Scope Ratings has reviewed the performance of EFL Lease ABS 2017-1, and no rating action is warranted. (Current ratings on the transaction are available here and here.) Early-amortisation triggers in the transaction are in compliance and replenishment covenants that protect against portfolio credit deterioration have not been breached since closing. The transaction continues to adhere to replenishment covenants and the replenishment period ends on 27 October 2020, unless an early amortisation trigger fails. Scope’s analysis is based on quarterly reporting provided by Citibank N.A, up to 31 December 2019.

Portfolio segmentation and performance have been relatively stable up to the last payment date. The 1.92% gross loss ratio and the 1.36% three-month rolling average late delinquency rate are well below the early-amortisation trigger levels of 5.5% and 3%, respectively. There is significant excess spread at 4.78%. Credit enhancement for the senior notes is unchanged at 20.6%.

The transaction is a true-sale cash securitisation of a PLN 2,200m lease receivables portfolio with a three-year revolving period. The transaction is still in revolving period which ends on 27 October 2020. The Polish lease receivables are originated by Europejski Fundusz Leasingowy S.A. (EFL) in its ordinary course of business. The portfolio as of this review is comprised of leases mainly to Polish SMEs (97.6%), with a smaller amount to larger corporate borrowers (2.4%). Leases finance new and used light vehicles (29.7% / 13.9%), new and used trucks and trailers (9.4% / 13%) and new and used machinery and equipment (21.8% / 12.2%). Citibank N.A., London Branch is the issuer account bank. This transaction does not securitise receivables related to the leased objects´ residual value. The portfolio composition and profile is expected to change as a result of continued replenishments, within reasonable limits.

Scope continuously monitors EFL Lease ABS 2017-1.

Ratings and research are freely available at www.scoperatings.com.