Rating action

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

Class A, (ISIN: XS3231912554), EUR [●], floating-rate notes: new preliminary rating of (P) AAA_SF

Class B, (ISIN: XS3231909683), EUR [●], floating-rate notes: new preliminary rating of (P) A+_SF

Class C, (ISIN: XS3231909766), EUR [●], floating-rate notes: new preliminary rating of (P) BBB+_SF

Class D, (ISIN: XS3231909840), EUR [●], floating-rate notes: new preliminary rating of (P) BB+_SF

Class E, (ISIN: XS3231909923), EUR [●], floating-rate notes: new preliminary rating of (P) B-_SF

Class F, (ISIN: XS3231912638), EUR [●], fixed rate-notes: not rated

Class X, (ISIN: XS3231910186), EUR [●], floating rate-notes: new preliminary rating of (P) BB-_SF

Class R, (ISIN: XS3231910269), EUR [●], variable-return notes: not rated

Transaction overview

The transaction is a granular static securitisation of solar and heat pump system loan receivables originated by Enpal B.V. (Enpal) and Enpal Heat GmbH. The loans finance the acquisition of solar and heat pump systems including solar panels, battery storage, electrical vehicle chargers and heat pumps. As of the cut-off date of 31 October 2025, the underlying portfolio totals EUR 302.9m and consists of 9,443 monthly-paying, French-amortising instalment purchase contracts with a weighted average fixed rate of 6.0%, granted to 9,428 private individual borrowers domiciled in Germany. The portfolio is diversified across 16 German regions, with the top three region concentrations in Nordrhein-Westfalen (20.3%), Baden-Württemberg (13.4%) and Niedersachsen (13.0%). The portfolio’s weighted average seasoning and remaining time to maturity are 0.3 years and 22.1 years, respectively.

The main structural features are: i) initial levels of credit enhancement from subordination and cash liquidity reserve of 13.87%, 9.38%, 5.89%, 3.41%, 1.73% and 0.0% for the class A, B, C, D, E and X notes, respectively; ii) an excess spread before step-up margin of 0.9%, measured as the difference between the portfolio’s yield and the weighted average cost of the rated notes’ costs, hedge costs and assumed senior costs; iii) separate waterfalls during the pre-enforcement period for interest and principal, with sequential amortisation; iv) principal deficiency ledgers for the class A to F notes; v) principal redirection to cover revenue shortfalls related to senior costs (including senior hedge costs) and interest on the most senior class outstanding; vi) an interest rate swap with a banded notional entered with Citibank Europe Plc to mitigate interest rate risk, as the underlying contracts pay a fixed monthly rate and the rated notes a floating monthly rate; vii) class B, C, D, E and F note interest deferral under certain conditions to a more junior position in the related interest pre-enforcement waterfall; and viii) a cash reserve, funded at closing date from part of the proceeds from the class X notes and initially covering 1.0% of the class A notes’ initial balance, and until the class A notes’ are repaid, 1.0% of the class A notes’ outstanding balance and a floor of 0.5% of the class A notes’ initial balance.

The noteholders are exposed to the following key counterparties: i) Enpal and Enpal Heat GmbH as originators, ii) Enpal, Enpal Heat GmbH and EFS Deutschland GmbH as servicers; iii) Citibank Europe plc, Germany Branch, as issuer account bank; iv) Citibank Europe plc, as interest rate hedge provider; v) HmcS, Gesellschaft für Forderungsmanagement mbH, as back-up servicer; vi) MaplesFS (Luxembourg) S.A., as issuer corporate services provider; and vii) Citibank N.A., London Branch, as security trustee, cash manager and paying agent.

Rating rationale

Counterparty risk is immaterial, relative to the assigned rating levels. One key driver of the credit rating action is considered an ESG factor.

Key rating drivers:

• Granular portfolio (positive).³ The rated notes are secured by a granular portfolio of solar and heat pump system loan receivables provided to homeowners. There are no material concentrations in terms of loans, borrowers or borrower regions.
   
• Credit quality of obligors (positive).^{2, 3, 4} Most of the portfolio relates to borrowers with Schufa credit scores of A, B or C, which relates to the highest credit quality under the Schufa methodology and therefore a lower expected probability of default. Moreover, Enpal’s underwriting requires that the customer is registered as the owner of the property, further mitigating portfolio default credit risk.
   
• Liquidity protection (positive).¹ A liquidity reserve to be funded at closing date, adequately mitigates liquidity risk for the class A notes in the event of servicer disruption. Additionally, the transaction benefits from a principal redirection mechanism, under which principal can be used to pay revenue shortfalls related to senior costs (including senior hedge costs) and interest on the most senior class of outstanding notes.
   
