Morningstar DBRS Upgrades and Confirms Credit Ratings on Bumper BE NV/SA, acting on behalf of its Compartment No. 1

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by Bumper BE NV/SA, acting on behalf of its Compartment No. 1 (the Issuer):

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

The credit ratings on the Class A and Class B Notes address the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in October 2031.

The credit rating actions follows 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 September 2024 payment date;
-- Probability of default (PD), loss given default (LGD), and residual value (RV) loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the Class A and Class B Notes to cover the expected losses at their respective credit rating levels.

The transaction is a securitisation of lease receivables and residual value (RV) receivables related to auto lease agreements granted and serviced by LeasePlan Fleet Management NV/SA, Lease Plan Truck NV/SA, and LeasePlan Partnerships & Alliances NV/SA (collectively, the sellers or LPBE), as applicable, to corporate, small and medium-size enterprise, and public-sector lessees in the Kingdom of Belgium.

The transaction incorporated a one-year revolving period which ended with the October 2022 payment date, during which LPBE sold additional lease instalments and their related RV receivables to the Issuer, subject to eligibility criteria, replenishment criteria, performance triggers, and other conditions set out in the transaction documents. All the eligibility and replenishment criteria were met and none of the performance triggers were breached during the revolving period.

LPBE, which also services the receivables, was 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 September 2024 payment date, loans that were 30 to 60 days delinquent and 60 to 90 days delinquent represented 1.9% and 0.4% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent also amounted to 0.3%. 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 0.48% of the aggregate initial collateral balance, of which 80.0% 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 1.4%, maintained its base case LGD assumption at 25.0%, and updated its RV loss assumption at the AAA (sf) credit rating level to 30.8%.

CREDIT ENHANCEMENT
The credit enhancement to the rated notes is provided by the subordination of the respective junior obligations. As of the September 2024 payment date, the credit enhancement to the Class A and Class B Notes increased to 60.9% and 49.6%, respectively, up from 35.5% and 28.9% at the time of the previous annual review.

An amortising liquidity reserve, equalling 0.5% of the Class A Notes and Class B Notes outstanding balance, is available to cover senior expenses, interest rate swap payments, and interest payments on the notes. The amortisation of the liquidity reserve is subject to a floor of EUR 2.0 million. It can ultimately be used to repay principal of the notes according to the relevant priority of payments when the aggregate discounted portfolio balance reaches zero. As of the September 2024 payment date, the liquidity reserve was at its floor level of EUR 2.0 million.

BNP Paribas Fortis SA/NV (BNPPF) acts as the issuer account bank for the transaction. Based on Morningstar DBRS' private credit rating of BNPPF, 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 ratings assigned to the notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address 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
There were no Environmental/Social/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 ratings 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.

Morningstar DBRS reviewed an amendment agreement dated February 2024 between the transaction counterparties, addressing changes implemented following LPBE's acquisition by and merger with ALD S.A. into Ayvens Group. A review of the remaining transaction legal documents was not conducted as they 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 these credit ratings include investor reports provided by Intertrust (Belgium) NV/SA 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 these credit ratings 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 5 October 2023, when Morningstar DBRS confirmed its AAA (sf) credit rating on the Class A Notes and upgraded its credit rating on the Class B Notes to AA (high) (sf) from AA (sf).

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 ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (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 1.4% and 25.0%, respectively.
-- The RV loss rate at the AAA (sf) rating level is 30.8%.

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 AAA (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 AAA (sf)
-- 25% increase of the PD and LGD and 25% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 25% increase of the PD and LGD and 50% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 50% increase of the PD and LGD and 25% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 50% increase of the PD and LGD and 50% increase of the RV loss rate, expected credit rating of AAA (sf)

Class B 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 AAA (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 AAA (sf)
-- 25% increase of the PD and LGD and 25% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 25% increase of the PD and LGD and 50% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 50% increase of the PD and LGD and 25% increase of the RV loss rate, expected credit rating of AAA (sf)
-- 50% increase of the PD and LGD and 50% increase of the RV loss rate, expected credit rating of AAA (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: Mark Wilder, Senior Vice President
Initial Rating Date: 17 September 2021

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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 (24 September 2024),
https://dbrs.morningstar.com/research/439913.
-- 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.