Morningstar DBRS Assigns Provisional (P) AAA (sf) Credit Rating to Master Credit Cards PASS Compartment France Class A2025-1 Notes

DBRS Ratings GmbH (Morningstar DBRS) assigned a provisional credit rating of (P) AAA (sf) to the Class A2025-1 Notes to be issued by Master Credit Cards PASS Compartment France (the Issuer).

The credit rating of the Class A2025-1 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 B2025-1 Notes also expected to be issued in the transaction.

The Issuer is a securitisation of fixed rate, unsecured receivables generated from revolving credit agreements granted to individuals domiciled in France and serviced by Carrefour Banque (the seller). The 2025-1 transaction is expected to include a scheduled revolving period of 36 months.

CREDIT RATING RATIONALE
Morningstar DBRS based its credit rating on the following analytical considerations:
-- The transaction's structure, including the 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 Class A2025-1 Notes are issued
-- The credit quality of 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
-- Morningstar DBRS' operational risk review of the seller's capabilities regarding origination, underwriting, servicing and its position in the market and financial strength
-- The transaction parties' financial strength regarding their respective roles.
-- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology
-- Morningstar DBRS' long-term sovereign credit rating of the Republic of France, currently AA (high) with a Stable trend

TRANSACTION STRUCTURE
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 transaction will be repaid on a fully sequential basis.

The transaction allocates payments in separate interest and principal priorities and the Class A2025-1 Notes benefit from a general reserve of EUR [], which is equal to 1.2% of all the Class A notes principal outstanding balance of the Issuer. The general reserve is available to cover shortfalls in senior expenses, senior swap costs and interest payments on all the outstanding Class A notes. Principal collections can be used to cover remaining shortfalls after the general reserve. Principal deficiencies would be cured in the interest waterfalls 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 A2025-1 Notes margins based on a notional amount equal to the lower of the principal outstanding balance of the Class A2025-1 Notes and the non-defaulted receivables.

COUNTERPARTIES
BNP Paribas is the account bank for the Issuer. Based on Morningstar DBRS' Long-Term Critical Obligations Rating of AA (high) on BNP Paribas, 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.

BRED Banque Populaire is the specially dedicated account bank with its subsidiary EPBF S.A. as the DD account bank receiving the direct debit payments for the Issuer. Both entities are subject to the same downgrade provisions in the transaction documents with a first demand guarantee on EPBF S.A. from BRED Banque Populaire in favour of the Issuer. There is also a Belgian law pledge of the collected amounts by the servicer in favour of the Issuer. Morningstar DBRS currently does not rate either EPBF S.A. or BRED Banque Populaire but considers the equivalent rating of BRED Banque Populaire as the guarantor of EPBF S.A. and a specially dedicated account bank to be consistent with Morningstar DBRS' criteria to act in such a capacity. In addition, both entities belong to one of the largest French banking groups, Groupe BPCE, for which Morningstar DBRS has private ratings.

Crédit Agricole Corporate and Investment Bank (CA-CIB), Natixis and Société Générale, S.A. are the swap counterparties for the transaction. Morningstar DBRS has private credit ratings on CA-CIB and Natixis and a Long-Term Issuer Rating of A (high) on Société Générale, 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' criteria and the transaction will be monitored based on Morningstar DBRS' credit ratings or their replacement(s).

PORTFOLIO ASSUMPTIONS
The latest performance data show declining payment rates similar to the levels observed in early 2020 during the initial pandemic outbreak. Based on the trends of historical data, Morningstar DBRS revised downwards the expected MPPR to 3.75% from 4.5%.

The historical charge-off rates also show deteriorating trends with noticeable increases following the pandemic but appeared to stablise between 7% and 10% by February 2025. Based on the positive selection of securitised receivables and the increasing trends reflective of the declining MPPRs and the seller's risk appetite, Morningstar DBRS revised upwards the expected charge-off rate to 7.75% from 6.5%.

In comparison, the portfolio yield has been largely stable, driven by the legislative usury rates in France. Based on the observed trends, Morningstar DBRS revised upwards the expected yield to 14% from 13.5%.

The historical recovery rates have also been stable. Based on the historical data, Morningstar DBRS maintains the expected recovery at 35.5%.

Morningstar DBRS' credit rating on the Class A2025-1 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 A2025-1 Notes are the related Interest Payment Amounts and Class Balance.

Morningstar DBRS' credit rating on the Class A2025-1 Notes also addresses the credit risk associated with the increased rate of interest applicable to the Class A2025-1 Notes if the Class A2025-1 Notes are not redeemed on the scheduled call date as defined in and in accordance with the applicable transaction documents.

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 (ESG) CONSIDERATIONS
There were no Environmental, Social or 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 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.

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 this credit rating include the following provided by one of the arrangers, Crédit Agricole Corporate and Investment Bank:
-- Monthly dynamic origination amounts, outstanding receivables balances, payment rates, yield rates, purchase rates, delinquencies and charge-off rates for the entire managed portfolio from December 2014 to February 2025
-- Quarterly static cumulative recoveries of accelerated contracts and over-indebtedness contracts from Q1 2019 to Q1 2025 and from Q1 2017 to Q1 2025, respectively
-- Stratification tables in relation to the collateral pool as of 28 February 2025

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of a final credit rating on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit rating.

This credit rating concerns an expected-to-be issued new financial instrument. This is the first Morningstar DBRS credit rating on this financial instrument.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://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 of 14%
-- Expected MPPR of 3.75%
-- Expected charge-off rate of 7.75%

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

Morningstar DBRS concludes that the expected credit ratings of the Class A2025-1 Notes under the four stress scenarios, respectively, are AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (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: Jose Escandell, Senior Analyst
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 26 March 2025

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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 (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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.