Rating action

Scope Ratings GmbH (Scope) has assigned the following rating on the issued instruments:

Class A (ISIN: IT0005669848), floating rate notes, EUR 507,200,000 (EUR 481,514,492): new rating of AAA_SF

Class J (ISIN: IT0005669855), variable-return notes, EUR 109,272,000: not rated

Transaction overview

The issued notes proceeds were used at closing to purchase a static portfolio of payroll-deductible loans extended to individual borrowers in Italy and originated by Istituto Bancario del Lavoro S.p.A. (IBL Banca, rated BBB / S-2 by Scope). The securitised loans are collateralised by the debtor’s salary or pension and, in most cases, by any accrued severance amount (‘Trattamento di Fine Rapporto’). The notes’ underlying portfolio as of the closing date, September 2025, was composed of CDQ (‘Cessione Del Quinto dello stipendio’, 46.8%), CQP (‘Cessione del Quinto della Pensione’, 43.9%) and DP (‘Delegazione di Pagamento’, 9.3%) loans extended either to pensioners (44.4%), the private sector (22.7%), employees in the central state administration (18.4%), or employees in the public administration (14.4%). The portfolio is highly granular and had a weighted average seasoning of 2.1 years. All the underlying loans are insured against life events, while 56.1% are insured against employment events.

The main structural features are: i) two classes of notes with fully sequential principal amortisation across senior class A and junior class J notes; ii) at the closing date an initial credit enhancement level of 18.9% for the class A notes, from notes subordination and a fully funded liquidity reserve from part of the proceeds from the class J notes; iii) a liquidity reserve that provides liquidity and credit support to the class A notes; iv) during the pre-enforcement phase and until the cumulative net default ratio is equal to or below 3%, an implicit principal deficiency ledger mechanism, whereby the notes amortise up to a target redemption amount needed to bring issuer assets and liabilities in equilibrium, resulting in excess spread being applied to cover defaults before any distribution to class J noteholders; v) if the cumulative net default ratio exceeds 3% during the pre-enforcement phase, all issuer available funds after the top up of the liquidity reserve to its required amount, will be used to repay in full the most senior class of notes outstanding; and vi) an interest rate swap based on a schedule notional hedged balance to mitigate interest rate risk, given that the underlying assets pay a fixed rate while the class A notes bear a floating rate.

The noteholders are exposed to the following key counterparties: i) IBL Banca as seller, originator, servicer, collection account bank, calculation agent, cash manager and corporate services provider; ii) The Bank of New York Mellon SA/NV - Millan Branch, as transaction account bank, investment account bank and paying agent; and iii) UniCredit Bank GmbH as swap counterparty.

Rating rationale

The assigned rating reflects the base case quantitative results. Counterparty risk is immaterial, relative to the assigned rating level. One or more key drivers of the credit rating action are considered an ESG factor.

Key rating drivers:

Experienced originator (positive)¹. IBL Banca is one of the most experienced CQS loan originators in Italy and its loan book has above-average performce (ESG factor).

Low historical losses of the underlying asset type (positive)¹. CQS loans generally incur lower losses than standard unsecured consumer loans, primarily because the loans are fully insured and instalments are withheld by the borrower’s employer and paid directly to the lender.

Liquidity and credit protection (positive)². A fully funded liquidity reserve (EUR 5.6m at the closing date) provides liquidity and credit protection to the class A notes during the life of the transaction. This reserve can be utilised to repay the rated notes at the notes’ legal final maturity date.

Public sector concentration (negative)^1,3. Most of the portfolio is exposed to the public sector (77.3% at closing date). While such borrowers typically exhibit lower default rates compared to borrowers employed in the private sector, this high concentration increases the transaction’s exposure to sovereign risk. Scope’s analysis accounts for this risk through the application of a sovereign stress scenario.

Insurance company concentration (negative)¹. At the closing date, the top two life insurance companies account for 59.3% of the total portfolio while the top two insurance companies covering employment events account for 64.6% of the non-retired pool. A failure by these insurers to honour obligations would negatively impact the portfolio recovery rate.

