DBRS Confirms and Upgrades Ratings of Driver Ten GmbH

DBRS Ratings Limited (DBRS) has today reviewed Driver Ten GmbH (the Issuer) and has taken the following rating actions:

• Class A Notes confirmed at AAA (sf).
• Class B Notes upgraded to AA (sf).

The portfolio of receivables securitised consists of a pool of German auto loans which were originated and are serviced by Volkswagen Bank, GmbH.

The rating actions are based upon the following analytical considerations, as described more fully below:

• Portfolio performance of the receivables in terms of arrears and cumulative net losses as of the 21 January 2015 payment date.
• Updated default, recovery and loss assumptions on the remaining receivables.
• Current available credit enhancement for each Class of Notes to cover the updated expected losses at the respective rating level.

As of the 21 January 2015 payment date, the 90+ delinquency ratio was 0.18%. The cumulative net loss ratio was at 0.11% of the original collateral balance.

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 reaches its target level of 11.00%. As of the January 2015 payment date, the Class A overcollateralisation level was at 11.00%.

Credit enhancement to the Class B Notes stems from the overcollateralisation and a Cash Reserve Fund. Additionally, the Class A Notes are supported by the Class B Notes. Overcollateralisation is equal to 7.00% and 11.00%, for the Class B and A Notes respectively.

The amortising Cash Reserve Fund is equal to EUR 10.0 million. 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.

The Accounts Bank for the transaction is BNP Paribas Securities Services S.A., Luxembourg Branch. The DBRS private rating of BNP Paribas Securities Services S.A., Luxembourg Branch is above the Minimum Institution Rating given the highest rating assigned to the rated Notes as described in the DBRS Legal Criteria for European Structured Finance Transactions.

As of 19 February 2015, DZ BANK AG Deutsche Zentral-Genossenschaftsbank replaced Raiffeisen Bank International AG as the Swap Counterparty. DBRS’s public rating of DZ BANK AG Deutsche Zentral-Genossenschaftsbank is above the First Rating Threshold as described in DBRS’s Derivative Criteria for European Structured Finance Transactions.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is 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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include monthly investor reports provided by Volkswagen Bank GmbH.

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 February 2014, when the ratings of the Class A and Class B Notes were confirmed.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of 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 each pool of receivables based on a review of transaction performance. Adverse changes to asset performance may cause stresses to base cash assumptions and therefore have a negative effect on credit ratings.
  -The Base Case PD and LGD of the current pool of receivables are 1.59% and 50%, respectively.
  -The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the ratings of the Class A Notes would be expected to remain at AAA (sf). If the PD increases by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf). Furthermore, if both the PD and LGD increase by 50%, the ratings of the Class A Notes would be expected to remain at AAA (sf).

Class A 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 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: Mick Babick
Initial Rating Date: 16 January 2013
Initial Rating Committee Chair: Claire Mezzanotte

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

DBRS Ratings Limited
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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.
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.