DBRS Confirms Ratings on Class A and Class B Notes of Bumper 7 S.A.

DBRS Ratings Limited (DBRS) confirmed its ratings on the Class A Notes and Class B Notes (the Rated Notes) issued by Bumper 7 S.A. (the Issuer) at AAA (sf) and AA (high) (sf), respectively.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and cumulative net losses, as of the January 2018 payment date;
-- Probability of Default (PD), Loss Given Default (LGD) and Residual Value (RV) loss assumptions for the collateral pool; and
-- The current credit enhancement (CE) available to the Class A Notes and Class B Notes to cover the expected losses at the AAA (sf) and AA (high) (sf) rating levels, respectively.

The ratings address the timely payment of interest and the ultimate repayment of principal payable on or before the Maturity Date in March 2026.

The Issuer is a securitisation of auto lease receivables and their expectancy rights extended to clients in Germany by LeasePlan Deutschland GmbH (LPDE). As of 31 December 2017, the EUR 530.9 million portfolio comprised leases for new and old vehicles respectively representing 99.6% and 0.4% of the outstanding balance. The leases were granted to corporate, small and medium-sized enterprise (SME) and government clients. Currently, corporate customers represent 90.3% of the outstanding collateral balance, whereas SME and government clients amount to 8.7% and 1.0% of the pool balance, respectively. The expectancy rights to the returned leased vehicles (residual value) associated with the auto leases were securitised and comprise 64.4% of the current portfolio balance.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of 31 December 2017, leases more than 30 days delinquent represented 0.08% of the outstanding collateral pool balance, while leases more than 90 days delinquent represented 0.01% of the pool balance. The cumulative default ratio, as a percentage of the original portfolio balance including further receivables purchased during the revolving period, was at 0.8%.

DBRS updated its base-case default assumption to 1.8% and maintained the recovery rate assumption at 49.4%, resulting in a LGD assumption of 50.6%. The RV Loss assumption has been maintained at 41.1% and 38.8% at the AAA (sf) and AA (high) rating levels, respectively.

CREDIT ENHANCEMENT AND RESERVES
CE is provided primarily through the subordination of the respective junior obligations. As of the January 2018 payment date, the CE available to the Class A Notes increased to 41.5%, up from 30.6% at the last annual review, and the CE available to the Class B Notes increased to 32.3%, up from 23.8%.

The liquidity reserve was fully funded on the issue date and is currently at its target amount of EUR 2.1 million. Furthermore, the commingling, set-off and maintenance reserves are also fully funded, given the ongoing occurrence of the Reserve Trigger Event.

BNP Paribas Securities Services SCA, London Branch (BNPSS) acts as the Account Bank for the transaction. The DBRS private rating of BNPSS complies with the Minimum Institution Rating, given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

BNP Paribas S.A. (BNP) acts as Swap Counterparty to the transaction. BNP’s DBRS Long Term Critical Obligations Rating of AA (high) meets the first rating threshold, given the rating assigned to the Class A Notes, as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the rating 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 documents have remained unchanged since the most recent rating action.

Other methodologies referenced in the 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating action includes the investor reports and loan-by-loan data provided by LPDE.

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

At the time of the initial rating, DBRS was 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 this rating 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 26 April 2017, when DBRS confirmed its ratings on the Class A and Class B Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available at 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):

-- DBRS expected a base case PD and LGD 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.

-- PD rates used: Base Case PD of 1.8%;
-- Recovery rates used: Base Case Recovery Rate of 49.4%;
-- LGD rates used: Base Case LGD of 50.6%; and
-- RV Loss used: RV Loss of 41.1% at the AAA (sf) stress level, and 38.8% at the AA (high) stress level. Both scenarios have a 25% and 50% increase in RV Loss.

-- 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 assumptions. For example, if both 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. 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 either the PD or LGD. Furthermore, if both the PD and LGD as well as the RV loss increase by 50%, the rating on the Class A Notes would be expected to be at AA (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 both PD and LGD, expected rating of AAA (sf)
-- 50% increase in both PD and LGD, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 25% increase in RV loss, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 50% increase in RV loss, expected rating of AA (high) (sf)
-- 50% increase in both PD and LGD and 25% increase in RV loss, expected rating of AAA (sf)
-- 50% increase in both PD and LGD and 50% increase in RV loss, expected rating of AA (sf)

Class B Notes risk sensitivity:
-- 25% increase in RV loss, expected rating of AA (high) (sf)
-- 50% increase in RV loss, expected rating of A (low) (sf)
-- 25% increase in both PD and LGD, expected rating of AA (high) (sf)
-- 50% increase in both PD and LGD, expected rating of AA (high) (sf)
-- 25% increase in both PD and LGD and 25% increase in RV loss, expected rating of AA (sf)
-- 25% increase in both PD and LGD and 50% increase in RV loss, expected rating BBB (high) (sf)
-- 50% increase in both PD and LGD and 25% increase in RV loss, expected rating of A (high) (sf)
-- 50% increase in both PD and LGD and 50% increase in RV loss, expected rating of BBB (high) (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, Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 5 April 2016

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The rating methodologies 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
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Rating CLOs Backed by Loans to European SMEs
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.