Morningstar DBRS Upgrades Credit Ratings on Intesa Sanpaolo S.p.A. Covered Bonds (OBG - Mortgages - Programme 2) to AA (low) from "A"

DBRS Ratings GmbH (Morningstar DBRS) upgraded its credit ratings on the Obbligazioni Bancarie Garantite (OBG; the Italian legislative covered bonds) issued under the Intesa Sanpaolo S.p.A. Covered Bonds (OBG - Mortgages - Programme 2) (the Programme) to AA (low) from "A".

As of the date of this credit rating action, there were 24 series of OBG under the Programme, totalling an outstanding nominal amount of EUR 35.9 billion. The series are guaranteed by ISP OBG S.r.l. (the Guarantor).

This rating action follows the completion of a full review of the credit ratings.

CREDIT RATING RATIONALE
This credit rating action finalizes the UR-Pos. credit rating action on 10 September 2025, which reflected the sensitivity of the Programme to the changes in the interest rate stress curves that Morningstar DBRS applies in its modelling. The review followed the update to the "Interest Rate and Currency Stresses for Global Structured Finance Transactions Methodology" on 3 September 2025. This methodology outlines the framework for generating interest rate and foreign exchange stresses that Morningstar DBRS uses in its analysis of structured finance transactions and covered bonds.
Furthermore, the credit rating action follows Morningstar DBRS' upgrade on Intesa Sanpaolo Spa (ISP or the issuer) credit ratings on 23 October 2025, particularly its Long-Term Critical Obligations Rating (COR) to A (high) with Stable trend from "A" with Positive trend.

The credit ratings are based on the following analytical considerations:

-- A Covered Bonds Attachment Point (CBAP) of A (high), being the Long-Term Critical Obligations Rating (LT-COR) of ISP. ISP is the Issuer and Reference Entity for the Programme.
-- A Legal and Structuring Framework (LSF) Assessment of "Adequate" associated with the Programme.
-- No Cover Pool Credit Assessment assigned.
-- An LSF-Implied Likelihood (LSF-L) floored at A (high), being the LT COR of ISP.
-- A one-notch uplift on the LSF-L for good recovery prospects.
-- A level of overcollateralisation (OC) to which Morningstar DBRS gives credit of 12.5%, which is the minimum OC observed in the past 12 months, adjusted by a scaling factor of 0.85. The Issuer commits to an Asset Percentage of 94.5%, which translates into an OC commitment of 5.8%.
-- The sovereign rating of the Republic of Italy, rated A (low) with a Stable trend by Morningstar DBRS, as of the date of this press release.

Morningstar DBRS analysed the transaction with its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses, and market value spreads to calculate liquidation values on the CP. Morningstar DBRS assumed observed prepayment rate for the analysis.

Everything else being equal, a downgrade of the CBAP by one notch would lead to a downgrade of the LSF-L by one notch, resulting in a downgrade of the CB rating by one notch. In addition, all else remaining equal, Morningstar DBRS would downgrade the CB ratings if the quality of the CP and the level of OC were no longer sufficient to support a one-notch uplift for good recovery prospects.

The total outstanding amount of OBG was EUR 35.9 billion as of 30 September 2025 (the cut-off date), while the aggregate balance of the CP was EUR 41.0 billion of mortgage loans plus EUR 4.0 billion of cash collections, resulting in a total OC of 25.5%.

As of the cut-off date, the mortgage CP comprised 533,313 loans with a split of 92.1% residential versus 7.9% nonresidential, based on the type of property. The CP has a weighted-average (WA) indexed current loan-to-value ratio of 45.0% and a WA seasoning of 8.1 years. ISP and network banks that are part of the ISP group originated the mortgages. The CP is geographically diversified, with the highest concentrations in the Italian regions of Lombardy (24.5% by outstanding loan balance), Lazio (11.8%) and Veneto (11.2%).

The CP comprised fixed-rate (80.0% of the total outstanding balance) and floating-rate loans (20.0% of the total outstanding balance). The floating-rate mortgage loans are indexed to different plain vanilla bases and reset at different dates while 91.6% of the liabilities are floating-rate linked to three-month Euribor plus a spread. The transaction is exposed to interest rate risk because the transaction has no swap contracts in place. Morningstar DBRS considered this in its cash flow analysis.

All CP assets and OBG are denominated in euros. As such, investors are not currently exposed to any foreign exchange risk.

As of the cut-off date, the WA life of the CP was 9.1 years while the WA life of the OBG was 6.0 years, based on the expected maturity. This generates an asset/liability mismatch, which is partially mitigated by the 12-month maturity extension in case of an Issuer event of default and by the OC in place.

Morningstar DBRS assessed the LSF related to the ISP OBG2 as "Adequate", according to its rating methodology. For more information, please refer to the DBRS Morningstar commentary "Italian Obbligazioni Bancarie Garantite Legal and Structuring Framework" available at https://www.dbrsmorningstar.com.

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
Credit rating actions on both the Issuer and the Republic of Italy (the Sovereign) are likely to have an impact on this credit rating. ESG factors that have a significant or relevant effect on the credit analysis of the issuer are discussed separately at https://www.dbrsmorningstar.com/issuers/18264.

ESG Considerations had a relevant effect on the credit analysis. The Social and Governance factors impact the Programme as the ESG factors for the Issuer and the Sovereign are passed through to the rated bonds issued under the Programme given that the covered bonds' credit ratings would be impacted by changes in the credit ratings of the Issuer and/or the Sovereign.

There were no Environmental 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 (16 May 2025), https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is Global Methodology for Rating and Monitoring Covered Bonds (09 July 2025) https://dbrs.morningstar.com/research/458008.

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/457952/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these credit ratings include historical performance data (static pool default and prepayments data from 2014 to 2024) as well as loan-level information on the CP as of 30 June 2025 and stratification information on the CP as of 30 September 2025 provided by the Issuer.

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 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.

The last credit rating action on this issuer took place on 10 September 2025, when Morningstar DBRS placed under review with positive implications the credit ratings on the CB series outstanding under the Programme.

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

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: Tomas Rodriguez-Vigil Junco, Senior Vice President, Sector Lead
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 7 November 2014

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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Global Methodology for Rating and Monitoring Covered Bonds (9 July 2025), https://dbrs.morningstar.com/research/458008
-- Global Methodology for Rating Banks and Banking Organisations (23 May 2025), https://dbrs.morningstar.com/research/454637
-- Legal and Derivative Criteria for European Structured Finance Transactions (11 August 2025), https://dbrs.morningstar.com/research/460396
-- European RMBS Insight Methodology (28 July 2025) and European RMBS Insight model v.10.1.0.1, https://dbrs.morningstar.com/research/459586
-- Global Methodology for Rating CLOs and Corporate CDOs (9 July 2025), https://dbrs.morningstar.com/research/458009
-- Rating CLOs Backed by Loans to European SMEs (5 June 2025) and SME Diversity Model version 2.7.1.6, https://dbrs.morningstar.com/research/455697
-- Interest Rate and Currency Stresses for Global Structured Finance Transactions (3 September 2025), https://dbrs.morningstar.com/research/461958
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (15 September 2025), https://dbrs.morningstar.com/research/464880
-- Global Methodology for Rating Sovereign Governments (9 July 2025), https://dbrs.morningstar.com/research/457952
-- 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 [email protected].