Morningstar DBRS Assigns Provisional Credit Ratings to Autonoria Spain 2025, FT

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Autonoria Spain 2025, FT (the Issuer):

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

Morningstar DBRS does not rate the Class G Notes (collectively 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 (and timely when they are the most senior class of notes outstanding) payment of scheduled interest and the ultimate repayment of principal by the final maturity date.

The Issuer is a securitisation fund incorporated under the laws of Spain and acts as a special-purpose entity for issuing asset-backed securities. The Notes are backed by a portfolio of fixed-rate receivables related to Spanish auto loans granted by Banco Cetelem, S.A.U. (Banco Cetelem). Banco Cetelem will also service the receivables (the Servicer) for the transaction.

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 Banco Cetelem's provisional portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- Banco Cetelem's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength;
-- The operational risk review of Banco Cetelem, 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 Kingdom of Spain, currently at A (high) with a Stable trend.

TRANSACTION STRUCTURE
The transaction includes a 9-month revolving period, during which the Issuer will purchase additional collateral. Also, 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 revolving period may end earlier than scheduled if certain events occur, such as the originator's insolvency, the servicer's replacement, or the breach of performance triggers.

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 the breach of performance-related triggers or the Seller not exercising the call option.

The Seller will fund a cash reserve account equal to 1.5% of the Rated Notes' initial balance on the closing date, which will amortise to a level equal to 1.5% of the Rated Notes' outstanding balance with a floor of 0.6% of the Rated 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 payments on other classes of Rated 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 principal deficiency ledger (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 Notes, which is conditional on the PDL debit amounts and seniority of the Notes.

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

COUNTERPARTIES
BNP Paribas SA (BNPP), Sucursal en España is expected to be 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 BNPP and privately rates BNPP, Sucursal en España. Morningstar DBRS concluded that BNPP-SP meets the criteria to act in such capacity. The transaction documents should contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria.

Banco Cetelem is expected to be appointed as the swap counterparty for the transaction and will benefit from a swap guarantee provided by BNPP. Morningstar DBRS currently does not rate Banco Cetelem but it has a Long-Term Senior Debt credit rating of AA (low) with a Stable trend and a Long Term Critical Obligations Rating of AA (high) with a Stable trend on BNPP, which meets its criteria to act in such capacity. Morningstar DBRS' credit rating on the chosen swap guarantor counterparty and the downgrade provisions referenced in the hedging documents are 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 are the related interest and principal payments on the Rated Notes.

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 (16 May 2025), 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 March 2014 to December 2024;
-- Quarterly dynamic origination data from March 2014 to December 2024;
-- Monthly dynamic prepayment and delinquency data from April 2014 and January 2015, respectively, to December 2024; and
-- Portfolio stratification tables as of 5 May 2025 and its related theoretical amortisation schedule.

Morningstar DBRS also received portfolio subset breakdowns that distinguished between new cars, seminew cars, used cars, motorcycles and recreational vehicles.

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 instrument. These are the first Morningstar DBRS credit ratings on this financial instrument.

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 rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

-- Expected default rate: 3.2%
-- Expected recovery rate: 23.0%
-- Loss given default (LGD): 86.2% for the AAA (sf) scenario, 85.0% for the AA (high) (sf) scenario, 83.7% for the A (high) (sf) scenario, 81.3% for the BBB (sf) scenario, 80.1% for the BB (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:
-- Class A Notes: AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (sf), AA (sf), AA (sf), AA (low) (sf), and AA (low) (sf)
-- Class B Notes: AA (low) (sf), AA (low) (sf), AA (sf), A (high) (sf), A (sf), A (sf), BBB (high) (sf), and BBB (high) (sf)
-- Class C Notes: BBB (high) (sf), BBB (high) (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), BBB (low) (sf), BB (high) (sf), and BB (high) (sf)
-- Class D Notes: BB (high) (sf), BB (high) (sf), BBB (low) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (low) (sf), and BB (low) (sf)
-- Class E Notes: BB (low) (sf), BB (low) (sf), BB (sf), B (high) (sf), B (low) (sf), B (low) (sf), below B (low) (sf), and below B (low) (sf)
-- Class F Notes: B (sf), B (sf), B (high) (sf), B (low) (sf), below B (low) (sf) for all other scenarios

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: Maria Lopez, Senior Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 28 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 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.