Morningstar DBRS Assigns Provisional Credit Ratings to Fortuna Consumer Loan ABS 2025-1 Designated Activity Company

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Fortuna Consumer Loan ABS 2025-1 Designated Activity Company (the Issuer):

-- Class A Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (sf)
-- Class C Notes at (P) A (sf)
-- Class D Notes at (P) BBB (high) (sf)
-- Class E Notes at (P) BB (sf)
-- Class F Notes at (P) B (high) (sf)
-- Class G Notes at (P) B (high) (sf)

Morningstar DBRS did not assign a provisional credit rating to the Class X Notes also expected to be issued in this transaction.

The credit ratings of the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings of the Class C, Class D, Class E, Class F and Class G Notes address the ultimate payment of interest (but timely when as the most senior class outstanding) and the ultimate repayment of principal by the legal final maturity date.

CREDIT RATING RATIONALE
Morningstar DBRS' credit ratings of the Rates Notes are based on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cashflow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued
-- The credit quality of auxmoney GmbH's (auxmoney) portfolio, the diversification of the collateral, its historical performance and Morningstar DBRS' projected performance under various stress scenarios
-- Morningstar DBRS' operational risk review of auxmoney's capabilities regarding origination and underwriting
-- The capabilities of CreditConnect GmbH (CreditConnect) regarding servicing
-- The transaction parties' financial strength regarding their respective roles
-- The expected consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology
-- Morningstar DBRS' long-term sovereign credit rating on the Federal Republic of Germany, currently AAA with a Stable trend

TRANSACTION STRUCTURE
The transaction is a securitisation of fixed-rate, unsecured, amortising consumer loans granted to individuals domiciled in Germany and brokered through auxmoney in co-operation with Süd-West-Kreditbank Finanzierung GmbH as the nominal originator and payment services provider. CreditConnect, a fully owned affiliate of auxmoney, is the servicer.

The transaction has a scheduled revolving period of [12] months with separate interest and principal waterfalls for the available distribution amount. After the end of the revolving period, the Rated Notes (excluding the Class G Notes) will enter into a pro rata redemption period prior to the occurrence of a sequential amortisation trigger event, for example, when the Class G principal deficiency ledger (PDL) exceeds 0.25% of the initial principal balance of the Rated Notes at closing or when the cumulative default ratio is higher than predetermined thresholds. The pro rata amortisation amounts are based on the percentages of the outstanding amount of each class of Rated Notes (excluding the Class G Notes) minus the related class PDL divided by the aggregate amount. After the breach of a sequential redemption trigger event, the Rated Notes will be repaid sequentially.

On the other hand, the repayment of the Class G Notes begins immediately after the transaction closing in the interest priority of payments in 12 equal instalments, in addition to the transaction's principal waterfalls after a sequential payment event occurs.

The transaction benefits from an amortising liquidity reserve expected to be fully funded at closing by the Notes' issuance proceeds. The liquidity reserve target amount is 1.5% of the outstanding Rated Notes balance, subject to a floor of 0.5% of the initial principal balance of the Rated Notes, but is only available to the Issuer in scenarios where the interest and principal collections are not sufficient to cover the shortfalls in senior expenses, senior swap payments and non-deferred interest payments on the Rated Notes.

The principal available funds may be used to cover certain senior expenses and interest shortfalls that would be recorded in the transaction's PDL in addition to the defaulted receivables. In addition, the transaction includes in the interest waterfalls a mechanism of PDL-debit curing and interest deferral triggers on the subordinated classes of Notes (excluding the Class G and Class X Notes), conditional on the PDL debit amount and the seniority of the Notes.

The transaction is expected to have an interest rate swap to mitigate the interest rate mismatch risk between the fixed-rate collateral and the floating-rate Rated Notes. The swap notional amount is based on a scheduled amount derived from certain prepayment assumptions on the collateral.

TRANSACTION COUNTERPARTIES
Deutsche Bank AG is the account bank for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of "A" on Deutsche Bank, which meets the Morningstar DBRS criteria to act in such capacity. The transaction documents contain downgrade provisions largely consistent with Morningstar DBRS' criteria.

BNP Paribas is the interest rate swap provider for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) on BNP Paribas, which meets the Morningstar DBRS' criteria to act in such capacity. The transaction documents also contain downgrade provisions largely consistent with Morningstar DBRS' criteria.

PORTFOLIO ASSUMPTIONS
As the performance history of auxmoney's portfolio continues to lengthen, Morningstar DBRS updated the expected defaults of some score classes and constructed the portfolio expected gross default for this transaction at 9.4% based on the estimated score class compositions at the end of the scheduled revolving period. On the other hand, Morningstar DBRS maintained the expected recovery unchanged at 27.5% or the expected loss given default (LGD) at 72.5%.

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 for each of the Rated Notes are the related Interest Amounts and the Initial Note Principal Amount.

Morningstar DBRS' credit ratings on the Rated Notes also address the credit risk associated with the increased rate of interest applicable to the Rated Notes if the Rated Notes are not redeemed on the first optional redemption date as defined in and in accordance with the applicable transaction documents.

Morningstar DBRS credit ratings do not address the non-payment 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 or 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 euros unless otherwise noted.

The principal methodology applicable to the credit ratings is "Rating European Consumer and Commercial Asset-Backed Securitisations" (18 September 2024), https://dbrs.morningstar.com/research/439583.

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 cashflow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

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" methodology at https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include the following data provided by auxmoney or through the arranger, BNP Paribas:
-- Loan-level data from January 2014 to February 2025
-- Static default data from Q2 2014 to Q4 2024
-- Recovery data from June 2017 to January 2025
-- Dynamic delinquency information from January 2018 to February 2025
-- Prepayment rates from May 2016 to February 2025
-- Stratification tables, loan by loan data, and related contractual amortisation profile as of 28 February 2025

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern expected-to-be-issued new 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 at https://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:

-- Expected default of 9.4%
-- Expected LGD of 72.5%

Scenario 1: 25% increase in expected default
Scenario 2: 50% increase in expected default
Scenario 3: 25% increase in expected LGD
Scenario 4: 50% increase in expected LGD
Scenario 5: 25% increase in both expected default and expected LGD
Scenario 6: 25% increase in expected default and 50% increase in expected LGD
Scenario 7: 50% increase in expected default and 25% increase in expected LGD
Scenario 8: 50% increase in both expected default and expected LGD

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios are:
-- Class A Notes: AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), A (high) (sf), AA (high) (sf), AA (low) (sf), A (high) (sf)
-- Class B Notes: A (high) (sf), A (sf), A (sf), BBB (high) (sf), BBB (sf), A (sf), BBB (high) (sf), BB (sf)
-- Class C Notes: BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (low) (sf), B (high) (sf), BBB (high) (sf), BB (sf), B (sf)
-- Class D Notes: BB (sf), B (sf), BB (low) (sf), B (low) (sf), below B (low) (sf), B (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf)
-- Class E Notes: B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf), B (sf), below B (low) (sf)
-- Class F Notes: below B (low) (sf) for all scenarios
-- Class G Notes: below B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (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: Roberto Perez, Assistant Vice President
Credit Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Credit Rating Date: 18 March 2025

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81, Plantas 26 & 27
28046 Madrid, 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 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 (18 September 2024),
https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Legal and Derivative Criteria for European Structured Finance (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/439604.

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