DBRS Confirms Ratings to Driver Eight GmbH

DBRS Ratings Limited (“DBRS”) has reviewed Driver Eight GmbH (the “Issuer”) and confirms the following ratings:

• Class A Notes confirmed at AAA (sf).
• Class B Notes confirmed at AA (sf).

The portfolio of receivables securitised consists of a pool of German auto loans which were originated and are serviced by Volkswagen Bank, GmbH.

The rating actions are based upon the following analytical considerations, as described more fully below:

• Portfolio performance of the receivables in terms of arrears and cumulative net losses as of the 21 February 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining receivables.
• Current available credit enhancement for each Class of Notes to cover the updated expected losses at the respective rating level.

The 90 + arrears for the transaction have been relatively low and are currently 0.58%. The current net losses are also very low (0.22%) and performing within DBRS expectations. Current credit enhancement for the Class A Notes and Class B Notes as a percentage of the collateral balance is 11.00% and 7.00%. The Notes are further supported by a non-amortising Cash Collateral Account to cover periodic interest shortfalls, and principal losses on the last payment date. The Cash Collateral Account is currently at the target balance of EUR 9,000,062 (1.20% of the original balance of the Notes plus the Subordinated Loan). Additionally, the transaction has reached the target overcollateralisation levels for each Class of Notes and now pays principal pro-rata subject to cumulative net loss triggers.

The Accounts Bank for the transaction is Deutsche Bank AG/London. The DBRS private rating of Deutsche Bank AG/London is above the Minimum Institution Rating given the highest rating assigned to the rated Notes as described in the DBRS Legal Criteria for European Structured Finance Transactions. Unicredit AG is the swap counterparty for the transaction. The DBRS private rating of Unicredit AG complies with the DBRS Derivative Criteria for European Structured Finance Transactions.

Notes:
All figures are in euros 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 this transaction took place on 29 January 2013, when the ratings to the Class A and Class B Notes were confirmed.

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 transaction performance. Adverse changes to asset performance may cause stresses to base cash assumptions and therefore have a negative effect on credit ratings.
-The Base Case PD and LGD of the current pool of receivables are 0.78% and 35%, respectively.
-The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the ratings of the Class A Notes would be expected to remain at AAA (sf). If the PD increases by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf). Furthermore, if both the PD and LGD increase by 50%, the ratings of the Class A Notes would be expected to remain at AAA (sf).

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 PD and 25% increase in LGD, expected rating of AAA (sf).
-25% increase in PD and 50% increase in LGD, expected rating of AAA (sf).
-50% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
-50% increase in PD and 50% increase in LGD, expected rating of AAA (sf).

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 PD and 25% increase in LGD, expected rating of AA (sf).
-25% increase in PD and 50% increase in LGD, expected rating of AA (sf).
-50% increase in PD and 25% increase in LGD, expected rating of AA (sf).
-50% increase in PD and 50% increase in LGD, expected rating of AA (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.

Initial Lead Analyst: Mick Babick
Initial Rating Date: 17 January 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 29 January 2013
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