Morningstar DBRS Assigns Provisional Credit Ratings to Youni Italy 2025-1 S.r.l.

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Youni Italy 2025-1 S.r.l. (the Issuer):

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

Morningstar DBRS did not rate the Class X Notes and Class R Notes also expected to be issued in the transaction.

The credit rating of the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings of the Class B, Class C, Class D, and Class E Notes address the ultimate payment of interest but the timely payment of scheduled interest when they are the most senior class, and the ultimate repayment of principal by the final maturity date.

The transaction is a securitisation of fixed-rate consumer loans granted by Younited S.A., Italian Branch (the originator) to private individuals residing in Italy.

CREDIT RATING RATIONALE
Morningstar DBRS' credit ratings are based on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of 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 issued
-- The credit quality and the diversification of the collateral portfolio, its historical performance and the projected performance under various stress scenarios
-- The operational risk review of the originator's capabilities with regard to originations, underwriting and servicing
-- 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" methodology
-- Morningstar DBRS' long-term sovereign credit rating on the Republic of Italy, currently BBB (high) with a Positive trend

TRANSACTION STRUCTURE
The transaction is static and allocates collections in separate interest and principal priorities of payments. The transaction benefits from a cash reserve initially funded with the Notes proceeds equal to 1.25% of the outstanding Rated Notes balance, subject to a floor of EUR 500,000, which as part of interest available funds can be used to cover senior expenses, servicing fee, senior hedging payments and non-deferred interest payments on the Rated Notes. If the interest collections and the cash reserve are not sufficient, principal funds can also be re-allocated to cover senior expenses, servicing fee, senior hedging payments, and interest payments on the most senior class of Rated Notes.

Morningstar DBRS considers the interest rate risk for the transaction to be limited as an interest rate swap is in place to reduce the mismatch between the fixed-rate collateral and the Rated Notes.

TRANSACTION COUNTERPARTIES
Citibank, N.A., London Branch is the account bank for the transaction. Morningstar DBRS privately rates Citibank, N.A., London Branch, which meets the Morningstar DBRS criteria to act in such capacity. The transaction documents contain downgrade provisions largely consistent with Morningstar DBRS' criteria.

Citibank Europe plc is the initial swap counterparty for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) on Citibank Europe plc which meets the criteria to act in such capacity. The transaction documents contain downgrade provisions largely consistent with Morningstar DBRS' criteria.

PORTFOLIO ASSUMPTIONS
While the historical data is shorter than most Italian unsecured consumer loan portfolios analysed by Morningstar DBRS, the observed default rates are generally comparable. Morningstar DBRS also received data on two distinct sub-portfolios with a significantly more seasoned sub-portfolio accounting for approximately one quarter of total collateral at closing. Consequently, Morningstar DBRS established expected default assumptions for each sub-portfolio based on the respective seasoning and borrower risk band compositions and constructed a portfolio lifetime expected default of 5.3% for this transaction. Additionally, Morningstar DBRS set the expected recovery at 25% or a loss given default (LGD) of 75%, also comparable with other Italian consumer loan portfolios.

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 for each of the Rated Notes are the related Interest Amounts and the Class Balances.

Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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/437781.

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.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign 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 performance data relating to the receivables that the originator provided through the arranger, Citigroup Global Markets Europe AG, as follows:
-- Quarterly static default data from Q2 2016 to Q3 2024
-- Quarterly static recovery data from Q2 2017 to Q3 2024
-- Monthly dynamic arrears data from May 2016 to November 2024
-- Static monthly prepayment data from May 2016 to November 2024
-- Loan-by-loan data, stratification tables and related contractual amortisation profile for the collateral pool as of 12 February 2025

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 is 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 https://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:

-- Expected default of 5.3%
-- Expected LGD of 75%

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

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios are as follows:
-- Class A Notes: AA (low) (sf), A (sf), AA (low) (sf), A (sf), BBB (high) (sf), AA (low) (sf), A (sf), BBB (high) (sf)
-- Class B Notes: BBB (high) (sf), BBB (sf), BBB (high) (sf), BBB (low) (sf), BB (high) (sf), BBB (high) (sf), BB (high) (sf), BB (high) (sf)
-- Class C Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (low) (sf), B (sf), BB (high) (sf), B (high) (sf), B (low) (sf)
-- Class D Notes: B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf), below B (low) (sf)
-- Class E Notes: below B (low) (sf) for all 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: Kevin Chiang, Senior Vice President
Credit Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Credit Rating Date: 12 March 2025

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
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://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 (13 August 2024), https://dbrs.morningstar.com/research/437781

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.