DBRS Confirms and Upgrades Ratings on Bumper 9 (NL) Finance B.V.

DBRS Ratings Limited (DBRS) took the following rating actions on the Notes issued by Bumper 9 (NL) Finance B.V. (the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)

The ratings on the Class A Notes and Class B Notes (together, the Rated Notes) address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date of July 2031.

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

-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Probability of default (PD), loss given default (LGD) and residual value (RV) haircut assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.

The Issuer is a securitisation of auto lease agreements to corporate, small and medium-sized enterprises (SMEs) and public-sector clients in the Netherlands granted by LeasePlan Nederland N.V. (LPNL). The revolving period ended on 22 August 2018 and the transaction has been deleveraging since this time.

On 17 June 2019, DBRS transferred the ongoing coverage of the ratings assigned to the Issuer to DBRS Ratings Limited from DBRS Ratings GmbH. The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

Both DBRS Ratings Limited and DBRS Ratings GmbH are registered with the European Securities and Markets Authority (ESMA) under Regulation (EC) No. 1060/2009 on Credit Rating Agencies, as amended, and are registered Nationally Recognized Statistical Rating Organization (NRSRO) affiliates in the United States and Designated Rating Organization (DRO) affiliates in Canada.

PORTFOLIO PERFORMANCE
As of the May 2019 payment date, two- to three-month arrears represented 0.3% of the outstanding portfolio balance, up from 0.2% at the May 2018 payment date. As of the May 2019 payment date, the 90+ delinquency ratio was 0.1%, up from 0.0% at the May 2018 payment date. As of the May 2019 payment date, the cumulative default ratio was 0.6%.

PORTFOLIO ASSUMPTIONS
DBRS has updated its base case net loss assumption to 0.55% from 0.52% to reflect the current portfolio composition in terms of company type (corporate, SMEs or public-sector clients). The RV haircut assumptions at the AAA (sf) and AA (high) (sf) rating levels have been maintained at 42.0% and 40.5%, respectively. As of the May 2019 payment date, the portfolio exhibits borrower concentration, with the top 20 lessees representing 17.0% of the portfolio outstanding balance (down from 21.4% since last annual review), and industry concentration, with the top industry being Business Equipment and Services (according to DBRS’s Industry Classification) and representing 34.1% of the portfolio outstanding balance (down from 34.9% since last annual review). The concentration risk has been factored into DBRS’s analysis.

CREDIT ENHANCEMENT
As of the May 2019 payment date, credit enhancement to the Class A Notes was 30.6%, up from 22.5% at the DBRS initial rating. Credit enhancement to the Class B Notes was 24.5%, up from 18.0% at the DBRS initial rating. The credit enhancement to each class of Rated Notes consists of its respective subordination.

The transaction benefits from an amortising Liquidity Reserve that provides liquidity support only to the Rated Notes. The Liquidity Reserve is sized at 0.5% of the Rated Notes and is currently at its target amount of EUR 2.0 million.

The transaction is subject to commingling and set-off risks which are respectively mitigated by the funding of a Commingling Reserve and a Set-Off Reserve upon a downgrade of the parent company, LeasePlan Corporation N.V.(LPC) below BBB (low).

ABN AMRO Bank N.V. (ABN AMRO) acts as the account bank for the transaction. Based on the account bank reference rating of ABN AMRO at AA (low), which is one notch below the DBRS public Long-Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, 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 acts as the swap counterparty for the transaction. DBRS's public Long-Term Critical Obligations Rating of ABN AMRO at AA is above the First Rating Threshold as described in DBRS's "Derivative Criteria for European Structured Finance Transactions" methodology.

The transaction structure was analysed in Intex DealMaker.

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.

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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include investor reports and loan-level data 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 12 July 2018, when DBRS confirmed the ratings of the Rated Notes.

The lead analyst responsibilities for these transactions 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 lifetime base case PD, LGD and RV haircut for the pool 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 loans for the Issuer are 1.2% and 46.6%, respectively. The RV haircut is 42.0% at AAA (sf) and 40.5% at AA (high) (sf)
-- The Risk Sensitivity overview below illustrates the ratings expected if both the PD and LGD, on the one hand, and the RV haircut, on the other hand, increase by a certain percentage over the base case assumption. For example, if the RV haircut increases by 50%, the rating of the Class A Notes would be expected to fall to AA (sf), assuming no change in both the PD and LGD. If both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to AA (high) (sf), assuming no change in the RV haircut. Furthermore, if the PD, LGD and the RV haircut all increase by 50%, the rating of the Class A Notes would be expected to fall to A (high) (sf).

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

Class B Notes Risk Sensitivity:
-- 25% increase in RV haircut, expected rating of AA (low) (sf)
-- 50% increase in RV haircut, expected rating of A (sf)
-- 25% increase in PD and LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and LGD and 25% increase in RV haircut, expected rating of AA (low) (sf)
-- 25% increase in PD and LGD and 50% increase in RV haircut, expected rating of A (sf)
-- 50% increase in PD and LGD and 25% increase in RV haircut, expected rating of A (high) (sf)
-- 50% increase in 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: Alfonso Candelas, Senior Vice President
Initial Rating Date: 26 June 2017

DBRS Ratings Limited
20 Fenchurch Street
31st Floor
London
EC3M 3BY
United Kingdom

Registered in England and Wales: No. 7139960.

Ratings issued and monitored by DBRS Ratings Limited are noted as such on the DBRS website; however, the language and related statements in previously published press releases in respect of the relevant ratings will not be changed retroactively and will remain as part of DBRS’s historical record. The ratings issued and monitored in the European Union are marked as such in their respective rating tables. As part of this transfer, these markings will remain unchanged on all active ratings related to the Issuers.

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
-- Rating CLOs Backed by Loans to European SMEs
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators
-- 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.

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