DBRS Confirms Bumper NL B.V. Senior Loan Rating at AAA (sf)

DBRS Ratings Limited (DBRS) has today confirmed Bumper NL B.V.’s (the Issuer) Senior Loan rating at AAA (sf).

The confirmation is based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of defaults and level of delinquencies, as of the November 2015 payment date is within DBRS’s expectations.
-- Current available credit enhancement to the Senior Loan.

Bumper NL B.V. represents a securitisation of a portfolio of lease receivables and residual value cash flows extended to corporate, government and small- and medium-sized enterprise (SME) customers granted by LeasePlan Nederland N.V. (LPNL or the Seller) in the Netherlands. The transaction has used the proceeds of the Senior Loan and Subordinated Loan to purchase the €333 million initial portfolio. The portfolio is serviced by LPNL.

The portfolio is in its revolving period and its performance is in line with DBRS’s expectations. As of November 2015, the gross cumulative default ratio as a percentage of total receivables purchased by Issuer since closing is 0.25% and the 90-day plus delinquency ratio as a percentage of the outstanding receivables is 0.13%.

The Senior Loan is supported by subordination of the Subordinated Loan. Credit enhancement for the Senior Loan remains at 25%.

ABN Amro Bank N.V. serves as account bank for the transaction. The DBRS rating for the account bank meets the Minimum Institution Rating criteria given the rating assigned to the Senior Loan, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology,” which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Due to the inclusion of a revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents. These assumptions have not changed and the asset and cash flow analysis were conducted for informational purposes.

A review of the transaction legal documents was not conducted as the 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 DBRS “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include investor reports and loan-by-loan data provided by Intertrust Group.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This is the first rating action since the Initial Rating Date. The lead responsibilities for this transaction have been transferred to Kevin Ma.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- Probability of Default (PD) Rate Used: Base Case PD at AAA (sf) of 4.23%, a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Base Case Recovery Rate of 54.57% or Loss Given Default (LGD) 45.43%.
-- Residual Value Loss: Base Case at AAA (sf) of 45.39%, a 25% and 50% increase in Residual Value Loss.

DBRS concludes that for the Senior Loan:
-- A hypothetical increase of the Base Case PD and LGD by 25%, ceteris paribus, would lead to maintaining the rating of the Senior Loan at AAA (sf).
-- A hypothetical increase of the Base Case PD and LGD by 50%, ceteris paribus, would lead to maintaining the rating of the Senior Loan at AAA (sf).
-- A hypothetical increase of the Base Case Residual Value Loss by 25%, ceteris paribus, would lead to maintaining the Senior Loan at AAA (sf).
-- A hypothetical increase of the Base Case Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Senior Loan to AA (low) (sf).
-- A hypothetical increase of the Base Case PD and LGD by 25% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Senior Loan to AA (high) (sf).
-- A hypothetical increase of the Base Case PD and LGD by 50% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Senior Loan to AA (high) (sf).
-- A hypothetical increase of the Base Case PD and LGD by 25% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Senior Loan to A (high) (sf).
-- A hypothetical increase of the Base Case PD and LGD by 50% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Senior Loan to A (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (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 regulations only.

Initial Lead Analyst: David Sanchez Rodriguez
Initial Rating Date: 17 December 2014
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Kevin Ma
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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United Kingdom
Registered in England and Wales: No. 7139960

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
-- Derivative Criteria for European Structured Finance
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375