DBRS Confirms Ratings on the Notes Issued by Bumper 7 S.A.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Notes issued by Bumper 7 S.A. (Bumper 7) as follows:

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)

Today’s rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies, defaults and residual value losses.
-- Portfolio Default Rate (PD), Recovery Rate and Residual Value Loss (RV Loss) assumptions for the collateral pool.
-- The credit enhancement available to the Notes to cover the expected losses at their respective rating levels.

Bumper 7 closed in April 2016 and is a securitisation of auto lease receivables and their expectancy rights extended to corporate, governmental and small and medium-sized enterprise (SME) customers granted in Germany by LeasePlan Deutschland GmbH (LPDE). The transaction is in a revolving period that will end on the transaction’s payment date in May.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
Since the transaction’s closing, the lease receivable arrears have been low. As of Feb 2017, the contracts more than 90 days delinquent as a percentage of the outstanding portfolio balance was at 0.01%. The cumulative default as a percentage of the initial portfolio balance plus the subsequent replenishments was 0.12%. Losses realised from the sale of the returned vehicles as a percentage of the book values of the sold vehicles was 1.2%, or 13.5% when excluding the compensation payments.

The portfolio’s performance is within DBRS’s expectations. As a result, DBRS has maintained its performance assumptions on the portfolio as follows: portfolio default rate at 0.46%, portfolio recovery rate at 49.44% and RV Loss at the AAA (sf) stress level at 41.14%.

CREDIT ENHANCEMENT
As the transaction is in the revolving period, the balances of the collateral portfolio and the Notes remain unchanged. Consequently, the credit enhancement available to the Class A and B Notes remained the same at 30.61% and 23.79%, respectively. The source of credit enhancement is the subordinated loans.

BNP Paribas Securities Services S.C.A. (BNP Securities) is the Account Bank for the transaction. BNP Securities’ private DBRS Issuer and Senior Debt rating, along with an “A” replacement rating trigger, meets the Minimum Institution Rating criteria given the AAA (sf) rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

BNP Paribas S.A. (BNP) is the swap counterparty to the transactions. BNP’s DBRS Long-Term Critical Obligations Rating of AA (high) meets the minimum required rating as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the AAA (sf) rating assigned to the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating is “Master European Structured Finance Surveillance Methodology.”

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

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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 commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The source of data and information used for this rating includes the monthly investor reports from LPDE.

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

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

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

DBRS 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 28 April 2016 when DBRS finalised the ratings on the Class A Notes at AAA (sf) and the Class B Notes at AA (high) (sf).

The lead analyst responsibilities for this transaction have been transferred to Kevin Ma.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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):

-- The Base Case PD is 0.46% and the recovery rate is 49.44%. The RV Loss at the AAA (sf) rating level is 41.14%, and 36.39% at the AA (high) (sf) rating level.

-- The Risk Sensitivity overview below illustrates the rating expected if the PD and RV Loss increase by a certain percentage over the Base Case assumption. For example, if the RV Loss increases by 50%, the rating on the Class A Notes would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AAA (sf), assuming no change in the RV Loss. Furthermore, if both the PD and the RV Loss increase by 50%, the rating on the Class A Notes would be expected to be at AAA (sf).

Class A Notes risk sensitivity:
-- 25% increase in RV Loss, expected rating of AAA (sf)
-- 50% increase in RV Loss, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in RV Loss, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in RV Loss, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in RV Loss, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in RV Loss, expected rating of AAA (sf)

Class B Notes risk sensitivity:
-- 25% increase in RV Loss, expected rating of AA (high) (sf)
-- 50% increase in RV Loss, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in RV Loss, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in RV Loss, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in RV Loss, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in RV Loss, expected rating of AA (low) (sf)

For further information on DBRS 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 regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Chuck Weilamann, Managing Director
Initial Rating Date: 5 April 2016

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
-- Master European Structured Finance Surveillance Methodology
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

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.