Morningstar DBRS Confirms Credit Ratings on Bumper FR 2022-1

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

The credit 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 2025 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 the AAA (sf) credit rating level.

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 ended with the April 2023 payment date.

PORTFOLIO PERFORMANCE
As of the February 2025 payment date, leases more than 90 days in arrears above the threshold amounted to 1.2% of the outstanding discounted portfolio balance. Cumulative defaults amounted to 1.5% of the aggregate initial collateral balance, of which 38.5% has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD assumption to 1.6% and maintained its base case LGD assumption at 31.6%. Morningstar DBRS also updated its RV haircut to 26.6% at the AAA (sf) credit rating level.

CREDIT ENHANCEMENT
The credit enhancement to the Notes consists of the subordination of their respective junior class of notes. As of the February 2025 payment date, credit enhancement to the Class A and Class B notes increased to 57.9% and 47.2%, respectively, up from 33.6% and 27.4%, respectively, at the time of the last annual review twelve months ago.

The transaction benefits from a liquidity reserve, available to cover senior fees, swap payments, and interest payments on the Notes. The liquidity reserve has a target balance equal to 0.75% of the outstanding balance of the Notes, subject to a floor of EUR 2.5 million. As of the February 2025 payment date, the reserve was at it's the floor level 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 a breach of the reserve trigger event, which had not occurred at the February 2025 payment date.

BNP Paribas SA (BNPP) acts as the account bank for the transaction. Based on the account bank reference credit rating of AA on BNPP (which is one notch below its Morningstar DBRS 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, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

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

Morningstar DBRS' credit ratings on the Notes 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 transaction press release 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, AND 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 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 these credit ratings include investor reports provided by LPFR 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 ratings, 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 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 25 March 2024, when Morningstar DBRS confirmed its credit rating on the Class A notes at AAA (sf) and upgraded its credit rating on the Class B notes to AAA (sf) from AA (high) (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 leases for the Issuer are 1.6% and 31.6%, respectively.
-- The RV loss rate at the AAA (sf) credit rating level is 26.6%.

Class A 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)

Class B 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.

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: 21 March 2022

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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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.