DBRS Takes Rating Actions on Private Driver 2012-2

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

The portfolio of receivables securitised within the transactions 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 of the transaction, in terms of arrears and cumulative net losses, as of the 22 April 2014 payment.
• Updated default, recovery and loss assumptions for 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+ days in arrears for the transaction have showed a slight upward trend between the September 2013 and March 2014 payment dates from 0.21% to 0.48% before dropping to 0.39% on the current payment date. The cumulative net losses through 24 months (0.16%) are also low and within initial DBRS expectations. Each Class of Notes has reached the target overcollateralisation levels and as a result principal is being paid pro-rata subject to cumulative net loss triggers.

The Account 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.

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 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 1 May 2013, when the current ratings of each Class of 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 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 are 1.20% and 35%.
• The Risk Sensitivity overview below illustrates the expected rating of each Class of Notes 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 for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If both the PD and LGD increase by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf), all else being equal.

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)

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)

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: Mike Babick
Initial Rating Date: 2 May 2012
Initial Rating Committee Chair: Claire Mezzanotte

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

DBRS Ratings Limited
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United Kingdom

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.
• 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.