Rating action

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

Class A, (ISIN: XS3095378405), EUR [•], floating rate notes: new preliminary rating of (P) AAA_SF

Subordinated loan, EUR [•]: not rated

Transaction overview

The transaction is a securitisation of a highly granular portfolio of operating lease contracts relating to passenger cars, light commercial vehicles, heavy goods vehicles and commercial vehicles originated by Axus Nederland N.V. (‘Axus’) to Dutch commercial (53.8%) and private (46.2%) lessees. The initial pool of receivables comprises classic lease contracts with instalments (53.9%) and a residual value component (46.1%) for the lease of new (94.5%), and used (5.5%) vehicles, split by passenger cars (94.0%), light commercial vehicles (6.0%), as well as heavy goods vehicles and commercial vehicles (combined <0.1%). Battery-electric vehicles account for approximately 31% of the portfolio. The transaction includes an up to twelve-month revolving period, during which new lease receivables can be sold to the issuer, subject to asset eligibility and portfolio criteria.

The transaction features one class of rated notes that benefits from: i) structural credit enhancement from subordination; ii) a strict sequential amortisation with a combined interest and principal priority of payments; iii) a cash reserve to be funded at closing date that provides liquidity and loss protection; iv) an interest rate swap to be entered with CACIB at closing date; and v) substantial excess spread.

The noteholders will be exposed to the following key counterparties: i) Axus Nederland N.V. which main roles are originator, seller, servicer, realisation agent and maintenance coordinator; ii) Société Générale S.A., Amsterdam Branch as issuer account bank; iii) Crédit Agricole Corporate and Investment Bank as swap provider; and iv) Deutsche Bank AG, London Branch as paying agent.

Rating rationale

The class A notes’ 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.

Preliminary ratings rely on the information made available to Scope up to 30 June 2025. Scope may assign final ratings subject to the review of the final version of all transaction documents and legal opinions. Final credit ratings may deviate from preliminary ratings.

Key rating drivers:

Very granular portfolio (positive)^1,3. The underlying portfolio is very granular and includes a substantial share of leases to private individual lessees. Portfolio covenants and eligibility criteria ensure that no material obligor concentration can build up during the relatively short revolving period.

Experienced originator (positive)^1,2,4. Axus is the market leader for vehicle leases in the Netherlands. With a more than 60-year long consistent track record in vehicle financing and selling, the company benefits from seasoned processes, experienced staff and standardised credit decision making, well supported by technology. Furthermore, Axus finds support from its integration into the Société Générale group (ESG Factor).

Strong liquidity protection (positive)¹. Liquidity risk is adequately mitigated for the rated notes, which benefit from: i) a cash reserve to be funded at closing date, ii) a combined priority of payments, iii) an interest rate swap, and iv) substantial excess spread.

Substantial residual value exposure (negative)^1,2,3. The underlying portfolio is substantially exposed to the residual value risk of the leasing contracts as the borrowers are generally obliged to return the vehicle at contract maturity. Axus mitigates the risk through a repurchase option, a residual value guarantee and its capabilities in setting residual values.

Revolving period (negative)^1,3. The transaction features an up to twelve-month revolving period, during which the portfolio’s credit quality could deteriorate. However, such potential adverse portfolio composition change is limited thanks to asset eligibility and portfolio criteria, early amortisation triggers, and the relatively short duration of the revolving phase.

Counterparty concentration (negative)¹. The transaction is substantially exposed to the counterparty risk stemming from entities that belong to the Société Générale group. This risk is mitigated by the high credit quality of both Axus and its parent, pre-funding requirements of exposures, and replacement provisions upon loss of a minimum required rating to ensure transaction’s continuity.

Key analytical assumptions:

• The portfolio´s lifetime default rate which follows an inverse gaussian distribution.
   
• Rating-level conditional recovery rates.
   
• Rating-level conditional residual value haircuts.

The analytical assumptions factor in the historical performance of assets of similar nature to those of the securitised portfolio, considering originators’ 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) default and recovery vintage data from the originator covering the period from Q1 2019 to Q1 2025; ii) vehicle sales data for the period from Q1 2019 to Q1 2025, iii) dynamic prepayment data from the originator covering 2019 to 2024; iv) provisional pool stratification tables and loan-by-loan data; and v) collateral performance data of peer auto lease transactions both across Europe and in the Netherlands.

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: zero notches;
   
• 50% decrease of the recovery rates: zero notches; and
   
• A combined i) 25% increase of the mean lifetime default rate, ii) 25% decrease of the recovery rates, and iii) 25% increase of the residual value haircuts: one notch.

Quantitative analysis

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

• Default rate (DR) distribution parameters: cumulative mean DR of 2.2% with a coefficient of variation of 60.0%, implying annualised mean and distressed marginal default rates of 1.1% and 4.3%, respectively.
   
• Rating-level conditional recovery rates: ranging from 87.0% at ‘B’ to 52.2% at ‘AAA’.
   
• Time to recoveries on defaulted assets: 50% at month 12, 25% at month 24 and remaining 25% at month 36.
   
• Base case constant prepayment rate: 1.6%.
   
• Senior fees and expenses: 1.0% of non-defaulted pool balance and floored at EUR 200k p.a.
   
• Rating-level conditional residual value haircuts: ranging from 7.9% at ‘B’ to 41.6% at ‘AAA’.

Rating driver references
1. Transaction and originator documents (Confidential)
2. Historical default and recovery vintage data, delinquent and prepayment data, vehicle sales data (Confidential)
3. Static data tape and pool stratification tables as of provisional cut-off date (Confidential)
4. Scope has completed a monitoring review on the Netherlands, dated 04 April 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’ 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, 10 July 2024; Consumer and Auto ABS Rating Methodology, 3 March 2025), are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Master Waterfall Version 1.0), available in Scope Ratings’ list of models, published under https://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 https://www.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 https://scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at https://www.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 https://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 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: Sebastian Dietzsch, Senior Director
Person responsible for approval of the Credit Rating: Benoit Vasseur, Managing Director
The preliminary Credit Rating was first released by Scope Ratings on 30 June 2025.

Potential conflicts
See www.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. A member of the Board of Trustees of Scope Foundation has a significant relationship with Société Generale SA, the ultimate parent company of a Related Third Party in this transaction. The Scope Foundation is a 20% shareholder of Scope Management SE, the general manager of Scope SE & Co KGaA (“Scope Group”). Scope Foundation has no financial or economic interest in Scope SE & Co KGaA and the main function of the foundation is to preserve the European identity of the shareholder structure of Scope Group.

Conditions of use / exclusion of liability
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