Morningstar DBRS Finalises Provisional Credit Ratings on FACT S.A., acting in respect of its Compartment 2024-1

DBRS Ratings GmbH (Morningstar DBRS) finalised its provisional credit ratings on the following classes of notes issued by FACT S.A., acting in respect of its Compartment 2024-1 (the Issuer):

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

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

The credit ratings on the Class A and Class B Notes (the Rated Notes; together with the Class C Notes, the Notes) address the timely payment of scheduled interest and ultimate repayment of principal by the final maturity date.

CREDIT RATING RATIONALE
The transaction represents the issuance of Notes backed by a portfolio of auto receivables related to finance and operating leases (including those associated with the future sale of the associated leased vehicles) and loan contracts granted by Porsche Bank AG (Porsche Bank; the Originator, or the Seller) to private and commercial debtors resident or incorporated in the Republic of Austria. With the assignment of the purchased receivables, Porsche Bank retains ownership rights (Eigentumsvorbehalt) in the financed vehicles and holds rights to the leased vehicles on trust as a trustee (Treuhänder) of the Issuer. Porsche Bank services the receivables (the Servicer).

Morningstar DBRS' credit ratings are based 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 have been issued;
-- The credit quality of Porsche Bank's portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS projected behaviour under various stress scenarios;
-- Porsche Bank's capabilities with regard to originations, underwriting, servicing, and its position in the market and financial strength;
-- The operational risk review of Porsche Bank, 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 rating on the Republic of Austria, currently rated at AAA with a Stable trend by Morningstar DBRS.

TRANSACTION STRUCTURE
The transaction is static and the Rated Notes will amortise from the initial payment date. The transaction's waterfall combines interest and principal collections with available funds to redeem the Rated Notes on a sequential basis, subject to note-specific principal redemption amounts.

The structure benefits from a nonamortising cash collateral account, which is sized at 1.0% of the aggregate initial principal balance of the receivables. The cash reserve is available to cover senior expenses, interest rate swap payments, and interest payable on the Rated Notes. The cash reserve may be used to repay principal on the Rated Notes when the collateral balance reaches zero.

The portfolio comprises both fixed-rate and variable-rate receivables while the Notes pay a floating rate. The structure incorporates an interest rate swap where the notional is calculated according to the outstanding nondefaulted fixed-rate receivables. Variable-rate receivables are linked to three-month Euribor while the Notes are indexed to one-month Euribor. There is no basis swap in place.

COUNTERPARTIES
Elavon Financial Services DAC (Elavon) has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS privately rates Elavon and has concluded that it meets the criteria to act in its capacity. The transaction documents contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

CACIB has been appointed as interest rate swap counterparty for the transaction. Morningstar DBRS privately rates CACIB and has concluded that it meets the criteria to act in its capacity. The hedging documents contain downgrade provisions consistent with Morningstar DBRS's criteria.

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

Morningstar DBRS' credit ratings do 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 Factors in Credit Ratings"
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 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.

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 Seller and its agents. Morningstar DBRS received:
-- Quarterly static cumulative default and net loss data from Q2 2017 to Q1 2024;
-- Monthly dynamic delinquency data, prepayment data, originations, and outstanding balances from April 2017 to March 2024;
-- Summarised sales proceeds data relating to finance lease and operating lease; and
-- Portfolio stratification tables as at 6 September 2024 and its related theoretical 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.

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

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: 1.0%
-- Expected recovery rate: 65.0%
-- Loss given default (LGD): 57.8% for the AAA (sf) scenario and 56.2% for the AA (high) (sf) scenario.
-- Residual Value (RV) loss: 35.0% for the AAA (sf) scenario and 31.5% for the AA (high) (sf) scenario.

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

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios will be:
-- Class A Notes: AAA (sf), AA (sf), AAA (sf), AA (high) (sf), AA (sf), AAA (sf), AA (high) (sf), and AA (sf)
-- Class B Notes: AA (sf), AA (low) (sf), AA (high) (sf), AA (sf), A (high) (sf), AA (sf), AA (low) (sf), and A (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: Xiaoxi Sun, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 26 August 2024

DBRS Ratings GmbH
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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.

Other methodologies referenced in this transaction are listed below:
-- Rating European Structured Finance Transactions Methodology (25 June 2024),
https://dbrs.morningstar.com/research/434970.
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165.
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024),
https://dbrs.morningstar.com/research/437543.
-- Operational Risk Assessment for European Structured Finance Originators (6 August 2024),
https://dbrs.morningstar.com/research/437541.
-- 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 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/278375.

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