DBRS Finalises Ratings Assigned to Bumper 7 S.A.

DBRS Ratings Limited (DBRS) has today finalised, as follows, the provisional ratings previously assigned to the notes issued by Bumper 7 S.A. (the Issuer):

-- Class A Notes: AAA (sf);
-- Class B Notes: AA (high) (sf).

The notes are backed by a €721 million pool of receivables related to motor vehicle lease contracts originated by LeasePlan Deutschland GmbH (LeasePlan Germany).

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

-- The transaction’s capital structure and form and sufficiency of available credit enhancement.
-- The potentially worsening effect of the revolving period in accordance with the eligibility criteria and concentration limits envisaged in the transaction documents.
-- Credit enhancement in the form of subordination from the Class B Notes, overcollateralisation and a fully funded liquidity reserve from the issuance date.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at a AAA (sf) and AA (high) (sf) standard for the Class A Notes and Class B Notes, respectively.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- LeasePlan’s experience as an originator, underwriter and servicer and the financial strength of the multinational leasing company they are a part of.
-- The credit quality of the underlying collateral and the ability of LeasePlan to perform collection 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” methodology.

The transaction was modelled in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

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

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

Other methodologies referenced in this transaction are listed at the end of this press release. This 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 include performance data relating to receivables provided by LeasePlan Germany directly or through its holding company, LeasePlan Corporation N.V. DBRS received historical gross loss and recovery data relating to LeasePlan Germany originations by monthly and quarterly vintages on a cumulative gross loss basis dating back to September 2009. Data was also provided relating to delinquencies, prepayment and residual value (RV) loss, the latter on loan-by-loan basis dating back to 2008. LeasePlan provided a detailed summary and an amortisation schedule of the portfolio provisionally selected by LeasePlan Germany as at 31 March 2016 and detailed summary of the portfolio assigned on the issue date that allowed DBRS to further assess the collateral. 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 has been 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.

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

This rating was disclosed to LeasePlan Germany and LeasePlan Corporation N.V.

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 (PD): Base Case of 0.46%, a 25% and 50% increase on Base Case PD
-- Residual Value (RV) Loss: Base Case of 41.14% for the Class A Notes, and 38.74% for the Class B Notes. In both scenarios a 25% and 50% increase in RV Loss was applied

DBRS concludes that for the Class A Notes:

-- A hypothetical increase of the PD and loss given default (LGD) rates by 25%, ceteris paribus, would lead to the class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the PD and LGD rates by 50%, ceteris paribus, would lead to the class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, and a hypothetical increase of the PD and LGD Rates by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, and a hypothetical increase of the PD and LGD Rates by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50%, and a hypothetical increase of the PD and LGD Rates by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50% and a hypothetical increase of the PD and LGD Rates by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating

DBRS concludes that for the Class B Notes:

-- A hypothetical increase of the PD and LGD rates by 25%, ceteris paribus, would lead to the class B Notes maintaining a AA (high) (sf) rating
-- A hypothetical increase of the PD and LGD rates by 50%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25% and a hypothetical increase of the PD and LGD Rate by 25%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 25% and a hypothetical increase of the PD and LGD Rate by 50%, ceteris paribus, would lead to the Class B Notes maintaining a AA (high) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to a AA (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50% and a hypothetical increase of the PD and LGD Rate by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a AA (low) (sf) rating
-- A hypothetical increase of the RV Loss Rate by 50% and a hypothetical increase of the PD and LGD Rate by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to AA (low) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (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: Paolo Conti
Initial Rating Date: 5 April 2016
Initial Rating Committee Chair: Erin Stafford

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 are listed below:

--Rating European Consumer and Commercial Asset-Backed Securitisations (1 October 2015)
--Legal Criteria for European Structured Finance Transactions (21 September 2015)
--Derivative Criteria for European Structured Finance Transactions (30 September 2015)
--Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
--Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 October 2015)

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

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