Morningstar DBRS Confirms Credit Rating on Emilia SPV S.r.l. Following Amendment

DBRS Ratings GmbH (Morningstar DBRS) confirmed its A (high) (sf) credit rating on the Class A Notes issued by Emilia SPV S.r.l. (the Issuer) following a transaction amendment (the Amendment).

CREDIT RATING RATIONALE
The credit rating confirmation follows a transaction review upon the execution of an amendment and is based on the following analytical considerations:
-- The Amendment to the transaction executed on 23 April 2026;
-- Portfolio performance in terms of delinquencies, defaults, and losses, as of the February 2026 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining 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 transfer limits have occurred to date.

The transaction is a revolving securitisation of first-lien residential mortgage loans granted by Credito Emiliano S.p.A. (CREDEM) to individuals and families resident in Italy. CREDEM services the portfolio and also covers the role of the account bank while Banca Finanziaria Internazionale S.p.A. acts as the backup servicer facilitator. The transaction closed in April 2015 when the Class A and Class B Notes were issued for nominal amounts of EUR 3 billion and EUR 900 million, respectively.

The structure provides for partially paid notes that can be subscribed up to their nominal amounts to finance the purchase of subsequent portfolios. The notes can amortise during the replenishment period if certain conditions are met. Since the issue date, 14 subsequent portfolios were sold to the Issuer, 10 of which were financed with further notes subscriptions. The Class A Notes subordination during the replenishment period is based on a dynamic credit enhancement mechanism, depending on the credit quality of the pool in terms of loan-to-value (LTV) and portfolio yield. In general, the credit enhancement to the Class A Notes can vary during the replenishment period as the Issuer purchases further portfolios, but can never decrease below the contractual floor of 18.5%.

THE AMENDMENT
The Amendment was executed on and is effective as of 23 April 2026. The main changes are summarised below:
--A 60-month extension of the replenishment period from May 2026 to May 2031;
--A extension of the maturity of the Class A Notes from February 2064 to February 2080;
--The cumulated further instalments payment mechanism is reviewed to determine the pool factor of the Notes by removing the effects of previous amortisation, allowing the notes to reach the full nominal value through new assets transfers;
--A extension of the renegotiation powers of the servicer;
--A change in certain transfer limits applicable during the replenishment period, with respect to the aggregate portfolio:
(1) The maximum contribution of loans whose debtor is self-employed increased to 15% from 13%,
(2) The minimum portfolio balance of loans with a floating interest rate indexed to Euribor 3 months decreased to 80% from 84% of the portfolio balance of loans with a floating interest rate;
(3) The maximum contribution of loans whose debtor has a SAE code different from 600 increased to 3.5% from 2%;
(4) The maximum contribution of loans whose debtor is an employee of Credem group increased to 10% from 5%;
(5) The minimum contribution of loans whose debtor is resident in northern regions of Italy decreased to 45% from 50%;
(6) The maximum contribution of loans whose debtor is resident in southern regions of Italy increased to 37% from 32%.
--Changes in the eligibility Criteria to include:
(1) loans with amortization type "rata crescente";
(2) loans with "Fondo Garanzia Mutui Prima Casa Consap" guarantee;
(3) liquidity loans;
(4) loans currently excluded from the securitisation but in compliance with the eligibility criteria.

PORTFOLIO PERFORMANCE
The portfolio is performing within Morningstar DBRS' expectations. As of the 31 December 2025 portfolio cut-off date, delinquencies were low, with 90+ days arrears close to none, similar at the time of the last annual review one year ago, and also no defaults recorded so far. As of the same cut-off date, the current LTV was 53.9%, slightly down from 54.4% at the last annual review.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the pool of receivables and, given the presence of a revolving period, continues to derive its base case PD and LGD assumptions based on a worst-case portfolio composition as per the replenishment criteria set forth in the transaction legal documents.

