Morningstar DBRS Assigns Credit Rating to Ginkgo Debt Conso 2024

DBRS Ratings GmbH (Morningstar DBRS) assigned credit ratings to the following classes of notes (the Rated Notes) issued by Ginkgo Debt Conso 2024 (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
-- Class C Notes at AA (sf)

Morningstar DBRS did not assign a credit rating to the Class D Notes (together with the Rated Notes, the Notes) also issued in this transaction.

The credit rating of the Class A 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 B and Class C Notes address the ultimate payment of scheduled interest while the class is subordinate, and the timely payment of scheduled interest as the most senior class and the ultimate repayment of principal by the legal final maturity date.

The Notes are backed by a portfolio of fixed-rate secured and unsecured amortising consumer loans granted to private individuals domiciled in France for the sole purpose of debt consolidation and serviced by CA Consumer Finance (the seller). The transaction has no exposure to balloon payments or residual value.

CREDIT RATING RATIONALE
The credit ratings are based on the following analytical considerations:
-- The transaction's structure, including form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued;
-- The credit quality of the collateral, historical and projected performance of the portfolio and Morningstar DBRS projected performance under various stress scenarios;
-- An operational risk review of the seller's capabilities with regard to its originations, underwriting, servicing and financial strength;
-- The transaction parties' financial strength with regard to their respective roles;
-- Morningstar DBRS' sovereign credit rating on the Republic of France, currently at AA (high) with a Stable trend; and
-- 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.

TRANSACTION COUNTERPARTIES
The transaction features a 36-month revolving period during which time the Issuer will purchase new receivables that the seller may offer, provided that certain conditions set out in the transaction documents are satisfied.
The transaction benefits from three liquidity reserves, one for each class of the Rated Notes, fully funded at closing with a target amount equal to 1.0% for the Class A reserve and 10% for the Class B and Class C reserves of the respective Note balance. The reserves are available to cover the senior expenses, senior swap cost and Rated Notes interest shortfalls.

A commingling reserve facility is expected to be funded by the seller if its credit rating falls below BBB. The required amount is equal to 1.8 times expected monthly principal, interest and prepayment collections.

COUNTERPARTIES
CA Consumer Finance is both the issuer account bank and the swap counterparty for the transaction. Morningstar DBRS has a private credit rating on CA Consumer Finance, which meets the criteria to act in both capacities at closing. The downgrade provisions in the documentation are mostly consistent with Morningstar DBRS' criteria and the transaction will be monitored based on Morningstar DBRS' credit rating on CA Consumer Finance or its replacement.

Morningstar DBRS' credit rating on the Rated Notes addresses the credit risks associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each class of the Rated Notes are the related Interest Amounts and Principal.

Morningstar DBRS' credit rating does not address non-payment 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, AND 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 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. Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

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 the historical data provided by the seller through the arranger as below:
-- Quarterly default vintage analysis from Q1 2011 to Q3 2023, for CreditLift unsecured (Courtage) loans;
-- Quarterly default vintage analysis from Q3 2012 to Q4 2023, for CreditLift secured loans;
-- Quarterly default vintage analysis from Q1 2011 to Q4 2023, for Sofinco loans;
-- Quarterly recovery vintage analysis for the same time period as above split by the over-indebtedness and accelerated components, respectively;
-- Dynamic monthly prepayment data from December 2011, January 2016 and January 2013 for CreditLift unsecured (Courtage), CreditLift secured and Sofinco, respectively, to December 2023; and
-- Dynamic monthly delinquency data from December 2010, July 2012 and January 2011 for CreditLift unsecured (Courtage), CreditLift secured and Sofinco, respectively, to December 2023.

Morningstar DBRS also received a set of stratification tables and loan-by-loan data in relation to the provisional collateral pool as of 30 April 2024 and its related contractual amortisation schedule.

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

Morningstar DBRS was supplied with third-party assessments. However, this did not affect 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.

These credit ratings concern newly issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

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 with the parameters used to determine the credit rating:
-- Expected default: 10%
-- Expected recovery: 45.5% or loss given default (LGD) 54.5%

Scenario 1: A 25% increase in the expected default
Scenario 2: A 50% increase in the expected default
Scenario 3: A 25% increase in the expected LGD
Scenario 4: A 25% increase in the expected default and a 25% increase in the expected LGD
Scenario 5: A 50% increase in the expected default and a 25% increase in the expected LGD

Morningstar DBRS concludes that the expected credit rating under the five stress scenarios would be:
-- Class A Notes: AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (high) (sf), A (high) (sf)
-- Class B Notes: AA (sf), A (high) (sf), AA (sf), AA (sf), A (sf)
-- Class C Notes: A (high) (sf), A (sf), AA (low) (sf), A (high) (sf), 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: Ricardo Garcia, Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Credit Rating Date: 29 May 2024

DBRS Ratings GmbH, Sucursal en España
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28046 Madrid, Spain
Tel. +34 (91) 903 6500

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 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 (11 December 2023), https://dbrs.morningstar.com/research/425149
-- Legal Criteria for European Structured Finance Transactions (30 June 2023), https://dbrs.morningstar.com/research/416730
-- Operational Risk Assessment for European Structured Finance Originators (7 March 2024), https://dbrs.morningstar.com/research/429054
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023), https://dbrs.morningstar.com/research/420572
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023), https://dbrs.morningstar.com/research/420602
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023), https://dbrs.morningstar.com/research/420754
-- 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].