Scope Ratings has reviewed the performance of EFL Lease ABS 2017-1, which remains in line with expectations. No rating action is warranted as a result.

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 transaction continues to meet replenishment covenants. The replenishment period ends on 25 October 2020, unless a trigger fails. Scope’s analysis is based on quarterly reporting provided by Citibank N.A, up to 27 April 2018.

Portfolio segmentation has been stable up to the last payment date, with a stable pool performance. The 0.42% gross loss ratio is well below the 3% early-amortization trigger level, with a significant excess spread generation of 5.5%. Credit enhancement for the senior bond is unchanged at 20.6%.

The transaction is a true-sale cash securitisation of a PLN 2,200m lease receivables portfolio with a three-year revolving period. The Polish lease receivables are originated by EuropejskiFunduszLeasingowy S.A. (EFL) in its ordinary course of business. The portfolio at closing comprises of leases mainly to Polish SMEs (98.2%), and a smaller amount to larger corporate borrowers (1.8%). Leases finance new and used light vehicles (26.6% / 11.7%), new and used trucks and trailers (7.3% / 14.7%) and new and used machinery and equipment (26.5% / 13.3%). Citibank N.A. London Branch is the issuer account bank. This transaction does not securitise receivables related to the leased objects´ residual value. The portfolio composition and profile is expected to change as a result of replenishments, within reasonable limits.

Scope continuously monitors EFL Lease ABS 2017-1.

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