Morningstar DBRS Confirms Credit Ratings on Notes Issued by Weser Funding S.A., Compartment No. 4 and Weser Funding S.A., Compartment No. 6

DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the Notes issued by Weser Funding S.A., Compartment No. 4 (WF4) and Weser Funding S.A., Compartment No. 6 (WF6), (together, the Issuers) as follows:

WF4:
-- Floating Rate Notes due 15 May 2058 at BBB (sf)
-- Fixed Rate Notes due 15 May 2058 at BBB (sf)

WF6:
-- Floating Rate Notes due 2058 at A (sf)

The credit ratings on the Notes address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity dates in May 2058 (WF4) and April 2058 (WF6).

CREDIT RATING RATIONALE
The confirmations of the credit ratings follow an annual review of the transactions and are based on the following analytical considerations:

-- The portfolio performances, in terms of level of delinquencies and defaults, as of the February 2025 payment dates,
-- The one-year base case probability of defaults (PD), and default and recovery rates on the revolving pools of receivables,
-- The fact that no early amortisation event has occurred, and
-- The credit enhancement available to the Notes to cover the expected losses at the respective credit rating level.

The transactions are revolving cash securitisations backed by a portfolio of Euro-denominated loans to SME's located in Germany and other EU-countries. The loans were originated by Oldenburgische Landesbank AG (OLB).

PORTFOLIO PERFORMANCE
As of the February 2025 payment dates, there were no delinquent or defaulted loans reported for none of the transactions.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the revolving pools of receivables, and given the revolving period, maintained its one-year base case PD assumptions based on the hypothetical worst case pool composition for both pools, as follows:

-- For WF4: Morningstar DBRS maintained its one-year base case PD of 1.9%, based on the same hypo pool composition as at closing.
-- For WF6, Morningstar DBRS maintained its portfolio's one-year base case PD of 1.65% for SME obligors, 4.95% for SME acquisition finance projects, and 4.85% for SME leasing companies, based on the same hypo pool composition as at closing.

CREDIT ENHANCEMENT
As of February 2025, the credit enhancement available to the rated Notes for WF4 was 26.5%, and for WF6 was 23.2%, both unchanged since closing. The stable levels of credit enhancement for both transactions reflect the revolving periods in place.

The transactions also benefit from cash reserves, which are currently at their target levels of EUR 9.0 million (WF4) and EUR 8.2 million (WF6). The cash reserves are available to cover shortfalls in senior expenses and interest on the notes during the life of the transactions. Once the outstanding portfolio balances has been reduced to zero, the cash reserves will be released through the waterfall and will be available to pay down outstanding principal on the notes.

The Bank of New York Mellon, Frankfurt Branch acts as the account bank for the Issuers. Based on Morningstar DBRS' private credit rating on The Bank of New York Mellon, Frankfurt Branch, the downgrade provisions outlined in the transactions documents, and other mitigating factors inherent in the transactions structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the rated Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' 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' 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 Social/Environmental/Governance factors that had a significant or relevant impact 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 its proprietary Excel-based cash flow engine.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: "Rating CLOs Backed by Loans to European SMEs" (19 November 2024), https://dbrs.morningstar.com/research/443198.

Other methodologies referenced in these transactions 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 surveillance section of the principal methodology.

A review of the transactions' legal documents was not conducted as the legal documents have remained unchanged since the most recent 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 Ratings on Other DBRS Morningstar 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 investor report provided by OLB and loan-by-loan data from the European DataWarehouse GmbH and QuantFS GmbH.

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

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

The last credit rating actions on WF4 took place on 19 April 2024, when Morningstar DBRS confirmed its BBB (sf) credit rating on the Notes. The last credit rating actions on WF6 took place on 28 March 2024, when Morningstar DBRS confirmed its A (sf) credit rating on the Notes.

The lead analyst responsibilities for these transactions have been transferred to Shalva Beshia.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at 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):

-- WF4: PD rates used: base case PD of 1.65% for SME obligors, 4.85% for SME leasing companies, and 4.95% for SME acquisition finance projects, and a 10% and 20% increase on the base case PD. Recovery rates used: base case recovery rate of 39.9% at the BBB (sf) credit rating level, a 10% and 20% decrease in the base case recovery rates.

-- WF6: PD rates used: base case PD of 1.9%, a 10% increase of the base case and a 20% increase of the base case PD. Recovery rates used: base case recovery rate of 26.2% at the A (sf) credit rating level, a 10% and 20% decrease in the base case recovery rates.

For WF4, Morningstar DBRS concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a downgrade of the Notes to BB (high) (sf). A hypothetical decrease of the recovery rate by 20%, ceteris paribus, would also lead to a downgrade of the Notes to BB (high) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would lead to a downgrade of the Notes to BB (high) (sf).

For WF6, Morningstar DBRS concludes that a hypothetical increase of the base case PD by 20%, ceteris paribus, would lead to a downgrade of the Notes to BBB (high) (sf). A hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a downgrade of the Notes to A (low) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would lead to a downgrade of the Notes to BBB (high) (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: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Carlos Silva, Senior Vice President
Initial Rating Dates: 20 April 2023 (WF4); 6 April 2023 (WF6)

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Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of these transactions can be found at:
https://dbrs.morningstar.com/about/methodologies.

-- Rating CLOs Backed by Loans to European SMEs (19 November 2024),
https://dbrs.morningstar.com/research/443198
-- Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080
-- Global Methodology for Rating CLOs and Corporate CDOs (19 November 2024),
https://dbrs.morningstar.com/research/443207
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- 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/27837.

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