DBRS Confirms Class A and Class B Notes Issued by Bumper 9 (NL) Finance B.V.

DBRS Ratings Limited (DBRS) confirmed its ratings on the Class A and Class B Notes (the Rated Notes) issued by Bumper 9 (NL) Finance B.V. (Bumper 9) at AAA (sf) and AA (sf), respectively.

The ratings on the Class A and Class B Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies and defaults.
-- Probability of default (PD), loss given default (LGD) and residual value (RV) haircut assumptions on the remaining receivables.
-- The current credit enhancement (CE) available to the Class A and Class B Notes to cover the expected losses at the AAA (sf) and AA (sf) rating levels, respectively.

Bumper 9 is a securitisation of auto lease receivables and RV claims granted and serviced by LeasePlan Nederland N.V. (LPNL) to corporate, small- and medium-sized enterprises (SME) and public-sector clients in the Netherlands. The transaction is currently in its one-year revolving period scheduled to end on 22 August 2018.

As of 31 May 2018, the EUR 700.0 million revolving portfolio comprised leases for new and used vehicles respectively representing 95.2% and 4.8% of the outstanding balance. Currently, corporate customers represent 81.8% of the outstanding collateral balance, whereas SME and government clients amount to 16.4% and 1.8% of the pool balance, respectively. The RV claims associated with the auto leases were securitised and comprise 48.0% of the current portfolio balance.

PORTFOLIO PERFORMANCE
As of the end of May 2018, lease receivables more than 90 days delinquent represented 0.1% of the outstanding portfolio balance and the cumulative default rate represented 0.3% of the original portfolio balance including the additional replenishment amounts. Both arrears and defaults remained low and within DBRS’s expectations. The current cumulative recovery rate amounts to 22.2%.

PORTFOLIO ASSUMPTIONS
DBRS has maintained its base case default rate at 1.9%. The base case recovery rates for the AAA (sf) and AA (sf) rating levels have been maintained at 47.3% and 49.8%, respectively. The RV haircut assumptions for the AAA (sf) and AA (sf) rating levels have been maintained at 42.0% and 38.5%, respectively.

CREDIT ENHANCEMENT
The transaction is revolving until August 2018. As a result, the CE available to the Class A and Class B Notes has remained constant since closing at 22.5% and 18.0%, respectively. The source of CE for the Rated Notes consists of their respective subordination. The transaction benefits from an amortising Liquidity Reserve that provides liquidity support to the Rated Notes. The Liquidity Reserve is sized at 0.5% of the Rated Notes’ balance and is currently at its target amount of EUR 2.9 million

ABN AMRO Bank N.V. (ABN AMRO) is the main account bank provider in this transaction. On the basis of the account bank reference rating of ABN AMRO of AA (low), being one notch below the DBRS public Long-Term Critical Obligations Rating (COR) of AA, and the mitigants outlined in the transaction documents, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

ABN AMRO is also the swap counterparty in this transaction. The COR rating of ABN AMRO is above the First Rating Threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to the Class A Notes.

Notes:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction’s 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 “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 these ratings include investor reports provided by LPNL.

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 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 13 July 2017, when DBRS finalised the provisional ratings assigned to the Rated Notes.

The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.
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 with the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a base case PD, LGD and RV haircut for the revolving collateral 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, LGD and RV haircut assumptions for the revolving pool of leases are:
PD of 1.9%, LGD of 52.7% at AAA (sf) and LGD of 50.2% at AA (sf), RV haircut of 42.0% at AAA (sf) and 38.5% at AA (sf).

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD, LGD and RV haircut 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 AA (high) (sf), assuming no change in the RV haircut. If the RV haircut increases by 50%, the rating on the Class A Notes would be expected to be at A (high) (sf), assuming no change in either the PD or LGD. Furthermore, if both the PD and LGD as well as the RV haircut increase by 50%, the rating on the Class A Notes would be expected to be at A (sf).

Class A Notes Sensitivity:
-- 25% increase in RV haircut, expected rating of AA (high) (sf)
-- 50% increase in RV haircut, expected rating of A (high) (sf)
-- 25% increase in both PD and LGD, expected rating of AAA (sf)
-- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AA (sf)
-- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of A (high) (sf)
-- 50% increase in both PD and LGD, expected rating of AA (high) (sf)
-- 50% increase in both PD and LGD and 25% increase in RV haircut, expected rating of AA (low) (sf)
-- 50% increase in both PD and LGD and 50% increase in RV haircut, expected rating of A (sf)

Class B Notes Sensitivity:
-- 25% increase in RV haircut, expected rating of A (high) (sf)
-- 50% increase in RV haircut, expected rating of A (low) (sf)
-- 25% increase in both PD and LGD, expected rating of AA (sf)
-- 25% increase in both PD and LGD and 25% increase in RV haircut, expected rating of A (high) (sf)
-- 25% increase in both PD and LGD and 50% increase in RV haircut, expected rating of A (low) (sf)
-- 50% increase in both PD and LGD, expected rating of AA (low) (sf)
-- 50% increase in both PD and LGD and 25% increase in RV haircut, expected rating of A (sf)
-- 50% increase in both PD and LGD and 50% increase in RV haircut, expected rating of A (low) (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: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 26 June 2017

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The rating methodologies used in the analysis of these 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 Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Rating CLOs Backed by Loans to European SMEs

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.