Morningstar DBRS Upgrades and Confirms Credit Ratings on RevoCar 2021-1 UG Following Amendment

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the rated notes issued by RevoCar 2021-1 UG (haftungsbeschränkt) (the Issuer), following a transaction amendment (the Amendment):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to A (high) (sf) from A (sf)
-- Class C Notes upgraded to BBB (high) (sf) from BBB (sf)
-- Class D Notes upgraded to BB (high) (sf) from BB (sf)

As part of the Amendment, the trigger values related to the principal deficiency events (PDE) for the Class C Notes, the Class D Notes, and Class E Notes have been updated and the minimum weighted average yield of the portfolio during the revolving period has been increased. Morningstar DBRS also lowered its multiples in the analysis considering the updated base case PD assumption. Overall, the changes improved the cash flow analysis for the Class B Notes, Class C Notes, and Class D Notes.

The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date. The credit rating on the Class B Notes addresses the timely payment of interest while the senior-most class outstanding, otherwise the ultimate payment of interest and principal on or before the legal final maturity date; the credit ratings on the Class C Notes and Class D Notes address the ultimate payment of interest and principal on or before the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions follow a transaction review upon the execution of the Amendment and is based on the following analytical considerations:
-- The Amendment to the transaction executed on 23 April 2025;
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the March 2025 payment date;
-- Updated probability of default (PD), loss given default (LGD), and expected loss assumptions for the aggregate collateral pool;
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective credit rating levels; and
-- No revolving period termination event have occurred to date.

The transaction is a securitisation of German auto loan receivables originated and serviced by Bank11 für Privatkunden und Handel GmbH (Bank11) and granted primarily to private clients for the purchase of both new and used vehicles. The transaction closed in May 2021 with an initial portfolio of EUR 700.0 million. The transaction included a 48-month revolving period which was expected to end in May 2025. The revolving period has been extended by an addition 48-month in the context of this Amendment and will be expected to end in May 2029.

THE AMENDMENT
The Amendment was executed on 23 April 2025 and is effective as of 26 May 2025. The main changes are summarised below:
-- Extension of the revolving period to May 2029 from May 2025;
-- Extension of the legal maturity date until May 2042 payment date from May 2038;
-- Amendment of early amortisation events in line with the extended revolving period;
-- Increase in the minimum weighted average portfolio yield to 2.9% from 2.6% during the revolving period; and
-- Amendment of the PDE trigger values for the Class C Notes, Class D Notes, and Class E Notes as follows:
(1) decrease of the Class C PDE trigger value to EUR 5,000,000, down from EUR 12,4000,000;
(2) decrease of the Class D PDE trigger value to EUR 4,000,000, down from EUR 4,900,000; and
(3) increase of the Class E PDE trigger value to EUR 3,500,000, up from EUR 2,700,000.

PORTFOLIO PERFORMANCE
As of the March 2025 payment date, loans that were one to two months and two to three months in arrears represented 0.4% and 0.2% of the outstanding portfolio balance, respectively, while loans that were more than three months in arrears represented 0.6%. Gross cumulative defaults amounted to 0.7% of the aggregate initial collateral balance plus subsequent portfolios, with cumulative recoveries of 47.5% to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS received updated historical vintage data from the originator and conducted a loan-by-loan analysis of the remaining pool of receivables. Morningstar DBRS updated its base case PD and LGD assumptions to 1.7% and 59.1%, respectively.
Due to the inclusion of a revolving period, Morningstar DBRS' assumptions continue to be based on the potential portfolio migration and the replenishment criteria set forth in the transaction legal documents.

CREDIT ENHANCEMENT
The subordination of the respective junior obligations provides credit enhancement to the rated notes. As of the March 2025 payment date, credit enhancement to the rated notes remained unchanged since closing due to the revolving period.

The credit enhancement available to the rated notes is as follows:
-- 8.2% for the Class A Notes;
-- 3.5% for the Class B Notes;
-- 2.3% for the Class C Notes; and
-- 1.3% for the Class D Notes.

The transaction benefits from a liquidity reserve, which will only become available upon a servicer termination event, with a target balance equal to 0.25% of the outstanding collateral balance. The reserve is available to cover senior fees and expenses, and interest payments on the Class A Notes only. As of the March 2025 payment date, the reserve was at its target balance of EUR 1.75 million.

Additionally, the transaction benefits from a commingling reserve funded by Bank11 at closing to EUR 1.65 million. The reserve is maintained at a balance equal to 15.0% of the scheduled collections amount for the next collection period minus the commingling reserve reduction amount. As of the March 2025 payment date, the reserve was at its target balance of EUR 3.21 million.

The Bank of New York Mellon - Frankfurt Branch (BNYM-Frankfurt) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on BNYM-Frankfurt, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the 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 Environmental/Social/Governance factor(s) 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 methodologies applicable to the credit ratings are the "Master European Structured Finance Surveillance Methodology" (4 February 2025) https://dbrs.morningstar.com/research/447080 and the "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 methodologies 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.

Morningstar DBRS has conducted a review of the transaction's legal documents provided in the context of the Amendment. A review of any other transaction legal documents was not conducted as the 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 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 Bank11 and loan-level data provided by the European DataWarehouse GmbH. Additionally, Morningstar DBRS was also provided with updated historical performance data from the originator and its agents as follows:
-- Monthly static default data from March 2016 to December 2024;
-- Monthly static recovery data from March 2016 to December 2024;
-- Monthly dynamic delinquency data from March 2016 to December 2024; and
-- Monthly static and dynamic prepayment data from March 2016 to December 2024.

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 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.

The last credit rating action on this transaction took place on 5 April 2024, when Morningstar DBRS confirmed its credit ratings on the Class A Notes, Class B Notes, Class C Notes, and Class D Notes at AAA (sf), A (sf), BBB (sf), and BB (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Guglielmo Panizza.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on 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.
-- The base case PD and LGD of the current pool of loans for the Issuer are 1.7% and 59.1%, respectively.

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

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

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)

Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in LGD, expected credit rating of B (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of B (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating 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: Guglielmo Panizza, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 11 May 2021

DBRS Ratings GmbH
Neue Mainzer Straße 75
D-60311 Frankfurt am Main
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
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.

-- 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
-- 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
-- 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.