Morningstar DBRS Upgrades and Confirms Credit Ratings on Ginkgo Sales Finance 2022

DBRS Ratings GmbH (Morningstar DBRS) upgraded and confirmed its credit ratings on the bonds issued by Ginkgo Sales Finance 2022 (the Issuer), as follows:

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)
-- Class C Notes upgraded to AA (low) (sf) from A (high) (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class E Notes confirmed at BB (sf)
-- Class F Notes confirmed at B (sf)

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 in November 2049. The credit ratings of the Class C, Class D, Class E, and Class F Notes address the ultimate payment of scheduled interest while the class is subordinated and the timely payment of scheduled interest while the senior-most class outstanding, and the ultimate repayment of principal by the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the February 2025 payment date.
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement (CE) to the rated Notes to cover the expected losses at their respective credit rating level.

The transaction is a securitisation of fixed-rate, unsecured, amortising consumer loans granted to individuals domiciled in France for the purchase of home equipment and recreational vehicles, and the transaction is serviced by Credit Agricole Consumer Finance SA (CACF).

PORTFOLIO PERFORMANCE
As of February 2025 payment date, loans that were two to three months in arrears represented 0.2% of the outstanding portfolio balance, down from 0.3% at last annual review one year ago. The 90-plus-day delinquency ratio was 0.7%, slightly down from 0.8% and the cumulative default ratio increased to 1.4% from 0.8% in the same period.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base-case PD and LGD assumptions at the B (low) (sf) credit rating level at 4.8% and 60.3%, respectively, based on the current portfolio composition and updated historical information received in the context of a more recent transaction from the same originator.

CREDIT ENHANCEMENT
The credit enhancement to the rated notes consists of the subordination of their respective junior class of notes. As of the February 2025 payment date, credit enhancement to the Class A, Class B, Class C, Class D, Class E, and Class F notes were 25.6%, 18.5%, 12.4%, 7.6%, 4.7%, and 3.6%, respectively, up from 18.3%, 13.2%, 8.9%, 5.4%, 3.4%, and 2.6%, respectively, at closing.

The transaction includes Class A and Class B liquidity reserve funds that are available to the Issuer in restricted scenarios where the interest and principal collections are not sufficient to cover the shortfalls in senior expenses, swap payments, and interests on the Class A Notes (available from both the Class A and Class B liquidity reserves) and the Class B Notes (only available from the Class B liquidity reserve). The Class A and Class B liquidity reserve funds were both at their target levels of EUR 2.0 million and EUR 4.6 million, respectively, as of the February 2025 payment date.

CACF acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on CACF, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the AAA (sf) credit rating on the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

CACF acts also as the swap counterparty for the transaction. Morningstar DBRS' private credit rating on CACF is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes 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 release 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
There were no Environmental/Social/Governance factor(s) 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 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 ratings is Master European Structured Finance Surveillance Methodology (4 February 2025) https://dbrs.morningstar.com/research/447080.

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 Credit 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 investor reports provided by the management company Eurotitrisation SA, and loan-level data provided by the European DataWarehouse GmbH. In the context of a newer transaction from the same originator, Morningstar DBRS was provided with updated historical performance data as follows:
-- 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 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. 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.

The last credit rating action on this transaction took place on 08 April 2024 when Morningstar DBRS took the following credit ratings actions:

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)
-- Class C Notes upgraded to A (high) (sf) from A (sf)
-- Class D Notes upgraded to BBB (high) (sf) from BBB (sf)
-- Class E Notes confirmed at BB (sf)
-- Class F Notes upgraded to B (sf) from B (low) (sf)

The lead analyst responsibilities for this transaction have been transferred to Helvia Meana.

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 (the base case):
--The base-case PD and LGD of the current pool of loans are 4.8% and 60.3%, respectively.

Morningstar DBRS expected a lifetime base-case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base-case assumptions and therefore have a negative effect on credit ratings.

The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base-case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (sf)

Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (sf)
-- 50% increase in LGD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (high) (sf)

Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of B(sf)
-- 50% increase in LGD, expected credit rating of NR (sf)
-- 25% increase in PD, expected credit rating of BB (low) (sf)
-- 50% increase in PD, expected credit rating of B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of NR (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of NR (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of NR (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of NR (sf)

Class F Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of NR (sf)
-- 50% increase in LGD, expected credit rating of NR (sf)
-- 25% increase in PD, expected credit rating of NR (sf)
-- 50% increase in PD, expected credit rating of NR (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of NR (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of NR (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of NR (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of NR (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: Helvia Meana, Assistant Vice President,
Rating Committee Chair: Mark Wilder, Senior Vice President
Initial Rating Date: 28 April 2022

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
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.

-- Master European Structured Finance Surveillance Methodology (4 February 2025)
https://dbrs.morningstar.com/research/447080
-- 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
-- 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
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913

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.