Morningstar DBRS Confirms Credit Ratings on Rosenkavalier 2020 UG (haftungsbeschränkt)

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating action on the bonds issued by Rosenkavalier 2020 UG (haftungsbeschränkt) (the Issuer):

-- Class A Notes confirmed at AA (low) (sf)

The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in September 2035.

CREDIT RATING RATIONALE
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 2025 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the revolving pool of receivables;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at AA (low) (sf) credit rating level; and
-- No replenishment period termination event has occurred.

The transaction is a securitisation of the revolving pool of receivables consisting of fixed-rate unsecured, amortising personal loans granted to individuals domiciled in Germany, originated and currently serviced by UniCredit Bank GmbH (UniCredit or the originator). The transaction closed in September 2020 and included a 36-month replenishment period that was originally scheduled to end in September 2023. Following a transaction restructuring in 2023, the revolving period was extended by another 42 months, and it is now scheduled to end on the April 2027 payment date. During this period, the Issuer may purchase additional receivables, provided that the eligibility and replenishment criteria set out in the transaction documents are satisfied. The replenishment period may end earlier than scheduled if certain events, such as a breach of performance triggers, occur. To date, no early amortisation events have occurred.

At the time of the restructuring in 2023, the portfolio balance was reduced to EUR 700 million, and the Class A Notes credit enhancement was reduced to 16.0% from 21.0% at closing. The portfolio was further resized to EUR 500 million in April 2024 and then to EUR 300 million in June 2025. The current outstanding balance of Class A Notes is EUR 252 million, the credit enhancement on the Class A Notes remains unchanged.

PORTFOLIO PERFORMANCE
As of the June 2025 payment date, loans that were one to two months represented 0.03% of the portfolio balance and there were no loans two to three months delinquent. Loans more than 90 days in arrears represents 0.01% of the portfolio balance. Gross cumulative defaults amounted to 0.3% of the aggregate original and subsequent portfolios, up from 0.1% as of the June 2024 payment date. Cumulative recoveries are at 22.7%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar maintained its base case PD and LGD assumptions on the revolving pool of receivables at 4.0% and 80.0%, respectively.

CREDIT ENHANCEMENT AND RESERVES
The subordination of the Class B Notes provides credit enhancement to the Class A Notes. As of the June 2025 payment date, the credit enhancement to the Class A Notes remained at 16.0%

The transaction includes a liquidity reserve, which the originator would fund when its rating falls below investment grade. Once funded, the liquidity reserve is only available up to the amount that is not transferred by the servicer to cover the shortfalls in senior expenses and interest on the Class A Notes. Morningstar DBRS considers this arrangement to be commensurate with the rating on the Class A Notes.

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

The originator will fund a deposit reserve for the excess of all borrowers' deposit exposure over 1% of outstanding loan balances if UniCredit's rating falls below investment grade. Morningstar DBRS considers the potential 1% asset set-off in its cash flow analysis.

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 factor(s) 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 (16 May, 2025) 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 (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.

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 be for surveillance potential portfolio migration based on 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 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/457952.

The sources of data and information used for this credit rating include investor reports and information provided by Unicredit 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 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 issuer took place on 28 August 2024. when Morningstar DBRS upgraded its credit rating on the Class A Notes to AA (low) (sf) from A (high) (sf).

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.

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 revolving pool of 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 revolving pool of receivables for the Issuer are 4.0% and 80.0%, respectively.
-- The risk sensitivity overview below illustrates the credit ratings 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 AA (low) (sf)
-- 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (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: Mark Wilder, Senior Vice President, Lead
Initial Rating Date: 30 September 2020

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.

-- 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
-- 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 (28 July 2025)
https://dbrs.morningstar.com/research/459521
-- Rating European Structured Finance Transactions Methodology (7 July 2025)
https://dbrs.morningstar.com/research/457857
-- 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.