DBRS Confirms Driver Eleven GmbH

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

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

The confirmation 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.
• 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 A (high) (sf) rating level.

Driver Eleven 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 July 2013 and the portfolio is static.

As of the 21 July 2014 payment date, the 90+ delinquency ratio was 0.16%. The cumulative gross default ratio was at 0.33% of the original collateral balance with a recovery rate of 32.2% up to date.

The transaction has a sequential/pro-rata amortisation structure whereby all principal payments from the receivables pay down the Class A Notes until Class A overcollateralisation will reach its target level of 11.00%. As of July 2014 the Class A overcollateralisation level was at 10.80%. Thereafter, Class A and Class B Notes will receive 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 Cash Reserve Fund. Additionally Class A Notes are supported by the Class B Notes. Credit enhancements is equal to 7.78% and 12.14%, for the Class B and A Notes respectively.

The amortising Cash Reserve Fund is equal to EUR 7.5 million (the floor amount) and has been equal to its target level at each payment date. It has been funded at closing with an amount equal to 1.20% of the original portfolio balance and was allowed to amortise down to 1.0% of the original portfolio balance.

Elavon Financial Services Limited holds the Treasury Account for the transaction. The DBRS private rating of Elavon Financial Services Limited 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 25 July 2013, when DBRS assigned the final 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 2.27% and 50%, 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 decrease at A (high) (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to decrease to A (high) (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 decrease to BBB (high) (sf), all else being equal.

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (sf)
• 50% increase in LGD, expected rating of A (high) (sf)
• 25% increase in PD, expected rating of AA (sf)
• 50% increase in PD, expected rating of A (high) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class B Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of A (high) (sf)
• 50% increase in LGD, expected rating of A (low) (sf)
• 25% increase in PD, expected rating of A (high) (sf)
• 50% increase in PD, expected rating of A (low) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (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: Alexander Garrod
Initial Rating Date: 20 June 2013
Initial Rating Committee Chair: Chuck Weilamann

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.