Morningstar DBRS Assigns Provisional Credit Rating to Auto ABS French Leases 2025

DBRS Ratings GmbH (Morningstar DBRS) assigned a provisional credit rating of (P) AAA (sf) to the Class A Notes to be issued by Auto ABS French Leases 2025 (the Issuer).

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

The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the final maturity date.

This transaction represents the issuance of notes backed by a portfolio of receivables related to auto financial lease agreements, including the residual value (RV) component of the leases, granted by Compagnie Générale de Crédit aux Particulier S.A. (CREDIPAR or the Seller) to private and commercial lessees residing or incorporated in the Republic of France. CREDIPAR is a wholly owned subsidiary of Banque Stellantis France.

The Seller granted a pledge without dispossession (gage sans dépossession) over the leased cars in favour of the Issuer to guarantee all present and future payment obligations of the Seller under the transaction documents. France Titrisation manages the transaction, and CREDIPAR services the receivables.

CREDIT RATING RATIONALE
Morningstar DBRS' provisional credit rating is 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 Class A Notes are expected to be issued
-- The credit quality of CREDIPAR's provisional portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- CREDIPAR's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength;
-- The operational risk review of CREDIPAR, which Morningstar DBRS deems to be an acceptable servicer;
-- The transaction parties' financial strength with regard to their respective roles;
-- The expected consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions"; and
-- Morningstar DBRS' sovereign credit rating on the Republic of France, currently at AA (high) with a Negative trend.

TRANSACTION STRUCTURE
The transaction is subject to a revolving period of 12 months, during which time the Seller may offer additional receivables and their related RV receivables. The Issuer can purchase these receivables so long as the eligibility criteria, global portfolio limits, performance triggers, and other conditions set out in the transaction documents are met. The repayment of principal of the Class A Notes will be fully sequential with no payment of principal on the Class B Notes until the Class A Notes will be redeemed in full.

A general reserve with an initial balance equal to 1.0% of the initial Class A Notes' balance supports the Class A Notes. The general reserve covers senior fees, net swap payments, and interest payment shortfalls on the Class A Notes. The general reserve amortises in line with the outstanding balance of the Class A Notes with a pre-set floor.

All underlying contracts are fixed rate, while the Class A Notes are indexed to one-month Euribor. Interest rate risk for the Class A Notes is expected to be mitigated through an interest rate swap provided by Banco Santander SA (Banco Santander).

COUNTERPARTIES
BNP Paribas SA (BNPP), acting through its Securities Services business is expected to be appointed as the Issuer's account bank for the transaction. Morningstar DBRS' public Long-Term Issuer Rating on BNPP is AA (low) with a Stable trend, while its Long-Term Critical Obligations Rating is AA (high) with a Stable trend, which meets Morningstar DBRS' criteria to act in such capacity. The transaction documents are expected to contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

Banco Santander is expected to be the swap counterparty for the transaction. Morningstar DBRS' public Long-Term Issuer Rating on Banco Santander is at A (high) with a Stable trend, and the Long-Term Critical Obligations Rating is at AA (low) with a Stable trend, which meets Morningstar DBRS' criteria to act in such capacity. The hedging documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit rating on the Class A Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Class A Notes are the Class A Notes interest amount and the Class A Notes principal payment.

Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents 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, 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 euros unless otherwise noted.

The principal methodology applicable to the credit rating 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 cash flow 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 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 this credit rating include the Seller and its agents. Morningstar DBRS received:
-- Quarterly static cumulative defaults and recoveries from Q1 2015 to Q4 2024, split by product and vehicle mix;
-- Monthly dynamic delinquency data from January 2015 to December 2024 for the total portfolio;
-- Quarterly dynamic prepayment data from Q1 2015 to Q4 2024 for total portfolio, split by product and vehicle mix;
-- Quarterly origination volumes from Q1 2015 to Q4 2024, split by product and vehicle mix;
-- RV performance data for financial leases from June 2012 to January 2025; and
-- Stratification tables as of 12 February 2025 and its related 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 impact the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing this credit rating 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 security and may change or be different than the final credit rating assigned or may be discontinued. The assignment of a final credit rating on the above-mentioned security 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 rating.

This credit rating concerns an expected-to-be issued new financial instrument. This is the first Morningstar DBRS credit rating on this financial instrument.

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):

-- Expected default rate: 2.3%
-- Expected recovery rate: 63.0%
-- Loss given default (LGD): 59.1% for the AAA (sf) scenario
-- RV loss: 31.2% for the AAA (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 rating under the eight stress scenarios would be:
-- Class A Notes: AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), AA (low) (sf), AA (sf), AA (low) (sf), and A (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.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: José Escandell, Assistant Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 5 May 2025

DBRS Ratings GmbH, Sucursal en España
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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
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.

-- 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 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/439604.

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