DBRS Confirms Rating on Bumper CARS NL B.V.

DBRS has today confirmed the rating of AAA (sf) on Bumper CARS NL B.V.’s (Bumper CARS or the Issuer) Senior Loan.

Bumper CARS consists of a pool of lease receivables and residual value cash flows extended to corporate, government and small and medium enterprise customers secured by first ranking non-disclosed rights of pledge over the vehicles and related receivables. The portfolio is serviced by LeasePlan Nederland N.V. (the Servicer). The transaction comprises a two-year revolving period that will end in December 2014. During the revolving period and subject to certain conditions having been met, the Issuer purchased additional receivables from the Seller with the proceeds that would otherwise have been used to repay the outstanding amount of the Loans. On the 20 December 2014 payment date, the Senior Loan will begin to amortise as described in the normal amortisation period priority of payments.

Confirmation of the ratings for the Notes is based upon the following analytical considerations:

• Performance of the receivables is within DBRS expectations, in terms of defaults, level of delinquencies and the amount resulting from the sales of vehicles compared with the residual value as of the 26 September 2014 reporting date.
• Current available credit enhancement to the Senior Loan to cover the expected losses at the AAA (sf) rating level.

The current level of delinquencies and defaults are low and stable. Delinquencies more than 90 days were 0.30%. As of the recent reporting date, the cumulative default ratio was 0.65%.

Credit enhancement for the Senior Loan is provided by a subordinated loan. Current credit enhancement for the Senior Loan as a percentage of the drawn amount of the senior and subordinated loans is 28.0%, the same level as at the initial rating.

The transaction benefits from a liquidity reserve fund of €6,000,000 (i.e., 1.20% of the Senior Loan drawn amount at the beginning of the period) and excess spread.

ABN AMRO Bank N.V. is the account bank for the transaction. The DBRS public rating of ABN AMRO Bank N.V. at A (high) complies with the DBRS Legal Criteria for European Structured Finance Transactions, given the rating of the Senior Loan.

Notes:
All figures are in euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release and can be found at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on structured finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”: http://www.dbrs.com/research/239786/the-effect-of-sovereign-risk-on-securitisations-in-the-euro-area.pdf.

The sources of information used for this rating include investor reports provided by the Servicer. 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.

The last rating action on this transaction took place on 17 December 2013, when DBRS confirmed the ratings of AAA (sf) to the Senior Loan.

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared with the parameters used to determine the rating (the Base Case):
• DBRS expected a Base Case probability of default (PD), loss given default (LGD) and a residual value loss (RVL) for the pool based on a review of the transaction performance. 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 RVL of the current pool of receivables are 1.28%, 55% and 45.39%, respectively.
• The risk sensitivity overview below illustrates the ratings expected for the Senior Loan if the combination of LGD, PD and RVL increases by a certain percentage over the Base Case assumption. For example, if the PD and LGD increase by 50%, the rating for the Senior Loan would be expected to remain at AAA (sf), all else being equal. If the RVL percentage increases by 50%, the rating for the Senior Loan would be expected to be at AA (low) (sf), all else being equal. If the PD and LGD and the RVL increase by 50%, the rating of the Senior Loan would be expected to be at A (high) (sf), all else being equal.

Senior Loan Risk Sensitivity:

• 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 RVL, expected rating of AAA (sf).
• 50% increase in RVL, expected rating of AA (low) (sf).
• 25% increase in PD and LGD, 25% increase in RVL, expected rating of AA (high) (sf).
• 25% increase in PD and LGD, 50% increase in RVL, expected rating of AA (low) (sf).
• 50% increase in PD and LGD, 25% increase in RVL, expected rating of AA (high) (sf).
• 50% increase in PD and LGD, 50% increase in RVL, expected rating of A (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Alexander Garrod
Initial Rating Date: 06 December 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Diana Turner

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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies and are as follows:

• Legal Criteria for European Structured Finance Transactions.
• 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.
• Derivative Criteria for European Structured Finance Transactions.