Press Release

DBRS Morningstar Upgrades and Confirms Ratings on Bumper UK 2019-1 and Bumper UK 2021-1 Finance plc

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February 25, 2022

DBRS Ratings Limited (DBRS Morningstar) took the following rating actions on the Class A and Class B Notes issued by Bumper UK 2019-1 Finance plc (Bumper UK 2019-1) and the Class A Notes issued by Bumper UK 2021-1 Finance plc (Bumper UK 2021-1) (together, the Rated Notes):

Bumper UK 2019-1
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AAA (sf) from AA (high) (sf)

Bumper UK 2021-1
-- Class A Notes confirmed at AAA (sf)

The ratings of the Rated Notes address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity dates.

The upgrade and confirmations follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the January 2022 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 the AAA (sf) rating level.
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

The transactions are securitisations of auto lease agreements originated and serviced by LeasePlan UK Limited to corporate, small and medium-size enterprises, retail, and public-sector clients in England and Wales. The Residual value (RV) claims related to the auto leases are securitised. Bumper UK 2019-1 had a one-year revolving period, which ended in July 2020. Bumper UK 2021-1 is currently in its one-year revolving period that is scheduled to end in April 2022. The legal final maturity dates for Bumper UK 2019-1 and Bumper UK 2021-1 are on the payment dates falling in December 2028 and December 2030, respectively.

PORTFOLIO PERFORMANCE
As of the January 2022 payment date, loans two- to three-months in arrears for Bumper UK 2019-1 and Bumper UK 2021-1 both represented 0.1% of their respective outstanding portfolio balances. Loans at least three months in arrears represented 0.3% of the outstanding portfolio balance for Bumper UK 2019-1 and 0.6% for Bumper UK 2021-1. The cumulative default ratios for Bumper UK 2019-1 and Bumper UK 2021-1 were 1.4% and 0.0%, respectively.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted an analysis of the pools of receivables and updated its expected PD, LGD, and RV Haircut assumptions, including coronavirus-related adjustments, to the following:
-- Expected PD of 3.0% and 3.4% for Bumper UK 2019-1 and Bumper UK 2021-1, respectively;
-- Expected LGD of 63.3% at the AAA (sf) rating level;
-- RV Haircut of 39.8% at the AAA (sf) rating level.

CREDIT ENHANCEMENT AND RESERVES
As of the January 2022 payment date, credit enhancement to the Bumper UK 2019-1 Class A and Class B Notes was 67.6%, and 54.1%, respectively, up from 27.3% and 21.8% at the DBRS Morningstar initial rating, respectively. Credit enhancement to the Bumper UK 2021-1 Class A Notes was 27.3%, stable since the DBRS Morningstar initial rating because of the revolving period. Credit enhancement consists of subordination of the junior notes.

Both transactions benefit from a liquidity reserve, which covers senior fees, swap payments, and interest payments on the Rated Notes. The liquidity reserve is currently funded to its the floor of GBP 2,000,000 for Bumper UK 2019-1, and is currently funded to GBP 2,520,000 for Bumper UK 2021-1, equal to 0.6% of the Class A Notes balance.

The transactions also benefit from maintenance reserves which may be withdrawn to cover maintenance costs upon the occurrence of certain triggers. The Bumper UK 2019-1 maintenance reserve is currently funded to GBP 10.3 million and the Bumper UK 2021-1 maintenance reserve is currently not funded.

BNP Paribas Securities Services SCA/London acts as the account bank for both transactions. Based on the DBRS Morningstar private rating of BNP Paribas Securities Services SCA/London, 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 ratings assigned to the Rated Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

Banco Santander SA acts as the swap counterparty for both transactions. DBRS Morningstar's public Long-Term Critical Obligations Rating of Banco Santander SA at AA (low) is consistent with 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 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 structured finance transactions. The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus. For these transactions, given the exposure to corporate and SME borrowers, DBRS Morningstar increased its expected default rate on receivables granted to obligors operating in certain industries based on their perceived exposure to the adverse disruptions of the coronavirus.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 9 December 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/389454/baseline-macroeconomic-scenarios-for-rated-sovereigns-december-2021-update and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

On 2 November 2021, DBRS Morningstar updated its 8 May 2020 commentary outlining the impact of the coronavirus crisis on performance of DBRS Morningstar-rated auto ABS transactions in Europe. For more details, please see: https://www.dbrsmorningstar.com/research/387320/european-auto-abs-recovery-performance-update and https://www.dbrsmorningstar.com/research/360734/european-abs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

On 10 February 2022, DBRS Morningstar updated its 18 May 2020 commentary outlining the impact of the Coronavirus Disease (COVID-19) crisis on the performance of DBRS Morningstar-rated structured credit transactions in Europe almost two years on. For more details, please see: https://www.dbrsmorningstar.com/research/392167/two-years-into-covid-19-risks-to-european-structured-credit-transactions and https://www.dbrsmorningstar.com/research/361098/european-structured-credit-transactions-risk-exposure-to-coronavirus-covid-19-effect.

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 British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (8 February 2022).

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 transactions 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 Bumper UK 2021-1 transaction, the analysis continues to consider potential portfolio migration based on 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.

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 investor reports and loan-level data provided by LeasePlan UK Limited.

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 Bumper UK 2019-1 took place on 26 February 2021, when DBRS Morningstar confirmed its ratings of the Class A and Class B Notes at AAA (sf) and AA (high) (sf), respectively. The last rating action on Bumper UK 2021-1 took place on 11 March 2021, when DBRS Morningstar finalised its provisional rating of the Class A Notes at AAA (sf).

The lead analyst responsibilities for Bumper UK 2021-1 have been transferred to Natalia Coman.

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 rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):
-- DBRS Morningstar expected a lifetime base case PD and LGD, and RV Haircut, 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.

-- Expected PD of 3.0% and 3.4% for Bumper UK 2019-1 and Bumper UK 2021-1, respectively;
-- Expected LGD of 63.3% at the AAA (sf) rating level;
-- RV Haircut of 39.8% at the AAA (sf) rating level.

-- 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 Bumper UK 2019-1 Class A Notes would be expected to remain at AAA (sf), assuming no change in the RV Haircut. If the RV Haircut increases by 50%, the rating of the Bumper UK 2019-1 Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD or LGD. Furthermore, if the PD, LGD, and RV Haircut all increase by 50%, the rating of the Bumper UK 2019-1 Class A Notes would be expected to remain at AAA (sf).

Bumper UK 2019-1 Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in RV haircut, expected rating of AAA (sf)
-- 25% increase in both PD and LGD, expected rating of AAA (sf)
-- 50% increase in both PD and LGD, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AAA (sf)

Bumper UK 2019-1 Class B Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in RV haircut, expected rating of AAA (sf)
-- 25% increase in both PD and LGD, expected rating of AAA (sf)
-- 50% increase in both PD and LGD, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AAA (sf)

Bumper UK 2021-1 Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in RV haircut, expected rating of AA (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 (sf)
-- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AA (sf)
-- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of AA (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 A (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: http://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.

These ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Bumper UK 2019-1 Initial Rating Date: 10 May 2019
Bumper UK 2021-1 Initial Rating Date: 22 February 2021

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

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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