Morningstar DBRS Confirms Credit Rating on Bumper DE S.A., acting on behalf and for the account of its Compartment 2023-1 and its Compartment 2023-2

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A Notes 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 credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date in August 2032.

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 January 2025 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and residual value (RV) loss assumptions on the remaining receivables;
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) credit rating level.

The transaction is a securitisation of auto lease agreements granted and serviced by LeasePlan Deutschland GmbH (LPDE) to corporate, small and medium-size enterprises, retail, and public sector clients in Germany. The RV claims related to the auto leases are securitised in the transaction. The transaction closed in February 2023 and included a 12-month revolving period which ended in February 2024.

LPDE, 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 January 2025 payment date, leases 30 to 60 days and 60 to 90 days in arrears above the threshold amounted to 0.0% and 0.1% of the outstanding portfolio balance, respectively, while leases more than 90 days in arrears above the threshold amounted to 0.3%. Cumulative defaults amounted to 0.7% of the aggregate initial collateral balance, of which 23.1% has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables, updated its base case PD assumption to 1.0%, and maintained its base case LGD assumption at 24.0%. Morningstar DBRS also updated its RV haircut to 33.5% at the AAA (sf) credit rating level, decreased from 36.2% previously.

CREDIT ENHANCEMENT
Credit enhancement to the Class A Notes is provided by the subordinated loan. As of the January 2025 payment date, credit enhancement to the Class A Notes has increased to 38.0% from 25.9% at closing, following the end of the revolving period in February 2024.

The transaction benefits from an amortising liquidity reserve that was fully funded at EUR 8.1 million 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 the amortisation periods. The target amount of the liquidity reserve is set at 1.6% of the Class A Notes' outstanding balance, subject to a floor of EUR 5.0 million. As of the January 2025 payment date, the reserve was at its floor balance of EUR 5.0 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 (loss of the investment-grade credit rating of the controlling party), which has not occurred so far since closing.

ABN AMRO Bank N.V. (ABN AMRO) acts as the account bank for the transaction. Based on the account bank reference rating of ABN AMRO at AA (low), which is one notch below the Morningstar DBRS Long Term Critical Obligations Rating (COR) 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 the account bank to be consistent with the credit rating assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

ING Bank N.V. (ING) acts as the swap counterparty for the transaction. Morningstar DBRS' Long Term COR of ING at AA (high) is above the First Rating Threshold as described in Morningstar DBRS' "Legal and Derivative 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
There were no Environmental, 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 the "Master European Structured Finance Surveillance Methodology" (4 February 2025), https://dbrs.morningstar.com/research/447080.

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.

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 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 LPDE 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 purpose 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 22 February 2024, when Morningstar DBRS confirmed its AAA (sf) credit rating 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 leases for the Issuer are 1.0% and 24.0%, respectively.
-- The RV loss rate at the AAA (sf) rating level is 33.5%.

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

This credit rating is 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 Credit Rating Date: 6 February 2023

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
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Amtsgericht Frankfurt am Main, HRB 110259

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 (4 February 2025),
https://dbrs.morningstar.com/research/447080.
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199.
-- Rating CLOs Backed by Leases to European SMEs (19 November 2024) and SME Diversity Model v2.7.1.5,
https://dbrs.morningstar.com/research/443198.
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024),
https://dbrs.morningstar.com/research/439583.
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196.
-- 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.
-- 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/439604

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