Morningstar DBRS Confirms Credit Rating on Bumper NL 2023-1 B.V.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A Notes issued by Bumper NL 2023-1 B.V. (the Issuer).

The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in March 2035.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the August 2024 payment date;
-- Probability of default (PD), loss given default (LGD), and residual value (RV) loss assumptions on the remaining receivables;
-- No revolving period termination events have occurred; and
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) credit rating level.

The Issuer is a securitisation consisting of lease receivables and RV claims related to auto lease agreements granted by Axus Nederland N.V. (AN; formerly known as LeasePlan Nederland N.V.) to corporate, small and medium-size enterprise (SME) and private lessees in the Netherlands. 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. The transaction closed in September 2023 with an initial collateral portfolio of EUR 625.0 million and a 12-month revolving period, scheduled to end on the upcoming September 2024 payment date.

AN, which also services the receivables, has been acquired in 2023 by ALD S.A. (part of the Société Générale group), with the two companies merging into a new entity, the Ayvens Group, a leading global sustainable mobility services provider, with Société Générale S.A. as the majority shareholder.

PORTFOLIO PERFORMANCE
As of the August 2024 payment date, loans that were 30 to 60 days delinquent and 60 to 90 days delinquent represented 0.02% and 0.10% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent also amounted to 0.06%. Cumulative defaults, defined as receivables that are in arrears and with respect to which the Servicer considers that there is no reasonable chance to collect the amounts outstanding, have amounted to 0.92% of the aggregate initial collateral balance, of which 16.0% has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a lease-by-lease analysis of the remaining pool of receivables and updated its base case PD assumption to 1.2%, maintained its base case LGD assumption at 25.0%, and updated its RV loss assumption at the AAA (sf) rating level to 34.6%. The improved PD and the RV loss assumptions from the initial rating analysis are driven by the upcoming end of the revolving period.

CREDIT ENHANCEMENT
Credit enhancement to the Class A Notes is provided by the subordination of the unrated subordinated loan. As of the August 2024 payment date, credit enhancement to the Class A Notes was 20.0%, unchanged since the Morningstar DBRS initial rating date due to the inclusion of the revolving period.

The transaction benefits from a liquidity reserve, available to cover senior expenses, swap payments, and interest on the Class A Notes. The reserve was funded at closing to EUR 9.3 million, and following the end of the revolving period will have a target balance equal to 1.86% of the aggregate outstanding Class A Notes balance, subject to a floor of EUR 5.75 million.

ABN AMRO Bank N.V. acts as the issuer account bank for the transaction. Based on Morningstar DBRS' public Critical Obligations Rating on ABN AMRO Bank N.V. of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to issuer account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit rating on the applicable class addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
Environmental Factors
The line-by-line sale proceeds data, which was used to derive the RV loss assumption at the time of initial rating, includes a limited number of observations related to electric vehicles; although, exposure to electric vehicles comprises a considerable portion of the initial pool. Morningstar DBRS notes that the leases related to hybrid and electric vehicles have outperformed vehicles equipped with internal combustion engines in recent years as a result of prudent RV policies. Morningstar DBRS considers that the exposure to electric vehicles is a credit positive relevant Environmental factor within its analysis, namely the factor "Carbon and Greenhouse Gas (GHG) Costs".

There were no Social or Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: Master European Structured Finance Surveillance Methodology (6 August 2024), https://dbrs.morningstar.com/research/437540.

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

Morningstar DBRS 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 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 credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for this credit rating include investor reports provided by AN and loan-level data provided by the European DataWarehouse GmbH.

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

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

Morningstar DBRS considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

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

The last credit rating action on this transaction took place on 21 September 2023, when Morningstar DBRS finalised its provisional credit rating of AAA (sf) on the Class A Notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.
Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at dbrs.morningstar.com.

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

-- Morningstar DBRS 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 of the current pool of loans for the Issuer are 1.2% and 25.0%, respectively.
-- The RV loss rate at the AAA (sf) rating level is 34.6%.

Class A Notes Risk Sensitivity:
-- 25% increase of the PD and LGD, expected credit rating of AAA (sf)
-- 50% increase of the PD and LGD, expected credit rating of AA (high) (sf)
-- 25% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 50% increase of the RV loss rate, expected credit rating of AA (high) (sf)
-- 25% increase of the PD and LGD and 25% increase of the RV loss rate, expected credit rating of AA (high) (sf)
-- 25% increase of the PD and LGD and 50% increase of the RV loss rate, expected credit rating of AA (sf)
-- 50% increase of the PD and LGD and 25% increase of the RV loss rate, expected credit rating of AA (sf)
-- 50% increase of the PD and LGD and 50% increase of the RV loss rate, expected credit rating of A (high) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 31 August 2023

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (6 August 2024),  
https://dbrs.morningstar.com/research/437540.  
-- Rating European Structured Finance Transactions Methodology (18 September 2024),
https://dbrs.morningstar.com/research/439581.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024),
https://dbrs.morningstar.com/research/439583.
-- Rating CLOs Backed by Loans to European SMEs (18 September 2024) and SME Diversity Model v2.7.1.4,
https://dbrs.morningstar.com/research/439574.
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), 
https://dbrs.morningstar.com/research/439571. 
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278.
-- Derivative Criteria for European Structured Finance Transactions (6 September 2024),  
https://dbrs.morningstar.com/research/439043. 
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781.

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

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.