Scope Ratings has reviewed the performance of GNB Auto Plan 2017 SP. Z O.O., 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 18 July 2019, unless a trigger fails. Scope’s analysis is based on monthly reporting provided by Citibank N.A London Branch, up to 13 June 2018.

Portfolio segmentation has increased for private individuals financing new vehicles, which is credit-positive for the transaction. Additionally, the 0.76% cumulative default ratio is well below the 3% trigger level, with the originator repurchasing all defaulted assets to date. Credit enhancement for the senior bond is unchanged at 30.4%.

The transaction is a true-sale securitisation of a PLN 700m revolving portfolio of auto loans with no residual value risk, granted to private individuals and SMEs in Poland by Getin Noble Bank SA. Citibank N.A. London Branch is the issuer account bank and KDPW (the Polish central clearing house) is the paying agent. The closing portfolio is comprised of 51% loans to SMEs and 49% to private individuals, with a weighted average life of two years and a weighted average portfolio interest rate of 6.9%. The portfolio composition and profile is expected to change as a result of replenishments, within reasonable limits.

Scope continuously monitors GNB Auto Plan 2017 SP. Z O.O.

Ratings and research are freely available at www.scoperatings.com.