Morningstar DBRS Confirms Credit Rating on Crediper Consumer S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A Notes issued by Crediper Consumer S.r.l. (the Issuer).

The credit rating addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date in November 2052.

CREDIT RATING RATIONALE
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The portfolio performance, in terms of delinquencies, defaults, and losses, as of the 31 March 2025 (portfolio cut-off date corresponding to the May 2025 payment date);
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions based on a potential portfolio migration according to the concentration limits;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) credit rating level as of the May 2025 payment date; and
-- No revolving period end trigger events occurred.

The transaction is a securitisation of consumer loan receivables originated by BCC CreditoConsumo S.p.A. (CreCo), a finance company within the Iccrea banking group, and granted to private individuals in Italy. CreCo services the portfolio, with Zenith Service S.p.A. appointed as backup servicer. The transaction is not exposed to residual value risk.

The transaction is currently in its revolving period scheduled to end at the August 2026 payment date.

PORTFOLIO PERFORMANCE
As of 31 March 2025, delinquencies were low, with loans two to three months in arrears representing 0.2% of the outstanding portfolio balance, up from 0.1%, at the last annual review. The 90+ days in arrears represented 0.4% of the outstanding portfolio balance, slightly up from 0.3%, at the last annual review.

As of 31 March 2025, the default ratio and the delinquent ratio stood at 1.9% and 0.2%, respectively, below their respective relevant thresholds of 4.0% and 2.0%, which if exceeded, lead to the end of the revolving period.

PORTFOLIO ASSUMPTIONS AND KEY CREDIT RATING DRIVERS
Morningstar DBRS maintained its base case PD and LGD assumptions at the B (low) (sf) credit rating level of 3.3% and 68.5%, respectively.

The portfolio assumptions continue to consider potential portfolio migration based on concentration limits as per the transaction documents.

CREDIT ENHANCEMENT
Credit enhancement to the Class A Notes consists of portfolio overcollateralisation. As of the May 2025 payment date, credit enhancement to the Class A Notes stood at 19.6%, stable since the last annual review.

The transaction structure benefits from two reserves, a cash reserve and a payment interruption risk reserve.

The cash reserve is available to cover shortfalls on senior fees, expenses, interest on the Class A Notes; to top up the payment interruption risk reserve; and to credit the defaulted account. The cash reserve will start to amortise after the end of the revolving period with a target of 3.0% of the portfolio outstanding balance. The cash reserve is floored at EUR 3.3 million. As of the May 2025 payment date, the cash reserve was at its target level of EUR 19.5 million.

The nonamortising payment interruption risk reserve, is available to cover shortfalls on senior fees, expenses, and interest on the Class A Notes. As of the May 2025 payment date, the payment interruption risk reserve was at its target level of approximately EUR 3.3 million.

BNP Paribas, Succursale Italia (BNP Paribas Italy) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on BNP Paribas Italy, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent to the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

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 transaction 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.

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 rating is: "Master European Structured Finance Surveillance Methodology" (04 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 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 continues to consider potential portfolio migration based on concentration limits as per 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 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 payment and investor reports provided by Accounting Partners S.p.A., servicer reports provided by CreCo, as well as loan-level data provided by the European DataWarehouse GmbH.

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 not 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 the Issuer took place on 25 July 2024 when Morningstar DBRS confirmed its AAA (sf) credit rating on the Class A Notes.

The lead analyst responsibilities for this transaction have been transferred to Pascale Kallas.

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

-- Morningstar DBRS expected a base-case PD and LGD based on concentration limits as per the transaction documents. Adverse changes to asset performance may cause stresses to base-case assumptions and, therefore, have a negative effect on the credit rating.
-- The base-case PD and LGD based on a potential portfolio migration according to the concentration limits at the B (low) (sf) credit rating level are 3.3% and 68.5%, respectively.
-- The risk sensitivity overview below illustrates the credit rating expected if the PD and LGD increase by a certain percentage over the base-case assumption.

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (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.

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

Lead Analyst: Pascale Kallas, Assistant Vice President,
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 18 December 2018

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.

-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- Rating European Structured Finance Transactions Methodology (19 November 2024), https://dbrs.morningstar.com/research/443199
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
--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://dbrs.morningstar.com/research/439571
--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.