DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings of the Class A and Class B notes (together, the Rated Notes) issued by Bumper 10 at AAA (sf) and AA (sf), respectively.
The ratings address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in February 2028.
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.
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Rated Notes to cover the expected losses at their respective rating levels.
Bumper 10 is a securitisation of auto lease receivables and residual value (RV) receivables granted and serviced by LeasePlan France S.A.S. (LPFR) to corporate, small and medium-size enterprises (SME), retail, and public sector clients in France. The transaction closed in February 2018 and had a one-year revolving period, which ended on 27 March 2019.
As of 30 November 2019, the EUR 537.2 million portfolio comprised leases for new and used vehicles that represented 99.9% and 0.1% of the outstanding balance, respectively. Corporate customers represented 78.8% of the outstanding collateral balance, whereas SME, retail, and public sector clients amounted to 19.3%, 1.7%, and 0.2% of the pool balance, respectively. The RV receivables associated with the auto leases were securitised and comprised 66.0% of the current portfolio balance.
As of the December 2019 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.9% and 0.4% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent represented 1.4%. The gross cumulative default ratio was 0.5%, increasing from 0.2% one year ago.
DBRS Morningstar maintained its base case PD at 2.0%. The base case recovery rates for the AAA (sf) and AA (sf) rating levels were maintained at 45.6 and 49.3%, respectively. The RV haircut assumptions for the AAA (sf) and AA (sf) rating levels were maintained at 39.4% and 34.1%, respectively.
Credit enhancement available to the Rated Notes increases as the transaction continues to deleverage. The source of credit enhancement for the Rated Notes consists of their respective subordination. As of the December 2019 payment date, credit enhancement to the Class A and B notes was 31.6% and 24.0% up from 26.0% and 19.8%, respectively, one year ago.
The transaction benefits from an amortising liquidity reserve that provides liquidity support to the Rated Notes. The liquidity reserve is sized at 0.5% of the Rated Notes’ balance and is currently at its target amount of EUR 2.2 million.
Société Générale, S.A. acts as the main account bank for the transaction. Based on the account bank reference rating of Société Générale, S.A. at AA (low), which is one notch below the DBRS Morningstar public 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, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.
ABN AMRO Bank N.V. acts as the swap counterparty for the transaction. DBRS Morningstar's public Long-Term COR of ABN AMRO Bank N.V. at AA is above the first rating threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.
DBRS Morningstar analysed the transaction structure in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”. DBRS Morningstar 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 rating action.
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.
The sources of data and information used for these ratings include investor reports and loan-level data provided by LeasePlan France S.A.S.
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 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.
The last rating action on this transaction took place on 24 January 2019, when DBRS Morningstar confirmed the ratings of the Class A and Class B notes.
The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the “Base Case”):
-- DBRS Morningstar expected a base case PD, LGD, and RV haircut for the collateral pool based on a review of the current assets and the transaction’s eligibility criteria. 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, LGD and RV haircut assumptions for the pool of leases are:
PD of 2.0%, LGD of 54% at AAA (sf) and LGD of 52% at AA (sf), RV haircut of 39% at AAA (sf) and 34% at AA (sf).
-- The risk sensitivity overview below illustrates the ratings expected if the PD, LGD and RV haircut increase by a certain percentage over the base case assumptions. For example, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to remain at AAA (sf), assuming no change in the RV haircut. If the RV haircut increases by 50%, the rating of the Class A notes would be expected to be downgraded to AA (sf), assuming no change in either the PD or LGD. Furthermore, if both the PD and LGD as well as the RV haircut increase by 50%, the rating of the Class A notes would be expected to be downgraded to AA (low)(sf).
Class A Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AAA (sf)
-- 50% increase in RV haircut, expected rating of AA (sf)
-- 25% increase in PD and LGD, expected rating of AAA (sf)
-- 50% increase in PD and LGD, expected rating of AAA (sf)
-- 25% increase in PD and LGD and 25% increase in RV haircut, expected rating of AA (high) (sf)
-- 25% increase in PD and LGD and 50% increase in RV haircut, expected rating of AA (low) (sf)
-- 50% increase in PD and LGD and 25% increase in RV haircut, expected rating of AA (sf)
-- 50% increase in PD and LGD and 50% increase in RV haircut, expected rating of AA (low) (sf)
Class B Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AA (sf)
-- 50% increase in RV haircut, expected rating of A (sf)
-- 25% increase in PD and LGD, expected rating of AA (sf)
-- 50% increase in PD and LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and LGD and 25% increase in RV haircut, expected rating of AA (low) (sf)
-- 25% increase in PD and LGD and 50% increase in RV haircut, expected rating of A (sf)
-- 50% increase in PD and LGD and 25% increase in RV haircut, expected rating of A (high) (sf)
-- 50% increase in PD and LGD and 50% increase in RV haircut, expected rating of A (low) (sf)
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Petter Wettestad, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 31 January 2018
DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Rating CLOs Backed by Loans to European SMEs
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.