Rating action

Scope Ratings GmbH (Scope) has taken the following rating action on the instrument issued by Aquisgran, Fondo de Titulizacion:

Series A notes (ISIN ES0305566012), up to EUR 260,000,000: affirmed at A+_SF

Key transaction features

Aquisgran, Fondo de Titulizacion is a revolving cash securitisation of a loan portfolio ramping up to EUR 260m. The loans are being underwritten by the SGRs and granted by Aquisgran Finance S.A. to Spanish small- and medium enterprises (SMEs) and self-employed borrowers. Each underwritten loan is 100% guaranteed by the underwriting Sociedad de Garantía Recíproca (SGR) and by a 75% counter guaranteed by the Compañía Española de Reafianzamiento, S.A. (CERSA). SGRs are regional non-profit financial entities, subject to the control and regulation of the Bank of Spain which aim to promote access to finance for SMEs and self-employed. The notes benefit from credit enhancement and liquidity via a cash reserve fully funded by the SGRs. The transaction closed on 8 June 2021 and its final legal maturity is 26 November 2050.

In addition to SGRs and CERSA as guarantors and counter-guarantors, the transaction is exposed to Aquisgran Finance S.A. as seller and servicer, Banco Santander S.A. as account bank and paying agent, and Intermoney Titulización, Sociedad Gestora de Fondos de Titulización, S.A. as management company and cash manager.

Relevant changes to the key transaction features¹
As of the December 2025 payment date, the notes have reached 75% of their maximum issuance amount. The securitised portfolio meets all single-asset and portfolio-level eligibility criteria, and no triggers have been breached that would restrict further asset acquisitions. In December 2025, the revolving period was extended by one year, until December 2026.

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:

The key rating drivers remain aligned with those disclosed on the rating action release dated 8 February 2023.

Key quantitative assumptions

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

Updates to these assumptions and other parameters are provided under the section ‘Quantitative analysis.’

Key property performance metrics¹
As of the November 2025 cut-off date, the servicer reported a cumulative default rate of 9.0% of the total originated portfolio, below the 20% trigger threshold. Other key performance indicators are: a dynamic 30-day past-due delinquency rate of 7.1%, a cumulative recovery rate of 100% on defaulted exposures, and an annual prepayment rate of 7.8%.

Key data sources

Scope’s review was based on servicer, investor and payment reporting as of December 2025 payment date. The analysis also factored in Scope’s SME ABS outlook.

Rating-change drivers

The rating may change in the event of i) changes to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources; ii) significant changes to the transaction’s collateral and structural features; and/or iii) a change in Scope’s view regarding the transaction’s key rating drivers.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit rating to the assumed parameters and, all else being equal, does not reflect expected or likely scenarios.

Series A notes:

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

Quantitative analysis

The following key quantitative parameters have changed since closing:

• Default rate distribution parameters: the cumulative mean default rate has been revised to 30.1% from 22.4%, while the corresponding coefficient of variation has been adjusted to 31.9% from 48.0%.
   
• Base case constant prepayment rate has been revised to 5% from 0%.

The rest of the assumptions remain unchanged.

Rating driver references
1. Transaction reporting (Confidential)

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 1.3 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 this Credit Rating (SME ABS Rating Methodology, 16 May 2025; General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 30 June 2025), are available on scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Master Waterfall Version 1.3), 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 Rating: 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 the Credit Rating 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 Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating is based. Following that review, the Credit Rating was not amended before being issued.

Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead analyst: Leonardo Scavo, Associate Director
Person responsible for approval of the Credit Rating: Paula Lichtensztein, Senior Representative
The Credit Rating was first released by Scope Ratings on 8 February 2023.

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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