Morningstar DBRS Assigns Provisional Credit Ratings to ECARAT DE S.A. acting on behalf and for the account of its compartment lease 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 ECARAT DE S.A. acting on behalf and for the account of its compartment lease 2025-1 (the Issuer):

-- Class A Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (sf)
-- Class C Notes at (P) A (sf)
-- Class D Notes at (P) BBB (high) (sf)
-- Class E Notes at (P) BB (high) (sf)
-- Class F Notes at (P) B (high) (sf)

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

The provisional credit ratings on the Class A Notes and Class B 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 C Notes, Class D Notes, Class E Notes and Class F 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 Issuer, which is a limited liability company incorporated under the laws of Luxemburg, acts as a special-purpose entity for issuing asset-backed securities. The Notes are backed by a portfolio of fixed-rate receivables related to German auto leases granted by Stellantis Bank S.A., German Branch (Stellantis Bank), which will also act as the servicer (the Servicer) for the transaction. The underlying portfolio comprises two distinct types of agreements, Kilometer (KM) Leases and Restwert (RW) Leases. KM leases expose the Issuer to market risk associated with the leases' estimated residual value (RV) at maturity.

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 Stellantis Bank's provisional portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- Stellantis Bank 's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength;
-- The operational risk review of Stellantis Bank, 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 Federal Republic of Germany, currently at AAA with a Stable trend.

TRANSACTION STRUCTURE
The transaction includes a twelve-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 transaction incorporates a separate interest and principal waterfall that facilitates the distribution of the available distribution amount. The Notes amortise pro rata until a sequential redemption event occurs, at which point the amortisation of the Notes becomes fully sequential. Sequential redemption events include, among others, the breach of performance-related triggers, a shortfall related to the liquidity reserve required amount, or the Seller not exercising the call option.

The Seller will fund a cash reserve account equal to 1.3% of the Class A Notes to Class D Notes' initial balance on the closing date that will amortise to a level equal to 1.3% of the Class A Notes to D Notes' outstanding balance with a floor of 0.5% of the Class A Notes to Class D Notes' initial balance at closing. The reserve is only available to the Issuer in restricted scenarios where the interest and principal collections are not sufficient to cover senior expenses, swap payments, and interest on the Class A Notes and, if not deferred, interest on the Class B Notes, the Class C Notes and the Class D Notes.

Principal available funds may be used to cover senior expenses, swap payments, and interest shortfalls on the Notes in certain scenarios that would be recorded in the transaction's PDL in addition to the defaulted receivables. The transaction includes a mechanism to capture excess available revenue amount to cure PDL debits and interest deferral triggers on the subordinated classes of Rated Notes, conditional on the PDL debit amounts and seniority of the Rated Notes.

All underlying contracts are fixed rate, while the Rated Notes are indexed to one-month Euribor. Interest rate risk for the Notes is expected to be mitigated through interest rate swaps.

COUNTERPARTIES
BNP Paribas SA, Germany Branch (BNPP-DE) has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) with a Stable trend on BNP Paribas SA (BNPP) and privately rates BNPP-DE. Morningstar DBRS concluded that BNPP-DE meets the 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.

BNPP has been appointed as the swap counterparty for the transaction. Morningstar DBRS' public Long-Term Critical Obligations Rating on BNPP is AA (high) 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 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 at 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 data:
-- Quarterly static default and recovery vintage performance from January 2013 to March 2025;
-- Quarterly dynamic prepayment and delinquency data from January 2013 to March 2025;
-- Quarterly origination volumes and portfolio evolution of outstanding balances from January 2013 to March 2025;
-- RV realization data relating to KM leases with RV risk secured by the OEM from 2022 to 2024;
-- Portfolio stratification tables as of 4 April 2025 and its related theoretical amortisation schedule.

Morningstar DBRS received portfolio subset breakdowns that distinguished between new/used, commercial/private and KM/RW leases.

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 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: 1.6%.
-- Expected recovery rate: 65.0%.
-- Loss given default (LGD): 57.8% for the AAA (sf) scenario, 54.7% for the AA (sf) scenario, 50.2% for the A (sf) scenario, 47.1% for the BBB (high) (sf) scenario, 42.6% for the BB (high) (sf) scenario, and 38.0% for the B (high) (sf) scenario.
-- RV Loss: 36.6% for the AAA (sf) scenario, 28.5% for the AA (sf) scenario, 19.7% for the A (sf) scenario, 13.3% for the BBB (high) (sf) scenario, 3.6% for the BB (high) (sf) scenario, and 0.0% for the B (high) (sf) scenario.

Scenario 1: A 25% increase in the expected default and expected LGD rates.
Scenario 2: A 50% increase in the expected default and expected LGD rates.
Scenario 3: A 25% increase in the expected RV loss.
Scenario 4: A 25% increase in the expected default and expected LGD rates and a 25% increase in the RV loss.
Scenario 5: A 50% increase in the expected default and expected LGD rates and a 25% increase in the RV loss.
Scenario 6: A 50% increase in the RV loss.
Scenario 7: A 25% increase in the expected default and expected LGD rates and a 50% increase in the RV loss.
Scenario 8: A 50% increase in the expected default and expected LGD rates and a 50% increase in the RV loss.

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios would be as follows:
-- Class A Notes: AA (high) (sf), AA (sf), AA (sf), A (high) (sf), AA (sf), AA (low) (sf), A (high) (sf), and A (high) (sf).
-- Class B Notes: AA (low) (sf), AA (low) (sf), A (high) (sf), A (low) (sf), A (high) (sf), A (sf), A (low) (sf), and A (low) (sf).
-- Class C Notes: A (sf), A (low) (sf), A (low) (sf), BBB (high) (sf), A (low) (sf), BBB (high) (sf), BBB (high) (sf), and BBB (high) (sf).
-- Class D Notes: BBB (high) (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), BBB (sf), BBB (sf), BBB (low) (sf), and BBB (low) (sf).
-- Class E Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (sf), BB (sf), BB (low) (sf), BB (low) (sf), and BB (low) (sf).
-- Class F Notes: B (high) (sf), B (low) (sf), B (high) (sf), B (high) (sf), B (high) (sf), B (low) (sf), B (high) (sf), and B (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: Sergio Rodas, Senior Analyst
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 27 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
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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.

-- 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 (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.