Press Release

DBRS Morningstar Assigns Provisional Credit Ratings to Auto ABS French Leases 2023

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September 26, 2023

DBRS Ratings GmbH (DBRS Morningstar) assigned provisional credit ratings to the following classes of notes (the Rated Notes) to be issued by Auto ABS French Leases 2023 (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)

DBRS Morningstar did not assign provisional ratings to the Class C Notes or the residual units to be issued in this transaction.

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

The provisional credit ratings are based on information provided to DBRS Morningstar by the Issuer and its agents as of the date of this press release. These credit ratings will be finalised upon review of the final version of the transaction documents and of the relevant legal opinions.

CREDIT RATING RATIONALE
This transaction represents the issuance of notes backed by a portfolio of receivables related to car lease agreements, including the residual value 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.

A pledge without dispossession (gage sans dépossession) over the leased cars has been granted by the Seller in favour of the Issuer to guarantee any and all present and future payment obligations of the Seller under the master purchase agreement and the master servicer agreement. The transaction is managed by France Titrisation and the receivables are serviced by CREDIPAR. CREDIPAR is a wholly owned subsidiary of Banque Stellantis France.

DBRS Morningstar based its credit ratings on a review of the following analytical considerations:
-- The transaction’s capital structure, including form and sufficiency of available credit enhancement;
-- Relevant credit enhancement in the form of subordination and a general reserve fund;
-- Credit enhancement levels that are sufficient to support DBRS Morningstar’s projected cumulative net loss under various stressed cash flow assumptions for the Rated Notes;
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
-- CREDIPAR’s capabilities with regard to originations, underwriting, and servicing, and its financial strength;
-- The transaction parties’ financial strength with regard to their respective roles;
-- The credit quality of the collateral and historical and projected performance of the Seller’s portfolio;
-- The sovereign rating on the Republic of France, currently at AA (high) with a Stable trend; and
-- The expected consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that are expected to address the true sale of the assets to the Issuer.

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 residual value purchase option 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.

The Rated Notes are supported by a general reserve, which covers senior fees, net swap payments, and interest payment shortfalls on the Rated Notes throughout the life of the transaction. The general reserve amortises in line with the outstanding balance of the Rated Notes until equal to a floor of EUR 1.0 million.

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 mitigated through an interest rate swap provided by Banco Santander SA (Banco Santander).

COUNTERPARTIES
The Issuer bank account is held at BNP Paribas acting through its Securities Services. DBRS Morningstar’s public Long-Term Issuer Rating on BNP Paribas SA is AA (low) with a Stable trend and its Long Term Critical Obligations Rating is AA (high) with a Stable trend. The transaction is expected to contain downgrade provisions relating to the account bank consistent with DBRS Morningstar’s criteria.

Banco Santander is the swap counterparty for the transaction. DBRS Morningstar’s public Long-Term Issuer Rating on Banco Santander is A (high) with a Stable trend and its Long Term Critical Obligations Rating is AA (low) with a Stable trend. The hedging documents are expected to contain downgrade provisions consistent with DBRS Morningstar’s criteria.

DBRS Morningstar’s 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 Amounts and the Initial Principal Amount Outstanding.

DBRS Morningstar’s credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar 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 DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

DBRS Morningstar 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 (19 October 2022), https://www.dbrsmorningstar.com/research/404212/rating-european-consumer-and-commercial-asset-backed-securitisations.

Other methodologies referenced in this transaction are listed at the end of this press release.

DBRS Morningstar 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 Ratings on Other DBRS Morningstar Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://www.dbrsmorningstar.com/research/401817.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The sources of data and information received from CREDIPAR and its agent, used for these credit ratings, include:
-- Dynamic monthly outstanding portfolio balances from January 2013 to June 2023
-- Static gross loss default and recovery data from Q1 2013 to Q2 2023 for the total portfolio and split by new and used location avec option d'achat lease agreements and new crédit bail lease agreements.
-- Dynamic quarterly prepayment data from Q1 2013 to Q2 2023
-- Dynamic monthly delinquency data from January 2013 to June 2023
-- Stratification tables as of 5 September 2023 (no line-by-line was provided)
-- A theoretical amortisation of the selected portfolio

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

DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the credit rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the credit rating process.

These credit ratings concern expected-to-be-issued new financial instruments. These are the first DBRS Morningstar credit ratings on these financial instruments.

Information regarding DBRS Morningstar credit ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Expected default rate: 2.1%
-- Expected recovery rate: 66%
-- Loss given default (LGD): 57.1% for the AAA (sf) scenario, 54.0% for the AA (sf) scenario
-- Residual value (RV) loss: 32.4% for the AAA (sf) scenario, 24.6% for the AA (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.

DBRS Morningstar concludes that the expected credit ratings 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)
-- Class B Notes: A (high) (sf), A (sf), AA (low) (sf), A (high) (sf), A (low) (sf), A (high) (sf), A (sf), and A (low) (sf)

For further information on DBRS Morningstar 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 DBRS Morningstar 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: Ricardo García, Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 26 September 2023

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
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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