Press Release

DBRS Morningstar Assigns Ratings to Ginkgo Auto Loans 2022

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March 30, 2022

DBRS Ratings GmbH (DBRS Morningstar) assigned the following ratings to the notes issued by Ginkgo Auto Loans 2022 (the Issuer):

-- Class A notes at AAA (sf)
-- Class B notes at AA (high) (sf)
-- Class C notes at AA (low) (sf)
-- Class D notes at A (low) (sf)
-- Class E notes at BBB (low) (sf)
-- Class F notes at B (high) (sf)

DBRS Morningstar did not rate the Class G notes also issued in this transaction.

The ratings of the Class A, Class B, and Class C notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The ratings of the 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 as the senior most class outstanding, and the ultimate repayment of principal by the legal final maturity date.

The transaction is a securitisation of fixed-rate, unsecured, amortising auto loans granted to individuals domiciled in France for the purchase of new and used vehicles, and is serviced by CA Consumer Finance.

While DBRS Morningstar has rated several consumer loan asset-backed securities transactions in Europe where CA Consumer Finance is also the originator or the parent of the originator(s), this is the first transaction of auto-related loans rated by DBRS Morningstar.

DBRS Morningstar based its ratings on the following analytical considerations:
-- The transaction’s capital structure, including form and sufficiency of available credit enhancement.
-- Credit enhancement levels sufficient to support the projected expected net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the notes.
-- CA Consumer Finance’s financial strength and its capabilities with respect to originations, underwriting, and servicing.
-- DBRS Morningstar’s operational risk review of CA Consumer Finance, which is deemed to be an acceptable servicer.
-- The transaction parties’ financial strength regarding their respective roles.
-- The credit quality, diversification of the collateral, and historical and projected performance of CA Consumer Finance’s portfolio.
-- DBRS Morningstar’s sovereign rating of the Republic of France, currently at AA (high) with a Stable trend.
-- The consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology.

TRANSACTION STRUCTURE
The transaction includes a 24-month scheduled revolving period. During this period, the Issuer may purchase additional receivables, provided that the eligibility criteria and concentration limits 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 or servicer termination.

There are separate waterfalls for interest and principal payments that facilitate the distribution of the available distribution amount. Following the scheduled revolving period, the transaction enters into the normal redemption period with amortisation amounts based on the target subordination levels of each class of notes until the breach of a sequential redemption trigger after which the notes will be repaid sequentially.

The transaction includes Class A and Class B liquidity reserves that are available to the Issuer during the revolving period and the normal redemption period 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). During the accelerated redemption period, the amounts in both liquidity reserves are not available to the Issuer and are instead returned directly to CA Consumer Finance as the liquidity reserve provider.

As the rated notes carry floating-rate coupons based on one-month Euribor whereas the collateral has a fixed interest rate, the interest rate mismatch risk is largely mitigated by an interest rate swap for the Class A notes and another interest rate swap for the Class B through Class F notes provided by CA Consumer Finance.

COUNTERPARTIES
CA Consumer Finance is the account bank and the interest rate swap counterparty for the transaction. DBRS Morningstar has a private rating on CA Consumer Finance and a Long-Term Issuer Rating of AA (low) on its ultimate parent company, Crédit Agricole S.A. The transaction documents contain downgrade provisions relating to the account bank and swap counterparty consistent with DBRS Morningstar’s criteria.

DBRS Morningstar analysed the transaction cash flow structure in Intex DealMaker.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset-Backed Securitisations” (29 October 2021).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

DBRS Morningstar 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 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://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The data and information used for these ratings include performance and portfolio data relating to the receivables that CA Consumer Finance provided directly or through the arranger, Crédit Agricole Corporate and Investment Bank.

DBRS Morningstar received the following information:
-- Quarterly default vintage analysis from Q1 2011 to Q2 2021, split by the new and used vehicle loans and over-indebtedness and accelerated components;
-- Quarterly recovery vintage analysis from Q1 2011 to Q3 2021, split by the over-indebtedness and accelerated components;
-- Dynamic monthly prepayment data from January 2012 to September 2021, split by the new and used vehicle loans; and
-- Dynamic monthly delinquency data from January 2012 to September 2021, split by the new and used vehicle loans.

DBRS Morningstar also received stratification tables in relation to the loan pool as of 28 February 2022 and its related contractual amortisation profile.

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

DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

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

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios, as compared to the parameters used to determine the rating:

-- Expected Default Rate of 7.0%, a 25% and 50% increase.
-- Expected Loss Given Default (LGD) of 54.6%, a 25% and 50% increase.

Scenario 1: A 25% increase in the expected default rate.
Scenario 2: A 50% increase in the expected default rate.
Scenario 3: A 25% increase in the LGD.
Scenario 4: A 25% increase in the expected default rate and a 25% increase in the LGD.
Scenario 5: A 50% increase in the expected default rate and a 25% increase in the LGD.
Scenario 6: A 50% increase in the LGD.
Scenario 7: A 25% increase in the expected default rate and a 50% increase in the LGD.
Scenario 8: A 50% increase in the expected default rate and a 50% increase in the LGD.

DBRS Morningstar concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), AA (low) (sf), AA (high) (sf), AA (low) (sf), A (high) (sf)
-- Class B Notes: AA (low) (sf), A (high) (sf), AA (low) (sf), A (high) (sf), A (low) (sf), AA (low) (sf), A (low) (sf), BBB (high) (sf)
-- Class C Notes: A (sf), BBB (high) (sf), A (sf), BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (sf), BB (high) (sf)
-- Class D Notes: BBB (sf), BBB (low) (sf), BBB (sf), BB (high) (sf), BB (sf), BB (high) (sf), BB (sf), B (high) (sf)
-- Class E Notes: BB (sf), B (high) (sf), BB (sf), B (high) (sf), B (low) (sf), B (high) (sf), B (low) (sf), below B (low) (sf)
-- Class F Notes: B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (SF), below B (low) (sf), below B (low) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Xiaoxi Sun, Assistant Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 30 March 2022

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 rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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