Rating action

Scope Ratings GmbH (Scope) has taken the following rating actions:

Class A1 Floating Rate Notes (ISIN XS2360018225), PLN 570.5m outstanding; Affirmed at AAA_SF

Class A2 Floating Rate Notes (ISIN XS2360025279), PLN 512.8m outstanding; Affirmed at AAA_SF

Transaction overview

The transaction is a revolving lease receivables securitisation. The 3-year revolving period ended in October 2024 and the transaction started amortising. A detailed description of the transaction features and analytical assumptions, at closing, can be found in the transaction´s rating report, available at Scope´s website on the link: EFL Lease ABS 2021-1 DAC.

The issuer remains primarily exposed to the following counterparties: Europejski Fundusz Leasingowy S.A. as originator and servicer, Citibank N.A. London Branch as issuer account bank.

Rating rationale

The rating action follows: i) the periodic re-assessment of the transaction´s key rating drivers, ii) a review of its key assumptions, considering the observed performance of the collateral and Scope’s economic outlook, and iii) any material changes to the key transaction features (portfolio composition, structural features, counterparties).

Key rating drivers:

Scope has changed its assessment of some of the key rating drivers disclosed in our initial rating action release dated 27 October 2021. The transaction has entered the amortization phase and the risk of deterioration in the portfolio’s characteristics and credit quality during the replenishment period has not materialised. While the originator’s obligation to transfer disposal proceeds from leased assets is generally unenforceable in the event of insolvency, this risk is mitigated by the originator’s strong credit profile. None of the key rating drivers are ESG related.

Key quantitative assumptions

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

Updates to the key assumption levels and to other relevant model parameters are provided under the section ‘Quantitative analysis’.

Key performance metrics

The transaction has exceeded Scope's performance expectations at closing. As of the reporting cut-off date (refer to ‘Key data sources’), key performance metrics are as follows: a cumulative default rate of 1.7%; a 30-day past-due dynamic delinquency rate of 0.9%; an observed recovery rate on defaulted exposures of 72.6%; and an annualised prepayment rate of 2.6%. These figures reflect the portfolio’s continued strong performance and resilience since the end of the revolving period.

Since closing, credit enhancement has increased to 32.2% from 23.1%, thereby enhancing protection against any potential deterioration in asset performance. Assuming prevailing interest rate conditions, the reserve fund currently provides liquidity coverage for around one payment date of senior fees and interest on the outstanding notes.

Relevant changes to the key transaction features

As of the reporting cut-off date, the underlying portfolio has an expected remaining weighted average life of approximately 1.5 years, assuming no defaults or prepayments. The pool factor has declined to 72.4% since the start of the amortisation in October 2024.

The reserve fund is at its target level and amortising with the outstanding senior notes at a level of 2%. It has a floor of PLN 1.0m.

Gross excess spread, defined as the realised annualised portfolio yield less the weighted average cost of the rated notes, is currently at 6.1%.

Key data sources

Scope’s review was based on investor reporting as of April 2025. The analysis also factored in Scope´s Consumer and Auto ABS outlook.

Rating-change drivers

A change to the key quantitative assumptions based on observed performance or new data sources, significant changes to the key transaction´s features, and a change in Scope’s credit views regarding the key rating drivers could impact the ratings.

Sensitivity analysis

The Cash Flow Model (CFM) was not updated as the ratings are at the maximum achievable level and the asset assumptions have been revised positively, and the capital structure has improved. The sensitivity results can be found in the last rating action release release dated 27 October 2021.

Quantitative analysis

This section provides a non-exhaustive list of relevant quantitative analysis parameters and how they compare to those applied at the initial rating assignment:

Base case recovery rate has been revised to 45.0%, upwards from 19.0% at closing.

Total asset yield has been revised to 10.4%, upwards from 3.4% at closing.

The adjustments above reflects the portfolio's strong performance to date, a supportive macroeconomic environment, credit quality of the Servier and transaction’s reduced risk horizon.

The rest of the assumptions remain unchanged.

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 weighed by the assumptions of the likelihood of the events in such scenarios occurring.

Cash flow analysis
CFM was not used for the assessment.

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, 10 July 2024), are available on 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): 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 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 at closing. 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
The 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: Shashank Thakur, Associate Director
Person responsible for approval of the Credit Ratings: Paula Lichtensztein, Senior Representative
The Credit Ratings were first released by Scope Ratings on 27 October 2021.

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.