Given the revolving nature of the transaction and its dynamic credit enhancement features, Morningstar DBRS continued to consider four portfolios based on the weighted-average LTV, and updated its base case PD and LGD assumptions, based on the January 2026 pool cut and the replenishment criteria, as follows:
-- 9.6% and 17.7%, respectively, for the worst-case portfolio with 75% LTV.
-- 9.8% and 21.1%, respectively, for the worst-case portfolio with 80% LTV.
-- 9.9% and 24.3%, respectively, for the worst-case portfolio with 85% LTV.
-- 10.0% and 27.4%, respectively, for the worst-case portfolio with 90% LTV.

To capture certain adverse characteristics that the pool might develop during the replenishment period, Morningstar DBRS increases the risk segment of each loan to a higher segment than otherwise would have been calculated for each loan.

CREDIT ENHANCEMENT
Overcollateralisation of the outstanding collateral portfolio provides credit enhancement to the Class A Notes. Credit enhancement will dynamically change based on the credit quality of the pool in terms of LTV and portfolio yield, subject to the floor. As of the February 2026 payment date, the Class A Notes credit enhancement was 18.7%.

The transaction benefits from a cash reserve, which provides liquidity support and is available to cover senior fees and interest payments on the Class A Notes. The reserve is amortising and, as of the February 2026 payment date, it was at its target of EUR 88.4 million.

CREDEM acts as the account bank for the transaction. Based on Morningstar DBRS' private rating on CREDEM, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating 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 class 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 transaction's respective press release 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 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 structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the credit rating is the Master European and Asia-Pacific Structured Finance Surveillance Methodology (10 March 2026), https://dbrs.morningstar.com/research/476049 and the "European RMBS Insight Methodology" (9 April 2026), https://www.dbrsmorningstar.com/research/478391.

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 methodologies.

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 consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

DBRS Morningstar has conducted a review of the transaction's legal documents provided in the context of the Amendment, consisting of the: Master Amendment Agreement, Master Transfer Agreement, Servicing Agreement, Master Definition Agreement, Terms and Condition of the Notes, Senior Subscription Agreement and Junior Subscription Agreement.

A review of any other transaction's legal documents was not conducted as the 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 provided by Banca Finanziaria Internazionale S.p.A., servicer reports and additional information provided by CREDEM, and loan-level data provided by the European DataWarehouse GmbH. In the context of the Amendment, DBRS Morningstar was also provided with updated historical performance data as follows:
-- Quarterly static default data by vintage of origination, spanning from Q1 2016 to Q4 2025, split by origination channel;
-- Quarterly static recovery data by vintage of default, spanning from Q1 2016 to Q4 2025, split by open and closed positions;
-- Monthly dynamic prepayment data spanning from January 2016 to December 2025, split by floating- and fixed-rate loans;
-- Monthly dynamic 10+-day delinquency data spanning from January 2016 to December 2025, split by origination channel; and
-- Quarterly static delinquency data (>90d arrears) spanning from Q1 2016 to Q4 2025 and split by origination channel.

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.

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 this transaction took place on 11 April 2025, when Morningstar DBRS confirmed its credit rating on the Class A Notes at A (high) (sf).

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):

-- The base case PD and LGD of the current pool of loans for the Issuer are 9.6% and 17.7%, respectively, for the constructed portfolio with 75% LTV; 9.8% and 21.1%, respectively, for the constructed portfolio with 80% LTV; 9.9% and 24.3%, respectively, for the constructed portfolio with 85% LTV; and 10.0% and 27.4%, respectively, for the constructed portfolio with 90% LTV.

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumptions.
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of A (high) (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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (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: Helvia Meana, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 22 April 2015

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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.

--Master European and Asia-Pacific Structured Finance Surveillance Methodology (10 March 2026), https://dbrs.morningstar.com/research/476049.
--European RMBS Insight Methodology" (9 April 2026) and European RMBS Insight Model v.10.2.0.1, https://www.dbrsmorningstar.com/research/478391.
--Legal and Derivative Criteria for European and Asia-Pacific Structured Finance Transactions (10 November 2025) https://dbrs.morningstar.com/research/466839.
--Operational Risk Assessment for European and Asia-Pacific Structured Finance Originators and Servicers (10 March 2026) https://dbrs.morningstar.com/research/476050.
--Interest Rate and Currency Stresses for Global Structured Finance Transactions (26 January 2026), https://dbrs.morningstar.com/research/472333.
--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].