DBRS Confirms the Rating of VCL Master Residual Value S.A.-1’s Existing Class A Series of Notes and Assigns New Ratings to the Newly-Issued Class A and Class B Series of Notes

DBRS Ratings Limited (DBRS) has today confirmed the AAA (sf) rating previously assigned to the Class A Series 2014-1 and Class A Series 2014-2 previously issued by VCL Master Residual Value S.A., acting with respect to its Compartment 1.

DBRS has assigned new AAA (sf) ratings to the Class A Series 2014-3, Class A Series 2014-4, Class A Series 2014-5, Class A Series 2014-6, Class A Series 2014-7, Class A Series 2014-8, Class A Series 2014-9, Class A Series 2014-10 and Class A Series 2014-11 Notes issued by VCL Master Residual Value S.A., acting with respect to its Compartment 1.

DBRS has also assigned new A (high) (sf) ratings to the Class B Series 2014-1, Class B Series 2014-2, Class B Series 2014-3, Class B Series 2014-4, Class B Series 2014-5 and Class B Series 2014-6 Notes issued by VCL Master Residual Value S.A., acting with respect to its Compartment 1.

The receivables to be securitised consist of expectancy rights that relate to the residual values of motor vehicles derived from German auto lease contracts.

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, subordination and overcollateralization. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss and residual values assumptions under various stress scenarios at a AAA (sf) standard for the Class A Series of Notes and at A (high) (sf) for the Class B Series of Notes issued by VCL Master Residual Value S.A., acting with respect to its Compartment 1.
-- 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 legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

An Amendment Agreement has been executed that acknowledges changes to the transaction documentation including the extension of the existing Class A 2014-1 and Class A 2014-2 Series revolving period until September 2015. Furthermore, as of 25 September 2014, the Issuer has issued the additional Class A Series of Notes and Class B Series of Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “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 Volkswagen Leasing GmbH and Volkswagen Financial Services AG. DBRS received historical performance data relating to Volkswagen Leasing GmbH originations by monthly vintage on a cumulative net loss basis going back to January 2002. DBRS also received vehicle realisation data from January 2010 to May 2014, historical delinquencies and provisional portfolio stratification tables that allowed a further assessment of the portfolio. 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 full 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):

• Probability of Default (PD) Rate Used: Base Case PD of 2.23%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base case Recovery Rate of 60%.
• Residual Value Loss: Base Case of 43% in the AAA (sf) Scenario, 32% in the A (high) (sf) scenario and a 25% and 50% increase in Residual Value Loss for both scenarios.

DBRS concludes that for all Class A Notes:

• A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
• A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (high) (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (low) (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to a AA (low) (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to an A (low) (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (high) (sf).

DBRS concludes that for all Class B Notes:

• A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to the Class B Notes maintaining an A (high) (sf) rating.
• A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to an A (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a BBB (low) (sf) rating.
• A hypothetical increase of the base case Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to B (high) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a BBB (low) (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 25%, ceteris paribus, would lead to a downgrade of the Class B Notes to a BBB (low) (sf) rating.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to B (high) (sf) rating.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the Residual Value Loss by 50%, ceteris paribus, would lead to a downgrade of the Class B Notes to B (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: Bruno Franco
Initial Rating Date: January 25, 2014
Initial Rating Committee Chair: Chuck Weilamann

Most Recent Rating Date: September 25 2014.

Lead Analyst: Eric Levassor
Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
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.

Rating European Consumer and Commercial Asset-Backed Securitisations.
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.