Rating action

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

Class A notes, (ISIN: LT0000136418), EUR 81,200,000, floating rate: new rating of AAA_SF

Class A loan notes, (ISIN: N/A), EUR 31,100,000, floating rate: new rating of AAA_SF

Class B notes, (ISIN: LT0000136426), EUR 50,962,472, fixed rate: not rated

Transaction overview

The transaction is a static securitisation of a highly granular EUR 160.5m portfolio of renovation loan receivables originated by UAB ILTE to individual apartment owners of multi-apartment buildings in Lithuania. As of the cut-off date of 25 July 2025, the underlying portfolio consists of 24,982 monthly-paying consumer loan receivables granted to 12,542 individual borrowers domiciled in Lithuania. The loans initially carried a 20-year term and featured an initial 18 to 24-month grace period during which no payment is due. Each loan received a state grant equal to 30% of its original principal, which is not part of the securitised assets. The issuer also acquired the right to a payment that reflects the deferred interest accrued during the grace period, which repays in equal instalments over the remaining term.

The transaction features two pari passu senior notes, class A loan notes and class A notes (together the class A instruments), and the junior class B notes. The class A instruments benefit from: i) structural credit enhancement from subordination; ii) a strict sequential amortisation; iii) a fully funded cash reserve which provides liquidity and loss protection; and iv) a banded interest rate swap contracted with Citibank Europe plc.

The noteholders are exposed to the following key counterparties: i) UAB ILTE as originator and servicer; ii) Citibank, N.A., London Branch as issuer account bank and paying agent; and iii) Citibank Europe plc as interest rate hedge provider. Also, the servicer uses three banks in the country as collection account banks, which add commingling risk.

Rating rationale

The class A instruments’ assigned ratings reflect 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.

Key rating drivers

• Very granular portfolio (positive)¹. The underlying portfolio consists of loans to individual apartment owners and is highly granular. The portfolio is static, thus, obligor concentration will only increase in case of high prepayments from small obligors.
   
• Government-owned originator and servicer (positive)^2,3. UAB ILTE, a state-owned institution of systemic public-policy importance, ensures i) the consist application of eligibility criteria in the loan origination, ii) the confirmation and check of successful renovation completion, iii) the legal status of claims under loans, and iv) the consistent monitoring and servicing. (ESG factor)
   
• Long remaining life of the portfolio (negative)^1,3. As of the cut-off date, the underlying portfolio has a weighted average life of around 8.2 years, which exposes the transaction to the mid-term uncertainties of the Lithuanian economic environment. The risk is partially mitigated by the amortising nature of the assets and focus of the loans on the economic centres of the country.
   
• Limited recovery methods on defaulted loans (negative)¹. The portfolio consists of unsecured renovation loans, and the servicer can only seek judicial process for loans which have not seen any payment for over 180 days. However, i) a typical relevant judicial process in Lithuania is generally short, and ii) the loan repayments are linked to the apartment, i.e., an apartment sale would require the agreement to cover-up the missed payments and continue the loan.

Key analytical assumptions

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

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 January 2020 to June 2025; ii) dynamic prepayment data from the originator covering the period from January 2020 to June 2025; iii) pool stratification tables and loan-by-loan data; and iv) general consumer credit performance data for Lithuania.

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.

For class A instruments:

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

Quantitative analysis

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

• Default rate (DR) distribution parameters: cumulative mean DR of 8.0% with a coefficient of variation of 40.0%, implying annualised mean and distressed marginal default rates of 1.0% and 2.6%, respectively;
   
• Rating-level conditional recovery rates: ranging from 95.0% at ‘B’, through 79.8% at ‘BBB’, to 57.0% at ‘AAA’;
   
• Base case constant prepayment rate: 2.0%;
   
• Time to recoveries on defaulted assets: linearly spread over 10 years; and
   
• Senior fees and expenses: 1.0% of non-defaulted pool balance and floored at EUR 200k p.a.

Rating driver references
1. Transaction portfolio (Confidential)
2. UAB ILTE website
3. Scope’s sovereign rating on Lithuania

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 1.2 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 (General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025; Consumer and Auto ABS Rating Methodology, 3 March 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 received a third-party asset due diligence assessment/asset audit. The external due diligence assessment/asset audit 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: Guang Yang, Senior Analyst
Person responsible for approval of the Credit Ratings: Benoit Vasseur, Managing Director
The Credit Ratings were first released by Scope Ratings on 17 December 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
© 2025 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Innovation Lab GmbH and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5, D-10785 Berlin. Public Ratings are generally accessible to the public. Subscription Ratings and Private Ratings are confidential and may not be shared with any unauthorised third party.