DBRS Assigns Provisional Ratings to Bumper DE S.A. 2019-1

DBRS Ratings Limited (DBRS) assigned provisional ratings to the Class A and Class B Notes (together, the Rated Notes) to be issued by Bumper DE S.A. 2019-1 (the issuer), as follows:

--Class A Notes rated AAA (sf)
--Class B Notes rated AAA (sf)

The rating assigned to the Rated Notes addresses the timely payment of scheduled interest and ultimate repayment of principal by the legal final maturity date.

The ratings referenced above are provisional and based on information provided to DBRS by the issuer and its agents as at the date of this press release. The ratings and can be finalised upon review of an execution version of the governing transaction documents and opinions. To the extent that the documents and information provided to DBRS as of this 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 the following considerations:
-- The transaction’s capital structure including available credit enhancement in the form of subordination, liquidity support and excess spread.
-- Sufficiency of credit enhancement levels to support DBRS’s expected defaults and recoveries under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Notes.
-- The capabilities of LeasePlan Deutschland GmbH with respect to originations, underwriting, servicing and financial strength.
-- The operational risk review of the originator and servicer, which is deemed by DBRS to be an acceptable servicer.
-- The transaction parties’ financial strength regarding 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 Federal Republic of Germany, which is currently AAA with a Stable trend by DBRS.
-- The expected consistency of legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that are expected to address the true sale of the assets to the Issuer.

The transaction cash flow 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.

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 “Global Methodology for Rating Sovereign Governments” methodology at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include performance data relating to the receivables provided by the originator directly or through the arranger, LeasePlan Corporation N.V.

DBRS received static cumulative default data covering Q1 2013 and up to Q1 2019, static recovery data going back to Q1 2013 and up to Q2 2019, and dynamic arrears data going back to January 2013 and up to June 2019. DBRs also received lease-level residual value and realisation data and detailed stratification tables related to the portfolio selected as at 31 August 2019 that allowed DBRS to further assess the collateral.

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

At the time of the initial ratings, 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.

The ratings concern newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

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 ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the ratings:

-- Expected default of 2.80%.
-- Expected loss given default (LGD) of 24%.
-- Residual Value (RV) Loss: of 40% for the Class A Notes and the Class B Notes.

Scenario 1: A 25% increase in the expected default and LGD.
Scenario 2: A 50% increase in the expected default and LGD
Scenario 3: A 25% increase in the RV Loss.
Scenario 4: A 25% increase in the expected default and LGD and a 25% increase in the RV Loss.
Scenario 5: A 50% increase in the expected default and LGD and a 25% increase in the RV Loss.
Scenario 6: A 50% increase in the expected RV Loss.
Scenario 7: A 25% increase in the expected default and LGD and a 50% increase in the RV Loss.
Scenario 8: A 50% increase in the expected default and LGD and a 50% increase in the RV Loss.

DBRS concludes that the expected ratings under the eight stress scenarios will be:
-- Class A Notes: AAA (sf), AA (high) (sf), AAA (sf), AA (high) (sf), AA (sf), AA (high) (sf), AA (sf), AA (low) (sf).
-- Class B Notes: AA (high) (sf), AA (sf), AA (sf) AA (low) (sf), A (high) (sf), A(high) (sf), “A” (sf), BBB (high).

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: Paolo Conti, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 27 September 2019

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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.

This press release was amended shortly after publication to remove unnecessary text.