Morningstar DBRS Assigns Credit Ratings to Ginkgo Sales Finance 2024

DBRS Ratings GmbH (Morningstar DBRS) assigned credit ratings to the classes of notes (the Rated Notes) issued by Ginkgo Sales Finance 2024 (the Issuer) as follows:

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

Morningstar DBRS did not assign a credit rating to the Class D Notes also issued in this transaction.

The credit ratings of the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit rating of the Class C Notes addresses 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 transaction is a securitisation of a portfolio of fixed-rate secured amortising loans for the purchase of new, used and recreational vehicles and unsecured amortising loans for the purchase of home equipment granted to private individuals domiciled in France 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' long-term sovereign issuer rating on the Republic of France, currently at AA (high) with a Stable trend
-- The consistency of the transaction's structure with Morningstar DBRS' methodology "Legal and Derivative Criteria for European Structured Finance Transactions"

TRANSACTION COUNTERPARTIES
The transaction features a 12-month revolving period during which the Issuer will purchase only new receivables of equipment loans, provided that certain conditions set out in the transaction documents are satisfied. There will be no addition of vehicle-related loans after the transaction closing.

The transaction benefits from three liquidity reserves fully funded at closing: one for each class of the Rated Notes with a target amount equal to 1%, 10% and 10% of the respective Note balance for the Class A, Class B and Class C reserves. The reserves are available to cover the senior expenses, senior swap cost and interest shortfalls on the more senior classes of Rated Notes.

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 the expected monthly principal and interest collections and prepayments.

In addition, a replacement servicer fee reserve is expected to be funded by the seller if its credit rating falls below BBB. The required amount is equal to various percentages of performing and non-performing loans.

PORTFOLIO/PERFORMANCE
Morningstar DBRS reviewed the historical performance and elected to maintain the expected default of each loan type unchanged from Ginkgo Sales Finance 2022 and Ginkgo Auto Loans 2022, which resulted in a transaction lifetime expected default of 5.34% based on the potential portfolio migration during the scheduled revolving period. Similarly, Morningstar DBRS established the transaction expected recovery of 40.4% or loss given default (LGD) of 59.6% based on the potential portfolio migration during the scheduled revolving period.

COUNTERPARTIES
CA Consumer Finance is both the Issuer's account bank and the swap counterparty for the transaction. Morningstar DBRS has private credit ratings on CA Consumer Finance that meet 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.

The 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.

The Morningstar DBRS credit rating does not address the 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 Factors in Credit Ratings (13 August 2024) at https://dbrs.morningstar.com/research/437781.

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 (18 September 2024), https://dbrs.morningstar.com/research/439583.

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

The sources of data and information used for these credit ratings include the historical data provided by the seller through the arranger as below:
-- Quarterly default vintage analysis from Q1 2012 to Q3 2024 by loan type
-- Quarterly recovery vintage analysis from Q1 2012 to Q3 2024 for over-indebtedness and from Q1 2012 to Q2 2024 for acceleration
-- Dynamic monthly prepayment data from January 2012 to September 2024 by loan type
-- Dynamic monthly delinquency data from January 2012 to September 2024 by loan type

Morningstar DBRS also received a set of stratification tables and loan-by-loan data in relation to the provisional collateral pool as of 30 November 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 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.

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: 5.34%
-- Expected recovery: 40.4% or LGD of 59.6%

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
Scenario 6: A 50% increase in the expected LGD
Scenario 7: A 25% increase in the expected default and a 50% increase in the expected LGD
Scenario 8: A 50% increase in the expected default and a 50% increase in the expected LGD

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios would be:
-- Class A Notes: AA (sf), AA (sf), AA (high) (sf), AA (low) (sf), A (high) (sf), AA (sf), A (high) (sf), A (sf)
-- Class B Notes: AA (low) (sf), A (sf), AA (low) (sf), A (sf), A (low) (sf), A (high) (sf), A (low) (sf), BBB (sf)
-- Class C Notes: BBB (high) (sf), BBB (sf), A (low) (sf), BBB (sf), BB (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (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: Kevin Chiang, Senior Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Credit Rating Date: 19 December 2024

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 (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781

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/439604.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.