Press Release

DBRS Morningstar Confirms Ratings on Bumper FR 2022-1

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April 04, 2023

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AAA (sf) and AA (high) (sf) ratings on the Class A and Class B notes, respectively (together, the Notes) issued by Bumper FR 2022-1 (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 April 2032.

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 February 2023 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the Notes to cover the expected losses at their respective rating levels.

The transaction is a securitisation of auto lease agreements granted and serviced by LeasePlan France S.A.S. (LPFR) to corporate, small and medium-size enterprises (SMEs), retail, and public-sector clients in France. The residual value (RV) claims related to the auto leases are securitised in the transaction. The transaction included a 12-month revolving period, which ends with the April 2023 payment date.

PORTFOLIO PERFORMANCE
As of the February 2023 payment date, leases that were two to three months and more than three months in arrears represented 0.0% of the outstanding portfolio balance. The cumulative defaults increased to 0.6% of the total receivables purchased since closing in April 2022.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD to 1.7% as of the February 2023 payment date from 2.3% at closing and maintained its base case LGD assumption at 31.6%. The decrease in the base case PD reflects a shift from DBRS Morningstar’s default approach at closing to align it with other Bumper transactions. DBRS Morningstar maintained its RV haircut of 39.1% at the AAA (sf) rating level.

CREDIT ENHANCEMENT
The credit enhancement (CE) to the Notes consists of the subordination of their respective junior class of notes. As of the February 2023 payment date, CE to the Class A and Class B notes remained unchanged from closing at 25.9% and 21.1%, respectively, due to the revolving period.

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 4.0 million and will amortise together with the Notes, with the target level of 0.75% of the outstanding balance of the Notes. The liquidity reserve is subject to a floor of EUR 2.5 million.

The transaction also benefits from a commingling reserve, a set-off reserve, and a maintenance reserve, which will be funded upon the breach of the reserve trigger event, which has not occurred at the February 2023 payment date.

BNP Paribas SA (BNPP) acts as the account bank for the transaction. Based on the account bank reference rating of AA on BNPP (which is one notch below its DBRS Morningstar Long Term Critical Obligations Rating (COR) of AA (high), 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 notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

ABN AMRO Bank N.V. (ABN AMRO) acts as the swap counterparty for the transaction. DBRS Morningstar's Long Term COR of AA on ABN AMRO is above the first rating threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact 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.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology” (7 February 2023), https://www.dbrsmorningstar.com/research/409485/master-european-structured-finance-surveillance-methodology.

Other methodologies referenced in this transaction are listed at the end of this press release.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

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/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 these ratings include investor reports provided by LPFR 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 purpose 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 7 April 2022, when DBRS Morningstar finalised its provisional ratings on the Class A and Class B Notes at AAA (sf) and AA (high) (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at 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):

-- 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 and LGD assumptions, and the RV haircut assumption at the AAA (sf) rating level are: PD of 1.7%, LGD of 31.6%, and RV haircut at AAA (sf) of 39.1%.
-- The risk sensitivity overview below illustrates the ratings expected if the PD, LGD and RV increase by a certain percentage over the base case assumption. For example, if both the PD and LGD increase by 50%, and assuming no changes of the RV haircut, the rating on the Class A Notes would be expected to fall to AA (sf). Furthermore, if both the PD and LGD as well as the RV haircut increase by 50%, the rating on the Class A Notes would be expected to fall to A (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AA (high) (sf)
-- 50% increase in RV haircut, expected rating of AA (sf)
-- 25% increase in PD and LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and LGD, expected rating of AA (sf)
-- 25% increase in PD and LGD, and 25% increase in RV haircut, expected rating of AA (sf)
-- 25% increase in PD and LGD, and 50% increase in RV haircut, expected rating of A (high) (sf)
-- 50% increase in PD and LGD, and 25% increase in RV haircut, expected rating of A (high) (sf)
-- 50% increase in PD and LGD, and 50% increase in RV haircut, expected rating of A (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AA (low) (sf)
-- 50% increase in RV haircut, expected rating of A (sf)
-- 25% increase in PD and LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and LGD, expected rating of A (high) (sf)
-- 25% increase in PD and LGD, and 25% increase in RV haircut, expected rating of A (high) (sf)
-- 25% increase in PD and LGD, and 50% increase in RV haircut, expected rating of A (low) (sf)
-- 50% increase in PD and LGD, and 25% increase in RV haircut, expected rating of A (low) (sf)
-- 50% increase in 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. For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 21 March 2022

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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