Rating Action: Moody’s assigns ratings to French Auto Lease ABS to be issued by Bumper FR 2022-1Global Credit Research – 21 Mar 2022Euro [ ]million ABS Notes provisionally rated, relating to a portfolio of French auto lease receivables and RV cash flowsMadrid, March 21, 2022 — Moody’s Investors Service (“Moody’s”) has assigned the following provisional ratings to notes to be issued by Bumper FR 2022-1:….EUR [ ]M Class A Floating Rate Notes Due April 2032, Provisional Rating Assigned (P)Aaa (sf)….EUR [ ]M Class B Floating Rate Notes Due April 2032, Provisional Rating Assigned (P)Aa2 (sf)Moody’s has not assigned ratings to the EUR [ ]M Class C Fixed Rate Notes.The transaction is a one year revolving securitisation of auto lease installment receivables and residual value (RV) cash flows. These auto leases are extended to corporate, SME, governmental and private lessees in France by LeasePlan France (“LPFR”), owned by LeasePlan Corporation N.V. (“LPC”), rated Baa1/P-2, A3(cr). This is the second public securitisation of LPFR rated by Moody’s.As of January 2022, the portfolio consists of vehicle lease contracts with a weighted average seasoning of 14.7 months. The securitised portfolio comprises lease installment cash flows and residual value (RV) cash flows. The present value of the outstanding lease receivables balance is approx. EUR 303.8 million and the present value of estimated RV cash flows amounts to approx. EUR 371.2 million. These lease contracts finance car fleets to corporate, SME, governmental and a small portion of private individuals in France. The RV portion of the lease cash flows are securitized and were based on car value estimates at closing of the leasing contracts for the lease contract maturity. LPFR guarantees the RV cash flows in case the vehicle sale price is below the contractual RV cash flow for all vehicles relating to non-defaulted lease agreements. The RV can be adjusted by the servicer during the lifetime of a lease contract.RATINGS RATIONALEThe transaction benefits from credit strengths such as experience of the originator, financial strength and securitisation experience of the originator’s parent company, and good historical performance of the lease portfolio. However, Moody’s notes that the transaction features some credit weaknesses such as residual value (RV) risk, complex maintenance services and higher lessee concentration because of the fleet lease products that are securitized. Various mitigants have been put in place in the transaction structure, such as a back-up servicer facilitator and a back-up maintenance coordinator facilitator at closing as well as a rating trigger to nominate a back-up servicer and a back-up maintenance coordinator at loss of investment grade of LPC. The appointment of a back-up maintenance coordinator upon downgrade of LPC will mitigate maintenance service disruptions to lessee’s thereby mitigating lease contract termination risk.In addition, the transaction provides certain structural features such as: (i) a liquidity reserve equal to [0.60]% of the Class A and Class B Notes initial balance amortising with a floor of EUR [ ]; (ii) a revolving period of 1 year which could lead to an asset quality drift although this is mitigated to some extent by the portfolio concentration limits and some early amortization events and (iii) a fixed-floating interest rate swap hedging the fixed-floating mismatch stemming from the Class A and B Notes paying a floating rate of interest and the portfolio made of fixed rate leases.Moody’s analysis focused, amongst other factors, on (i) an evaluation of the underlying portfolio of leases, which includes an exposure of around 17.8% to electrical and hybrid vehicles; (ii) back-up maintenance coordinator and back-up servicer solutions; (iii) the credit enhancement provided by subordination, reserve fund and the excess spread, as all assigned leases will be purchased at a discount rate of 5.0% and (iv) the liquidity support available in the transaction by way of principal to pay interest and the reserve fund.MAIN MODEL ASSUMPTIONSMoody’s determined the portfolio lifetime mean default rate of 2.75%, a stochastic recovery rate of 50% and Aaa portfolio credit enhancement (“PCE”) of 13.0% related to the lease installments. The expected defaults and recoveries capture our expectations of performance considering the current economic outlook, while the PCE captures the loss we expect the portfolio to suffer in the event of a severe recession scenario. Expected defaults and PCE are parameters used by Moody’s to calibrate its inverse normal portfolio loss distribution curve and to associate a probability with each potential future loss scenario in our ABSROM cash flow model.The transaction is exposed to RV risk. Moody’s applies its RV risk assessment to evaluate this risk. The Aaa (sf) and Aa2 (sf) baseline haircut for RV exposure in this French auto lease portfolio, after adjustment for its specific characteristics, is 38.50% and 30.5% respectively.These haircuts take into account (i) robustness of RV setting; (ii) good track record of car sales and (iii) comparatively low concentration in the RV maturity. The haircut is lower than the EMEA Auto ABS average and is based on Moody’s assessment of the pool which is mainly driven by (i) the originator’s quality to set residual values; (ii) historical portfolio performance and (iii) portfolio composition. Our RV analysis results in a residual value credit enhancement (RV CE) of 14.6% for the Aaa (sf) rated notes and 13.4% RV CE for the Aa2 (sf) rated notes.PRINCIPAL METHODOLOGYThe principal methodology used in these ratings was “Moody’s Global Approach to Rating Auto Loan- and Lease-Backed ABS” published in September 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1264141. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the ratings:Factors that may cause an upgrade of the ratings on the Class B Notes include a significant better than expected performance of the pool together with an increase in credit enhancement of the Notes.Factors that may cause a downgrade of the ratings on the Class A and B Notes include a significant decline in the overall performance of the pool and a significant deterioration of the credit profile of the originator.REGULATORY DISCLOSURESFor further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody’s evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. 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For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Greg O’Reilly Vice President – Senior Analyst Structured Finance Group Moody’s Investors Service Espana, S.A. Calle Principe de Vergara, 131, 6 Planta Madrid, 28002 Spain JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Armin Krapf VP – Senior Credit Officer Structured Finance Group JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Releasing Office: Moody’s Investors Service Espana, S.A. 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