DBRS Upgrades Driver France FCT Compartiment 2013-1

DBRS Ratings Limited (“DBRS”) has reviewed the Notes issued by Driver France FCT Compartiment 2013-1 (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 August 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 France FCT Compartiment 2013-1 is a securitisation of a pool of auto loans receivables related to new and used motor vehicles originated in France by Volkswagen, Audi, SEAT and Skoda dealers. The transaction closed in October 2013 and the portfolio is static.

As of the 21 August 2014 payment date, the 90+ delinquency ratio was 0.43%. The cumulative gross default ratio was at 0.17% of the original collateral balance with a recovery rate of 14.5% 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 July 2014 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 an amortising Cash Reserve Fund which already reached its floor target at EUR 5 million. Additionally Class A is supported by the Class B Notes. Credit enhancement is equal to 6.66% and 11.00%, for the Class B and A Notes respectively.

BNP Paribas Securities Services SA holds the Treasury Account for the transaction. The DBRS private rating of BNP Paribas Securities Services SA 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.

The swap documentation does not contemplate DBRS ratings of the swap counterparty unless they are publicly available, but considers Moody’s and Standard and Poor’s otherwise. Raiffeisen Bank International A.G. is currently in breach of the First Rating Trigger Requirements and is obligated to post collateral under the documentation. However the collateral calculations under the transaction documents currently yield a collateral of zero.

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 (French Branch) (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 07 October 2013, when DBRS assigned 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 2.36% 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 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 decrease to AA (high) (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 AA (high) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (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 A (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: 28 August 2013
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

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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.
• 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.