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

DBRS Ratings Limited (DBRS) has taken the following rating actions on the Class A Notes and the Class B Notes (the Notes) issued by Bumper 6 (NL) Finance B.V. (Bumper 6):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AAA (sf) from 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 AAA (sf) rating level.

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 AND ASSUMPTIONS
The receivables pool is amortising and the current pool factor is 39.3%. The receivables pool is performing within DBRS’s expectations. As of 30 September 2017, the cumulative default as a percentage of the discounted portfolio balance at the transaction closing plus additional purchases was 0.73%, below DBRS’s 1.58% lifetime default assumption. The outstanding delinquencies remain low. Receivables more than 30 days and more than 90 days delinquent but not defaulted were at 0.21% and 0.08%, respectively, 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) Haircut at 1.58%, 45.43% and 45.39%, respectively.

CREDIT ENHANCEMENT AND RESERVE
The CE available to the Notes has increased as the transaction gradually repays sequentially. As of the 19 October 2017 payment date, the available CE increased to 76.08% for the Class A Notes, and to 63.28% for the Class B Notes. The CE is provided through the subordinated Notes and the Subordinated Loan. Additionally, 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 to the transaction. ABN’s reference rating of AA (low), being one notch below ABN’s DBRS Long Term Critical Obligations Rating of AA, meets the Minimum Institution Rating criteria, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, and complies with the first rating threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “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.

A review of the transaction legal documents was not conducted as the legal documents 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 data and information used for these ratings are loan-by-loan data from European DataWarehouse GmbH as well as monthly investor reports provided by the Servicer, Leaseplan Nederland N.V.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 28 October 2016, when DBRS confirmed the ratings on all the rated notes.

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 ratings (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 and LGD of the remaining pool of receivables are 1.58% and 45.43%, respectively. The RV Haircut applied to the RV portion of the remaining pool is 45.39%, which corresponds to a RV Loss of 27.36%. At the AAA (sf) rating level, the PD and RV Loss are 9.48% and 27.36%, 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 Risk 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 Risk 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)

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 and US regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 28 October 2014

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

-- Master European Structured Finance Surveillance Methodology
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Unified Interest Rate Model for European Securitisations
-- Operational Risk Assessment for European Structured Finance Servicers

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