DBRS Assigns Rating to Bumper NL B.V.

DBRS Ratings Limited (DBRS) has today assigned a rating to the following notes issued by Bumper NL B.V. (the Borrower or the Purchaser):

-- €249,750,000 Senior Loan at AAA (sf)

Bumper NL B.V. represents a securitisation of a portfolio of lease receivables and residual value cash flows extended to corporate, governmental 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 will be serviced by LPNL.

The ratings are based on review by DBRS of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement; the Senior Loan’s 25% credit enhancement consists of subordination of the Subordinated Loan. The Senior Loan will start to amortise at the end of the revolving period (24 months) or upon the occurrence of an Early Amortisation Trigger Event. The amortisation of principal on the Senior Loan will be fully sequential with no payment of principal on the Subordinated Loan until the Senior Loan is redeemed in full. Throughout the revolving period, principal collections will be used to purchase new lease receivables according to the eligibility criteria and replenishment criteria detailed within the transaction documents. The Senior Loan also benefits from a €2 million liquidity reserve that covers senior fees, net swap payments and interest payment shortfalls on the Senior Loan.
-- The rating of the Senior Loan addresses the timely payment of interest (excluding the Step-Up Amount) and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the Senior Loan.
-- The portfolio consists of 100% lease receivables paying an effective fixed interest rate while the Senior Loan pays a floating interest rate. The transaction entered into a fixed to floating interest rate swap to mitigate the risk that may arise from any mismatch between the effective fixed interest rate paid by the portfolio of receivables and the one-month Euribor index paid on the Senior Loan.
-- The transaction has a high degree of linkage to LPNL. Commingling, Maintenance and Set-Off Reserves were established to mitigate against LPNL risk. Furthermore, following the occurrence of certain triggers detailed in the transaction documents, a Backup Servicer will be appointed.
-- Transaction cash flows have significant exposure to residual value risk. The Replenishment Criteria limit residual value to 48% of the portfolio. DBRS has assumed the maximum residual value exposure in its cash flow analysis.
-- As of 30 November 2014, the initial portfolio’s main characteristics as a percentage of the discounted balance include: (1) 18,319 lease contracts and €18,178 average lease contract where the top 15 clients represent 20.89%; (2) 53.36 months weighted-average (WA) original term, 28.86 months WA remaining term and 25.35 months seasoning; (3) 100% of the auto lease receivables are tied to a fixed rate with a WA effective interest rate of 3.78%, whereas the initial portfolio discounted rate is 5%. (4) 74.97% of the auto leases were granted to Corporate, 23.20% to SMEs and 1.82% to Government entities; (5) 79.60% are closed calculation lease contracts; (6) 82.57% are lease contracts related to passenger cars and 13.46% light commercial vehicles (7) 98.55% relate to new vehicles and the top 3 geographical concentrations by postal town are Amsterdam (9.32%), Rotterdam (6.90%) and Utrecht (4.44%); (8) the top three concentrations by vehicle brand are Volkswagen (14.83%), Audi (10.56%) and Volvo (9.87%); and (10) the initial portfolio residual value component represents 46.39%.
-- Relevant credit enhancement is in the form of subordination. Credit enhancement levels are sufficient to support DBRS-projected expected credit and residual value loss assumptions under various stress scenarios at AAA (sf).
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of LPNL to manage collections activities on the collateral.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions.”

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is Rating European Consumer and Commercial Asset-Backed Securitisations. 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.

The sources of information used for this rating include the LPNL and LPC. 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 rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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 Rate Used: Base Case PD of 1.58%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base case Recovery Rate of 54.57%.
• Residual Value Loss: Base Case AAA (sf) of 45%, 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 a AAA (sf) rating.
• 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 a AAA (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 25%, ceteris paribus, would lead to maintaining the Senior Loan at a AAA (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Senior Loan to an AA (low) (sf) rating.
• 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 an AA (high) (sf) rating.
• 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 an AA (high) (sf) rating.
• 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 an AA (low) (sf) rating.
• 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 an A (high) (sf) rating.

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

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

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

Rating European Consumer and Commercial Asset-Backed Securitisations
Legal Criteria for European Structured Finance Transactions
Operational Risk Assessment for European Structured Finance Servicers
Derivative Criteria for European Structured Finance Transactions
Unified Interest Rate Model for U.S. and European Structured Credit