Morningstar DBRS Takes Credit Rating Actions on Ibla S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by Ibla S.r.l. (the Issuer):

-- Class A notes upgraded to A (low) (sf) from BBB (high) (sf)
-- Class B notes confirmed at CCC (sf)

Morningstar DBRS changed the trend on the Class B notes to Negative from Stable, while the trend on the Class A notes remains Stable.

The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the notes). The credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal. The credit rating on the Class B notes addresses the ultimate payment of principal and interest. Morningstar DBRS does not rate the Class J notes.

At issuance, the notes were backed by a EUR 348.6 million portfolio by gross book value consisting of a mixed pool of Italian nonperforming residential, commercial, and unsecured loans originated by Banca Agricola Popolare di Ragusa S.C.p.A.

doValue S.p.A. (doValue or the Special Servicer) services the receivables. doNext S.p.A. acts as the master servicer, while Banca Finint S.p.A. (formerly Securitisation Services S.p.A.) operates as the backup servicer.

CREDIT RATING RATIONALE
The credit rating actions follow Morningstar DBRS' review of the transaction and are based on the following analytical considerations:
-- Transaction performance: An assessment of portfolio recoveries as of March 2025 focusing on (1) a comparison between actual collections and the Special Servicer's initial business plan forecast, (2) the collection performance observed over recent months, and (3) a comparison between the current performance and Morningstar DBRS' expectations.
-- Updated business plan: The Special Servicer's updated business plan as of December 2024, received in April 2025, and the comparison with the initial collection expectations.
-- Portfolio characteristics: Loan pool composition as of March 2025 and the evolution of its core features since issuance.
-- Transaction liquidating structure: The order of priority, which entails a fully sequential amortisation of the notes (i.e., the Class B notes will begin to amortise following the full repayment of the Class A notes, and the Class J notes will amortise following the repayment of the Class B notes). Additionally, interest payments on the Class B notes become subordinated to principal payments on the Class A notes if the cumulative collection ratio (CCR) or present value cumulative profitability ratio (PV ratio) is lower than 85%. The CCR trigger has been breached since the April 2021 interest payment date (IPD). The actual figures for the CCR and PV ratio were at 63.9% and 125.0% as of the April 2025 IPD, respectively, according to the Special Servicer.
-- Liquidity support: The transaction benefits from an amortising cash reserve providing liquidity to the structure and covering potential interest shortfall on the Class A notes and senior fees. The cash reserve target amount is equal to 7.5% of the Class A notes' principal outstanding balance, and the recovery expenses cash reserve target amounts to EUR 400,000, both fully funded.

TRANSACTION AND PERFORMANCE
According to the latest investor report from April 2025, the outstanding principal amounts of the Class A, Class B, and Class J notes were EUR 13.4 million, EUR 9.0 million, and EUR 3.5 million, respectively. As of April 2025, the balance of the Class A notes had amortised by 84.2% since issuance, and the current aggregated transaction balance was EUR 25.9 million.

As of March 2025, the transaction was performing below the Special Servicer's business plan expectations. The actual cumulative gross collections equalled EUR 102.6 million, whereas the Special Servicer's initial business plan estimated cumulative gross collections of EUR 157.6 million for the same period. Therefore, as of March 2025, the transaction was underperforming by EUR 55.1 million (34.9%) compared with the initial business plan expectations.

At issuance, Morningstar DBRS estimated cumulative gross collections for the same period of EUR 44.3 million at the BBB (low) (sf) stress scenario. Therefore, as of March 2025, the transaction was performing above Morningstar DBRS' initial BBB (low) (sf) scenario.

Pursuant to the requirements set out in the receivable servicing agreement, in April 2025, the Special Servicer delivered an updated portfolio business plan. The updated portfolio business plan, combined with the actual cumulative gross collections of EUR 100.3 million as of December 2024, resulted in a total of EUR 139.4 million. This is 16.4% lower than the total gross disposition proceeds of EUR 166.8 million estimated in the initial business plan.

Excluding actual collections as of March 2025, the Special Servicer's expected future collections from April 2025 amount to EUR 36.9 million. The updated Morningstar DBRS credit rating stress assumes a haircut of 24.0% at the A (low) (sf) stress scenarios to the Special Servicer's updated business plan, considering future expected collections from April 2025. In Morningstar DBRS' CCC (sf) scenario, the updated forecast was adjusted only in terms of actual collections to the date and timing of future expected collections.

Considering the substantial redemption of Class A notes and the increased subordination, Morningstar DBRS upgraded the credit rating on the Class A notes to A (low) (sf) from BBB (high) (sf). Although the Class A notes may now pass higher credit rating stresses in the cash flow analysis, Morningstar DBRS believes that higher credit ratings would not be commensurate with the transaction's risk considering the potential higher variability of nonperforming loans' cash flows and the exposure to the transaction account bank, considering the downgrade provisions outlined in the transaction documents.

Morningstar DBRS observes a reduced likelihood that the Class B notes' obligations will be fully met at maturity. The interest on the Class B notes accumulates over time until the Class A notes are fully redeemed. As of April 2025, EUR 4.0 million unpaid interest on the Class B notes had accrued. In addition, the reduction of the Special Servicer's total expected collections leaves a lower cushion for the full payment of the Class B notes' principal and interest. Therefore, Morningstar DBRS changed the trend on the Class B notes to Negative from Stable.

The transaction's final maturity date is 30 April 2037.

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 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 (16 May 2025).

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 surveillance section of 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/436000.

The sources of data and information used for this credit rating include the Issuer, doValue, and Banca Finint, which comprise, in addition to the information received at issuance, the investor report as of April 2025, the semiannual servicer report as of March 2025, the loan-by-loan data as of March 2025, the updated business plan received in April 2025.

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 this credit rating 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 transaction took place on 22 May 2024, when Morningstar DBRS downgraded its credit rating on the Class B notes to CCC (sf) from CCC (high) (sf) and confirmed its credit rating on the Class A notes at BBB (high) (sf).

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):

-- Recovery rates used: Cumulative base-case recovery amount of approximately EUR 28.1 million and EUR 37.2 million at the A (low) (sf) and CCC (sf) stress levels, respectively, a 5% and 10% decrease in the base-case recovery rate.
-- Morningstar DBRS concludes that a hypothetical decrease in the recovery rate by 5%, ceteris paribus, would lead to a confirmation of the Class A notes at A (low) (sf).
-- Morningstar DBRS concludes that a hypothetical decrease in the recovery rate by 10%, ceteris paribus, would lead to a confirmation of the Class A notes at A (low) (sf).
-- Morningstar DBRS concludes that a hypothetical decrease in the recovery rate by 5%, ceteris paribus, would lead to a downgrade of the Class B notes to CC (sf).
-- Morningstar DBRS concludes that a hypothetical decrease in the recovery rate by 10%, ceteris paribus, would lead to a downgrade of the Class B notes to CC (sf).

The conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' outlooks and credit ratings are monitored.

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.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Sijia Aulenbacher, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 6 September 2018

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 Nonperforming and Reperforming Loans Securitisations (11 April 2025), https://dbrs.morningstar.com/research/451813
-- 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 Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
-- European RMBS Insight Methodology (8 May 2025), https://dbrs.morningstar.com/research/453613
-- European CMBS Rating and Surveillance Methodology (4 March 2025), https://dbrs.morningstar.com/research/449278
-- 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
-- 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.