Scope Ratings GmbH (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.

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. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or 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 a monitoring review of the following notes issued by EFL Lease ABS 2021-1 DAC on 20 September 2022 and considered the investor reporting up to July 2022 payment date. The credit ratings remain as follows:

Class A1 (ISIN XS2360018225): PLN 890.0m outstanding amount: AAA_SF

Class A2 (ISIN XS2360025279): PLN 800.0m outstanding amount: AAA_SF

EFL Lease ABS 2021-1 is a true-sale cash securitisation of a PLN 2,152.9m lease receivables portfolio with a three-year revolving period ending October 2024. 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 its profile are expected to change as a result of replenishments, within reasonable limits. Asset and portfolio-level covenants together with early-amortisation triggers protect the class A notes against adverse portfolio migration and asset underperformance during the three-year revolving period.

The review was conducted considering available investor reports up to the July 2022 payment date. 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 connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

Portfolio segmentation has been stable up to the last payment date, with a stable pool performance. The 0.37% three-month rolling average of delinquencies is well below the 3% early-amortisation trigger level, with a significant excess spread generation of 4.7%. Credit enhancement for the senior bond is unchanged at 23.1%.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 17 December 2021; Consumer and Auto ABS Rating Methodology, 3 March 2022; Counterparty Risk Methodology, 14 July 2022) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Shashank Thakur, Analyst

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