Rating action

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

Class A, (ISIN: IT0005328577), EUR 438.3m, floating rate notes: new rating of AAA_SF

Class B, (ISIN: IT0005328585), EUR 58.5m, floating rate notes: not rated

Class J, (ISIN: IT0005328593), EUR 112.9m, variable return notes: not rated

Transaction overview

The transaction is a granular, 27-month revolving securitisation of loan receivables originated by Banca Credifarma S.p.A. (‘Credifarma’) to small and medium companies operating pharmacies located in Italy. The target portfolio at the end of the revolving period will amount to EUR 606.0m. As of the cut-off date of 1 August 2025, the EUR 606.4m initial underlying portfolio consists of 1,847 monthly-paying, French-amortising SME loan receivables contracts granted to 1,446 borrowers located mainly in the South and North regions of Italy. Unsecured loans represent the majority of the portfolio (78.4%) while the rest is secured by mortgages (21.6%). The portfolio’s weighted-average seasoning and remaining time to maturity are 3.1 years and 12.1 years, respectively.

The transaction features one class of rated notes that benefit from: i) structural credit enhancement from subordination; ii) a strict sequential amortisation with a combined interest and principal priority of payments, iii) an early amortisation mechanism that protects the class A notes in case of high defaults, low debt to service coverage ratio, high deleverage of the transaction; iv) a liquidity reserve funded at closing date; and v) excess spread.

The noteholders are exposed to the following key counterparties: i) Credifarma as originator, seller, servicer and interim account bank; ii) BNP Paribas as issuer account bank and paying agent; iii) Banca Ifis S.p.A. as calculation agent; and iv) Banca Finanziaria Internazionale as representative of noteholders, back-up servicer and corporate servicer.

Rating rationale

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

Key rating drivers:

• Granular portfolio (positive)^1,3: The underlying portfolio is granular. Portfolio covenants and eligibility criteria ensure that no material obligor concentration can build up during the revolving period.
   
• Experienced originator (positive)^1,2,4: Credifarma is a major player on the Italian SME pharmacy financing market with decades of experience. Its business benefits from a robust client base, adequate governance and experienced staff (ESG factor).
   
• Borrowers’ stable historical performance (positive)^1,2,4: Borrowers in the Italian pharmacy sector have presented lower historical default rates than the average Italian SME borrowers.
   
• Low liquidity coverage (negative)¹: The liquidity coverage available to class A notes is low at about 2 months. The presence of a back-up servicer mitigates the servicing discontinuity risk.
   
• Revolving period (negative)^{1, 3}: The transaction features an up to 27-month revolving period, during which the portfolio’s credit quality could deteriorate. Asset and portfolio eligibility criteria, together with early amortisation triggers, mitigate adverse portfolio migration. However, these criteria do not include an upper bound limit on individual and weighted-average borrower’s annual probability of default based on Credifarma’s internal rating metrics.

Key analytical assumptions:

• The portfolio´s lifetime default rate which 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 originator’s performance data or peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including a) the originator´s credit policies, b) Scope´s macroeconomic expectations, and c) the credit committee´s asset class outlook over the transaction´s lifetime.

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

Key data sources:

The key data sources used to derive the key analytical assumptions are: i) loan-by-loan data including Credifarma’s internal ratings, probability of default and loss given default metrics and portfolio’s stratification tables; ii) defaulted loan data as of 28 February 2025 for Credifarma’s entire book; iii) collateral performance data of peer SME Italian transactions; and iv) default frequency vintage data from the originator covering the period 2018 to 2025.

Rating-change drivers

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, and a change in Scope’s credit views regarding the transaction’s key rating drivers could impact the rating.

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

Sensitivity analysis

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

Class A notes:

• 50% increase of the mean lifetime default rate: 0 notches
   
• 50% decrease of the recovery rates: 0 notches

Quantitative analysis

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

• Default rate (DR) distribution parameters: cumulative mean DR of 3.5% with a coefficient of variation of 65%, implying annualised mean and distressed marginal default rates of 0.5% and 2.2%, respectively.
   
• Rating-level conditional recovery rates: ranging from 35% at ‘B’, to 21% at ‘AAA’.
   
• Base case constant prepayment rate: 5%.
   
• Senior fees and expenses: 0.5% of non-defaulted pool balance and floored at EUR 200k p.a.

Rating driver references
1. Transaction and originator documents (Confidential)
2. Historical default, recovery vintage data, delinquent data (Confidential)
3. Static data tape and pool stratification tables as of the cut-off date (Confidential)
4.  Scope has completed a monitoring review for Italy, dated 23 May 2025

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 instruments 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’ Portfolio Model Version 1.1 and Cash Flow Model Master Waterfall Version 1.0 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, (General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025; SME ABS Rating Methodology, 16 May 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 1.0, 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 received a third-party asset due diligence assessment/asset audit. The external due diligence assessment/asset audit 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 are 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: Rossella Ghidoni, Director
Person responsible for approval of the Credit Rating: Benoit Vasseur, Managing Director
The Credit Rating was first released by Scope Ratings on 28 August 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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