Morningstar DBRS Confirms Credit Ratings on Giada Sec. S.r.l. and Giada Sec. S.r.l. (2022)

DBRS Ratings GmbH (Morningstar DBRS) confirmed its A (high) (sf) credit ratings on the Class A Notes issued by each Giada Sec. S.r.l. (Giada) and Giada Sec. S.r.l. (2022) (Giada 2022; together with Giada, the Issuers).

The credit ratings on both Class A Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date of each transaction.

CREDIT RATING RATIONALE
The credit rating confirmations follow an annual review of the transactions and are based on the following analytical considerations:
-- The portfolios' performances, in terms of delinquencies, defaults, and losses, as of the latest payment dates for each transaction;
-- The one-year base case probability of default (PD) and default and recovery rates on the receivables;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the A (high) (sf) credit rating level; and
-- No purchase termination events or breach of purchase conditions have occurred to date.

The transactions are revolving cash flow securitisations collateralized by portfolios of unsecured loans and secured loans (only Giada 2022) granted to Italian small and medium-size enterprises, entrepreneurs, artisans, and producer families by Intesa Sanpaolo S.p.A. (ISP) and other regional banks fully owned by ISP. ISP also acts as the servicer of the portfolio. Giada closed in December 2020, and its revolving period is scheduled to end in March 2026. Giada 2022 closed in December 2022, and its revolving period is expected to end in January 2026. However, the revolving periods will terminate prematurely if certain performance-related triggers are breached (e.g., if gross cumulative defaults rise above 8.5% or if the cash reserve does not reach its target).

Around 75% of the current portfolio balance of both Giada and Giada 2022 is assisted by the Fondo Centrale di Garanzia (FCG) guarantee, a state guarantee that covers up to 100% of the loan balance. The weighted-average coverage for the current portfolio is equal to 78.9% and 82.2% respectively.

PORTFOLIO PERFORMANCE
The two portfolios are currently performing within Morningstar DBRS' expectations. As of the latest cut-off dates, the 90+-day arrears and gross cumulative default ratios were as follows:
-- Giada: 0.9% and 2.0%, respectively.
-- Giada 2022: 0.9% and 2.0%, respectively.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS continues to base its analysis on a stressed portfolio composition, constructed considering the purchase conditions applicable during the revolving period.

In particular, Morningstar DBRS maintained its annualised PDs of 2.1% and 4.4% for unsecured and mortgage-backed loans, respectively, for the portfolios assumed to be outstanding after the end of the revolving periods. In the case of Giada, Morningstar DBRS assumed an annualised PD of 1.8% and 2.3% for corporate and retail borrowers, respectively, with respect to the portfolio assumed to be reinvested during the revolving period. In the case of Giada 2022, Morningstar DBRS assumed an annualised PD of 3.2% for the replenished portfolio.

Furthermore, Morningstar DBRS calculated the following stressed lifetime default and recovery assumptions at the A (high) (sf) credit rating level:
-- Giada: 37.1% and 28.4%, respectively.
-- Giada 2022: 38.2% and 40.2% respectively.
The recovery rates continue to be determined by giving partial credit to the FCG guarantee.

CREDIT ENHANCEMENT
Overcollateralisation of the outstanding collateral portfolio provides credit enhancement to the Class A Notes. As of the latest payment date of each transaction, September for Giada and October for Giada 2022, the Class A Notes had the following credit enhancement:
-- Giada: 33.1%, slightly down from 33.3% at the last review.
-- Giada 2022: 31.4%, stable from the last review.

Both transactions are structured with an additional cash reserve, funded upon breach of certain triggers. The reserve would be funded via a subordinated loan upon a downgrade of ISP below BB (high), for a target amount equal to EUR 900 million, and would act as a partial mitigant to set off risk.

ISP acts as the account bank for both transactions. Based on Morningstar DBRS' account bank reference rating on ISP of A, which is one notch below its Long Term Critical Obligations Rating of "A (high)", the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction's structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European and Asia-Pacific 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 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

Social (S) Factors
Morningstar DBRS considered the presence of loans backed by the FCG Guarantee to be a relevant social factor for Giada and a significant social factor for Giada 2022 (Social Impact of Product & Services) as outlined within "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings". Morningstar DBRS assumed reduced loss severity for the loans that are backed by the FCG Guarantee. This is credit positive for both transactions given the reduced loss expectations for guaranteed loans but only affects the credit rating of Giada 2022 as the credit rating output is more sensitive to the effect of the FCG guarantee than in Giada.

There were no Environmental/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 structures in its proprietary cash flow engine.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is "Rating CLOs Backed by Loans to European SMEs" (5 June 2025), https://dbrs.morningstar.com/research/455697.

Other methodologies referenced in these transactions are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transactions 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 transactions, the analysis continues to consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

A review of the transactions' 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 these credit ratings include investor reports provided by Banca Finanziaria Internazionale S.p.A. and KPMG Fides Servizi di Amministrazione S.p.A., servicer reports and additional performance information provided by ISP, and 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 ratings, 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.

Morningstar DBRS expects Structured Finance issuers and originators of Structured Finance products to make all relevant information regarding these products available to investors to conduct their own analyses.

The last credit rating action on these transactions took place on 15 November 2024, when Morningstar DBRS confirmed its credit ratings on the Class A Notes issued by Giada and Giada 2022 at A (high) (sf).

The lead analyst responsibilities for these transactions have been transferred to Anna Walkowiak.

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):

-- Probability of Default Rates Used: base case PD of 2.2% for Giada and a base case PD of 3.0% for Giada 2022, a 10% and 20% increase of the base case PD.
-- Recovery Rates Used: at the A (high) (sf) credit rating level, base case recovery rate of 25.9% for Giada and 35.5% for Giada 2022, a 10% and 20% decrease in the base case recovery rate.

For Giada, Morningstar DBRS concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a downgrade on the Class A Notes to A (low) (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would lead to a confirmation on the Class A Notes at A (high) (sf).

For Giada 2022, DBRS Morningstar concludes that a hypothetical increase of the base case PD by 20% or a hypothetical decrease of the recovery rate by 20%, ceteris paribus, would lead to a downgrade on the Class A Notes to A (sf). A scenario combining both an increase in the PD by 10% and a decrease in the recovery rate by 10% would lead to a confirmation on the Class A Notes at A (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.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Anna Walkowiak, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Dates: Giada: 21 December 2020 and Giada 2022: 6 December 2022

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
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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.

-- Rating CLOs Backed by Loans to European SMEs (5 June 2025) and SME Diversity Model v2.7.1.6
https://dbrs.morningstar.com/research/455697
-- European RMBS Insight Methodology (28 July 2025)
https://dbrs.morningstar.com/research/459586
-- Global Methodology for Rating CLOs and Corporate CDOs (10 November 2025)
https://dbrs.morningstar.com/research/466921
-- Interest Rate and Currency Stresses for Global Structured Finance Transactions (3 September 2025)
https://dbrs.morningstar.com/research/461958
-- Legal and Derivative Criteria for European and Asia-Pacific Structured Finance Transactions (10 November 2025)
https://dbrs.morningstar.com/research/466839
-- Master European Structured Finance Surveillance Methodology (4 February 2025)
https://dbrs.morningstar.com/research/447080
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025)
https://dbrs.morningstar.com/research/454196
-- Operational Risk Assessment for European and Asia-Pacific Structured Finance Originators and Servicers (10 November 2025)
https://dbrs.morningstar.com/research/466838

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].