Morningstar DBRS Assigns Credit Ratings to FCT LCL Personal Loans 2025

DBRS Ratings GmbH (Morningstar DBRS) assigned credit ratings to the following notes issued by FCT LCL Personal Loans 2025 (the Issuer):

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

Morningstar DBRS did not rate the Class D Notes also issued in this transaction.

The credit ratings address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date.

The transaction is a securitisation of a portfolio of fixed-rate, unsecured, amortising personal loans granted without a specific purpose to private individuals domiciled in France by Crédit Lyonnais (LCL or the seller). LCL is also the initial servicer of the transaction, which has no exposure to balloon payments or residual value.

CREDIT RATING RATIONALE
Morningstar DBRS based its credit ratings 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
-- The consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology
-- Morningstar DBRS' long-term sovereign credit rating on the Republic of France, currently AA (high) with a Negative trend

TRANSACTION STRUCTURE
The transaction features a 36-month revolving period, during which the Issuer will purchase new receivables that the seller may offer, provided that certain conditions set out in the transaction documents are satisfied.

The transaction also benefits from three liquidity reserves, one for each class of the rated Notes, fully funded at closing with a target amount equal to 1% of the respective Note balance. The reserves are available to cover the senior expenses, senior swap cost and rated Notes interest shortfalls, subject to conditions.

A commingling reserve 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, interest and prepayment collections.

TRANSACTION COUNTERPARTIES
Crédit Agricole Corporate and Investment Bank (CA-CIB) is both the Issuer account bank and the swap counterparty for the transaction. Morningstar DBRS has a private credit rating on CA-CIB, which meets the criteria to act in both capacities. The downgrade provisions in the documentation are largely consistent with Morningstar DBRS' criteria, and the transaction will be monitored based on Morningstar DBRS' credit rating on Crédit Agricole or CA-CIB, based on the ownership.

PORTFOLIO ASSUMPTIONS
Morningstar DBRS notes that the historical default levels were low between 2016 and 2021before the more recent vintages started to show worse performance trends, albeit still relatively low. After considering the quality, length and trend of the data, Morningstar DBRS set the expected default at 1.5%, the lowest among all European unsecured personal loan portfolios reviewed by Morningstar DBRS. Historical recovery rates have also been low since 2014 and Morningstar DBRS set the expected recovery at 20%, lower than comparable French personal loan portfolios.

Morningstar DBRS' credit ratings on the rated Notes address 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.

Morningstar DBRS' credit ratings do not address nonpayment 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 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" 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, CA-CIB, as below:
-- Quarterly default vintage analysis from Q4 2014 to Q4 2024, split by the over-indebtedness and accelerated components
-- Quarterly recovery vintage analysis from Q4 2014 to Q4 2024, split by the over-indebtedness and accelerated components
-- Dynamic monthly prepayment data from April 2017 to December 2024
-- Dynamic monthly delinquency data from March 2019 to December 2024

Morningstar DBRS also received a set of stratification tables and contractual amortisation schedule in relation to the collateral pool as of 30 April 2025.

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. This is the first Morningstar DBRS credit rating on these financial instruments.

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 with the parameters used to determine the credit ratings:

-- Expected default: 1.5%
-- Expected recovery: 20% or loss given default (LGD) 80%

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

Morningstar DBRS concludes that the expected credit rating under the five stress scenarios would be:
-- Class A Notes: AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), AA (low) (sf)
-- Class B Notes: AA (low) (sf), A (sf), A (low) (sf), BBB (sf), BBB (low) (sf)
-- Class C Notes: A (low) (sf), BBB (high) (sf), BBB) (sf), BB (high) (sf), BB (high) (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
Credit Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Credit Rating Date: 28 May 2025

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.

-- 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
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- 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.