Rating action

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

Class A, (ISIN: ES0305904007), EUR [●], floating rate notes: new preliminary rating of (P) AAA_SF

Class B, (ISIN: ES0305904015), EUR [●], floating rate notes: new preliminary rating of (P) AAA_SF

Class C, (ISIN: ES0305904023), EUR [●], floating rate notes: new preliminary rating of (P) AA_SF

Class D, (ISIN: ES0305904031), EUR [●], floating rate notes: new preliminary rating of (P) A_SF

Class E, (ISIN: ES0305904049), EUR [●], floating rate notes: new preliminary rating of (P) BBB-_SF

Class F, (ISIN: ES0305904056), EUR [●], floating rate notes: new preliminary rating of (P) B+_SF

Class G, (ISIN: ES0305904064), EUR [●], floating rate notes: not rated

Preliminary ratings rely on the information made available to Scope up to 28 May 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.

Scope’s ratings reflect the contractual payment promise for every rated class of notes. The rating on the class A notes reflects the timely payment of interest and the ultimate repayment of principal on or before the final maturity date. The ratings on the class B to class F notes reflect the ultimate payment of interest and principal on or before the final maturity date and timely payment of interest once the respective class becomes the most senior class of notes outstanding.

Transaction overview

The transaction is a highly-granular, nine-month revolving securitisation of auto loan receivables originated by Banco Cetelem, S.A.U. (‘Banco Cetelem’) to Spanish individual borrowers. As of the cut-off date of 5 May 2025, the underlying portfolio consists of 88,165 monthly-paying, French-amortising auto loan receivables contracts granted to 87,680 private individual borrowers domiciled in Spain. The underlying contracts finance the purchase of new (47.9%), semi-new (used registered up to 48 months) (22.0%) and used (10.5%) cars, motorcycles (10.2%) and recreational vehicles (9.4%). The portfolio’s weighted average seasoning and remaining time to maturity are 1.5y and 6.3y, respectively. The issuer will not be exposed to residual value risk.

The main structural features are: i) an initial level of credit enhancement from subordination of 15.5%, 11.3%, 7.3%, 4.5%, 2.0% and 1.3% for class A, B, C, D, E and F notes, respectively; ii) excess spread of around 3.5%, measured as the difference between the portfolio’s yield and the weighted average cost of the rated notes, hedge costs and assumed senior costs; iii) separate waterfalls during the pre-enforcement period for interest and principal with an initial pro-rata amortisation mechanism post revolving period which turns to sequential amortisation upon certain conditions being satisfied; iv) principal deficiency ledgers for all classes of notes; v) two interest rate swaps to be entered with Banco Cetelem to mitigate the interest rate risk as the underlying contracts pay a fixed monthly rate and the notes a floating monthly rate; vi) principal redirection to cover revenue shortfalls, vii) a liquidity reserve to be funded at closing date from the proceeds of the liquidity reserve loan to be provided by Banco Cetelem and covering 1.5% of the rated notes’ principal balance, floored at 0.6% of the rated notes’ original principal balance, as long as class F notes are still outstanding.

The noteholders will be exposed to the following key counterparties: i) Banco Cetelem S.A.U. as originator, seller, servicer, liquidity reserve loan provider, swap counterparty and start-up loan provider; ii) BNP Paribas, S.A., Sucursal en España as issuer account bank and paying agent; iii) BNP Paribas, S.A. as swap guarantor; and iv) Intermoney Titulización S.G.F.T, S.A. as management company of the issuer.

Rating rationale

The class A and B notes’ assigned ratings reflect the base case quantitative results. Counterparty risk is immaterial, relative to the assigned rating levels. One or more key drivers of the credit rating action are considered an ESG factor.

Key rating drivers:

Very granular portfolio (positive).^1,3 The underlying portfolio consists of loans to private individual borrowers and is highly granular. Portfolio covenants and eligibility criteria ensure that no material obligor concentration can build up during the revolving period.

Long track record of the originator (positive).^1,2 Banco Cetelem is a relevant player on the Spanish consumer finance market with over 37 years presence in Spain. Its business benefits from seasoned processes, experienced staff and a good use of technology to automate, standardise and support credit decisions. (ESG factor)

Liquidity protection (positive).¹ A liquidity reserve to be funded at closing date adequately mitigates liquidity risk for the rated 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, hedge and interest costs.

Revolving period (negative).^1,2,3,4 The transaction features an up to nine-month revolving period, during which the portfolio’s credit quality could deteriorate. However, such potential adverse portfolio composition change is limited thanks to asset and portfolio eligibility criteria, early amortisation triggers and also the relatively short duration of the revolving phase.

Counterparty concentration (negative).¹ BNP Paribas S.A. together with its related entity Banco Cetelem S.A.U., play several important roles in the transaction such as originator, servicer, swap counterparty, swap guarantor and issuer account bank. This risk is mitigated by BNP Paribas, S.A.’s high credit quality and replacement provisions upon loss of a minimum required rating to ensure transaction continuity.

Complex structure (negative).¹ The transaction, under certain conditions and triggers being breached, can subordinate interest payments into more junior positions in the priority of payments and switch from initial pro-rata to sequential notes’ repayment. Additionally, it features a liquidity reserve available only in a restrictive manner. (ESG factor)

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 Q1 2014 to Q4 2024; ii) dynamic prepayment data from the originator covering January 2015 to December 2024; iii) provisional pool stratification tables and loan-by-loan data; and iv) collateral performance data of peer Spanish auto loan 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, it 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: minus one notch
   
• 50% decrease of recovery rates: zero notches

Class D notes

• 50% increase of mean lifetime default rate: minus two 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 F notes

• 50% increase of mean lifetime default rate: zero notches
   
• 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 3.3% with a coefficient of variation of 39.0%, implying annualised mean and distressed marginal default rates of 1.0% and 2.5%, respectively, accounting for potential adverse migration during the revolving period.
   
• Rating-level conditional recovery rates: ranging from 25.0% at ‘B’ to 21.0% at ‘BBB’, to 15% at ‘AAA’.
   
• Time to recoveries on defaulted assets: 55% at month 12 and remaining 45% at month 60.
   
• Base case constant prepayment rate: 11.0%
   
• Senior fees and expenses: 1.0% of non-defaulted pool balance and floored at EUR 200k p.a.

Rating driver references
1. Transaction and originator documents (Confidential)
2. Historical default and recovery vintage data, delinquent and prepayment 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 Kingdom of Spain, dated 21 February 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 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.
The model used for these Credit Ratings is (Cash Flow Model Master Waterfall Version 1.0), 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 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 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: Benoit Vasseur, Managing Director
The preliminary Credit Ratings were first released by Scope Ratings on 28 May 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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