• Young originators with limited track record (negative).¹ Enpal was founded in 2017 and consequently does not have a mature business with a long performance track record. However, it is already the largest German provider of solar photovoltaic panel systems and heat pump systems for homeowners and benefits from key board and staff members with high experience in the renewable energy sector. (ESG factor)
   
• Unrated servicers (negative).¹ The servicers (Enpal, Enpal Heat GmbH and EFS Deutschland GmbH) are not rated. Servicer risk is mitigated by the ability to appoint a back-up servicer (HmcS, Gesellschaft für Forderungsmanagement mbH) at closing date, servicer collection accounts pledged for the ultimate benefit of noteholders and the presence of a liquidity reserve.
   
• Limited performance data (negative).² Enpal has only been originating solar system loans since June 2023 and heat pump system loans since May 2024. Therefore, there are limited historical performance date on origination volumes, delinquencies, defaults, recoveries and prepayments. Given the originator’s limited historical performance related to the securitised products, Scope was provided with historical performance from their financial lease book and two Schufa default studies related to customers statistically like Enpal’s customers based on Schufa scores and other relevant criteria.
   
• Unhedged notes notional balance (negative).^{1, 3} To cover the risk of fixed-rate assets backing floating-rate notes, there will be at closing date an interest rate swap agreement based on a banded notional balance. The banded notional balance could lead to a partially unhedged notes balance, depending on the actual levels of portfolio default and prepayment. The potential unhedged notes balance will impact the level of available excess spread and such a consideration has been qualitatively considered by Scope.

Key analytical assumptions:

• The portfolio’s lifetime default rate which follows an inverse Gaussian distribution
   
• Rating conditional recovery rates

The analytical assumptions factor in the historical performance of assets of similar nature to those of the securitised portfolio, considering the originators’ performance data or peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including i) the originators’ credit policies, ii) Scope´s macroeconomic expectations, and iii) 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) origination-volume, delinquent, default, recovery, net default, and prepayment data related to the eligible pool to be securitised (solar system loan book and heat pump loan book from June 2023 to July 2025 and from May 2024 to July 2025, respectively); ii) origination-volume, default, recovery and net default vintage data from the originators’ financial lease book covering the period from August 2019 to June 2025, related to the entire book and segmented by Schufa score; iii) two Schufa default studies , one covering June 2018 to June 2025 and the other covering June 2020 to June 2025; iv) pool loan-by-loan data tape and stratification tables; and v) collateral performance data of peer German consumer transactions.

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 ratings.

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

Sensitivity analysis

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

Class A notes

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

Class B notes

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

Class C notes

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

Class D notes

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

Class E notes

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

Class X notes

• 50% increase of mean lifetime default rate: two notches
   
• 50% decrease of recovery rates: zero notches

Quantitative analysis

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

• Default rate distribution: cumulative mean default rate of 3.5% with a coefficient of variation of 65.0%, implying annualised mean and distressed marginal default rates of 0.3% and 1.1%, respectively.
   
• Rating conditional recovery rates: ranging from 30.0% at ‘B’, through to 27.6% at ‘BB’, 25.2% at ‘BBB’, 22.8% at ‘A’, 18.0% at ‘AAA’.
   
• Times to recovery on defaulted assets: 35% at month 12, 40% at month 18 and the remaining 25% at month 24.
   
• Base case constant prepayment rate: 5.0%.
   
• Senior fees and expenses: 1.0% of non-defaulted pool balance and floor at EUR 200,000 p.a.

Rating driver references
1. Transaction and originators documents (Confidential)
2. Historical default, recovery and net default vintage data, delinquent and prepayment data (Confidential)
3. Static data tape as of provisional cut-off date (Confidential)
4. Scope affirms Germany’s AAA rating with Stable Outlook

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 Waterfall Version 1.2 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 these Credit Ratings (Consumer and Auto ABS Rating Methodology, 3 March 2025; General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for these Credit Ratings is (Cash Flow Model Master Waterfall Version 1.2), 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 Ratings: 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 these Credit Ratings 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 Ratings and it has no impact on the Credit Ratings.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Ratings and the principal grounds on which the Credit Ratings are based. Following that review, the Credit Ratings were not amended before being issued.

Regulatory disclosures
These Credit Ratings are issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Ratings are UK-endorsed.
Lead analyst: Miguel Barata, Director
Person responsible for approval of the Credit Ratings: David Bergman, Managing Director
The preliminary Credit Ratings were first released by Scope Ratings on 20 November 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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