Press Release

DBRS Morningstar Assigns Provisional Rating to BUMPER DE S.A., acting on behalf and for the account of its Compartment 2023-1 and its Compartment 2023-2

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February 06, 2023

DBRS Ratings GmbH (DBRS Morningstar) assigned a provisional rating of AAA (sf) to the Class A Notes to be issued by BUMPER DE S.A., acting on behalf and for the account of its Compartment 2023-1 and its Compartment 2023-2 (the Issuer).

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

The provisional rating is based on information provided to DBRS Morningstar by the Issuer and its agents as of the date of this press release. This rating will be finalised upon review of the final version of the transaction documents and of the relevant legal opinions. If the information therein were substantially different, DBRS Morningstar may assign a different final rating to the Class A Notes.

The transaction represents the issuance of notes backed by lease receivables and residual value (RV) claims related to auto lease agreements granted by LeasePlan Deutschland GmbH (LPDE; the Originator, the Seller, or the Servicer) to government, corporate and small and medium-size enterprise (SME) lessees in Germany. The underlying receivables represent the right to receive payment of regular lease instalments and the RV receivables are linked to the rights to receive all proceeds from the sale of the underlying vehicles. LPDE services the receivables.

DBRS Morningstar based its ratings on a review of the following analytical considerations:

-- The transaction capital structure, including form and sufficiency of available credit enhancement;
-- Relevant credit enhancement in the form of subordination, excess spread, and the availability of the liquidity reserve;
-- Credit enhancement levels that are sufficient to support DBRS Morningstar-projected expected cumulative net losses and RV losses under various stress scenarios;
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
-- LPDE’s capabilities with regard to origination, underwriting, 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 Seller’s portfolio;
-- DBRS Morningstar’s sovereign rating on the Federal Republic of Germany, currently AAA with a Stable trend; and
-- The expected 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 are expected to address the true sale of the assets to the Issuer.

TRANSACTION STRUCTURE
The transaction includes a 12-month revolving period wherein the Issuer may purchase additional receivables subject to eligibility criteria and portfolio concentration limits. The transaction incorporates a single waterfall that outlines the allocation of the available distribution amount consisting of, inter alia, collections representing interest, principal, and recoveries. The notes amortise sequentially according to the required principal redemption amount.

The transaction benefits from an amortising liquidity reserve that is fully funded on the closing date. The liquidity reserve is available to cover senior fees, interest rate swap payments, and interest on the Class A Notes during both the revolving and amortisation periods. The liquidity reserve is initially set at [1.6]% of the Class A Notes and floored at EUR [•] millions.

COUNTERPARTIES
ABN AMRO Bank N.V. is the account bank and the paying agent for the transaction. The Issuer’s accounts include the transaction account and the swap replacement account. The transaction documents are expected to envisage downgrade provisions consistent with DBRS Morningstar’s criteria.

The transaction is exposed to interest rate risk because of the mismatch between the fixed interest rate assets and the floating-rate liabilities. The risk is mitigated by an interest rate swap with ING Bank N.V. The transaction documents are expected to envisage downgrade provisions consistent with DBRS Morningstar’s criteria.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

DBRS Morningstar analysed the transaction structure in Intex Dealmaker.

On 24 February 2023, DBRS Morningstar amended the above press release and related presale report to update the risk sensitivities for the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is: Rating European Consumer and Commercial Asset-Backed Securitisations (19 October 2022), https://www.dbrsmorningstar.com/research/404212/rating-european-consumer-and-commercial-asset-backed-securitisations.

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/401817/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 this rating included the Originator and its agents. DBRS Morningstar received the following data and information:

-- Static cumulative default data covering Q1 2016 and up to Q1 2022;
-- Static recovery data from Q1 2016 and up to Q1 2022;
-- Dynamic monthly delinquency data from January 2016 to September 2022;
-- Static monthly early termination data in annual vintages from Q1 2016 and up to Q1 2022;
-- Dynamic monthly originations and outstanding balances from January 2016 to September 2022;
-- Lease-level RV and realisation data from January 2016 to September 2022;
-- A theoretical amortisation schedule as at the end of December 2022; and
-- DBRS Morningstar was also provided with a lease-level data tape and detailed stratification tables related to the portfolio selected as of December 2022.

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 this rating 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.

This rating concerns an expected-to-be issued new financial instrument. This is the first DBRS Morningstar rating on this financial instrument.

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

Sensitivity Analysis: 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):

-- Expected default: 2.0%.
-- Expected recovery rate: 76.0%.
-- Loss given default (LGD): 49.1% for the AAA (sf) scenario
-- RV loss: 38.4% for the AAA (sf) scenario

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

DBRS Morningstar concludes that the expected ratings under the eight stress scenarios are:
-- Class A Notes: AAA (sf), AA (high) (sf), AAA (sf), AA (high) (sf), AA (sf), AA (sf), AA (low) (sf), 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: 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: Guglielmo Panizza, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 6 February 2023

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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