high) (sf), AA (sf), and AA (low) (sf)
Class B Notes: BBB (high) (sf), A (low) (sf), BBB (high) (sf), and BBB (sf)
Class C Notes: BB (high) (sf), BBB (low) (sf), BBB (low) (sf), and BB (high) (sf)
Class D Notes: BB (low) (sf), BB (low) (sf), BB (low) (sf), and B (high) (sf)
Class E Notes: B (sf), below B (low) (sf), B (low) (sf), and below B (low) (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.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Roberto Perez, Assistant Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Credit Rating Date: 31 August 2023

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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations (8 January 2024),
https://dbrs.morningstar.com/research/426219
-- Rating European Structured Finance Transactions Methodology (25 June 2024),
https://dbrs.morningstar.com/research/434970
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024),
https://dbrs.morningstar.com/research/437543
-- Operational Risk Assessment for European Structured Finance Originators (6 August 2024),
https://dbrs.morningstar.com/research/437541
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435260
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030
-- Master European Structured Finance Surveillance Methodology (6 August 2024),
https://dbrs.morningstar.com/research/437540

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 info-DBRS@morningstar.com.