Morningstar DBRS Assigns Credit Ratings to Asset-Backed European Securitisation Transaction Twenty-Four S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) assigned credit ratings to the following classes of notes (collectively, the Rated Notes) issued by Asset-Backed European Securitisation Transaction Twenty-Four S.r.l. (the Issuer):

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

Morningstar DBRS did not assign credit ratings to the Class M Notes and the Class X Notes (together, with the Rated Notes, the Notes).

The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings on the Class B Notes to Class E Notes address the ultimate payment of scheduled interest (or timely when most senior class outstanding) and the ultimate repayment of principal by the final maturity date.

CREDIT RATING RATIONALE
The transaction represents the issuance of Notes backed by a pool of auto loan receivables related to standard, amortising auto loan contracts granted to private consumers and legal persons residing or incorporated in the Republic of Italy for the purchase of new and used passenger cars, granted by CA Auto Bank S.p.A. (CAAB; the Seller or the Servicer). CAAB will also service the transaction receivables.

Morningstar DBRS' credit ratings are based on the following analytical considerations:
-- The transaction's structure, including the 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 have been issued;
-- The credit quality of CAAB's portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- CAAB's capabilities with respect to originations, underwriting, and servicing;
-- The operational risk review of CAAB, which Morningstar DBRS deems to be an acceptable Servicer;
-- The transaction parties' financial strength with regard to their respective roles;
-- The consistency of the transaction's legal structure with Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.
-- The consistency of the transaction's hedging structure with Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology; and,
-- The sovereign credit rating on the Republic of Italy, currently rated at BBB (high) with a Stable trend, by Morningstar DBRS.

TRANSACTION STRUCTURE
The transaction will, until the seventh interest payment date (excluding), amortise on a fully sequential basis. Following the initial sequential amortisation period, and subject to no sequential redemption event triggers being breached, it will amortise on a pro rata basis. Sequential redemption events include, among others, the breach of performance-related triggers related to delinquencies and gross defaults as well as the termination of the Servicer's appointment.

Only the Class A Notes to Class M Notes are collateralised. The Class X Notes are uncollateralised and have been issued to fund the cash reserve at closing. The Class A Notes to Class E Notes benefit from a fully funded, nonamortising cash reserve equal to 1.5% of the Class A Notes to Class E Notes' initial balance. The cash reserve is available, in certain scenarios, to pay senior costs and expenses and interest shortfalls.

COUNTERPARTIES
The Bank of New York Mellon SA/NV - Milan Branch (BNYM) has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS has a Long-Term Senior Debt and a Long-Term Deposits Rating of AA (high) on BNYM and considers BNYM to meet the relevant criteria to act in this capacity. The transaction documents contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

CAAB has been appointed as the swap counterparty for the transaction and Crédit Agricole Corporate & Investment Bank (CACIB) has been appointed as standby swap counterparty for the transaction. Morningstar DBRS privately rates CAAB and CACIB. Following a CAAB swap default, CACIB will replace CAAB as the swap counterparty without delay and the existing swap transaction with CAAB will terminate. In exchange, CACIB will receive an intermediation fee. The hedging and standby hedging documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related principal amount outstanding and the related interest amounts.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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 Risk Factors in Credit Ratings https://dbrs.morningstar.com/research/427030.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker considering the default rates at which the rated notes did not return all specified cash flows.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is Rating European Consumer and Commercial Asset-Backed Securitisations (8 January 2024), https://dbrs.morningstar.com/research/426219.

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.

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 CAAB and its agents. The data and information received and reviewed by Morningstar DBRS include:
-- Monthly cumulative static gross defaults split into FCA/Not FCA, New/Used, SME/Self-Employed subsets covering Q1 2016 to Q4 2023;
-- Monthly cumulative static recoveries split into FCA/Not FCA, New/Used, SME/Self-Employed subsets covering Q1 2016 to Q4 2023;
-- Monthly dynamic delinquency data split into FCA/Not FCA, New/Used, SME/Self-Employed subsets covering Q1 2016 to Q4 2023;
-- Monthly dynamic prepayment data covering January 2004 to February 2024; and
-- Loan-by-loan portfolio as at 13 July 2024, related stratification tables, and its amortisation schedule.

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 financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

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 ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):
-- Expected default rate: 3.5%.
-- Expected recovery rate: 40.0%.
-- Loss given default (LGD): 76.0% for the AAA (sf) scenario, 72.8% for the AA (low) (sf) scenario, 71.7% for the A (high) (sf) scenario and 70.7% for the A (sf) scenario.

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

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios would be:
-- Class A Notes: AA (sf), AA (sf), AA (high) (sf), AA (sf), AA (low) (sf), A (high) (sf), A (high) (sf), A (sf)
-- Class B Notes: A (high) (sf), A (sf), A (high) (sf), A (low) (sf), A (low) (sf), BBB (high) (sf), BBB (high) (sf), BBB (low) (sf)
-- Class C Notes: A (low) (sf), BBB (high) (sf), A (sf), BBB (high) (sf), BBB (high) (sf), BBB (low) (sf), BBB (sf), BB (sf)
-- Class D Notes: A (low) (sf), BBB (sf), A (low) (sf), BBB (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (low) (sf)
-- Class E Notes: A (low) (sf), BBB (sf), A (low) (sf), BBB (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (low) (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: Guglielmo Panizza, Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 26 July 2024

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 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 (8 January 2024),
https://dbrs.morningstar.com/research/426219
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Rating European Structured Finance Transactions Methodology (25 June 2024),
https://dbrs.morningstar.com/research/434970
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023),
https://dbrs.morningstar.com/research/420572
-- Operational Risk Assessment for European Structured Finance Originators (7 March 2024),
https://dbrs.morningstar.com/research/429054
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435260
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030

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/278375.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.