Press Release

DBRS Morningstar Finalises Provisional Ratings on Bumper BE NV/SA, acting on behalf of its Compartment No. 1

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October 14, 2021

DBRS Ratings GmbH (DBRS Morningstar) finalised its provisional ratings of AAA (sf) on the Class A Notes and AA (sf) on the Class B Notes issued by Bumper BE NV/SA, acting on behalf of its Compartment No. 1 (the Issuer). The Issuer is a compartment in a public limited liability company (naamloze vennootschap/société anonyme) incorporated under the laws of the Kingdom of Belgium.

The ratings on the Class A Notes and the Class B Notes (together, the Notes) address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date.

The Notes are backed by lease receivables and residual value (RV) receivables related to auto lease agreements granted and serviced by LeasePlan Fleet Management NV/SA (LPFM), Lease Plan Truck NV/SA (LPT), and LeasePlan Partnerships & Alliances NV/SA (LPPA; collectively, LPBE), as applicable, to corporate, small and medium-size enterprise (SME), and public-sector lessees in the Kingdom of Belgium.

The transaction incorporates a one-year revolving period, during which the originator may sell additional lease instalments and their related RV receivables, subject to eligibility criteria, replenishment criteria, performance triggers, and other conditions set out in the transaction documents. The revolving period may end earlier than scheduled if certain events occur, such as a breach of performance triggers or an insolvency of the seller.

DBRS Morningstar based its ratings on a review of the following analytical considerations:
-- The transaction’s capital structure, including form and sufficiency of available credit enhancement;
-- Relevant credit enhancement in the form of subordination, reserve funds, and excess spread;
-- Credit enhancement levels that are sufficient to support DBRS Morningstar’s projected cumulative net losses and RV losses under various stressed cash flow assumptions for the Notes;
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
-- LPBE’s capabilities with regard to originations, underwriting, and servicing and its financial strength;
-- The transaction parties’ financial strength with regard to their respective roles;
-- The credit quality of the collateral and historical and projected performance of the sellers’ portfolios;
-- The sovereign rating of the Kingdom of the Belgium, currently at AA (high) with a Negative trend by DBRS Morningstar; and
-- The consistency of the transaction’s legal structure with DBRS Morningstar’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.

TRANSACTION STRUCTURE
The transaction incorporates a single waterfall that facilitates the distribution of the available distribution amount. The Notes will amortise sequentially, subject to required principal redemption amounts, and funds are not allocated to the redemption of principal of the Class B Notes until after the Class A Notes have been redeemed in full.

An amortising liquidity reserve, initially set at 0.5% of the Class A Notes and Class B Notes, is available to the structure. The transaction documents foresee a floor of EUR 2.0 million for the liquidity reserve. The reserve provides liquidity to the Class A Notes and the Class B Notes while also ultimately providing credit enhancement. It is available to repay principal on the Notes when the outstanding principal balance of the portfolio reaches zero.

All underlying contracts are fixed rate while the Notes are floating rate. The Notes are indexed to one-month Euribor. Interest rate risk for the Notes is mitigated through an interest rate swap provided by ING Bank N.V. (ING).

COUNTERPARTIES
The Issuer bank account is held at BNP Paribas Fortis SA/NV (BNPPF). DBRS Morningstar has a Short-Term Issuer Rating and a Short-Term Debt rating of R-1 (middle) with Stable trends on BNPPF. DBRS Morningstar also has private long-term ratings on BNPPF and publicly rates its ultimate parent company, BNP Paribas SA. The transaction documents contain downgrade provisions relating to the account bank consistent with DBRS Morningstar’s criteria.

ING is the swap counterparty for the transaction. The DBRS Morningstar public Long-Term Issuer Rating on ING is AA (low) with a Stable trend. The hedging documents contain downgrade provisions consistent with DBRS Morningstar’s criteria.

The transaction structure was analysed in Intex Dealmaker.

CORONAVIRUS DISEASE (COVID-19) CONSIDERATIONS
The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many asset-backed securities (ABS) transactions. 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 adjustments to its default assumptions to consider exposure to specific industry segments as well as a moderate haircut to its expected recovery rate.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 8 September 2021. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/384150/baseline-macroeconomic-scenarios-for-rated-sovereigns and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

On 8 May 2020, DBRS Morningstar published a commentary outlining how the coronavirus crisis is likely to affect DBRS Morningstar-rated ABS transactions in Europe. For more details, please see: https://www.dbrsmorningstar.com/research/360734/european-abs-transactions-risk-exposure-to-coronavirus-covid-19-effect and https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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” (3 September 2020).

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.

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 considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

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/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include the originator directly or through the arranger, LeasePlan Corporation N.V.

DBRS Morningstar received the following data and information:
-- Quarterly static cumulative gross loss data from Q1 2014 to Q2 2021;
-- Quarterly static recovery data from Q1 2014 to Q2 2021;
-- Dynamic monthly delinquency data from January 2014 to June 2021;
-- Static monthly early termination data in annual vintages from 2014 to 2020;
-- Lease-level vehicle realisation proceeds from 2014 to 2021;
-- Lease-by-lease portfolio data as at 31 August 2021;
-- A theoretical amortisation schedule as at the end of August 2021; and
-- Monthly originations from January 2014 to June 2021.

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

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.

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

This is the first rating action since the Initial Rating Date.

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

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

-- Expected default: 2.1%.
-- Expected recovery rate: 75.0%.
-- Loss given default (LGD): 53.1% for the AAA (sf) scenario and 49.4% for the AA (sf) scenario.
-- RV loss: 42.3% for the AAA (sf) scenario and 37.7% for the AA (sf) scenario.

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 Morningstar concludes that the expected rating under the eight stress scenarios will be:
-- Class A Notes: AA (sf), A (high) (sf), AA (sf), A (high) (sf), A (sf), A (sf), A (sf), A (low) (sf)
-- Class B Notes: A (high), A (sf), A (sf), A (low) (sf), BBB (high) (sf), BBB (high) (sf), BBB (high) (sf), BBB (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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Maria Lopez, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 17 September 2021

DBRS Ratings GmbH, Sucursal en España
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Tel. +34 (91) 903 6500

DBRS Ratings GmbH
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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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