Morningstar DBRS Confirms AAA (sf) Credit Rating on Master Credit Cards PASS Compartment France

DBRS Ratings GmbH (Morningstar DBRS) confirmed the AAA (sf) credit rating on the Class A2022-1 Notes issued by Master Credit Cards PASS Compartment France (the Issuer).

The credit rating of the Class A2022-1 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 B2022-1 Notes (along with the Class A2022-1 Notes, the Notes or the transaction).

CREDIT RATING RATIONALE
The credit rating confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The transaction's 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 Notes were issued.
-- The credit quality of the Carrefour Banque (the seller)'s portfolio, the characteristics of the collateral, its historical performance and Morningstar DBRS' expectation of monthly principal payment rates (MPPRs), yield and charge-off rates under various stress scenarios;
-- Seller's capabilities with respect to origination, 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 of the Republic of France, currently at AA (high) with a Stable trend;
-- The consistency of the transaction's legal structure with Morningstar DBRS Legal Criteria for European Structured Finance Transactions methodology; and
-- The non-occurrence of a program revolving termination event or a program amortisation event.

TRANSACTION STRUCTURE
The Notes were initially issued in June 2022 and are backed by a portfolio of receivables arising from credit cards granted to individuals domiciled in France and originated and serviced by the seller. The transaction is currently under the revolving period scheduled to end in May 2025.

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.

The transaction allocates payments in separate interest and principal priorities and the Class A2022-1 Notes continue to benefit from a general reserve of EUR 3.6 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. Principal collections can be used to cover remaining shortfalls after the liquidity reserve. Potential principal deficiencies would be cured before excess spread is released out of the structure.

The interest rate risk for the transaction is largely mitigated by an interest rate swap where the Issuer pays a fixed rate in return for one-month Euribor plus Class A Notes margins based on a notional amount equal to the lower of the principal outstanding balance of the Class A Notes and the non-defaulted receivables.

COUNTERPARTIES
BNP Paribas (through the department of Securities Services) remains as the account bank for the Issuer. Based on BNP Paribas' Long-Term Issuer Rating of AA (low), 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.

BNP Paribas was replaced as the specially dedicated account bank in October 2023 by another institution. Morningstar DBRS reviewed the eligibility of the new specially dedicated account bank based on the transaction documents.

Crédit Agricole Corporate and Investment Bank, Natixis S.A., and Société Générale, S.A. remain the swap counterparties for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of A (high) on Société Générale, S.A. and private credit ratings on Crédit Agricole Corporate and Investment Bank and Natixis S.A., all of which meet the criteria to act in such capacity. The downgrade provisions in the swap documentation are largely consistent with Morningstar DBRS's criteria and the transaction continues to be monitored based on Morningstar DBRS's credit ratings or their replacement(s).

PORTFOLIO ASSUMPTIONS
As of the May 2024 payment date, the investor report reported an MPPR of 5.6%, yield of 15.4% and charge-off rate of 1.2%. Based on the trends of historical performance, Morningstar DBRS maintained the expected MPPR and charge-off rate at 4.5% and 6.5%, respectively but revised upwards the expected yield to 13.5% from 13%. The improved portfolio yield is largely driven by the increase in the legislative usury rate in France.

Morningstar DBRS credit rating on the Class A2022-1 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 A2022-1 Notes are the related Interest Payment Amounts and the related Class Balances.

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, 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.

In Morningstar DBRS' opinion, the changes to the specially dedicated account bank under consideration do not require the application of the entire principal methodology.

An asset and a cash flow analysis were both conducted.

A review of the transaction legal documents was not conducted for this credit action as the legal documents other than the specially dedicated account bank change 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 the data provided by the seller (up to April 2023) and investor reports provided by the management company, Eurotitrisation.

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 not 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 26 June 2023, when Morningstar DBRS confirmed its credit rating of the Class A2022-1 Notes at AAA (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: 13.5%
-- Expected MPPR: 4.5%
-- Expected Charge-Off Rate: 6.5%

-- 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 rating is AAA (sf) under all the four stress scenarios.

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: Mark Wilder, Senior Vice President
Initial Rating Date: 25 May 2022

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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.
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023), https://dbrs.morningstar.com/research/420754.
-- 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.
-- Master European Structured Finance Surveillance Methodology (7 March 2024),
https://dbrs.morningstar.com/research/429051.

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
at [email protected].