Morningstar DBRS Confirms Credit Ratings on First Swiss Mobility 2023-1 AG

DBRS Ratings Limited (Morningstar DBRS) confirmed its credit ratings on the Class A, Class B, and Class C Notes (together, the Rated Notes) issued by First Swiss Mobility 2023-1 AG (the Issuer) as follows:

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

The credit ratings on the Rated Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

CREDIT RATING RATIONALE
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the January 2025 payment date;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the Rated Notes to cover the expected losses at their respective credit rating levels; and
-- No revolving termination events have occurred.

The transaction is a securitisation collateralised by auto leases granted by MultiLease AG, a wholly owned subsidiary of Emil Frey Holding AG. The underlying motor vehicles related to the auto leases consist of both new and used passenger cars, light-commercial vehicles, and motorcycles. The transaction has a 39-month revolving period wherein the Issuer may purchase additional receivables subject to eligibility criteria and portfolio concentration limits, which is scheduled to end in May 2026.

PORTFOLIO PERFORMANCE
As of the January 2025 payment date, loans two to three months in arrears represented 0.1% of the outstanding portfolio balance and loans more than three months in arrears represented 0.0%, both up from 0.0% in January 2024. The cumulative default ratio was 0.3%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted an analysis of the current pool of receivables and updated its expected PD, LGD, and RV haircut assumptions to the following:
-- Expected PD of 1.0%;
-- Expected LGD of 49.8% for the AAA (sf) scenario, 46.5% for the AA (sf) scenario and 39.9% for the A (low) (sf) scenario;
-- RV loss of 24.3% for the AAA (sf) scenario, 18.7% for the AA (sf) scenario, and 11.5% for the A (low) (sf) scenario.

CREDIT ENHANCEMENT
As of the January 2025 payment date, credit enhancement to the Class A, Class B, and Class C Notes was 23.1%, 14.7%, and 9.5%, respectively, stable since the Morningstar DBRS initial rating because of the revolving period.

The transaction includes a nonamortising cash reserve equal to 1.4% of the initial collateral balance. The cash reserve provides liquidity support to the Rated Notes, available to pay senior transaction fees and interest payments on the Rated Notes.

Zürcher Kantonalbank (ZKB) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on ZKB, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS's credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS's 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 Swiss Francs unless otherwise noted.

The principal methodology applicable to the credit ratings is "Master European Structured Finance Surveillance Methodology" (4 February 2025): https://dbrs.morningstar.com/research/447080.

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 continues to consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit 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 investor reports provided by Intertrust Financial Services B.V.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the 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.

The last credit rating action on this transaction took place on 14 February 2024, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B and Class C Notes at AAA (sf), AA (sf), and A (low) (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

Information regarding Morningstar DBRS credit ratings, including definitions, policies and methodologies is available at 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 rating (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- Expected PD of 1.0%;
-- Expected LGD of 49.8% for the AAA (sf) scenario, 46.5% for the AA (sf) scenario and 39.9% for the A (low) (sf) scenario; and
-- RV loss of 24.3% for the AAA (sf) scenario, 18.7% for the AA (sf) scenario, and 11.5% for the A (low) (sf) scenario.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD, LGD and RV Loss increase by a certain percentage over the base case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in RV loss, expected credit rating of AAA (sf)
-- 50% increase in RV loss, expected credit rating of AAA (sf)
-- 25% increase in both PD and LGD, expected credit rating of AAA (sf)
-- 50% increase in both PD and LGD, expected credit rating of AAA (sf)
-- 25% increase in both PD and LGD, and 25% increase in RV loss, expected credit rating of AAA (sf)
-- 25% increase in both PD and LGD, and 50% increase in RV loss, expected credit rating of AA (high) (sf)
-- 50% increase in both PD and LGD, and 25% increase in RV loss, expected credit rating of AA (high) (sf)
-- 50% increase in both PD and LGD, and 50% increase in RV loss, expected credit rating of AA (high) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in RV loss, expected credit rating of AA (sf)
-- 50% increase in RV loss, expected credit rating of A (high) (sf)
-- 25% increase in both PD and LGD, expected credit rating of AA (sf)
-- 50% increase in both PD and LGD, expected credit rating of AA (low) (sf)
-- 25% increase in both PD and LGD, and 25% increase in RV loss, expected credit rating of AA (low) (sf)
-- 25% increase in both PD and LGD, and 50% increase in RV loss, expected credit rating of A (high) (sf)
-- 50% increase in both PD and LGD, and 25% increase in RV loss, expected credit rating of A (high) (sf)
-- 50% increase in both PD and LGD, and 50% increase in RV loss, expected credit rating of A (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in RV loss, expected credit rating of A (low) (sf)
-- 50% increase in RV loss, expected credit rating of BBB (high) (sf)
-- 25% increase in both PD and LGD, expected credit rating of A (low) (sf)
-- 50% increase in both PD and LGD, expected credit rating of A (low) (sf)
-- 25% increase in both PD and LGD, and 25% increase in RV loss, expected credit rating of A (low) (sf)
-- 25% increase in both PD and LGD, and 50% increase in RV loss, expected credit rating of BBB (high) (sf)
-- 50% increase in both PD and LGD, and 25% increase in RV loss, expected credit rating of BBB (high) (sf)
-- 50% increase in both PD and LGD, and 50% increase in RV loss, expected credit rating of BBB (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 GmbH for use in the European Union.

Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 23 January 2023

DBRS Ratings Limited
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196/.
-- Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080/.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781/.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571/.
-- 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/.

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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.