Press Release

DBRS Morningstar Confirms Ratings on Bumper DE S.A. 2019-1

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October 23, 2020

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AAA (sf) ratings on the Class A and Class B notes (together, the notes) issued by Bumper DE S.A. 2019-1 (the Issuer).

The ratings on the notes address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in May 2028.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the September 2020 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their AAA (sf) rating level.
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.
-- No revolving termination events have occurred.

Bumper DE S.A. 2019-1 is a German Auto ABS transaction established in October 2019. The transaction represents the issuance of notes backed by lease receivables and related expectancy rights to the leased vehicles related to motor vehicle operating and financial lease contracts granted and serviced by LeasePlan Deutschland GmbH to corporate lessees, small and medium-size enterprises, and public sector clients with registered offices in Germany and individuals residing in Germany. The transaction includes a 12-month revolving period, scheduled to end in December 2020, during which time LeasePlan Deutschland GmbH may sell new receivables to the issuer subject to certain conditions and limitations. The revolving period may end earlier than scheduled upon occurrence of certain events including performance triggers and breach of concentration limits. To date, no breach has occurred.

PORTFOLIO PERFORMANCE
As of the September 2020 payment date, leases that were one to two months and two to three months delinquent represented 0.4% and 0.09% of the portfolio balance, respectively, while leases more than three months delinquent represented 0.13%. Gross cumulative defaults amounted to 0.07% of the aggregate original and subsequent portfolios of which 19.8% has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has maintained its base case PD at 2.8%, and updated its LGD assumption to 27.8%. The residual value (RV) haircut was maintained at 40.0% for the AAA (sf) rating level.

CREDIT ENHANCEMENT
The subordination for the notes is provided by the respective junior obligations. As of the September 2020 payment date, credit enhancements to the Class A and Class B notes were 29.2% and 22.9%, respectively, stable since the DBRS Morningstar initial rating due to the transaction’s revolving period scheduled to end in December 2020.

The transaction benefits from a liquidity reserve. The liquidity reserve covers senior fees, swap payments, and interest payments on the notes. The liquidity reserve is currently at its target amount of EUR 2.7 million. The transaction also benefits from a commingling reserve, a set-off reserve, and a maintenance reserve, which are funded upon the breach of the Reserves Trigger Event, which has not occurred at the September 2020 payment date.

ABN AMRO Bank N.V. acts as the account bank for the transaction. Based on the account bank reference rating of ABN AMRO Bank N.V. at AA (low) - being one notch below the DBRS Morningstar Long Term Critical Obligations Rating (COR) of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

ABN AMRO Bank N.V. acts as the swap counterparty for the transaction. DBRS Morningstar's Long Term COR of ABN AMRO Bank N.V. at AA is above the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may arise in the coming months for many ABS transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For this transaction, DBRS Morningstar applied a haircut to its expected recovery rate and conducted additional sensitivity analysis to determine that the transaction benefits from sufficient liquidity support to withstand high levels of payment holidays in the portfolio. As of the September 2020 payment date, no leases in the pool are affected by payment holidays.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 10 September 2020. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/366542/global-macroeconomic-scenarios-september-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

In May 2020, DBRS Morningstar released its commentaries “European ABS Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect” (https://www.dbrsmorningstar.com/research/360734/european-abs-transactions-risk-exposure-to-coronavirus-covid-19-effect) and “European Structured Credit Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect” (https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect), where DBRS Morningstar discussed the overall risk exposure of the ABS and SME sectors to the coronavirus and provided a framework for identifying the transactions that are more at risk and likely to be affected by the fallout of the pandemic on the economy. For more details, please also see: https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (22 April 2020). DBRS Morningstar 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 continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include investor reports provided by LeasePlan Corporation N.V., and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

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

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

The last rating action on this transaction took place on 24 October 2019, when DBRS Morningstar finalised its provisional ratings on the Class A and Class B notes at AAA (sf).

The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies is available at www.dbrsmorningstar.com.

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

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD, LGD, and RV haircut assumptions at the AAA (sf) rating level are: PD of 2.8%, LGD of 27.8%, and RV haircut of 40.0%.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD, LGD, and RV haircut increase by a certain percentage over the base case assumption.
For example, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to AA (high) (sf), assuming no change in the RV haircut. If the RV haircut increases by 50%, the rating of the Class A Notes would also be expected to fall to AA (high) (sf), assuming no change in either the PD or LGD. Furthermore, if both the PD and LGD as well as the RV haircut increase by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf).

Class A Notes Risk Sensitivity: -- 25% increase in RV haircut, expected rating of AAA (sf) -- 50% increase in RV haircut, expected rating of AA (high) (sf) -- 25% increase in both PD and LGD, expected rating of AAA (sf) -- 50% increase in both PD and LGD, expected rating of AA (high) (sf) -- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AA (high) (sf) -- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AA (sf) -- 50% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AA (high) (sf) -- 50% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AA (low) (sf) Class B Notes Risk Sensitivity: -- 25% increase in RV haircut, expected rating of AA (sf) -- 50% increase in RV haircut, expected rating of A (sf) -- 25% increase in both PD and LGD, expected rating of AA (high) (sf) -- 50% increase in both PD and LGD, expected rating of AA (low) (sf) -- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AA (low) (sf) -- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of A (low) (sf) -- 50% increase in both PD and LGD and 25% increase in RV haircut, expected rating of A (high) (sf) -- 50% increase in both PD and LGD and 50% increase in RV haircut, expected rating of BBB (high) (sf)
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings GmbH are subject to EU and U.S. regulations only.

Lead Analyst: Petter Wettestad, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 27 September 2019

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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