DBRS Assigns Provisional Ratings to Bumper 10

DBRS Ratings Limited (DBRS) assigned provisional ratings to the Class A notes and the Class B notes (the Rated Notes; together with the Class C Notes, the Notes), expected to be issued by Bumper 10 (the Issuer) a fonds commun de titrisation in the context of a securitisation transaction that follows the standard structure under French securitisation law.

The Notes are backed by lease receivables and residual value receivables related to auto lease agreements granted by LeasePlan France S.A.S. (LPFR) to private individuals, corporate, small- and medium-sized enterprises (SME) and public-sector clients in France. The underlying receivables represent the right to receive payment of regular lease collections and vehicle realisation proceeds that are linked to the rights to receive all proceeds from the sale of the underlying vehicles. The security granted to the Issuer includes a first ranking pledge without dispossession (gage sans dépossession) over the leased vehicles.

Upon closing, proceeds from subscription of the Notes will finance the purchase of the initial portfolio from LPFR, as the Seller with the Liquidity Reserve funded directly by LeasePlan Corporation N.V. (LPC). The Class A notes subordination consists of the Class B notes (6.25%) and the Class C Notes (19.75%).

The transaction includes a one-year revolving period, during which time the Seller may offer additional receivables and their related RV receivables that the Issuer will purchase subject to eligibility criteria, concentration limits, performance triggers and other conditions set out in the transaction documents. The receivables are serviced by LPFR (the Servicer).

The transaction represents further European issuance of notes backed by auto lease agreements through European branches or subsidiaries of LPC. DBRS has previously assigned ratings to other LPC-sponsored transactions in the Netherlands, Germany and the United Kingdom.

The ratings will be finalised upon receipt of an execution version of the governing transaction documents. To the extent that the documents and information provided to DBRS as of today’s date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Rated Notes.

The ratings are based on a review by DBRS of the following analytical considerations:
-- Transaction capital structure including form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net losses and RV losses under various stress scenarios.
-- The transaction’s ability to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date.
-- LPFR’s financial strength as well as its capabilities with regard to originations, underwriting and servicing.
-- DBRS conducted an operational risk review of LPFR’s premises in Paris and deems it to be an acceptable servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality and concentration of the collateral and historical and projected performance of the Seller’s portfolio.
-- The sovereign rating of the Republic of France, currently rated AAA by DBRS.
-- The transaction’s consistency of the legal structure with the DBRS’s Legal Criteria for European Structured Finance Transactions methodology and the presence of legal opinions that address the true sale of the assets to the Issuer and non-consolidation of the special-purpose vehicle (SPV) with the Seller.

The transaction structure was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset-Backed Securitisations”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis is based on the worst-case replenishment criteria set forth in the transaction legal documents.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

DBRS received the following sets of data sourced from LPFR and provided through the transaction Arranger, LeasePlan Corporation NV :

-- Dynamic portfolio composition and delinquency performance data;
-- Static default, recovery and termination type data at a total portfolio level;
-- Dynamic default data by lessee type;
-- Lease-level RV data assessing vehicle realisation proceeds against net book value, split by termination type; and
-- A theoretical amortisation of the portfolio, split by lease collections and RVs.

DBRS was also provided with detailed stratification tables and the portfolio at loan level as at 31 December 2017.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

These ratings concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- Expected Default Rate used: Expected default of 2.0%, a 25% and 50% increase on the expected default.
-- Loss Given Default (LGD) Used: LGD of 31% at the AAA (sf) stress level, a 25% and 50% increase.
-- RV Haircut: RV Haircut of 39% at the AAA (sf) level, a 25% and 50% increase in the RV Haircut.

DBRS concludes that for the Class A Notes:
-- A hypothetical increase of the expected default and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf)
-- A hypothetical increase of the expected default and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)
-- A hypothetical increase of the RV Haircut by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf)
-- A hypothetical increase of the RV Haircut by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf)
-- A hypothetical increase of the expected default, LGD and RV Haircut by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf)
-- A hypothetical increase of the expected default and LGD by 50%, with a hypothetical increase of the RV Haircut by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf)
-- A hypothetical increase of the expected default and LGD by 25%, with a hypothetical increase of the RV Haircut by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf)
-- A hypothetical increase of the expected default, LGD and RV Haircut by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (high) (sf)

DBRS concludes that for the Class B Notes:
-- A hypothetical increase of the expected default and LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to AA (low) (sf)
-- A hypothetical increase of the expected default and LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (high) (sf)
-- A hypothetical increase of the RV Haircut by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to AA (low) (sf)
-- A hypothetical increase of the RV Haircut by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf)
-- A hypothetical increase of the expected default, LGD and RV Haircut by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (high) (sf)
-- A hypothetical increase of the expected default and LGD by 50%, with a hypothetical increase of the RV Haircut by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (sf)
-- A hypothetical increase of the expected default and LGD by 25%, with a hypothetical increase of the RV Haircut by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (low) (sf)
-- A hypothetical increase of the expected default, LGD and RV Haircut by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to BBB (high) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Alex Garrod – Senior Vice President, EU ABS
Rating Committee Chair: Christian Aufsatz – Managing Director, Head of European Structured Finance
Initial Rating Date: 31 January 2018

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.