Morningstar DBRS Confirms Credit Rating on Yoda SPV S.r.l., Changes Trend to Stable From Positive

DBRS Ratings GmbH (Morningstar DBRS) confirmed its BBB (high) (sf) credit rating on the Class A notes issued by Yoda SPV S.r.l. (the Issuer) and changed the trend to Stable from Positive.

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 payment of principal on or before its final maturity date in January 2041. Morningstar DBRS does not rate the Class B or Class J notes.

As of the 30 June 2020 cut-off date, the Notes were backed by a EUR 6.0 billion portfolio by gross book value of Italian secured and unsecured nonperforming loans originated by Intesa Sanpaolo S.p.A.

The receivables are serviced by Intrum Italy S.p.A. (the Servicer) while Prelios Credit Servicing S.p.A. has been appointed and will act as master servicer in case the master servicer agreement with Banca Finanziaria Internazionale S.p.A. (Banca Finint) is terminated.

CREDIT RATING RATIONALE
The confirmation follows a review of the transaction and is based on the following analytical considerations:
-- Transaction performance: Morningstar DBRS' assessment of portfolio recoveries as of December 2024, focusing on (1) a comparison between actual collections and the 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 Servicer's updated business plan as of December 2024, received in February 2025, and the comparison with the initial collection expectations.
-- Portfolio characteristics: The loan pool composition as of December 2024 and the evolution of its core features since issuance.
-- Transaction liquidating structure: The order of priority 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 begin to amortise following the repayment of the Class B Notes). A portion of the interest due on the Class B Notes is paid ahead of the principal payments on the Class A Notes unless certain performance-related triggers are breached (i.e., cumulative collection ratio or present value cumulative profitability ratio of less than 90%, or an interest shortfall on the Class A Notes). These triggers had not been breached on the December 2024 semiannual collection date, with actual figures at 92.0% and 116.6%, respectively, according to the 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 4% of the Class A Notes' principal outstanding balance and is currently fully funded.
-- The exposure to the transaction account bank and the downgrade provisions outlined in the transaction documents.

TRANSACTION AND PERFORMANCE
According to the January 2025 investor report, the outstanding principal amounts of the Class A, Class B, and Class J notes were EUR 430.4 million, EUR 210.0 million, and EUR 20.0 million, respectively. As of the January 2025 interest payment date, the balance of the Class A notes has amortised by 57.4% since issuance and the aggregated transaction balance was EUR 660.4 million.

As of the December 2024 collection date, the transaction was performing below the Servicer's initial business plan expectations. The actual cumulative gross collections as of December 2024 totalled EUR 827.0 million, whereas the initial business plan estimated cumulative gross collections of EUR 933.2 million for the same period. Therefore, as of December 2024, the transaction was underperforming by EUR 106.2 million (-11.4%) compared with the initial business plan expectations.

At issuance, Morningstar DBRS estimated cumulative gross collections of EUR 558.9 million in the BBB (sf) stressed scenario for the same period. Therefore, as of December 2024, the transaction was performing above Morningstar DBRS' initial BBB (sf) stressed expectations.

Pursuant to the requirements set out in the servicing agreement, in February 2025, the Servicer delivered an updated portfolio business plan as of December 2024. The updated business plan, combined with the actual cumulative gross collections of EUR 827.0 million as of December 2024, results in a total of EUR 1,633.3 million expected gross collections, which is 5.5% lower than the total gross collections of EUR 1,728.5 million estimated in the initial business plan. Considering the cumulative profitability ratio at 116.8% as of December 2024, the Servicer revised the future expected collections on open accounts downward considerably.

Excluding actual collections as of December 2024, the Servicer's expected future gross collections from January 2025 account for EUR 806.2 million. Morningstar DBRS' updated BBB (high) (sf) credit rating stress assumes a haircut of 24.8% to the Servicer's updated business plan, considering total future expected collections from January 2025 onwards.

The final maturity date of the transaction is in January 2041.

Morningstar DBRS' credit rating on the applicable class addresses 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 rating provides 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 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 rating is the 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 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, the Servicer and Banca Finint, which comprise, in addition to the information received at issuance, the updated business plan from the Servicer as of December 2024, the investor report as of January 2025, and the quarterly servicer report and quarterly Loan Data Tape, both as of December 2024.

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 3 April 2024 when Morningstar DBRS confirmed the credit rating on the Class A notes at BBB (high) (sf) and changed the trend to Positive from Stable.

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 606.1 million at the BBB (high) (sf) stress level, a 5% and 10% decrease in the base-case recovery rate.
-- Morningstar DBRS concludes that a hypothetical decrease of the recovery rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to BB (high) (sf).
-- Morningstar DBRS concludes that a hypothetical decrease of the recovery rate by 10%, ceteris paribus, would lead to a downgrade of the Class A notes to B (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.

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

Lead Analyst: William Taliento, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Credit Rating Date: 18 December 2020

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 (19 November 2024)
https://dbrs.morningstar.com/research/443201
-- 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
-- European RMBS Insight Methodology (28 February 2025)
https://dbrs.morningstar.com/research/449129
-- 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 (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.