DBRS Confirms Ratings to DFM Master S.A.

DBRS, Inc. (DBRS) has today confirmed the AAA (sf) ratings originally assigned on May 24, 2011, and subsequently confirmed on August 25, 2011, January 24, 2012, and April 23, 2012 to the Series 2011-1, 2011-2, 2011-4, and 2011-5 Asset Backed Notes issued by DFM Master S.A. acting for and on behalf of its Compartment 1. The receivables securitized consist of loans made by Dealers Financierings Maatschaapij, N.V. (DFM N.V.) to corporate lessors for purposes of financing their leasing business. The loans are secured by a security interest in the underlying vehicles and leases. DFM N.V is a subsidiary of Volkswagen Pon Financial Services, B.V (VWPFS) which is 60% owned by Volkswagen Financial Services Group.

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

• Transaction capital structure and form and sufficiency of available credit enhancement.

• Relevant credit enhancement in the form of a cash collateral account and overcollateralisation. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption (including residual losses) under various stress scenarios at a AAA (sf) standard.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.

• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.

• The credit quality of the collateral and ability of the Servicer 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 the DBRS Legal Criteria for European Structured Finance Transactions.

• The Amendment Agreement and Repurchase Agreement dated May 23, 2012.

Salient components of the Amendment Agreement and Repurchase Agreement (the “Agreement”) include the extension of the revolving period until the May 2013 payment date and the extension of the legal maturity date to 25 May 2021 for all outstanding series. In addition, the Agreement provides for the repayment of the Series 2011-3 Notes and HSBC Bank PLC will replace Unicredit Bank, AG as swap provider for all series. The Series 2011-3 Notes previously rated AAA (sf) are now rated Discontinued—Repaid.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the receivables provided by Dealers Financierings Maatschaapij N.V. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

For additional information on this rating, please refer to the linking document.

Lead Analyst: Mike Babick
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 24th May 2011