Press Release

DBRS Morningstar Finalises Provisional Ratings on Autonoria DE 2023

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March 21, 2023

DBRS Ratings GmbH (DBRS Morningstar) finalised its provisional ratings on the following notes (the Rated Notes) issued by Autonoria DE 2023 (the Issuer):

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

DBRS Morningstar did not assign a rating to the Class G Notes (collectively with the Rated Notes, the Notes) also issued in this transaction.

The finalised rating on the Class F Notes is one notch higher than the provisional rating DBRS Morningstar assigned due to the overall lower margins of the Rated Notes, which resulted in a longer expected pro rata period and improved the cash flow analysis on the Class F Notes in its rating stress scenario.

The ratings on the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The ratings on the Class C, Class D, Class E, and Class F Notes address the ultimate (but timely when most senior) payment of interest and the ultimate repayment of principal by the final maturity date.

The transaction represents the securitisation of receivables relating to a pool of retail auto loan receivables originated by BNP Paribas S.A., Niederlassung Deutschland (BNPP DE; the Seller and Servicer) through its Consors Finanz brand to German borrowers.

The ratings are based on the following considerations:
-- The transaction’s capital structure, including the form and sufficiency of available credit enhancement.
-- Credit enhancement levels that are sufficient to support DBRS Morningstar-projected expected net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Rated Notes.
-- BNPP DE’s capabilities with respect to originations, underwriting, servicing, and financial strength.
-- The operational risk review of the Seller, which DBRS Morningstar deems to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality and concentration of the collateral and historical and projected performance of the Seller’s portfolio.
-- The sovereign rating on the Federal Republic of Germany, currently rated AAA with a Stable trend by DBRS Morningstar.
-- The consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that address the true sale of the assets to the Issuer.

TRANSACTION STRUCTURE
The transaction has a scheduled revolving period of six months and during this time, the originator may offer additional receivables that the Issuer can purchase 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, a Seller insolvency, or a Servicer default.

During the revolving period, the Issuer applies the available funds in accordance with two separate principal and interest priorities of payments. Prior to a sequential redemption event, principal is allocated to the Notes on a pro rata basis. Following a sequential redemption event, principal is allocated on a sequential basis. Once the amortisation becomes sequential, it cannot switch to pro rata.

The transaction benefits from an amortising liquidity reserve funded at closing to an amount equal to 1.55% of the Rated Notes and floored at 0.50% of the Rated Notes' initial balance as at the closing date. The reserve is only available to the Issuer in restricted scenarios where the interest and principal collections are not sufficient to cover the shortfalls in senior expenses, interest on the Class A Notes and, if not deferred, interest payments on other classes of Rated Notes.

Principal available funds may be used to cover certain senior expenses and interest shortfalls that would be recorded in the transaction’s principal deficiency ledger (PDL) in addition to the defaulted receivables. The transaction includes a mechanism to capture excess available revenue amount to cure PDL debits and also interest deferral triggers on the subordinated classes of Rated Notes, conditional on the PDL debit amount and seniority of the Rated Notes.

The Class E and Class F Notes also pass higher ratings specific stresses, but DBRS Morningstar deems that the cash flow analysis is sensitive to the availability of interest proceeds, especially in high prepayment scenarios.

COUNTERPARTIES
BNP Paribas SA (BNPP) is the account bank and swap counterparty for the transaction. DBRS Morningstar has Long-Term Issuer Rating of AA (low) and a Critical Obligations Rating of AA (high) on BNPP, which meets its criteria to act in such capacity.

The transaction documents contain downgrade provisions relating to the account bank consistent with DBRS Morningstar’s criteria. The hedging documents also contain downgrade provisions consistent with DBRS Morningstar’s criteria.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

Environmental (E) Factors
The initial portfolio has a relatively high exposure to older petrol and diesel engine vehicles that are unlikely to be classified as Euro 6 (up to 20.8% of receivables may be related to vehicles registered prior to 2016). DBRS Morningstar considers that risks related to greenhouse gas emissions may be associated with future restrictions on these vehicle types, including bans and additional taxes. These risks may lead to changes in expected vehicle valuations and borrower behaviours that could subsequently influence future default, recovery, and prepayment activity. DBRS Morningstar considers that this exposure, combined with the longer-than-typical contract tenors, is a relevant environmental factor within its credit analysis.

There were no Social or Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework 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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

DBRS Morningstar analysed the transaction’s structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022), https://www.dbrsmorningstar.com/research/404212/rating-european-consumer-and-commercial-asset-backed-securitisations.

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/401817/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 sources of data and information used for these ratings included the Seller and its agents. DBRS Morningstar received the following data and information:
-- Quarterly default and recovery vintage performance from March 2013 to December 2022;
-- Quarterly dynamic originations data from March 2013 to December 2022; and
-- Monthly dynamic prepayment and arrears data from January 2013 to December 2022.

DBRS Morningstar also received a set of stratification tables in relation to the loan pool as of 31 January 2023 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.

This is the first rating action since the Initial Rating Date.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):

-- Expected default rate (PD): 2.1%
-- Recovery rate: 40.9%.
-- Loss given default (LGD): 71.4% for the AAA (sf) scenario

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

DBRS Morningstar concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AAA (sf), AA (high) (sf), AAA (sf), AA (sf), AA (low) (sf), AA (high) (sf), AA (low) (sf), A (high) (sf)
-- Class B Notes: AA (sf), A (high) (sf), AA (sf), A (high) (sf), A (sf), A (high) (sf), A (low) (sf), BBB (high) (sf)
-- Class C Notes: A (sf), BBB (high) (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (low) (sf), BB (high) (sf), BB (high) (sf)
-- Class D Notes: BBB (sf), BBB (low) (sf), BBB (low) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (sf)
-- Class E Notes: BB (sf), BB (low) (sf), BB (low) (sf), B (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf)
-- Class F Notes: B (sf), below B (low) (sf), below 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: https://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: Guglielmo Panizza, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 14 February 2023

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: https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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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