DBRS Confirms Ratings on Bumper 6 (NL) Finance B.V.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Class A Notes and the Class B Notes issued by Bumper 6 (NL) Finance B.V. (Bumper 6) as follows:

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

The confirmations are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults.
-- Actual gross default rate, recovery rate and losses are within DBRS’s expectations.
-- Current credit enhancement (CE) available to the Notes to cover the expected losses at the respective rating levels.

Bumper 6 closed in November 2014 and is a securitisation of Dutch auto lease receivables and residual value cash flows. The lessees are corporate, government and small- and medium-sized enterprises (SME) customers. Leaseplan Nederland N.V. (LPNL) is the originator and the servicer on these lease contracts.

Portfolio Performance
The receivables pool is amortising and the current pool factor is 69.1%. The receivables pool is performing within DBRS’s expectations. As of 30 September 2016, the cumulative default as a percentage of the discounted portfolio balance at the transaction closing plus additional purchases was 0.61%, below DBRS’s 1.58% lifetime default assumption. The outstanding delinquencies remain low. Receivables more than 90 days delinquent but not defaulted were at 0.06% of the outstanding discounted portfolio balance. DBRS maintained its base case assumptions of the Probability of Default (PD) rate, the Loss Given Default (LGD) rate and Residual Value (RV) Loss at 1.58%, 45.43% and 24.88%, respectively.

Credit Enhancement
The CE available to the Notes has increased as the transaction gradually repays sequentially. As of the 19 October 2016 payment date, the available CE increased to 43.31% for the Class A Notes, and to 36.06% for the Class B Notes. The CE is provided through the subordinated Notes and the Subordinated Loan.

The transaction benefits from a non-amortising Liquidity Reserve, currently at its floor level of EUR 3.5 million. The Liquidity Reserve provides liquidity support in the transaction and is available to cover senior expenses and interest due on the Notes.

ABN AMRO Bank N.V. (ABN) acts as the Account Bank and the Swap Counterparty for the transaction. ABN’s reference rating of AA (low), being one notch below ABN’s DBRS Long Term Critical Obligations Rating at AA, meets the Minimum Institution Rating criteria, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, and meets the minimum required rating as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the 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.

On 2 March 2016, Deloitte LLP replaced KPMG LLP as back-up maintenance coordinator for the transaction. DBRS reviewed the related amendment documents. A review of any other transaction legal documents was not conducted as they 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 sources of information used for this rating are the monthly investor reports provided by Leaseplan Nederland N.V. and the loan-by-loan data file from European Data Warehouse GmbH.

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 to be 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.

The last rating action on this transaction took place on 11 November 2015, when DBRS confirmed the Class A and Class B Notes ratings.

The lead 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):

-- DBRS expected a base case PD, LGD, and RV Loss for the 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 Loss of the remaining pool of receivables are 1.58%, 45.43% and 24.88%, respectively. At AAA (sf) level, the PD and RV Loss are 9.48% and 45.39%, respectively. At AA (high) (sf) level, the PD and RV Loss are 6.23% and 42.99%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD, LGD 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 and LGD. If the PD and LGD increase 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 the PD, LGD and RV Loss increase by 50%, the rating on the Class A Notes would be expected to be at AAA (sf).

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

Class B Notes 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 and LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and LGD and 25% increase in RV Loss, expected rating of AA (high) (sf)
-- 25% increase in PD and LGD and 50% increase in RV Loss, expected rating of A (high) (sf)
-- 50% increase in PD and LGD and 25% increase in RV Loss, expected rating of AA (high) (sf)
-- 50% increase in PD and LGD and 50% increase in RV Loss, expected rating of A (high) (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.

Initial Lead Analyst: David Sanchez
Initial Rating Date: 28 October 2014
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Senior Vice President

DBRS Ratings Limited
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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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

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