Morningstar DBRS Confirms Credit Ratings on Asset-Backed European Securitisation Transaction Twenty-Four S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) confirmed the following credit ratings on the notes issued by Asset-Backed European Securitisation Transaction Twenty-Four S.r.l. (the Issuer):
-- Class A Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at A (sf)
-- Class E Notes at A (sf)

The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date in August 2039. The credit ratings on the Class B Notes to Class E Notes address the ultimate payment of scheduled interest (or timely when the most senior class outstanding) and the ultimate repayment of principal by the final maturity date.

CREDIT RATING RATIONALE
The credit rating confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the June 2025 payment date;
-- Updated probability of default (PD), loss given default (LGD), and expected loss assumptions for the remaining collateral pool, considering the updated quarterly vintage performance data received; and
-- Current available credit enhancement (CE) to the notes to cover the expected losses at their respective credit rating levels.

The Issuer represents the issuance of notes backed by a pool of auto loan receivables related to standard, amortising auto loan contracts granted to private consumers and legal persons residing or incorporated in the Republic of Italy for the purchase of new and used passenger cars, granted by CA Auto Bank S.p.A. (CAAB; the Seller or the Servicer). CAAB is also servicing the transaction receivables.

The transaction featured an initial sequential amortisation period ending prior to the February 2025 payment date. From the February 2025 payment date onwards, available funds are allocated on a pro-rata basis and will revert to sequential amortisation only if a sequential redemption event has occurred. The pro rata allocation considers the notes' relative principal amounts outstanding and the performing collateral portfolio. Once the sequential redemption event is triggered, the principal repayment of the notes will become sequential and is nonreversible. As of the June 2025 payment date, no sequential redemption event had occurred.

PORTFOLIO PERFORMANCE
As of the June 2025 payment date, loans that were two-to-three-month delinquent represented 0.1% of the outstanding portfolio balance. Loans more than three-months delinquent amounted to 0.6%. Gross cumulative defaults represented 0.8% of the original portfolio balance.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables. Based on the current portfolio composition, Morningstar DBRS updated its base case PD assumption to 4.4% and maintained its base case recovery rate assumption at 40.0%.

CREDIT ENHANCEMENT
The CE to the notes consists of the subordination of the junior notes. As of the June 2025 payment date, the credit enhancement to the Class A, Class B, Class C, Class D and Class E Notes increased to 11.3%, 5.5%, 3.6%, 2.2% and 0.3%, respectively, up from 10.4%, 4.9%, 3.2%, 1.9% and 0.2% at closing. The slight increase in the CE is driven by the initial period of sequential amortisation, the CE is expected to remain constant going forward unless a sequential redemption event occurs.

The transaction benefits from a non-amortising cash reserve. The cash reserve covers senior fees, swap payments and interest on the rated notes and is currently at its target of EUR 8.0 million.

The Bank of New York Mellon SA/NV, Milan Branch (BNYM Milan) acts as the account bank for the transaction. Based on Morningstar DBRS' Long-Term Senior Debt credit rating of AA (high) on the account bank, the downgrade provisions outlined in the transaction documents, and the 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 rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

CAAB is the swap counterparty for the transaction. Morningstar DBRS' private credit rating on CAAB is consistent with the First Rating Threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Crédit Agricole Corporate & Investment Bank (CACIB) has been appointed as standby swap counterparty for the transaction. Morningstar DBRS privately rates CACIB. Following a CAAB swap default, CACIB will replace CAAB as the swap counterparty without delay and the existing swap transaction with CAAB will terminate. In exchange, CACIB will receive an intermediation fee. The standby hedging documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

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 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: "Master European Structured Finance Surveillance Methodology" (4 February 2025) https://dbrs.morningstar.com/research/447080.

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.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit 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/457952.

The sources of data and information used for these credit ratings include transaction reports provided by Banca Finint S.p.A, reports and other additional information provided by CAAB; and loan-level data provided by the European DataWarehouse GmbH.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit rating, 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 issuer took place on 26 July 2024, when Morningstar DBRS assigned credit ratings on the Class A, Class B, Class C, Class D and Class E Notes at AAA (sf), AA (low) (sf), A (high) (sf), A (sf) and A (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Daniele Canestrari.

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 at the B (low) (sf) credit rating level are 4.4% and 40.0%, respectively
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

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

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

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

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

Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of A (low) (sf)
-- 50% increase in PD, expected rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (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: Daniele Canestrari, Assistant Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 26 July 2024

DBRS Ratings GmbH
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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
-- Rating European Structured Finance Transactions Methodology (7 July 2025)
https://dbrs.morningstar.com/research/457857
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024) 
https://dbrs.morningstar.com/research/439583
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025)  
https://dbrs.morningstar.com/research/454196
-- 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

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.