Current ratings on the transaction are available here.

Early amortisation triggers in the transaction are in compliance and replenishment covenants that protect against portfolio credit deterioration have not been breached since closing. The replenishment period ends on 18 July 2019, unless an early-amortisation trigger is infringed. Scope’s analysis is based on monthly reporting provided by Citibank N.A London Branch, up to 13 March 2019.

Private individuals financing new vehicles has increased to 56.0% of the asset portfolio, which is credit-positive for the transaction. Additionally, the 1.16% cumulative default ratio is well below the 6% trigger level. 100% of cumulative defaults have been recovered since closing. Credit enhancement for the senior bond is unchanged at 30.4%.

The transaction is a true-sale securitisation of a PLN 700m revolving portfolio of auto loans with no residual value risk, granted to private individuals and SMEs in Poland by Getin Noble Bank SA. Citibank N.A. London Branch is the issuer account bank and KDPW (the Polish central clearing house) is the paying agent. All counterparties continue to support the rating. The closing portfolio comprised 69.2% private individuals and 30.8% SMEs, with a weighted average life of two years and a weighted average portfolio interest rate of 6.9%. The portfolio composition and profile should continue to change as a result of replenishments, within reasonable limits.

Scope continuously monitors GNB Auto Plan 2017 SP. Z O.O.

Ratings and research are freely available at www.scoperatings.com.