Morningstar DBRS Assigns Provisional Credit Ratings to Auto ABS Italian Stella Loans S.r.l. (2025-1)

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Auto ABS Italian Stella Loans S.r.l. (the Issuer):

-- Class A1 Notes at (P) AAA (sf)
-- Class A2 Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (high) (sf)
-- Class C Notes at (P) AA (low) (sf)
-- Class D Notes at (P) A (high) (sf)
-- Class E Notes at (P) A (high) (sf)

Morningstar DBRS does not rate the Class Z Notes (together with the Rated Notes, the Notes) also expected to be issued in the transaction.

The provisional credit ratings on the Class A1 and Class A2 Notes (together, the Class A Notes) address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The provisional credit ratings on the Class B Notes, Class C Notes, and Class D Notes address the ultimate payment of scheduled interest (and timely when they are the most senior class of notes outstanding) and the ultimate repayment of principal by the final maturity date. The provisional credit rating on the Class E Notes addresses the ultimate payment of scheduled interest and the ultimate repayment of principal by the final maturity date.

The Issuer, which is a limited liability company incorporated under the laws of Italy, acts as a special-purpose entity for issuing asset-backed securities. The Issuer has already engaged in previous securitisations, which were also carried out in accordance with Italian securitisation law. The new securitisation is fully segregated from the previous securitisations of the Issuer.

Only the Class A Notes, Class B Notes, Class C Notes, and Class D Notes are collateralised and backed by a portfolio of fixed-rate receivables related to Italian standard auto loans and balloon auto loans granted by Stellantis Financial Services Italia (SFSI or the Seller) to private individuals and commercial debtors residing in the Republic of Italy. SFSI will also act as the servicer (the Servicer) for the transaction. The Class E Notes are uncollateralised and are expected to be issued to fund the cash reserve at closing.

CREDIT RATING RATIONALE
Morningstar DBRS based its provisional credit ratings on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of the available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are expected to be issued;
-- The credit quality of SFSI's provisional portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- SFSI's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength;
-- The operational risk review of SFSI, 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 Italy, currently at BBB (high) with a Positive trend.

TRANSACTION STRUCTURE
The transaction includes a six-month revolving period during which the Issuer will purchase additional collateral. During this period, the transaction will be subject to receivables eligibility criteria and concentration limits designed to limit the potential deterioration of the portfolio quality with which the Issuer will have to comply.

The Class A Notes to Class D Notes amortise pro rata until a sequential redemption event occurs, at which point the amortisation of the Class A Notes to Class D Notes becomes fully sequential. Sequential redemption events include, among others, the breach of performance-related triggers, the Seller's default, the Servicer's termination, or the Seller not exercising the call option. The transaction incorporates a separate interest and principal waterfall that facilitates the distribution of the available distribution amount. The Class E Notes are only redeemed through available excess spread and can be repaid during the revolving period.

The Seller will fund a cash reserve account equal to 1.0% of the Class A Notes to Class D Notes' initial balance on the closing date that will amortise to a level equal to 1.0% of the Class A Notes to D Notes' outstanding balance with a floor of 0.25% of the Class A to Class D Notes' initial balance at closing. The general reserve provides liquidity support to the Rated Notes and is available to pay senior expenses, swap payments, and interest on the Class A Notes to Class D Notes. The cash reserve is available to cure the principal deficiency ledgers on the collateralised notes.

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

COUNTERPARTIES
BNP Paribas' Italian Branch (BNPP-IB) has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS privately rates BNPP-IB and concluded that BNPP-IB meets Morningstar DBRS' minimum criteria to act in its capacity. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) with a Stable trend on BNP Paribas SA. The transaction documents are expected to contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

Santander has been appointed as the swap counterparty for the transaction. Morningstar DBRS' public Long-Term Critical Obligations Rating on Santander is AA with a Stable trend, which meets the criteria to act in such capacity. The hedging documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit ratings on the Rated Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations of the Rated Notes are the related interest and principal payments.

Morningstar DBRS' credit ratings do not address nonpayment 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/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 (13 August 2024) at https://dbrs.morningstar.com/research/437781

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

On 13 May 2025, Morningstar DBRS amended the above press release to include information regarding the endorsement.

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 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 these credit ratings include the Seller and its agents. Morningstar DBRS received the following data:
-- Quarterly static default data from Q1 2013 to Q1 2025;
-- Quarterly static recovery data from Q1 2013 to Q1 2025;
-- Quarterly dynamic delinquency and prepayment data from Q1 2013 to Q1 2025;
-- Quarterly dynamic prepayment data from Q1 2013 to Q1 2025;
-- Quarterly dynamic portfolio balance data from Q1 2013 to Q1 2025;
-- Stratification tables and loan-by-loan provisional portfolio data as of 10 April 2025; and
-- A theorical amortisation profile of the provisional pool.

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 are 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 on 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 (the base case):
-- Expected default rate: 2.2%.
-- Expected recovery rate: 48.0%.
-- Loss given default (LGD): 71.2% for the AAA (sf) scenario, 69.9% for the AA (high) (sf) scenario, 67.4% for the AA (low) (sf) scenario, and 66.1% for the A (high) (sf) scenario.

Scenario 1: 25% increase in LGD.
Scenario 2: 50% increase in LGD.
Scenario 3: 25% increase in probability of default (PD).
Scenario 4: 50% increase in PD.
Scenario 5: 25% increase in PD and 25% increase in LGD.
Scenario 6: 25% increase in PD and 50% increase in LGD.
Scenario 7: 50% increase in PD and 25% increase in LGD.
Scenario 8: 50% increase in PD and 50% increase in LGD.

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios would be as follows:
-- Class A Notes: AAA (sf), AA (high) (sf), AAA (sf), AAA (sf), AA (high) (sf), AA (sf), AA (sf), and AA (low) (sf).
-- Class B Notes: AA (sf), A (high) (sf), AA (sf), AA (low) (sf), A (high) (sf), A (low) (sf), A (sf), and BBB (high) (sf).
-- Class C Notes: A (sf), BBB (high) (sf), A (high) (sf), A (low) (sf), BBB (high) (sf), BBB (sf), BBB (sf), and BB (high) (sf).
-- Class D Notes: A (low) (sf), BBB (sf), A (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (low) (sf), and BB (high) (sf).
-- Class E Notes: A (high) (sf), A (sf), A (high) (sf), A (sf), A (sf), A (low) (sf), BBB (high) (sf), and 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 Limited for use in the United Kingdom.

Lead Analyst: Sergio Rodas, Senior Analyst
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 12 May 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
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.

-- 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://www.dbrsmorningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://www.dbrsmorningstar.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.