Morningstar DBRS Assigns Provisional Credit Ratings to Fulvia SPV S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Fulvia SPV 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) A (high) (sf)
-- Class D Notes at (P) BBB (high) (sf)
-- Class E Notes at (P) A (sf)

Morningstar DBRS did not assign any credit rating to the Class Z Notes also expected to be issued in the transaction.

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

The transaction represents the issuance of notes backed by a portfolio of fixed-rate receivables related to Italian standard amortising and balloon auto loans, granted by Hyundai Capital Bank Europe GmbH, Italian Branch (HCBE, Italian Branch, or the Seller) to borrowers residing in the Republic of Italy. HCBE, Italian Branch will also act as the initial servicer for the transaction (the Servicer). The Class E Notes are uncollateralised and are 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 HCBE, Italian Branch's provisional portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- HCBE, Italian Branch 's capabilities with respect to originations, underwriting, and servicing, and its position in the market and financial strength;
-- The operational risk review of HCBE, Italian Branch, 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 five-month revolving period during which the Issuer may purchase additional collateral. During this period, the transaction will be subject to eligibility criteria and transfer limits designed to limit the potential deterioration of the portfolio quality with which the Issuer will have to comply.

The transaction incorporates a separate interest and principal waterfall that facilitates the distribution of the interest and principal available funds. The Collateralised Notes amortise pro rata until a sequential payment trigger event occurs, at which point the amortisation of the Collateralised Notes becomes fully sequential. Sequential payment trigger events include, among others, the breach of performance-related triggers, an insolvency event of the Seller, an Issuer event of default, or the Seller not exercising the cleanup call option. The Class E Notes are only redeemed through available excess spread and can be repaid during the revolving period.

The Collateralised Notes benefit from a fully funded amortising liquidity reserve, which the Issuer can use to pay senior expenses, swap payments, and interest on the Collateralised Notes. The reserve balance is equal to 1.1% of the Collateralised Notes' initial balance on the closing date, that will amortise to a level equal to 1.1% of the Collateralised Notes' outstanding balance with a floor of 0.25% of the Collateralised Notes' initial balance at closing.

All underlying contracts are fixed rate, while the Rated Notes are indexed to three-month Euribor. Interest rate risk for the Collateralised Notes is mitigated through an interest rate swap.

COUNTERPARTIES
Banco Santander, S.A., Milan Branch (Banco Santander, Milan Branch) is expected to be appointed as the Issuer's collection and liquidity reserve account bank for the transaction. Morningstar DBRS has a private credit rating on Banco Santander, Milan Branch, and considers that it meets the criteria to act in such capacity. The transaction documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria.

The Bank of New York Mellon SA/NV - Milan Branch (BNYM) is expected to be appointed as the Issuer's transaction account bank. Morningstar DBRS has a Public Long-Term Deposits and Senior Debt Rating of AA (high) with a Stable Trend on BNYM, which meet the criteria to act in this capacity. The transaction documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria.

Banco Santander is the swap counterparty for the transaction. Morningstar DBRS has a Public Long-Term Critical Obligation Rating of AA with a Stable Trend on Banco Santander, which meet 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 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 amount and the related principal amount outstanding.

Morningstar DBRS' credit ratings do not address nonpayment 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, 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, https://dbrs.morningstar.com/research/454196.

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 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 information:
-- Monthly originations and static default data starting from Q4 2021 to Q1 2025, split by product type (standard/balloon).
-- Monthly static recovery data starting from Q2 2022 to Q1 2025, split by product type.
-- Monthly dynamic prepayment and delinquency data from October 2021 to March 2025, split by product type, and
-- Provisional portfolio stratification tables and loan-by-loan data tape as of 31/05/2025, and its related amortisation schedule split by product type.

Morningstar DBRS was also provided with historical data of Santander Consumer Bank S.p.A. auto loan portfolio related only to Hyundai and Kia vehicles, starting from 2013, and used it in conjunction with the above-mentioned data to derive its base case assumptions.

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 the 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: 1.1%
-- Expected recovery rate: 30.0%
-- Loss given default (LGD): 82.0% for AAA (sf), 81.2% for AA (high) (sf), 78.8% for A (high) (sf), 78.0% for A (sf), and 76.4% for BBB (high) (sf)

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

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios would be:
-- Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf), AA (high) (sf), AA (high) (sf)
-- Class B Notes: AA (sf), AA (sf), AA (sf), A (high) (sf), A (sf), A (sf), A (low) (sf), A (low) (sf)
-- Class C Notes: BBB (high) (sf), BBB (high) (sf), A (low) (sf) BBB (high) (sf), BBB (sf), BB (high) (sf), BBB (low) (sf), BB (high) (sf)
-- Class D Notes: BB (high) (sf), BB (high) (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf)
-- Class E Notes: BBB (high) (sf), BBB (high) (sf), BBB (high) (sf), BBB (sf), BBB (sf), BBB (sf), BB (high) (sf), BB (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: Jose Escandell, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 27 June 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 (17 June 2025),
https://dbrs.morningstar.com/research/456339
-- 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 (16 May 2025), https://dbrs.morningstar.com/research/454196

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.