Rating action

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

Class A1, (ISIN: XS3091283385), PLN 657,000,000, floating rate notes: new preliminary rating of (P) AA+_SF

Class A2, PLN 438,000,000, floating rate notes: new preliminary rating of (P) AA+_SF

Class B, PLN 220,500,000, floating rate notes: new preliminary rating of (P) BB_SF

Class Z, PLN 107,000,000, floating rate notes: not rated

Transaction overview

The transaction is a granular securitisation of auto lease receivables originated by Vehis Finanse sp. z o.o. (‘Vehis’) to Polish small-and-medium size enterprises (‘SME’) (90.1%) and to private individuals (9.9%) to finance the purchase of new (78.1%) and used (21.9%) vehicles. As of the cut-off date of 31 May 2025, the underlying portfolio consists of 12,370 monthly-paying floating-rate lease contracts granted to 9,799 lessees. All the lease contracts are closed-end, with an optional balloon payment at maturity. If at lease maturity the lessee decides to pay the last optional balloon payment, it will then become the legal owner of the related vehicle. The issuer will be directly exposed not only to the credit risk related to lessees’ defaulting on their scheduled monthly lease instalment payments, but also to the market-value decline risk associated with the to-be-securitised residual value (‘RV’) payments.

The main structural features are: i) at closing date credit enhancement from subordination and a cash reserve of 23.4% and 7.6% for class A1 and A2 notes and class B notes, respectively; ii) excess spread of 1.4%, measured as the difference between the portfolio’s yield and the weighted average cost of the rated notes and assumed senior costs; iii) separate waterfalls during the pre-enforcement period for interest and principal, with a strictly sequential notes’ repayment; iv) principal deficiency ledgers for all classes of notes provisioning for defaults, RV losses and any redirected principal; v) principal redirection to cover revenue shortfalls; vi) a cash reserve to be funded at closing date from part of the proceeds from class Z notes and covering 1.75% of the rated notes’ principal balance, floored at 0.25% of the rated notes’ original principal balance, as long as class B notes are still outstanding.

The noteholders will be exposed to the following key counterparties: i) Vehis as originator, seller and servicer; ii) Link Financial S.A. as back-up servicer, iii) Citibank, N.A., London branch as issuer account bank, paying agent and cash manager; and iv) TMF Administration Services Limited as corporate services provider of the issuer.

Rating rationale

The class A1 and A2 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.

Preliminary ratings rely on the information made available to Scope up to 24 June 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.

The rating on the class B notes reflects the ultimate payment of interest and principal on or before the final maturity date.

Key rating drivers:

Granular portfolio (positive).³ The rated notes are secured by a granular portfolio of auto leases provided mostly to SME. There are no material concentrations in terms of lessee group, lessee industry sector and vehicle manufacturer.

Originator’s conservative RV policy (positive).^1,2,3 Vehis’ RV policy is to set leases’ balloon payments below the estimated by experts’ vehicle value at lease maturity. This is designed to discourage lessees from turning in their vehicle and effectively reduces the transaction’s exposure to potential RV losses.

Liquidity protection (positive).¹ A cash reserve to be funded at closing date mitigates the liquidity risk in the event of a servicer disruption. Additionally, the transaction benefits from a principal borrowing mechanism, under which principal collections can be used to pay senior costs and rated notes’ interest.

Young originator with limited track record (negative).¹ Vehis only started its basic operations in Q4 2019 and consequently does not have a mature business with a long performance track record yet. However, it benefits from key board and staff members with high experience in banking and leasing business. (ESG factor)

Unrated servicer (Vehis) (negative).¹ The servicer, nor its parent (Nuwo S.à r.l.) are publicly rated. Scope has performed its own assessment of Vehis credit quality risk. Servicer risk is mitigated by the back-up servicer (Link Financial S.A.) to be appointed at closing date and the presence of a liquidity reserve.

Defaults higher than in European peer transactions (negative).^1,2,4 Vehis’ historical data has shown high default rates for several vintages, in comparison with other European auto ABS transactions. This could be explained, among other reasons, by an initial business strategy which supports a higher risk appetite to accelerate sales growth. However, Vehis has managed so far to achieve high levels of recoveries on such defaulted assets.

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, recovery and net loss vintage data from the originator covering the period from February 2020 to March 2025 in the case of default and net loss vintage data, and covering the period from December 2022 to March 2025 in the case of recovery vintage data; ii) dynamic prepayment data from the originator covering the period from April 2021 to March 2025; iii) pool stratification tables and loan-by-loan data; and iv) collateral performance data of peer Polish auto lease 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 A1 and A2 notes

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

Class B notes

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

Quantitative analysis

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

• Default rate (DR) distribution parameters: cumulative mean DR of 15.0% with a coefficient of variation of 40.0%, implying annualised mean and distressed marginal default rates of 7.4% and 18.7%, respectively.
   
• Rating-level conditional recovery rates for non-RV (equal instalments): ranging from 90.0% at ‘B’ to 49.5% at ‘AAA’.
   
• Rating-level conditional recovery rates for RV (RV payments): ranging from 94.3% at ‘B’ to 70.0% at ‘AAA’.
   
• Time to recoveries on defaulted assets: after 6, 12 and 24 months 55%, 30% and 15%, respectively.
   
• Base case constant prepayment rate: 2.0%.
   
• Portfolio margin (post margin compression and basis risk adjustment): 2.1%.
   
• Senior fees and expenses: 1.0% of non-defaulted pool balance outstanding and floored at PLN 852k p.a.

Rating driver references
1. Transaction and originator documents (Confidential)
2. Historical default, recovery and net loss vintage data and prepayment data (Confidential)
3. Static data tape and pool stratification tables as of final cut-off date (Confidential)
4. Scope affirms Poland's A rating with a Stable Outlook, dated 13 June 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 Version 2.0 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 https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for these Credit Ratings is (Cash Flow Model Version 2.0), available in Scope Ratings’ list of models, published under https://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 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: 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 27 June 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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