DBRS Upgrades Driver Nine GmbH

DBRS Ratings Limited (“DBRS”) has reviewed the Notes issued by Driver Nine GmbH (the “Issuer”) and:

• Confirmed the ratings of the Class A Notes at AAA (sf).
• Upgraded the ratings of the Class B Notes to AA (sf) from A (high) (sf).

The confirmation and the upgrade of the ratings for the Class A and Class B Notes, respectively, are based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of 21 July 2014 payment date.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• Target overcollaterisation reached and switch to pro-rata principal payment on the Notes
• Currently available credit enhancement to the Class A and Class B Notes to cover expected losses assumed in line with, respectively, a AAA (sf) and a AA (sf) rating level.

Driver Nine GmbH is a securitisation of a pool of auto loans receivables related to new and used motor vehicles originated in Germany by Volkswagen, Audi, SEAT and Skoda dealers. The transaction closed in June 2011 and the portfolio is static.

As of the 21 July 2014 payment date, the 90+ delinquency ratio was 0.39%. The cumulative gross default ratio was at 1.03% of the original collateral balance with a recovery rate of 64.8% up to date.

The transaction has a sequential/pro-rata amortisation structure whereby initially all principal payments from the receivables paid down the Class A Notes until Class A overcollateralisation reached its target level of 11.00% in June 2012 payment date. Thereafter, Class A and Class B Notes received principal on a pro-rata basis and will continue to do so unless a performance trigger is breached.

Credit enhancement to the Class B Notes stems from the overcollateralisation and a non-amortising Cash Reserve Fund. Additionally Class A is supported by the Class B Notes. Credit enhancement is equal to 17.24% and 21.24%, for the Class B and A Notes respectively. The Cash Reserve Fund remained at its target level of EUR 9 million since the deal closed .

Deutsche Bank AG/London holds the Treasury Account for the transaction. The DBRS private rating of Deutsche Bank AG/London complies with the threshold for the Account Bank given the rating assigned to the Class A Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the 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 servicer reports provided by Volkswagen Bank GmbH (the “Servicer”). 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 July 2013, when DBRS confirmed the ratings to AAA (sf) and A (high) of 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 the pool 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 3.66% and 35%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to remain to AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to remain to AAA (sf), all else being equal.

Class A Notes 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 Notes 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: Mike Babick
Initial Rating Date: 09 May 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
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.
• 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.
• Derivative Criteria for European Structured Finance Transactions.