DBRS Takes Rating Actions on Private Driver Transactions

DBRS Ratings Limited (“DBRS”) has reviewed Private Driver 2011-2, Private Driver 2011-3 and Private Driver 2012-3 and taken the following rating actions:
• Private Driver 2011-2 Class A confirmed at AAA (sf)
• Private Driver 2011-2 Class B upgraded from ‘A’ (high) (sf) to AA (sf)
• Private Driver 2011-3 Class A confirmed at AAA (sf)
• Private Driver 2011-3 Class B upgraded from ‘A’ (high) (sf) to AA (sf)
• Private Driver 2012-3 Class A confirmed at AAA (sf)
• Private Driver 2012-3 Class B confirmed at ‘A’ (high) (sf)

The portfolio of receivables securitised in each transaction consists of a pool of German retail automobile loans secured by new and used vehicles. The loans were originated and are serviced by Volkswagen Bank, 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 of each transaction.
• Current available credit enhancement for each Class of Notes to cover the updated expected losses at the respective rating level.

The 90+ days arrears for each transaction have been stable. The current levels are 0.30% (Private Driver 2011-2), 0.30% (Private Driver 2011-3) and 0.17% (Private Driver 2012-3). The cumulative net losses for each transaction are very low and performing within the initial DBRS expectations given the transaction seasoning. Private Driver 2011-2 cumulative net losses are 0.15% through 27 months; Private Driver 2011-3 cumulative net losses are 0.15% through 24 months; and, Private Driver 2012-3cumulative net losses are 0.04% through 12 months.

The Private Driver 2011-2 and Private Driver 2011-3 transactions have reached the target overcollateralisation levels for each Class of Notes within the respective transaction. Principal is being paid pro-rata to each Class of Notes subject to cumulative net loss triggers. Private Driver 2011-2 has been paying pro-rata for 16 months while the Private Driver 2011-3 has been paying pro-rata for 12 months. The Private Driver 2012-3 transaction reached the target overcollateralisation target levels for each Class of Notes and began paying principal pro-rata for the first time on the November 2013 payment date.

The Account Banks for each transaction are Deutsche Bank AG/London (Private Driver 2011-2), BNP Paribas Securities Services SA/London (Private Driver 2011-3) and Elavon Financial Services Limited (Private Driver 2012-3). 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 Bank 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 Private Driver 2011-2 took place on 4 December 2012 when DBRS confirmed the ratings of the Class A and Class B Notes.
The last rating action on Private Driver 2011-3 took place on 4 December 2012 when DBRS confirmed the ratings of the Class A and Class B Notes.
The last rating action on Private Driver 2012-3 took place on 29 November 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 rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (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 case 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:
Private Driver 2011-2: PD = 0.85% and LGD = 35%
Private Driver 2011-3: PD = 0.95% and LGD = 35%
Private Driver 2012-3: PD = 1.60% and LGD = 35%
-The Risk Sensitivity overview below illustrates the rating expected for each Class of Notes for the respective transaction if the LD and LGD increase by a certain percentage over the Base Case assumption, all else being equal.

Private Driver 2011-2 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 AAA (sf)

Private Driver 2011-2 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)

Private Driver 2011-3 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 AAA (sf)

Private Driver 2011-3 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)

Private Driver 2012-3 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 AAA (sf)

Private Driver 2012-3 Class B Risk Sensitivity:
-25% increase in LGD, expected rating of A (high) (sf)
-50% increase in LGD, expected rating of A (high) (sf)
-25% increase in PD, expected rating of A (high) (sf)
-50% increase in PD, expected rating of A (high) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of A (high) (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 (high) (sf)

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

Private Driver 2011-2
Initial Lead Analyst: Mike Babick
Initial Rating Date: 25 August 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 4 December 2012

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

Private Driver 2011-3
Initial Lead Analyst: Mike Babick
Initial Rating Date: 30 November 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 4 December 2012

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

Private Driver 2012-3
Initial Lead Analyst: Mike Babick
Initial Rating Date: 29 November 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 29 November 2012

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

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

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
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Rating European Consumer and Commercial Asset-Backed Securitisations