Scope takes no action on the class A and class B notes issued by Polish Lease Prime 1 DAC
No action has been taken on the Class A and Class B notes issued by Polish Lease Prime 1 DAC following a monitoring review.
Scope RatingsGmbH (“Scope”) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations, performs a monitoring review.
Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. As part of the monitoring review, Scope considers all available and relevant information when undertaking the monitoring review.
Monitoring reviews are conducted either by performing a peer comparison, benchmarking against the rating change drivers, and/or a review of the credit ratings` performance over time, as deemed appropriate by the Lead Analyst or the Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology(ies), including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.
Scope completed the monitoring review for Polish Lease Prime 1 DAC on 9 September 2021. The credit ratings remain as follows:
Class A-1 (ISIN XS205218220), PLN 1,290.0m: AAASF
Class A-2 (ISIN N/A), PLN 545.0m: AAASF
Class B (ISIN XS2052182545), PLN 640.0m: BB-SF
The review took place on 9 September 2021 and was based on available investor reports through 24 August 2021, covering eight interest payment dates since closing. This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action on the credit ratings of this monitoring note along with the associated rating history can be found on www.scoperatings.com.
The transaction consists of the securitisation of a PLN 2.5bn portfolio of fully amortising lease receivables with no residual value risk, originated and serviced by PKO Leasing Spółka Akcyjna (PKOL). The transaction closed on 26 September 2019.
Key rating factors
Scope Ratings has reviewed the performance of Polish Lease Prime 1 DAC, and no rating action is warranted. Neither early-amortisation triggers in the transaction nor replenishment covenants that protect against portfolio credit deterioration have been breached during the two-year replenishment phase. The portfolio’s replenishment phase ended in August 2021 and the notes will start to amortise from the next payment date. Scope’s analysis is based on quarterly reporting provided by PKOL.
Compared to last year’s monitoring, there are no receivables with payment holidays left in the pool. All lease agreements subject to any payment suspension were repurchased by PKOL after October 2020.
Portfolio segmentation and performance have been relatively stable up to the end of the replenishment period. The 0.5% gross default ratio and the 0.28% three-month rolling average late delinquency rate are well below the sequential amortisation trigger levels of 1.7% and 3.25%, respectively. All defaults have been provisioned with excess spread and credit enhancement for the senior notes is unchanged at 28.9%. Transaction counterparties continue to support the ratings: i) PKOL as servicer, ii) PKO Bank Polski S.A. as back-up servicer facilitator and iii) Elavon Financial Services DAC as account bank and paying agent. Structural protections include regular cash sweeps, back-up arrangements and account bank replacement trigger.
Scope expects Poland (rated A+/Stable) to help lead the economic recovery in central and eastern Europe this year. Polish output should grow 5.6% in 2021 – revised up from Scope’s 4.9% forecast in June – before 4.6% growth next year, having reached pre-crisis output levels by Q2 2021. Sizeable EU funding via grants and a good track record of EU fund absorption enhance medium-run growth potential and support further decline of external debt. However, the economy’s low savings rate and shortages of skilled workers remain restraints on longer-run growth, exacerbated by the gradual erosion of institutional strengths and ongoing strained relations with the European Union, which, nonetheless, are unlikely to materially disrupt inflows of EU funding.
The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 14 December 2020; Consumer and Auto ABS Rating Methodology, 3 March 2021; Methodology for Counterparty Risk in Structured Finance, 13 July 2021) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Martin Hartmann, Associate Director
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