DBRS Ratings Limited (DBRS Morningstar) finalised its provisional ratings of AAA (sf) assigned to the Class A and Class B Notes (together, the Rated Notes) issued by Bumper DE S.A. 2019-1 (the Issuer).
The transaction represents the issuance of Class A Notes and Class B Notes backed by pool of approximately EUR 706 million of fixed-rate receivables associated with operating lease contracts granted for the lease of new and used vehicles by Leaseplan Deutschland GmbH (the originator) to small businesses and corporations with registered offices in Germany and individuals residing in the Germany.
The transaction includes a 13-month revolving period, during which time the originator may offer additional receivables that the Issuer will purchase provided that certain conditions set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled upon certain events including performance triggers and breach of concentration limits.
The Issuer was established by Circumferences FS (Luxembourg), the Corporate Services Provider to the Issuer, and incorporated in the Grand Duchy of Luxembourg. The portfolio is serviced by Leaseplan Deutschland GmbH (the servicer).
At the end of revolving period, the notes pay on fully sequential basis with senior notes paid in priority. The Class A and Class B Notes pay interest indexed to one-month Euribor whereas the portfolio pays fixed-interest rate. The interest rate risk arising from the mismatch between the Issuer’s liabilities the portfolio is hedged through an interest rate swap with an eligible counterparty.
The ratings address the timely payment of interest and the ultimate repayment of principal by the legal maturity date. The ratings are based on DBRS Morningstar’s review of the following analytical considerations:
--The transaction capital structure, including form and sufficiency of available credit enhancement;
--Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative net losses and residual value losses under various stress scenarios;
--The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested;
-- Leaseplan Germany’s capabilities with regard to originations, underwriting, servicing and its financial strength;
-- DBRS Morningstar conducted an operational risk review of Leaseplan Germany’s premises in Neuss, Germany and deems it to be an acceptable servicer;
-- The transaction parties’ financial strength with regard to their respective roles;
-- The credit quality of the collateral and historical and projected performance of the Seller’s portfolio;
-- The sovereign rating of Germany, currently rated AAA with a Stable trend by DBRS Morningstar; and
-- The consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that address the true sale of the assets to the Issuer.
The transaction was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is: “Rating European Consumer and Commercial Asset Backed Securitisations”.
DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release.
These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
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 Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar received the following set of data sourced by LPDE
--Static cumulative default data covering Q1 2013 and up to Q1 2019.
--Static recovery data going back to Q1 2013 and up to Q2 2019.
--Dynamic arrears data going back to January 2013 and up to June 2019.
--Lease-level residual value and realisation data.
--DBRS Morningstar was also provided with a lease-level data tape and detailed stratification tables related to the portfolio selected as at 30 September 2019, along with its amortisation profile.
DBRS Morningstar considers the data and information available to it for the purposes 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.
These ratings concern a newly issued financial instrument. These are the first DBRS Morningstar rating on this financial instrument.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on www.dbrs.com.
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Paolo Conti, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 27 September 2019
DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
--Rating European Consumer and Commercial Asset-Backed Securitisations
--Legal Criteria for European Structured Finance Transactions
--Derivative Criteria for European Structured Finance Transactions
--Operational Risk Assessment for European Structured Finance Servicers
--Operational Risk Assessment for European Structured Finance Originators
--Interest Rate Stresses for European Structured Finance Transactions
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.