DBRS Takes Rating Action on VCL Transactions

DBRS Ratings Limited (“DBRS”) has reviewed the VCL 14, VCL 15 and VCL 16 transactions and taken the following rating actions:

• VCL 14 Class A confirmed at AAA (sf)
• VCL 14 Class B upgraded from ‘A’ (high) (sf) to AA (sf)
• VCL 15 Class A confirmed at AAA (sf)
• VCL 15 Class B upgraded from ‘A’ (high) (sf) to AA (sf)
• VCL 16 Class A confirmed at AAA (sf)
• VCL 16 Class B upgraded from ‘A’ (high) (sf) to AA (sf)

The portfolios securitised in each transaction consist of a pool of German lease receivables to retail and commercial customers secured by new, used and demonstration vehicles. The receivables were originated and are serviced by Volkswagen Leasing, GmbH.

The rating actions are based upon the following analytical considerations:

• Portfolio performance of the receivables for each transaction, in terms of arrears and cumulative net losses, as of the 21 November 2013 payment date.
• Updated default, recovery and loss assumptions on the remaining receivables balance of each transaction.
• Current available credit enhancement for each Class of Notes to cover the expected losses at the respective rating level.

The 90+ days arrears for each transaction have been stable. The current levels are 0.80% (VCL 14), 0.56% (VCL 15) and 0.31% (VCL 16). The cumulative net losses for each transaction are very low and performing below the initial DBRS expectations given the transaction seasoning. VCL 14 cumulative net losses are 0.20% through 25 months; VCL 15 cumulative net losses are 0.16% through 20 months; and, VCL 16 are 0.07% through 13 months. Additionally, each transaction has reached its target overcollateralisation levels and now pays principal pro-rata to each Class of Notes subject to cumulative net loss triggers.

The Account Banks for each transaction are Deutsche Bank AG/London (VCL 14), BNP Paribas Securities Services SA/London (VCL 15), and Elavon Financial Services Limited, UK Branch (VCL 16). The DBRS private rating of each entity is above the Minimum Institution Rating given the highest rating assigned to the rated Notes within each transaction, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include monthly investor reports provided by Volkswagen Leasing GmbH.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on VCL 14 took place on 4 December 2012, when DBRS confirmed the ratings of the Class A and Class B Notes.
The last rating action on VCL 15 took place on 8 February 2013 when DBRS confirmed the ratings of the Class A and Class B Notes.
The last rating action on VCL 16 took place on 25 October 2012 when DBRS assigned the new ratings to the Class A and Class B Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the ratings (the “Base Case”):
-DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for each pool of receivables based on a review of the transaction performance. 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 receivables for each transaction are:

• VCL 14 - PD = 3.37% and LGD = 35%
• VCL 15 - PD = 4.29% and LGD = 35%
• VCL 16 - PD = 3.26% and LGD = 35%
  -The Risk Sensitivity overview below illustrates the rating expected each Class of Notes for the respective transaction if the PD and LGD increase by a certain percentage over the Base Case assumption, all else being equal.

VCL 14 Class A Risk Sensitivity:
-25% increase in LGD, expected rating of AAA (sf)
-50% increase in LGD, expected rating of AAA (sf)
-25% increase in PD, expected rating of AAA (sf)
-50% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AAA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AA (high) (sf)

VCL 14 Class B Risk Sensitivity:
-25% increase in LGD, expected rating of AA (sf)
-50% increase in LGD, expected rating of AA (sf)
-25% increase in PD, expected rating of AA (sf)
-50% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AA (sf)

VCL 15 Class A Risk Sensitivity:
-25% increase in LGD, expected rating of AAA (sf)
-50% increase in LGD, expected rating of AAA (sf)
-25% increase in PD, expected rating of AAA (sf)
-50% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (high)
-50% increase in LGD and 25% increase in PD, expected rating of AA (high)
-50% increase in LGD and 50% increase in PD, expected rating of AA

VCL 15 Class B Risk Sensitivity:
-25% increase in LGD, expected rating of AA (sf)
-50% increase in LGD, expected rating of AA (sf)
-25% increase in PD, expected rating of AA (sf)
-50% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of A (high) (sf)
-50% increase in LGD and 25% increase in PD, expected rating of A (high) (sf)
-50% increase in LGD and 50% increase in PD, expected rating of A (sf)

VCL 16 Class A Risk Sensitivity:
-25% increase in LGD, expected rating of AAA (sf)
-50% increase in LGD, expected rating of AAA (sf)
-25% increase in PD, expected rating of AAA (sf)
-50% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AAA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AA (high) (sf)

VCL 16 Class B Risk Sensitivity:
-25% increase in LGD, expected rating of AA (sf)
-50% increase in LGD, expected rating of AA (sf)
-25% increase in PD, expected rating of AA (sf)
-50% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of A (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“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 regulations only.

VCL 14
Initial Lead Analyst: Mike Babick
Initial Rating Date: 19 September 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 4 December 2012

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

VCL 15
Initial Lead Analyst: Mike Babick
Initial Rating Date: 22 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 8 February 2013

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

VCL 16
Initial Lead Analyst: Mike Babick
Initial Rating Date: 22 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 25 October 2012

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Derivative Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for European Securitisations
Rating European Consumer and Commercial Asset-Backed Securitisations