Key analytical assumptions:

• The portfolio’ lifetime default rate follows an inverse Gaussian distribution
   
• Rating-level conditional recovery rates

The analytical assumptions factor in the historical performance of assets of similar nature to those of the securitised portfolio, considering the originator’s performance data or peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including: i) the originator’s credit policies; ii) Scope’s macroeconomic expectations; and iii) the credit committee’s asset class outlook over the transaction’s lifetime.

Details on these assumptions and other parameters are provided in the ‘Quantitative analysis’ section below.

Key data sources:

The key data sources used to derive Scope’s key analytical assumptions are: i) default, recovery and prepayment vintage data from the originator covering the period from Q2 2019 to Q2 2025; ii) dynamic delinquency data from the originator covering the period from Q3 2022 to Q2 2025; iii) pool stratification tables and loan-by-loan data; and iv) collateral performance data of peer Italian CQS transactions.

Rating-change drivers

The rating could be impacted by a change to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources; significant changes to the transaction’s collateral and structural features; or a change in Scope’s credit views regarding the transaction’s key rating drivers.

The sensitivity analysis below provides an indication of the resilience of the credit ratings to deviations in key analytical assumptions.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit ratings to the assumed parameters and, all else being equal, does not reflect expected or likely scenarios.

Class A notes

• 50% increase in mean lifetime default rate: zero notches
   
• 50% decrease in recovery rates: zero notches

Quantitative analysis

This section provides a non-exhaustive list of relevant quantitative parameters:

• Default rate distribution parameters: cumulative mean default rate of 7.0% with a default coefficient of variation of 40.0%, implying annualised mean and distressed marginal default rates of 1.6% and 4.3%, respectively.
   
• Rating-level conditional recovery rates: ranging from 80.0% at ‘B’, through 72.0% at ‘BBB’, to 49.3% at ‘AAA’.
   
• Times to recovery on defaulted assets: 50% at month 12, 20% at month 24, 20% at month 36 and the remaining 10% at month 48.
   
• Base case constant prepayment rate: 5% for the first and second year, 25% for the third year and 5% for the year fourth and thereafter.
   
• Senior fees and expenses: 0.50% of non-defaulted pool balance and floored at EUR 200,000 p.a.

Rating driver references
1. Loan-by-loan data tape of the securitised pool and originator’s historical data (Confidential)
2. Transaction documentation (Confidential)
3. Scope affirms Italy’s credit ratings at BBB+ and revises the Outlook to Positive

Stress testing
Stress testing was considered in the quantitative analysis by considering scenarios that stress factors, like defaults and Credit-Rating-adjusted recoveries, contributing to sensitivity of Credit Ratings and consider the likelihood of severe collateral losses or impaired cash flows. The impact on the rated instrument is weighted by the assumptions of the likelihood of the events in such scenarios occurring.

Cash flow analysis
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Master Waterfall Version 1.2 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

Methodology
The methodologies used for this Credit Rating, (Consumer and Auto ABS Rating Methodology, 3 March 2025; Counterparty Risk Methodology, 30 June 2025; General Structured Finance Rating Methodology, 13 February 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The models used for this Credit Rating are (Cash Flow Model Master Waterfall Version 1.2; Portfolio Model Version 1.1), available in Scope Ratings’ list of models, published under scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): registers.esma.europa.eu/cerep-publication. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has not received a third-party asset due diligence assessment/asset audit. Scope Ratings has performed its own analysis of the data quality, based on information received from the Rated Entity or Related Third Parties, which is not and should be not deemed equivalent to the performance of due diligence or an audit. The internal analysis was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating is based. Following that review, the Credit Rating was not amended before being issued.

Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead analyst: Miguel Barata, Director
Person responsible for approval of the Credit Rating: David Bergman, Managing Director
The Credit Rating was first released by Scope Ratings on 23 December 2025.

Potential conflicts
See scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties. 

Conditions of use/exclusion of liability
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