DBRS Assigns and Confirms Ratings to DFM Master S.A.

DBRS Ratings Limited (“DBRS”) has today assigned a AAA (sf) final rating to the Series 2013-1 Asset Backed Floating Rate Notes issued by DFM Master S.A..

DBRS has today, also confirmed the AAA (sf) ratings originally assigned on May 24, 2011 (and subsequently confirmed on August 25, 2011, January 24, 2012, April 23, 2012 and May 23, 2012) to the Series 2011-1, 2011-2, and 2011-5 Asset Backed Floating Rate Notes issued by DFM Master S.A. acting for and on behalf of its Compartment 1.

The receivables securitised 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 Volkwagen Pon Financial Services, B.V (“VWPFS”) which is 60% owned by Volkswagen Financial Services Group.

Deutsche Bank AG, London Branch is the Accounts Bank for the transaction and complies with the DBRS Legal Criteria for European Structured Finance Transactions given the ratings of the Notes.

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 Amendment Agreement dated May 23, 2013.

The Amendment Agreement acknowledges changes to the transaction documentation including the extension of the series revolving period until the May 2014 payment date and the extension of the legal maturity date to 25 May 2022 for all outstanding series. Furthermore, the Issuer will repurchase the Series 2011-4 through the issuance of the Series 2013-1 and DZ Bank AG will replace HSBC Bank PLC as swap provider for all series. The Series 2011-4 Notes previously rated AAA (sf) are now rated Discontinued—Repaid.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Rating European Consumer and Commercial Asset-Backed Securitisations;
• Legal Criteria for European Structured Finance Transactions;
• Swap Criteria For European Structured Finance Transactions;
• Operational Risk Assessment for European Structured Finance Servicers;
• Unified Interest Rate Model Methodology for European Securitisations; and
• 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.

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

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

The lead responsibilities for this transaction have been transferred to Alexander Garrod.

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

Lead Surveillance Analyst: Alexander Garrod
Most Recent Rating Date: 29 May 2012
Rating Committee Chair: Chuck Weilamann

DBRS's rating definitions and the terms of use of such ratings are available at www.dbrs.com.