DBRS has Reviewed DFM MASTER S.A and Confirms the AAA (sf) Rating of the Class A Notes (2011-1, 2011-2, 2011-5, 2013-1)

DBRS Ratings Limited (DBRS) has today confirmed the AAA (sf) ratings originally assigned on May 24, 2011(and subsequently confirmed on August 25, 2011, January 24, 2012, April 23, 2012, May 23, 2012 and May 28, 2013) to the series 2011-1, 2011-2, 2011-5 asset backed floating rate Notes issued by DFM Master S.A. acting for and on behalf of its Compartment 1. DBRS has also confirmed the AAA (sf) rating of the 2013-1 series originally issued on 28 May, 2013.

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 22, 2014.

The Amendment Agreement acknowledges changes to the transaction documentation including the extension of the series revolving period until the May 2015 payment date and the extension of the legal maturity date to 25 May, 2023 for all outstanding series. Furthermore, as of 27 May 2014, VW Bank (the Original Series 2013-1 Note Purchaser) will transfer the Series 2013-1 Notes to DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt am Main.

Note:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is the Rating European Consumer and Commercial Asset-Backed Securitisations.

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 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.

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.

This is the first rating action for series 2013-1 since the Initial Issue on 28 May, 2013.

The initial report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

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 the portfolio based on a review of historical data. Additionally, given the revolving nature of the portfolio DBRS assumed the most conservative distribution given the portfolio concentration limits under the transaction documentations. Adverse changes to asset performance may cause stresses to Base Case assumptions and therefore have a negative effect on credit ratings.

• Probability of Default Rate Used: Base case PD of 2.90%, a 25% and 50% increase on the base case PD.

• Recovery Rate Used: Base case Recovery rate of 50%.

• Loss Given Default Rate Used: Base Case LGD of 50%, a 25% and 50% increase on the base case LGD.

• Residual Value Haircut: 40%, a 50% increase on the base case.

• The Risk Sensitivity below illustrates the ratings expected for each Series of Class A Notes if the Residual Value Haircut is increased by 50% and the PD and LGD increase by a certain percentage over the Base Case assumptions. For example, if the LGD increases by 50%, the rating for each Series of Class A Notes would remain AAA (sf), all else being equal. If the PD increases by 50%, the rating for each Series of Class A Notes would also remain to AAA (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating to each Series of Class A Notes would be expected to all to AAA (sf), all else being equal.

Class A Notes Risk Sensitivity following a 50% increase in the Residual Value Haircut:

• 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).
• 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, 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).

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.

The lead responsibilities for this transaction have been transferred to Eric Levassor.

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

Lead Surveillance Analyst: Eric Levassor
Most Recent Rating Date: 28 May 2013
Rating Committee Chair: Diana Turner

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

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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;
• Operational Risk Assessment for European Structured Finance Servicers;
• Unified Interest Rate Model Methodology for European Securitisations; and
• Master European Structured Finance Surveillance Methodology.