Press Release

DBRS Morningstar Finalises Provisional Ratings on RevoCar 2023-1 UG (haftungsbeschränkt)

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May 17, 2023

DBRS Ratings GmbH (DBRS Morningstar) finalised its provisional ratings to the following classes of notes issued by RevoCar 2023-1 UG (haftungsbeschränkt) (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at A (high) (sf)
-- Class C Notes at BBB (high) (sf)
-- Class D Notes at BB (high) (sf)

DBRS Morningstar did not assign a rating to the Class E Notes also issued in this transaction.

The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date. The ratings on the Class B Notes, Class C Notes, and Class D Notes address the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date.

The transaction represents the issuance of notes backed by a portfolio of approximately EUR 500 million in receivables related to amortising loans and amortising loans with a final, mandatory balloon payment granted by the seller and the servicer, Bank11 für Privatkunden und Handel GmbH (Bank11).

DBRS Morningstar based its ratings on a review of the following analytical considerations:
-- The transaction capital structure, including form and sufficiency of available credit enhancement;
-- Relevant credit enhancement in the form of subordination, the liquidity reserve, and excess spread;
-- Credit enhancement levels that are sufficient to support DBRS Morningstar's projected cumulative net loss assumptions under various stressed cash flow assumptions;
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
-- Bank11’s capabilities with regard to originations, underwriting, and servicing;
-- The transaction parties’ financial strength with regard to their respective roles;
-- The credit quality of the collateral, and the historical and projected performance of the originator’s portfolio;
-- DBRS Morningstar's sovereign rating on the Federal Republic of Germany, currently at AAA with a Stable trend; and
-- 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 is static and begins to amortise from the first interest payment date.

The transaction allocates payments on a combined interest and principal priority of payments basis and benefits from an amortising EUR 5.0 million liquidity reserve that Bank11 funded at closing. The liquidity reserve can be applied to cover senior costs, payments under the interest rate swap agreement, and interest on the Class A Notes only.

COUNTERPARTIES
BNP Paribas, Germany Branch (BNPSA-GB) is the Issuer’s account bank for the transaction. DBRS Morningstar privately rates BNPSA-GB, but publicly rates its ultimate parent, BNP Paribas SA, at AA (low) with a Stable trend. The transaction documents contain downgrade provisions relating to the account bank consistent with DBRS Morningstar’s legal criteria where a replacement must be sought if the long-term rating on the account bank falls below a specific threshold (‘A’ by DBRS Morningstar). DBRS Morningstar considered this threshold and the current rating on BNPSA-GB in its analysis. The Issuer's accounts include the operating, the liquidity reserve, the commingling reserve, the servicing fee reserve, and the swap collateral accounts.

Unicredit Bank AG (Unicredit) is the swap counterparty for the transaction. DBRS Morningstar privately rates Unicredit and concluded that it meets the minimum criteria to act in its capacity. The hedging documents contain downgrade provisions consistent with DBRS Morningstar’s criteria.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/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 structure in Intex Dealmaker.

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 (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.

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.

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 include:
-- Monthly static default data from March 2016 to January 2023, split into total, amortising, and balloon loans; new and used vehicles; and various loan-to-value bucket subsets;
-- Monthly static recovery data from March 2016 to January 2023, split into total, amortising, and balloon loans and new and used vehicles;
-- Monthly dynamic origination and delinquency data from March 2016 to January 2023;
-- Monthly static and dynamic prepayment data from March 2016 to January 2023; and
-- Portfolio stratification tables as at 30 April 2023 and the related theoretical amortisation schedule.

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: 1.6%
-- Expected recovery rate: 49.1%
-- Loss given default (LGD): 68.0% for the AAA (sf) scenario; 63.5% for the A (high) (sf) scenario; 60.0% for the BBB (high) (sf) scenario; and 56.6% for the BB (high) (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: AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), A (high) (sf), AA (sf), A (high) (sf), A (sf)
-- Class B Notes: A (sf), BBB (high) (sf), A (sf), BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (sf), BB (high) (sf)
-- Class C Notes: BBB (sf), BBB (low) (sf), BBB (sf), BBB (low) (sf), BB (high) (sf), BBB (low) (sf), BB (high) (sf), BB (high) (sf)
-- Class D Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (sf), B (high) (sf), BB (sf), B (high) (sf), 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.

For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: Ricardo Garcia, Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 13 April 2023

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81
Plantas 26 & 27
28046 Madrid, Spain
Spain
Tel. +34 (91) 903 6500

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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