Morningstar DBRS Confirms Credit Ratings on Auto lease-now 2023-1 AG and Auto lease-now 2023-2 AG

DBRS Ratings Limited (Morningstar DBRS) confirmed its AAA (sf) credit ratings on the Class A notes issued by Auto lease-now 2023-1 AG (ALN 2023-1) and Auto lease-now 2023-2 AG (ALN 2023-2) (together, the Issuers).

The credit ratings on the Class A Notes in each transaction address the timely payment of interest and ultimate payment of principal on or before their respective legal final maturity dates.

CREDIT RATING RATIONALE
The confirmations follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the April 2025 payment date.
-- Probability of default (PD), loss given default (LGD), residual value (RV) haircut, and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at the AAA (sf) credit rating level.
-- No revolving termination events have occurred.

The transactions are securitisations of vehicle finance lease contracts granted by BANK-now AG, a wholly owned subsidiary of Credit Suisse AG, to lessees resident or incorporated in the Swiss Confederation. The securitised receivables include monthly lease instalments and their related residual values. The underlying vehicles relate to both new and used passenger and light-commercial vehicles and motorcycles. BANK-now also services the receivables.

ALN 2023-1 includes a 33-month revolving period, while ALN 2023-2 includes a 41-month revolving period, during which time the Issuer may purchase additional receivables subject to eligibility criteria and portfolio concentration limits. The revolving periods are scheduled to end in February 2026 and February 2027, respectively.

PORTFOLIO PERFORMANCE
ALN 2023-1
As of April 2025, loans two to three months in arrears represented 0.4% of the outstanding portfolio balance, stable since April 2024. Loans more than three months in arrears represented 0.2%, up from 0.1% in April 2024. The cumulative default ratio was 0.7%.

ALN 2023-2
As of April 2025, loans two to three months in arrears represented 0.4% of the outstanding portfolio balance, stable since April 2024. Loans more than three months in arrears represented 0.0%, down from 0.1% in April 2024. The cumulative default ratio was 0.5%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted an analysis of the pool of receivables and has updated its base-case assumptions at the B (low) (sf) credit rating level as follows:
ALN 2023-1
-- Expected default rate: 2.2%
-- Expected LGD: 36.4%
-- PD at the AAA (sf) credit rating level: 10.9%
-- LGD at the AAA (sf) credit rating level: 61.8%
-- RV haircut at the AAA (sf) credit rating level: 30.5%

ALN 2023-2
-- Expected default rate: 2.2%
-- Expected LGD: 37.0%
-- PD at the AAA (sf) credit rating level: 11.2%
-- LGD at the AAA (sf) credit rating level: 62.2%
-- RV haircut at the AAA (sf) credit rating level: 32.0%

CREDIT ENHANCEMENT
Credit enhancement consists of subordination of the junior notes. As of the April 2025 payment date, credit enhancement to the ALN 2023-1 and ALN 2023-2 Class A Notes was 19.2% and 20.0% respectively, stable since the Morningstar DBRS initial credit ratings due to the transaction revolving periods which are scheduled to end in February 2026 and February 2027, respectively.

Both transactions benefit from a non-amortising cash reserve that provides liquidity support and is available to cover senior expenses and interest on the Class A Notes. The ALN 2023-1 and ALN 2023-2 cash reserves are funded to their target levels of CHF 3.7 million and CHF 2.4 million, respectively, equal to 1.4% of their respective initial outstanding portfolio balances.

Credit Suisse (Schweiz) AG acts as the account bank for both transactions. Based on Morningstar DBRS' private credit rating on Credit Suisse (Schweiz) AG, the downgrade provisions outlined in the transaction documents, and other mitigating factors 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 Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS's 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's 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 structures in Intex DealMaker.

Notes:
All figures are in Swiss Francs 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 transactions 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 each transaction, the analysis considers potential portfolio migration based on the replenishment criteria set forth in the transaction legal documents.

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

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 investor reports provided by Amicorp Switzerland AG.

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

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the 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 actions on ALN 2023-1 and ALN 2023-2 took place on 23 May 2024 and 20 September 2024, respectively, when Morningstar DBRS confirmed its credit ratings on the Class A Notes at AAA (sf).

The lead analyst responsibilities for ALN 2023-2 have been transferred to Clare Wootton.

Information regarding Morningstar DBRS credit ratings, including definitions, policies and methodologies is available at 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 as follows:

ALN 2023-1
-- Expected default rate: 2.2%
-- Expected LGD: 36.4%
-- RV haircut: 1.5%

ALN 2023-2
-- Expected default rate: 2.2%
-- Expected LGD: 37.0%
-- RV haircut: 1.4%

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD, LGD, and RV haircut increase by a certain percentage over the base case assumption.

ALN 2023-1 Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected credit rating of AA (high) (sf)
-- 50% increase in RV haircut, expected credit rating of AA (sf)
-- 25% increase in both PD and LGD, expected credit rating of AA (high) (sf)
-- 50% increase in both PD and LGD, expected credit rating of AA (sf)
-- 25% increase in both PD and LGD, and 25% increase in RV haircut, expected credit rating of AA (sf)
-- 25% increase in both PD and LGD, and 50% increase in RV haircut, expected credit rating of AA (low) (sf)
-- 50% increase in both PD and LGD, and 25% increase in RV haircut, expected credit rating of AA (low) (sf)
-- 50% increase in both PD and LGD, and 50% increase in RV haircut, expected credit rating of A (high) (sf)

ALN 2023-2 Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected credit rating of AA (high) (sf)
-- 50% increase in RV haircut, expected credit rating of AA (sf)
-- 25% increase in both PD and LGD, expected credit rating of AA (high) (sf)
-- 50% increase in both PD and LGD, expected credit rating of AA (sf)
-- 25% increase in both PD and LGD, and 25% increase in RV haircut, expected credit rating of AA (sf)
-- 25% increase in both PD and LGD, and 50% increase in RV haircut, expected credit rating of AA (low) (sf)
-- 50% increase in both PD and LGD, and 25% increase in RV haircut, expected credit rating of AA (low) (sf)
-- 50% increase in both PD and LGD, and 50% increase in RV haircut, expected credit rating of A (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 GmbH for use in the European Union.

Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
ALN 2023-1 Initial Rating Date: 5 May 2023
ALN 2023-2 Initial Rating Date: 5 September 2023

DBRS Ratings Limited
1 Oliver's Yard 55-71 City Road, 2nd Floor
London EC1Y 1HQ United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

The credit rating methodologies used in the analysis of these transactions 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.
-- 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.
-- 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.

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.