DBRS Takes Rating Action on Bumper 6 (NL) Finance B.V.

DBRS Ratings Limited (DBRS) has today confirmed its Class A and Class B ratings of Bumper 6 (NL) Finance B.V. The current ratings are as follows:

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

Bumper 6 (NL) Finance B.V. is a pool of lease receivables and residual value (RV) cash flows extended to corporate, governmental and small and medium-sized enterprise customers and granted by LeasePlan Nederland N.V. in the Netherlands. The portfolio is serviced by LeasePlan Nederland N.V. The transaction closed on 12 November 2014. There is an initial revolving period within the transaction which is scheduled to expire on 21 December 2015. During the amortisation period, the transaction’s priority of payments allows for the full sequential
amortisation of the Class A Notes and the Class B Notes.

The confirmations are based upon the following analytical considerations:

-- Portfolio performance of the receivables in terms of arrears and cumulative net losses as of the October 2015 payment date.
-- Updated default, recovery and loss assumptions on the remaining receivables balance.
-- Current available credit enhancement for each class of notes to cover the expected losses at the respective rating level.

As of the October 2015 payment date, 31-day to 60-day delinquencies and 61-day to 90-day delinquencies are currently 0.12% and 0.12%, respectively. The cumulative gross default ratio (calculated on the initial collateral balance) is currently 0.26%.

Subordination to the Class A Notes (as a percentage of the collateral balance) is equal to 29.93%, composed of the Class B and Class C Notes.

The Notes are supported by the €4 million liquidity reserve fund which covers senior fees, net swap payments and interest payment shortfalls on the Notes.

ABN AMRO Bank N.V. S.A. is the Account Bank for the transaction. The DBRS public rating of ABN AMRO Bank N.V. complies with the threshold for the Account Bank given the rating assigned to Class A, as described in the DBRS “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.

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction, and no change in assumptions, the initial analysis based on worst case replenishment criteria set forth in the transaction legal documents was assumed.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “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 servicer reports provided by LeasePlan Nederland N.V. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. 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 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 12 November 2014, when DBRS issued the ratings to the Class A and Class B notes.

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 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 Residual Value Loss for the portfolio based on a review of the current assets. 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 and LGD of the current pool of receivables are 1.58% and 45.43%, respectively.
-- Residual Value Loss: For the Class A Notes, a stressed residual value of 21.79% and for the Class B Notes a stressed value of 20.64%.

DBRS concludes that for the Class A:
-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case Residual Value Loss by 25%, ceteris paribus, would lead to the Class A Notes maintaining 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 Class A Notes to 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 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (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 Class A Notes 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 Class A Notes to 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 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).

DBRS concludes that for the Class B:
-- A hypothetical increase of the base case PD and LGD by 25%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating.
-- A hypothetical increase of the base case PD and LGD by 50%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating.
-- A hypothetical increase of the base case Residual Value Loss by 25%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating.
-- A hypothetical increase of the base case Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (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 25%, ceteris paribus, would lead to the Class B Notes maintaining a 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 Class B Notes 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 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to A (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 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to 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
Initial Rating Date: 12 November 2014
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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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

-- 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.

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.